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Jump to: navigation, search An F-test is any statistical test in which the test statistic has an Fdistribution under the null hypothesis. It is most often used when comparing statistical models that have been fitted to a data set, in order to identify the model that best fits the population from which the data were sampled. Exact F-tests mainly arise when the models have been fitted to the data using least squares. The name was coined by George W. Snedecor, in honour of Sir Ronald A. Fisher. Fisher initially developed the statistic as the variance ratio in the 1920s.[1]
populations, all having the same standard deviation, are equal. This is perhaps the best-known F-test, and plays an important role in the analysis of variance (ANOVA). The hypothesis that a proposed regression model fits the data well. See Lack-of-fit sum of squares. The hypothesis that a data set in a regression analysis follows the simpler of two proposed linear models that are nested within each other. Scheff's method for multiple comparisons adjustment in linear models.
sources of variability. These sums of squares are constructed so that the statistic tends to be greater when the null hypothesis is not true. In order for the statistic to follow the F-distribution under the null hypothesis, the sums of squares should be statistically independent, and each should follow a scaled chi-squared distribution. The latter condition is guaranteed if the data values are independent and normally distributed with a common variance.
or
where
denotes the sample mean in the ith group, ni is the number of denotes the overall mean of the data,
and K denotes the number of groups. The "unexplained variance", or "within-group variability" is
where Yij is the jth observation in the ith out of K groups and N is the overall sample size. This F-statistic follows the F-distribution with K 1, N K degrees of freedom under the null hypothesis. The statistic will be large if the between-group variability is large relative to the within-group variability, which is unlikely to happen if the population means of the groups all have the same value. Note that when there are only two groups for the one-way ANOVA Ftest, F = t2 where t is the Student's t statistic.
where RSSi is the residual sum of squares of model i. If your regression model has been calculated with weights, then replace RSSi with 2, the weighted sum of squared residuals. Under the null hypothesis that model 2 does not provide a significantly better fit than model 1, F will have an F distribution, with (p2 p1, n p2) degrees of freedom. The null hypothesis is rejected if the F calculated from the data is greater than
the critical value of the F-distribution for some desired false-rejection probability (e.g. 0.05). The F-test is a Wald test.
4 8 12 The null hypothesis, denoted H0, for the overall F-test for this experiment would be that all three levels of the factor produce the same response, on average. To calculate the F-ratio: Step1: Calculate the mean within each group:
where a is the number of groups. Step3: Calculate the "between-group" sum of squares:
where n is the number of data values per group. The between-group degrees of freedom is one less than the number of groups so the between-group mean square value is Step4: Calculate the "within-group" sum of squares. Begin by centering the data in each group a1 65=1 85=3 a2 a3 8 9 = - 13 10 = 1 3 12 9 = 9 10 = 3 1 11 10 = 1
11 9 = 8 10 = 2 2
3 5 = - 6 9 = - 7 10 = 2 3 3 4 5 = - 8 9 = - 12 10 = 1 1 2 The within-group sum of squares is the sum of squares of all 18 values in this table The within-group degrees of freedom is
The critical value is the number that the test statistic must exceed to reject the test. In this case, Fcrit(2,15) = 3.68 at = 0.05. Since F = 9.3 > 3.68, the results are significant at the 5% significance level. One would reject the null hypothesis, concluding that there is strong evidence that the expected values in the three groups differ. The pvalue for this test is 0.002. After performing the F-test, it is common to carry out some "post-hoc" analysis of the group means. In this case, the first two group means differ by 4 units, the first and third group means differ by 5 units, and the second and third group means differ by only 1 unit. The standard error of each of these differences is . Thus the first group is strongly different from the other groups, as the mean
difference is more times the standard error, so we can be highly confident that the population mean of the first group differs from the population means of the other groups. However there is no evidence that the second and third groups have different population means from each other, as their mean difference of one unit is comparable to the standard error. Note F(x, y) denotes an F-distribution with x degrees of freedom in the numerator and y degrees of freedom in the denominator.
ANOVA's robustness with respect to Type I errors for departures from population normality[edit]|]edit source]
The one-way ANOVA can be generalized to the factorial and multivariate layouts, as well as to the analysis of covariance. None of these F-tests, however, are robust when there are severe violations of the assumption that each population follows the normal distribution, particularly for small alpha levels and unbalanced layouts.[5] Furthermore, if the underlying assumption of homoscedasticity is violated, the Type I error properties degenerate much more severely.[6] For nonparametric alternatives in the factorial layout, see Sawilowsky.[7] For more discussion see ANOVA on ranks.