Multivariate analysis of variance
In
Without relation to the image, the dependent variables may be k life satisfactions scores measured at sequential time points and p job satisfaction scores measured at sequential time points. In this case there are k+p dependent variables whose linear combination follows a multivariate normal distribution, multivariate variance-covariance matrix homogeneity, and linear relationship, no multicollinearity, and each without outliers.
Model
Assume -dimensional observations, where the ’th observation is assigned to the group and is distributed around the group center with multivariate Gaussian noise:
Relationship with ANOVA
MANOVA is a generalized form of univariate analysis of variance (ANOVA),[1] although, unlike univariate ANOVA, it uses the covariance between outcome variables in testing the statistical significance of the mean differences.
Where
Hypothesis Testing
First, define the following matrices:
- : where the -th row is equal to
- : where the -th row is the best prediction given the group membership . That is the mean over all observation in group : .
- : where the -th row is the best prediction given no information. That is the empirical mean over all observations
Then the matrix is a generalization of the sum of squares explained by the group, and is a generalization of the residual sum of squares.[3] [4] Note that alternatively one could also speak about covariances when the abovementioned matrices are scaled by 1/(n-1) since the subsequent test statistics do not change by multiplying and by the same non-zero constant.
The most common[3][5] statistics are summaries based on the roots (or eigenvalues) of the matrix
- Samuel Stanley Wilks' distributed aslambda(Λ)
- the trace, [6]
- the Lawley–Hotelling trace,
- Roy's greatest root (also called Roy's largest root),
Discussion continues over the merits of each,[1] although the greatest root leads only to a bound on significance which is not generally of practical interest. A further complication is that, except for the Roy's greatest root, the distribution of these statistics under the null hypothesis is not straightforward and can only be approximated except in a few low-dimensional cases. An algorithm for the distribution of the Roy's largest root under the null hypothesis was derived in [7] while the distribution under the alternative is studied in.[8]
The best-known approximation for Wilks' lambda was derived by C. R. Rao.
In the case of two groups, all the statistics are equivalent and the test reduces to
Introducing Covariates (MANCOVA)
One can also test if there is a group effect after adjusting for covariates. For this, follow the procedure above but substitute with the predictions of the general linear model, containing the group and the covariates, and substitute with the predictions of the general linear model containing only the covariates (and an intercept). Then are the additional sum of squares explained by adding the grouping information and is the residual sum of squares of the model containing the grouping and the covariates.[4]
Note that in case of unbalanced data, the order of adding the covariates matter.
Correlation of dependent variables
MANOVA's power is affected by the correlations of the dependent variables and by the effect sizes associated with those variables. For example, when there are two groups and two dependent variables, MANOVA's power is lowest when the correlation equals the ratio of the smaller to the larger standardized effect size.[9]
See also
- Permutational analysis of variance for a non-parametric alternative
- Discriminant function analysis
- Canonical correlation analysis
- Multivariate analysis of variance (Wikiversity)
- Repeated measures design
References
- ^ a b c Warne, R. T. (2014). "A primer on multivariate analysis of variance (MANOVA) for behavioral scientists". Practical Assessment, Research & Evaluation. 19 (17): 1–10.
- ^ Stevens, J. P. (2002). Applied multivariate statistics for the social sciences. Mahwah, NJ: Lawrence Erblaum.
- ^ a b Anderson, T. W. (1994). An Introduction to Multivariate Statistical Analysis. Wiley.
- ^ a b Krzanowski, W. J. (1988). Principles of Multivariate Analysis. A User's Perspective. Oxford University Press.
- ^ UCLA: Academic Technology Services, Statistical Consulting Group. "Stata Annotated Output – MANOVA". Retrieved 2024-02-10.
- ^ "MANOVA Basic Concepts – Real Statistics Using Excel". www.real-statistics.com. Retrieved 5 April 2018.
- S2CID 37620291
- ^ I.M. Johnstone, B. Nadler "Roy's largest root test under rank-one alternatives" arXiv preprint arXiv:1310.6581 (2013)
- S2CID 1532673.