Stats Lec9

_
2
andF Distributions
Lecture 9 Lecture9
Barrow, Statistics for Economics, Accounting and Business Studies, 4
th
edition Pearson Education Limited 2006
_
2
Distribution
The_
2
distributionisusedto:
constructconfidenceintervalsforavariance
compare a set of actual frequencies with expected compareasetofactual frequencieswithexpected
frequencies
test for association between variables in a contingency testforassociationbetweenvariablesinacontingency
table
It is asymmetric and depends on the degrees of Itisasymmetricanddependsonthedegreesof
freedom
th
F Distribution
TheF distributionisusedto
testthehypothesisofequalityoftwovariances
d l i f i ( ) i conductananalysisofvariance (ANOVA),comparingmeans
acrossseveralsamples
It is as mmetric and depends on the degrees of freedom Itisasymmetricanddependsonthedegreesoffreedom
th
Tailsofthe_
2
19
Distribution
2.5%
2.5%
0 10 20 30 40 50
8.91
32.85
th
l l f h h d CriticalValuesoftheChisquared
Distribution
NBchisquaredisnotsymmetricsotablewillgivedifferentvaluesfor
the lower and upper tails theloweranduppertails
ExcerptfromTableA4:
v
0.990 0.975 0.050 0.025 0.010
1 0.000 0.001 3.841 5.024 6.635
2 0.020 0.051 5.991 7.378 9.210
3 0.115 0.216 7.815 9.348 11.345
: : : : : :
18 7 015 8 231 28 869 31 526 34 805 18 7.015 8.231 28.869 31.526 34.805
19 7.633 8.907 30.144 32.852 36.191
20 8.260 9.591 31.410 34.170 37.566
th
Case1:EstimatingaVariance
Arandomsampleofsizen =20yieldsastandarddeviationofs
25 How do we estimate the population variance? =25.Howdoweestimatethepopulationvariance?
Pointestimate:uses
2
=25
2
=625whichisunbiased(E(s
2
)=o
2
)
Intervalestimate:weneedthesamplingdistributionofs
2
...
th
TheSamplingDistributionofs
2
( )
2
1
2
2
~
1
n
s n
_
oo
n-1 gives the degrees of freedom for the _
2
distribution,
19 in this example 19 in this example.
_
2
th
_
2
LimitstotheConfidenceInterval
h d h
2
l ff h Forthe95%CI,weneedthe_
2
valuescuttingoff2.5%ineach
tailofthedistribution
ExcerptfromTableA4:
v
0.990 0.975 0.050 0.025 0.010
v
1 0.000 0.001 3.841 5.024 6.635
2 0.020 0.051 5.991 7.378 9.210
3 0 115 0 216 7 815 9 348 11 345 3 0.115 0.216 7.815 9.348 11.345
: : : : : :
18 7.015 8.231 28.869 31.526 34.805
19 7 633 8 907 30 144 32 852 36 191 19 7.633 8.907 30.144 32.852 36.191
20 8.260 9.591 31.410 34.170 37.566
th
Tailsofthe_
2
19
Distribution(cont.)
Wecanbe95%confidentthat(n1)s
2
/o
2
liesbetween8.91and32.85
(f 20) (forn =20)
Rearranging:
( )
85 . 32
1
91 . 8
2
2
s
s
o
s n
Rearranging:
( ) ( )
91 8
1
85 32
1
2
2
2
s n s n
s s
o
Substitutings
2
=625andn =20:
91 . 8 85 . 32
gives the 95% CI estimate
8 . 332 , 1 5 . 361
2
s so
th
givesthe95%CIestimate
Case2:ComparingActualvs
Expected Frequencies ExpectedFrequencies
ll f d ld 72rollsofadiceyield:
Score on dice 1 2 3 4 5 6
From a fair dice one would expect each number to come up 12
Frequency 6 15 15 7 15 14
Fromafairdiceonewouldexpecteachnumbertocomeup12
times.
Is this evidence of a biased dice? Isthisevidenceofabiaseddice?
th
TestStatistic
H h di i f i H
0
:thediceisfair
H
1
:thediceisbiased
Thiscanbetestedusing
( )
E O
2
2
which has a _
2
distribution with k1 degrees of freedom k = 6
( )
=
E
2
_
whichhasa_ distributionwithk1degreesoffreedom,k =6
inthiscasebecausewehave6outcomes.
th
CalculatingtheTestStatistic
Score Observed Expected O E (O E)
2
(O E)
2

frequency (O) frequency (E) E
1 6 12 6 36 3.00
2 15 12 3 9 0.75
3 15 12 3 9 0.75
4 7 12 5 25 2 08 4 7 12 5 25 2.08
5 15 12 3 9 0.75
6 14 12 2 4 0 33 6 14 12 2 4 0.33
Totals 72 72 0 7.66
th
CalculatingtheTestStatistic(cont.)
Theteststatistic,7.66,islessthanthecriticalvalueof_
2
withv
=5,11.1
Hence the null is not rejected, the difference between Hencethenullisnotrejected,thedifferencebetween
observedandexpectedoutcomesisrandom
Note the critical value cuts off 5% (not 2 5%) in the upper tail of Notethecriticalvaluecutsoff5%(not2.5%)intheuppertailof
thedistribution.OnlylargevaluesoftheteststatisticrejectH
0
th
Case3:ContingencyTables
Theassociationbetweentwovariablescanalsobeanalysedvia
the_
2
distribution
Votingbehaviourbasedonasampleof200:
So c i al c l as s L ab o u r Co n s er v at i v e L i b er al
Dem o c r at
To t al
A 10 15 15 40 A 10 15 15 40
B 40 35 25 100
C 30 20 10 60
Total 80 70 50 200
th
AreSocialClassandVoting
Behaviour Related? BehaviourRelated?
H
0
:noassociationbetweensocialclassandvotingbehaviour
H
1
:someassociation
Expectedvalues arecalculated,basedonthenullofno
association
E.g.ifthereisnoassociation:
40%(80/200)ofeverysocialclassshouldvoteLabour,i.e.16from
classA,40fromBand24fromC
th
Observed(andExpected)Values
Social class Labour Conservati ve Liberal Democrat Total
A 10(16) 15(14) 15(10) 40
B 40(40) 35(35) 25(25) 100 B 40(40) 35(35) 25(25) 100
C 30(24) 20(21) 10(15) 60
Total 80 70 50 200
th
CalculatingtheTestStatistic
( ) ( ) ( )
10
10 15
14
14 15
16
16 10
2 2 2
+
( ) ( ) ( )
25
25 25
35
35 35
40
40 40
10 14 16
2 2 2
+
( ) ( ) ( )
04 . 8
15
15 10
21
21 20
24
24 30
25 35 40
2 2 2
=
Forv =(rows1) (columns1)=4,thecriticalvalueofthe_

2
15 21 24
distributionis9.50,sothenullofnoassociationisnotrejected
atthe5%significancelevel.
th
Testing Two Variances the F TestingTwoVariances theF
Distribution
Dotwosampleshaveequalvariances (i.e.comefrom p q (
populationswiththesamevariance)?
Data: Data:
n
1
=30 s
1
=25
n
2
=30 s
2
=20
2 2
th
h TestingTwoVariances theF
Distribution (cont ) Distribution(cont.)
2 2
H
0
:o
1
2
=o
2
2
H
1
:o
1
2
=o
2
2
or,equivalently
H
0
:o
1
2
/o
2
2
=1
H : o
2
/o
2
=1 H
1
:o
1
2
/o
2
2
=1
th
TheTestStatistic
h Theteststatisticis
s
F
1
2
1 1
~
Evaluatingthis:
s
F
n n
2
2
1 1
1 2
,
25
2
5625 . 1
20
25
2
2
= = F
F*
29,29
=2.09>1.5625,sothenullisnotrejected.Thevariances
maybeconsideredequal
th
E t F T bl A5(b) ExcerptFromTableA5(b):
the F Distribution theF Distribution
v
1
1 2 24 30 40
1
v
2
1 647.79 799.48 997.27 1001.40 1005.60
2 38 51 39 00 39 46 39 46 39 47 2 38.51 39.00 39.46 39.46 39.47
: : : : : :
28 5.61 4.22 2.17 2.11 2.05
29 5.59 4.20 2.15 2.09 2.03
30 5.57 4.18 2.14 2.07 2.01
(Using v
1
= 30 (rather than 29) makes little practical
difference.)
th
OneorTwoTailedTest?
Aslongasthelargervarianceismadethenumeratorofthetest
statistic only large values of F reject the null statistic,only large valuesofF rejectthenull.
ThesmallestpossiblevalueofF is1,whichoccursifthesample
i l H h ld t b j t d i thi variancesareequal.H
0
shouldnotberejectedinthiscase.
So,despitethe=inH
1
,thisisaonetailedtest.
th
Case5:AnalysisofVariance(ANOVA)
Atestfortheequalityofseveralmeans,notjusttwo
b f asbefore
Inourexamplewetestfortheequalityofoutputof
threefactories,i.e.aretheyequallyproductive,on
average,ornot?
th
Example:DailyOutputofThreeFactories
Observation Factory 1 Factory 2 Factory 3
1 415 385 408
2 430 410 415
3 395 409 418 3 395 409 418
4 399 403 440
5 408 405 425
6 418 400
7 399
th
ChartofOutput
Factory 1
Factory 2
Factory 3
380 390 400 410 420 430 440 450
th
HypothesisTest
H
0
:
1
=
2
=
3
H
1
:
1
=
2
=
3 1

1

2

3
Principleofthetest:breakdownthetotalvarianceofall
b ti i t th ithi f t i d th b t observationsintothewithinfactory varianceandthebetween
factory variance
Ifthebetweenvariancecomponentislargerelativetothe
withinvariancecomponent,rejectH
00
th
SumsofSquares
R h h i k i h f Ratherthanvariances,workwithsumsofsquares
( )
2
2

x x
Sum of squares
( )
1
2
n
s
Variance
th
ThreeSumsofSquares
Total sumofsquares(TSS)
Sumofsquaresofalldeviationsfromtheoverallaverage
Between sumofsquares(BSS)
Sumofsquaresofdeviationsoffactorymeansfromoverall
average
Within sumofsquares(WSS)
Sumofsquaresofdeviationswithineachfactory,from
factoryaverage
th
TestStatistic
( )
( ) k n WSS
k BSS
F
=
1
TheF statisticistheratioofBSStoWSS,eachadjustedbytheir
( ) k n WSS
The F statistic is the ratio of SS to WSS, each adjusted by their
degreesoffreedom(k1andnk)
Large values of F BSS large relative to WSS between LargevaluesofF BSSlargerelativetoWSS between
factoriesdeviationslarge rejectH
0
th
Calculations
TSS=
( )
2

ij
x x
(j indexesfactories,iindexesobservations)
( )
j i
j
=(415 410.11)
2
+(430 410.11)
2
++(440 410.11)
2
+(425 410.11)
2
=2,977.778
410.11istheoverall,orgrand,average
th
Calculations(cont.)
2
BSS=
( )
2

j i
i
x x
whereistheaverageoutputoffactoryi
=6 (410.83 410.11)
2
+7 (401.57 410.11)
2
+5 (421.2
410 11)
2
1 128 43
i
x
410.11)
2
=1,128.43
410.83,401.57,421.11arethethreeaverages,respectively.
th
Calculations(cont.)
WSS=TSS BSS=2,977.778 1,128.430
1 849 348 =1,849.348
Alt ti l WSS
( )
x x
2
Alternatively,WSS=
( )

j i
i ij
x x
=(415 410 83)
2
+ +(418 410 83)
2
+(385 = (415-410.83)
2
+ + (418-410.83)
2
+ (385-
401.57)
2
+ + (399-401.57)
2
+ (408-421.2)
2
+
+(425-421 2)
2
+ (425 421.2)
= 1,849.348
th
ResultoftheTest
( ) ( )
576 4
1 3 43 . 1128 1 k BSS
F
( )
( )
( )
( )
576 . 4
3 18 348 . 1849
=
=
k n WSS
F
F*
2,15
=3.682(5%significancelevel)
F >F*hencewerejectH
0
.Therearesignificantdifferences
betweenthefactories.
EasiesttodoinEXCEL.....
th
ANOVATable(ExcelFormat)
SUMMARY
Groups Count Sum Average Variance
Factory 1 6 2465 410.833 166.967
Factory 2 7 2811 401.571 70.6191
Factory 3 5 2106 421 2 147 7 Factory 3 5 2106 421.2 147.7

ANOVA ANOVA
Source of
Variation SS df MS F P-value F crit
Between Groups 1128.430 2 564.215 4.576 0.028 3.68
Within Groups 1849.348 15 123.290
th
Total 2977.778 17

Summary
Usethe_
2
distributionto
C l l t th CI f i CalculatetheCIforavariance
Compareactualandexpectedvalues
Analyseacontingencytable
Use the F distribution to UsetheF distributionto
Testfortheequalityoftwovariances
T t f th lit f l Testfortheequalityofseveralmeans
th

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