I have actually been studying and using statistics a lot in my career, but I still struggle with finding a simply way to explain what exactly is p-value.
In: Mathematics
So you want to test something, let’s say that some value B is equal to 0.
You don’t observe this B. You observe data from which you calculate a statistic that measures this value B. We will call this statistic Bhat
Imagine the real actual value of B is indeed 0. We will call that our null hypothesis.
From the data that we observe we calculate Bhat. Let’s say it’s 0.5. Now we ask this : what are the chances of Bhat being equal to 0.5 when the real value of B is 0 ?
This probability is your p-value.
Basically what is the probability of having these datas if we’re in a world where our null hypothesis is true.
If this p-value is too low, that means we would take considerable risk in saying “B is different than 0 !”. If the p-value is high we can say that our data is consistent with B=0 and so we don’t reject this hypothesis.
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