Formal Proof of ANOVA's F Distribution?

In summary, the ratio of MS between and MS within in ANOVA follows an F distribution under the null hypothesis. This is because each MS term is normal and can be represented as a chi-squared random variable. Additionally, the model assumptions and null hypothesis guarantee that the different quadratic forms are independent, resulting in the ratio being a ratio of independent chi-squares over their degrees of freedom, which is defined as an F distribution.
  • #1
Boot20
10
0
Hello all,

Does anyone know where I could find a formal proof that

[tex]\frac{\text{MS between}}{\text{MS within}}[/tex]

has a F distribution under the null in ANOVA?
 
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  • #2
Wikipedia states that the ratio of two chi-square random variables is F. If each MS term is normal then their sum will be Chi-squared.
 
  • #3
In ANOVA each sum of squares can be pictured as a quadratic form, and under the null hypothesis the quadratic forms are either exactly chi-squared (if normality is assumed) or approximately chi-squared (under some general regularity conditions). The model assumptions and the null hypothesis ensure that the different quadratic forms are independent, so

(MS between)/(MS within)

is a ratio of independent chi-squares over their degrees of freedom which, by definition, gives an F distribution.
 

FAQ: Formal Proof of ANOVA's F Distribution?

What is ANOVA and how does it work?

ANOVA stands for Analysis of Variance and it is a statistical method used to compare the means of two or more groups. It works by comparing the variance within groups to the variance between groups to determine if there is a significant difference in means.

What is the F distribution and why is it important in ANOVA?

The F distribution is a probability distribution used to test the significance of the difference between two sample means. It is important in ANOVA because it helps determine if the observed differences between group means are due to chance or if they are statistically significant.

What are the assumptions of ANOVA?

The three main assumptions of ANOVA are: 1) the data is normally distributed, 2) the variances of the groups are equal, and 3) the observations are independent of each other. Violation of these assumptions can affect the validity of the ANOVA results.

How do you interpret the results of ANOVA?

The results of ANOVA are typically presented in the form of an F statistic and a p-value. The F statistic measures the ratio of between-group variance to within-group variance. The p-value indicates the probability of obtaining the observed results by chance. A small p-value (usually less than 0.05) suggests that there is a significant difference between the group means.

Can ANOVA be used for non-numerical data?

No, ANOVA is a parametric test and therefore requires numerical data. If the data is not normally distributed or the assumptions of ANOVA are violated, non-parametric tests such as the Kruskal-Wallis test can be used instead.

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