How does one convert a Z-score from the Z-distribution (standard normal distribution, Gaussian distribution) to a p-value? I have yet to find the magical function in Scipy's stats module to do this, but one must be there.
How does one convert a Z-score from the Z-distribution (standard normal distribution, Gaussian distribution) to a p-value? I have yet to find the magical function in Scipy's stats module to do this, but one must be there.
Starting Python 3.8, the standard library provides the NormalDist object as part of the statistics module.
It can be used to apply the inverse cumulative distribution function (inv_cdf, also known as the quantile function or the percent-point function) and the cumulative distribution function (cdf):
NormalDist().inv_cdf(0.95)
# 1.6448536269514715
NormalDist().cdf(1.64)
# 0.9494974165258963
p_value = scipy.stats.norm.pdf(abs(z_score_max)) #one-sided test
p_value = scipy.stats.norm.pdf(abs(z_score_max))*2 # two - sided test
The probability density function (pdf) function in python yields values p-values that are drawn from a z-score table in a intro/AP stats book.
For Scipy lovers, Tough this is old question but relevant, and we can have not only normal but other distributions as well so here is solution for few more distributions:
def get_p_value_normal(z_score: float) -> float:
"""get p value for normal(Gaussian) distribution
Args:
z_score (float): z score
Returns:
float: p value
"""
return round(norm.sf(z_score), decimal_limit)
def get_p_value_t(z_score: float) -> float:
"""get p value for t distribution
Args:
z_score (float): z score
Returns:
float: p value
"""
return round(t.sf(z_score), decimal_limit)
def get_p_value_chi2(z_score: float) -> float:
"""get p value for chi2 distribution
Args:
z_score (float): z score
Returns:
float: p value
"""
return round(chi2.ppf(z_score, df), decimal_limit)