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# lect4 - IE 410 Lecture 4 Details of the ANOVA In this...

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IE 410 Lecture 4 Details of the ANOVA In this lecture we will: Discuss power and the F stat Learn about SS and degrees of freedom Learn about decomposition of SS’s Try to understand Cochran’s theorem

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Recall The F statistic: a N y y a y y n MS MS F a i n j i ij a i i E trt - - - - = = ∑ ∑ = = = 1 1 2 1 2 0 .) ( 1 ..) . ( It compares variation in treatment averages to variation within treatments

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Under H 0 F 0 follows the F distribution with ν 1 =a-1 and ν 2 =N-a “degrees of freedom” ν 1 and ν 2 =are parameters of the F distribution F derived as the ratio of two independent χ 2 random variables E(MS E ) = E(MS TRT ) = σ 2
Is F the best test statistic? What are the alternatives? How do we define best? By best we generally mean that we seek the most powerful test: If H 0 is “just a little bit false”, we will still be able to reject H 0.

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Alternatives to the F test Randomization test Kruskal-Wallis test Throw away some data, then do the F test Among all tests with specified α , we want the most powerful (smallest β )
Example Method 1. Let a=3, n=4, N=12 Compute F 0 Method 2. Throw away 2 randomly chosen observations from each treatment Compute F 0 from the remaining data

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F 0 ~F 2,9 F 0 ~F 2,3 F 0 Rejects H 0, F 0 can’t Thus F 0 is more powerful 0.05
Under our assumptions (statistical model) the F-test has been proven to be the most powerful test. The randomization and Kruskal-Wallis tests are useful when our assumptions don’t seem to apply.

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Degrees of Freedom and SS’s Recall two measures of sample variance: n x x and n x x S n i i n n i i = = - = - - = 1 2 2 1 2 2 ) ( ˆ 1 ) ( σ Why do we traditionally use S 2 ? Why do we divide by N-1?
The traditional answer is: 2 2 2 2 ) ˆ ( ) ( σ < = n E whereas S E That is, S 2 is an unbiased estimate of σ 2 . But why is this true?

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Suppose the true population mean μ was known: Then we would estimate σ 2 using 2 2 1 2 2 ) ˆ ( ) ( ˆ σ μ = - = = E and n x n i i i.e. The second central moment.
[ ] [ ] [ ] [ ] [ ] 2 2 2 2 2 2 2 2 2 2 2 1 2 1 1 * 2 1 ) ( 2 ) ( 1 2 1 1 ) ( σ μ = = = + - + = + - = + - = - = - = n n n n x E x E n x x E n x E n n x E i i i i i i i i i i n i i

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? ) ( ) ( 1 2 1 2 biased is n x x while unbiased n x is Why n i i n i i = = - μ = ) ( : x E all After
Suppose n=2 and μ is known Take 4 sets of samples of size n=2 μ from deviations than smaller are x from Deviations x Squared

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In fact (given a data set), among all possible values k: = - = n 1 i 2 ) ( minimizes k x x k i And thus we expect: n x n x x i i n = = - - = n 1 i 2 n 1 i 2 2 ) ( ) ( ˆ μ σ
will be too small. (Simple Proof) [ ] x n x k nk x set nk x k x k x dk d n i i n i i n i i n i i n i i = = = = + - = - - = - = = = = = 1 1 1 1 1 2 2 2 0 2 2 ) ( 2 ) (

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Something happens when we replace μ with its estimate x .
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lect4 - IE 410 Lecture 4 Details of the ANOVA In this...

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