X X + (X - X) + (X - X) (Observation) Overall Sample
X X + (X - X) + (X - X) (Observation) Overall Sample
X X + (X - X) + (X - X) (Observation) Overall Sample
Xℓ j = X + (Xℓ - X) + (X ℓ j - X ℓ )
(overall sample ¿)¿ ¿¿
(observation) ¿
¿ (6-35)
The decomposition in (6-35) leads to the multivariate analog of the
univariate sum of squares breakup in (6-31). First we note that the
product
( X ℓ j - X ) ( X ℓ j - X ℓ )'
Can be written as
( X ℓ j - X ) ( X ℓ j - X ℓ )' = [ ( X ℓ j - X ℓ ) + ( X ℓ - X ) ] [ ( X ℓ j - X ℓ ) + ( X ℓ - X ) ] '
=( X ℓ j - X ℓ ) ( X ℓ j - X ℓ )' + ( X ℓ j - X ℓ )( X ℓ - X )'
+ ( X ℓ - X )( X ℓ j - X ℓ )' + ( X ℓ - X ) ( X ℓ - X )'
The sum over j of the middle two expressions is the zero matrix,
nℓ
∑ ( Xℓ j - Xℓ ) = 0
because j= 1 . Hence, summing the cross product over ℓ
and j yields.
g nℓ g g nℓ
∑ ∑ (Xℓ j - X ℓ )( X ℓ j - X ℓ )' = ∑ nℓ ( X ℓ
- X )( X - X)' +
ℓ
∑ ∑ ( Xℓ j - X ℓ )( X ℓ j - X ℓ )'
ℓ=1 j= 1 ℓ=1 ℓ=1 j= 1
¿
¿ ( total (corrected ) sum of ¿ ) ( squares and cross ¿ ) ¿ ¿
¿
¿
The within sum of squares and cross products matrix can be
expressed as
g nℓ
W = ∑ ∑ (Xℓ j - X ℓ )( X ℓ j - X ℓ )'
ℓ=1 j= 1
= (n1 - 1)S 1 + ( n2 - 1)S 2 +.. .+ ( ng - 1)S g (6-37)
|W|
|∑ ∑ ( Xℓ j - X ℓ )( X ℓ j - X ℓ )' |
¿ ℓ=1 j= 1
Λ= =
|B + W| g nℓ
|∑ ∑ ( X ℓ j - X )( X ℓ j - X )' |
ℓ=1 j= 1 (6-38)
|W| ¿
Λ=
Is too small. The quantity |B + W| , proposed originally by Wilks (See
[20]), corresponds to the equivalent form (6-23) of the F – test of H 0 :
no treatment effects in the univariate case. Wilks’ lambda has the
virtue of being convenient and related to the likelihood ratio criterion.
¿
The exact distribution of Λ can be derived for the special cases listed
in Table 6.3. For other cases and large sample sizes, a modification of
Λ¿ due to Bartlett (See [4]) can be used to test H0.
P=2 g ¿ 2 (∑ n ℓ − g −1
g− 1 ) ¿¿¿
¿
∑ nℓ − p −1
P ¿ 1 g=2 ( p ) ¿¿
P ¿ 1 g=3
(∑ p
n ℓ − p −2
) ¿¿¿
¿
( p + g) ( p + g) |W|
(
−n -1-
2 ) ¿
(
In Λ =− n - 1 -
2
In ) (
|B + W| ) (6-39)
if
( p + g) |W|
(
−n -1-
2 ) (
In
|B + W| )
> χ 2p(g - 1) (α )
(6-40)
2
Where χ p(g - 1) (α ) is the upper (100 α ) th percentile of a chi-square
distribution with p(g - 1) d.f.
Example 6.8 (A MANOVA table and Wilks’ lambda for testing the
equality of three mean vectors)
and X= 4
[] [] []
[]5
4 2 8
And
21 = 128 + 78 + 10
And
Product
Total
(corrected) 88 -11 7
[ -11 72 ]
Equation (6-36) is verified by noting that
88 -11 78 -12 10 1
[ -11 72 ] = [ -12 48 ] = [ 1 24 ]
Using (6-38), we get
10 1
| |
|W| 1 24 10(24) - (1)2
Λ¿ = = = = 0.0385
|B + W| |88 -11| 88(72) - (-11)2
-11 72
statistic
1−√ Λ¿ ( ∑ n ℓ - g - 1) 1 - √. 0385 8 - 3 - 1
( √Λ ¿ ) (g - 1)
=
√. 0385 3 - 1 ( = 8. 19
)( )
With a percentage of an F-distribution having
ν 1 = 2(g - 1)= 4 and ν 2= 2( ∑ n ℓ - g - 1)= 8 d. f
Since 8.19 > F4,8(.01) = 7.01, we .