Analysis of variance

From Wikipedia, the free encyclopedia

Jump to: navigation, search In statistics, analysis of variance (ANOVA) is a collection of statistical models, and their associated procedures, in which the observed variance in a particular variable is partitioned into components attributable to different sources of variation. In its simplest form ANOVA provides a statistical test of whether or not the means of several groups are all equal, and therefore generalizes t-test to more than two groups. Doing multiple two-sample t-tests would result in an increased chance of committing a type I error. For this reason, ANOVAs are useful in comparing two, three or more means.

Contents
[hide]
y y

y y y y y y y y y

1 Overview 2 Models o 2.1 Fixed-effects models (Model 1) o 2.2 Random-effects models (Model 2) o 2.3 Mixed-effects models (Model 3) 3 Assumptions of ANOVA o 3.1 A model often presented in textbooks o 3.2 Randomization-based analysis  3.2.1 Unit-treatment additivity  3.2.2 Derived linear model  3.2.3 Statistical models for observational data 4 Logic of ANOVA o 4.1 Partitioning of the sum of squares o 4.2 The F-test 5 Power analysis 6 Effect size 7 Follow up tests 8 Study designs and anovas 9 History 10 See also 11 Notes 12 References 13 External links

[edit] Overview
There are three classes of ANOVA models: 1. Fixed-effects models assume that the data came from normal populations which may differ only in their means. (Model 1)

2. Random effects models assume that the data describe a hierarchy of different populations whose differences are constrained by the hierarchy. (Model 2) 3. Mixed-effect models describe the situations where both fixed and random effects are present. (Model 3)

[edit] Models
[edit] Fixed-effects models (Model 1)
Main article: Fixed effects model The fixed-effects model of analysis of variance applies to situations in which the experimenter applies one or more treatments to the subjects of the experiment to see if the response variable values change. This allows the experimenter to estimate the ranges of response variable values that the treatment would generate in the population as a whole .

[edit] Random-effects models (Model 2)

Main article: Random effects model Random effects models are used when the treatments are not fixed. This occurs when the various factor levels are sampled from a larger population. Because the levels themselves are random variables, some assumptions and the method of contrasting the treatments differ from ANOVA model 1.

[edit] Mixed-effects models (Model 3)

Main article: Mixed model A mixed-effects model contains experimental factors of both fixed and random-effects types, with appropriately different interpretations and analysis for the two types. Most random-effects or mixed-effects models are not concerned with making inferences concerning the particular values of the random effects that happen to have been sampled. For example, consider a large manufacturing plant in which many machines produce the same product. The statistician studying this plant would have very little interest in comparing the three particular machines to each other. Rather, inferences that can be made for all machines are of interest, such as their variability and the mean. However, if one is interested in the realized value of the random effect, best linear unbiased prediction can be used to obtain a "prediction" for the value.

[edit] Assumptions of ANOVA

The analysis of variance has been studied from several approaches, the most common of which use a linear model that relates the response to the treatments and blocks. Even when the statistical model is nonlinear, it can be approximated by a linear model for which an analysis of variance may be appropriate.

[edit] A model often presented in textbooks

Many textbooks present the analysis of variance in terms of a linear model, which makes the following assumptions about the probability distribution of the responses:
y y y

Independence of cases this is an assumption of the model that simplifies the statistical analysis. Normality the distributions of the residuals are normal. Equality (or "homogeneity") of variances, called homoscedasticity the variance of data in groups should be the same. Model-based approaches usually assume that the variance is constant. The constant-variance property also appears in the randomization (design-based) analysis of randomized experiments, where it is a necessary consequence of the randomized design and the assumption of unit treatment additivity (Hinkelmann and Kempthorne 2008): If the responses of a randomized balanced experiment fail to have constant variance, then the assumption of unit treatment additivity is necessarily violated.

To test the hypothesis that all treatments have exactly the same effect, the F-test's p-values closely approximate the permutation test's p-values: The approximation is particularly close when the design is balanced (Hinkelmann and Kempthorne 2008). Such permutation tests characterize tests with maximum power against all alternative hypotheses, as observed by Rosenbaum.[nb 1] The anova Ftest (of the null-hypothesis that all treatments have exactly the same effect) is recommended as a practical test, because of its robustness against many alternative distributions (Moore and McCabe[Full citation needed ]).[nb 2] The KruskalWallis test is a nonparametric alternative that does not rely on an assumption of normality. And the Friedman test is the nonparametric alternative for a one-way repeated measures ANOVA. The separate assumptions of the textbook model imply that the errors are independently, identically, and normally distributed for fixed effects models, that is, that the errors are independent and

[edit] Randomization-based analysis

See also: Random assignment and Randomization test In a randomized controlled experiment, the treatments are randomly assigned to experimental units, following the experimental protocol. This randomization is objective and declared before the experiment is carried out. The objective random-assignment is used to test the significance of the null hypothesis, following the ideas of C. S. Peirce and Ronald A. Fisher. This design-based analysis was discussed and developed by Francis J. Anscombe at Rothamsted Experimental Station and by Oscar Kempthorne at Iowa State University (Anscombe 1948). Kempthorne and his students make an assumption of unit treatment additivity, which is discussed in the books of Kempthorne and David R. Cox. [edit] Unit-treatment additivity

In its simplest form, the assumption of unit-treatment additivity states that the observed response y i,j from experimental unit i when receiving treatment j can be written as the sum of the unit's response yi and the treatment-effect t j, that is

yi,j = yi + t j (Kempthorne and Cox, Chapter 2; Hinkelmann and Kempthorne 2008, Chapters 5-6).
The assumption of unit-treatment addivity implies that, for every treatment j, the jth treatment have exactly the same effect tj on every experiment unit. The assumption of unit treatment additivity usually cannot be directly falsified, according to Cox and Kempthorne. However, many consequences of treatment-unit additivity can be falsified. For a randomized experiment, the assumption of unit-treatment additivity implies that the variance is constant for all treatments. Therefore, by contraposition, a necessary condition for unit-treatment additivity is that the variance is constant. The property of unit-treatment additivity is not invariant under a "change of scale", so statisticians often use transformations to achieve unit-treatment additivity. If the response variable is expected to follow a parametric family of probability distributions, then the statistician may specify (in the protocol for the experiment or observational study) that the responses be transformed to stabilize the variance (Hinkelmann and Kempthorne 2008, Chapter 7 or 8). Also, a statistician may specify that logarithmic transforms be applied to the responses, which are believed to follow a multiplicative model (Cox, Chapter 2; Bailey 2008). According to Cauchy's functional equation theorem, the logarithm is the only continuous transformation that transforms real multiplication to addition. The assumption of unit-treatment additivity was enunciated in experimental design by Kempthorne and Cox. Kempthorne's use of unit treatment additivity and randomization is similar to the design-based inference that is standard in finite-population survey sampling. [edit] Derived linear model Kempthorne uses the randomization-distribution and the assumption of unit treatment additivity to produce a derived linear model, very similar to the textbook model discussed previously. The test statistics of this derived linear model are closely approximated by the test statistics of an appropriate normal linear model, according to approximation theorems and simulation studies by Kempthorne and his students (Hinkelmann and Kempthorne 2008). However, there are differences. For example, the randomization-based analysis results in a small but (strictly) negative correlation between the observations (Hinkelmann and Kempthorne 2008, volume one, chapter 7; Bailey chapter 1.14). In the randomization-based analysis, there is no assumption of a normal distribution and certainly no assumption of independence. On the contrary, the observations are dependent! The randomization-based analysis has the disadvantage that its exposition involves tedious algebra and extensive time. Since the randomization-based analysis is complicated and is

cl l i t t ch usi a normal linear model most teachers emphasi e the normal linear model approach. Few statisticians object to model based anal sis of balanced randomi ed experiments. [edi S i i l del ervati al data

However, when applied to data from non-randomi ed experiments or observational studie s, model-based anal sis lacks the warrant of randomi ation. For observational data, the derivation of confidence intervals must use s bj ti models, as emphasi ed by Ronald A. Fisher and his followers. In practice, the estimates of treatment-effects from observational studies generally are often inconsistent. In practice, "statistical models" and observational data are useful for suggesting hypotheses that should be treated very cauti usly by the public o ] (Freedman)[ ull it ti .

[edit] Logi of ANOVA

[edit] Partitioning of the sum of squares
The fundamental techni ue is a partitioning of the total sum of squares S into components related to the effects used in the model. For example, we show the model for a simplified ANOVA with one type of treatment at different levels.

So, the number of degrees of freedom f can be partitioned in a similar way and specifies the chi-square distribution which describes the associated sums of squares.

See also Lack-of-fit sum of squares.

[edit] The F-test

Mai arti l

-t st

The F-test is used for comparisons of the components of the total deviation. For example, in one-way, or single-factor ANOVA, statistical significance is tested for by comparing the F test statistic

where

I = number of treatments



  

and

nT = total number of cases to the F-distribution with I 1,nT I degrees of freedom. Using the F-distribution is a natural candidate because the test statistic is the ratio of two scaled sums of squares each of which follows a scaled chi-square distribution.

[edit] Power anal sis

Power analysis is often applied in the context of ANOVA in order to assess the probability of successfully rejecting the null hypothesis if we assume a certain ANOVA design,effect si e in the population, sample si e and alpha level. Power analysis can assist in study design by determining what sample si e would be required in order to have a reasonable chance of rejecting the null hypothesis when the alternative hypothesis is true.

[edit] Effect si e
Main arti l Eff t si Several standardi ed measures of effect gauge the strength of the association between a predictor (or set of predictors) and the dependent variable. Effect-si e estimates facilitate the comparison of findings in studies and across disciplines. Common effec si e estimates t reported in univariate-response anova and multivariate-response manova include the following: eta-squared, partial eta-squared, omega, and intercorrelation. ( eta-squared ): Eta-squared describes the ratio of variance explained in the d ependent variable by a predictor while controlling for other predictors. Eta-squared is a biased estimator of the variance explained by the model in the population (it estimates only the effect si e in the sample). On average it overestimates the variance explained in the population. As the sample si e gets larger the amount of bias gets smaller.
2

Partial 2 (Partial eta-squared): Partial eta-squared describes the "proportion of total variation attributable to the factor, partialling out (excluding) other factors from the total nonerror variation" (Pierce, Block & Aguinis, 200 , p. 1 ). Partial eta squared is often higher than eta squared.

Cohen (1 2) suggests effect si es for various indexes, including (where 0.1 is a small effect, 0.2 is a medium effect and 0. is a large effect). He also offers a conversion table (see , p. 2 3) for eta squared ( 2) where 0.00 constitutes a small effect, 0.0 a Cohen, 1





 

medium effect and 0.13 a large effect. Though, considering that 2 are comparable to r2 when df of the numerator equals 1 (both measures proportion of variance accounted for), these guidelines may overestimate the si e of the effect. If going by the r guidelines (0.1 is a small effect, 0.3 a medium effect and 0. a large effect) then the equivalent guidelines for etasquared would be the squareroot of these, i.e. 01 is a small effect, 0.0 a medium effect and 0.2 a large effect, and these should also be applicable to eta-squared. When the df of the numerator exceeds 1, eta-squared is comparable to R-squared (Levine & Hullett, 2002). Omega2 ( omega-squared ): An estimator of the variance explained in the population is omega-squared (see Bort , 1 [Full citation needed], p. 2 f.; Bhner & Ziegler[Full citation needed], 200 , p. 13f.; Tabachnick & Fidell (200 , p. ):

This form of the formula is limited to between-subjects analysis with equal sample si es in all cells (Tabachnick & Fidell, 200 , p. ). Cohen's 2: This measure of effect si e represents the square root of variance explained over variance not explained.

[edit] Follow up tests

A statistically significant effect in ANOVA is often followed up with one or more different follow-up tests. This can be done in order to assess which groups are different from which other groups or to test various other focused hypotheses. Follow up tests are often a distinguished in terms of whether they are planned ( priori) or post hoc. Planned tests are determined before looking at the data and post hoc tests are performe after looking at the d data. Post hoc tests such as Tukey's range test most commonly compare every group mean with every other group mean and typically incorporate somemethod of controlling for Type I errors. Comparisons, which are most commonly planned, can be either simple or compound. Simple comparisons compare one group mean with one other group mean. Compound comparisons typically compare two sets of groups means w here one set has two or more groups (e.g., compare average group means of group A, B and C with group D). Comparisons can also look at tests of trend, such as linear and quadratic relationships, when the independent variable involves ordered levels.

[edit] Study designs and anovas

There are several types of ANOVA. Many statisticians base ANOVA on the design of the experiment,[citation needed] especially on the protocol that specifies the random assignment of treatments to subjects; the protocol's description of the assignment mechanism should include a specification of the structure of the treatments and of any blocking. It is also common to [citation needed] apply ANOVA to observational data using an appropriate statistical model. Some popular designs use the following types of ANOVA:

y y y

One-way ANOVA is used to test for differences among two or more independent groups. Typically, however, the one-way ANOVA is used to test for differences among at least three groups, since the two-group case can be covered by a t-test (Gosset, 1908)[Full citation needed ]. When there are only two means to compare, the t-test and the ANOVA F-test are equivalent; the relation between ANOVA and t is given by F = t2. Factorial ANOVA is used when the experimenter wants to study the interaction effects among the treatments. Repeated measures ANOVA is used when the same subjects are used for each treatment (e.g., in a longitudinal study). Multivariate analysis of variance (MANOVA) is used when there is more than one response variable.