Tools: Permutation Test

Permutation Test Tool

Some regression and preprocessing methods are so exceptionally good at finding correlation between the measured data (X- and Y-blocks) that the model becomes too specific and will only apply to that exact data. Such over-fit models are often useless for predictive applications or even exploratory interpretation purposes. In many cases, careful use of cross-validation and/or separate validation data will help identify when this has happened. Permutation tests are another way to help identify an overfit model as well as provide a probability that the given model is significantly different from one built under the same conditions but on random data. If the modeling conditions are over-fitting, they will often provide a fit to random data which is better than would be expected. Permutation tests use this condition to test for over-fitting.

Permutation tests involve repeatedly and randomly reordering the y-block, rebuilding the model with the current modeling settings after each reordering. For a regression problem, this means each sample is assigned a nominally "incorrect" y-value (although the distribution of y-values is maintained because every sample's y-value is simply re-assigned to a different sample.) In the case of classification models, reordering the y-block is equivalent to shuffling the class assignments on each sample, assigning samples to the "wrong" classes.

Such permutation examines the extent the modeling conditions might be finding "chance correlation" between the x-block and the y-block or over-filtering the data. After each permutation of the y-block, the predictions for each sample from cross-validation and self-prediction, and the RMSEC and RMSECV (see Using Cross-Validation) are recorded. The shuffling is repeated multiple times and several statistics are calculated for each permutation. The result is reported in two forms:

1. A table of "Probability of Model Insignificance"
2. A plot of Sum Squared Y (SSQY) versus Y-block correlation

When the tests are performed, the user is prompted for the number of iterations to use. The statistics being calculated for the table results are designed to operate with very few iterations (as few as one, in fact) but additional iterations help to confirm the results. Iterations are more critical for the SSQ Y plot. If the plot is not of interest, the number of iterations can be greatly reduced (down to 5 or 10, for example). Otherwise, iterations of 50, 100, 200 or more should be used.

Probability Table

The probability table shows the probabilities (calculated using several different methods) that the predictions for the original, unperturbed model could have come from random chance. Put another way: these are the probabilities that the original model is not significantly different from one created from randomly shuffling the y-block. Three tests are shown:

• Wilcoxon - Pairwise Wilcoxon signed rank test
• Sign Test - Pairwise signed rank test
• Rand t-test - Randomization t-test

These tests are performed on the residuals:

 residuals = y - y_hat

where y is the perturbed y-values and y_hat is the model-estimated values for y. They compare the residuals obtained with an un-permuted y-block to those obtained with the permuted y-block.

In most publications, these tests are performed on the self-prediction residuals (those obtained when the model is built from all data and applied to the same data), but the permutation tests used here also include results for the cross-validated residuals (obtained when the model is built from a subset of data and applied to the left-out data.)

An example below shows an example in which the original model is very unlikely to be random.

Probability of Model Insignificance vs. Permuted Samples
For model with 1 component(s)

Y-column:  1
                     Wilcoxon     Sign Test     Rand t-test
Self-Pred (RMSEC) :   0.000        0.000          0.005
Cross-Val (RMSECV):   0.000        0.000          0.005

Compare this to the result obtained when the number of samples is decreased to 1/3 and the number of latent variables raised to 2. The Randomized t-test is now indicating that the model is probably insignificantly different from one created from randomly permuted samples:

Probability of Model Insignificance vs. Permuted Samples
For model with 2 component(s)

Y-column:  1
                     Wilcoxon     Sign Test     Rand t-test
Self-Pred (RMSEC) :   0.085        0.186          0.076
Cross-Val (RMSECV):   0.021        0.060          0.099

SSQ Y Plot

The SSQ_Y Plot shows the self-prediction (calibration) and cross-validated y-block captured as a fractional value versus the correlation of the used y-block to the original y-block. For an non-permuted y-block the correlation should be one (1). For any permuted y-block the correlation should be significantly less.

For each permuted y-block, the root mean squared error of calibration and cross-validation (RMSEC and RMSECV, respectively) are calculated and stored. From these values, the fractional sum squared Y captured (SSQ Y) for the calibration (self-predictions) can be calculated from:

   SSQY,C = 1-(RMSEC/SSQY,Total)

Where SSQ_Y,Total is the total sum squared Y response) and for cross-validated predictions from:

   SSQY,CV = 1-(RMSECV/SSQY,Total)

The SSQ_Y,C is expected to increase up to a value of "1" when the model is capturing all the y-block response. The SSQ_Y,CV is expected to be about the same as the SSQ_Y,C as long as the model is not overfit.

Thus, when examining SSQ_Y,C and SSQ_Y,CV, the values should be similar for a given model. However, both SSQ_Y values should be higher for the model built on non-permuted y-block data versus models built from permuted data (indicating the permuted models are not doing as well - as would be expected).