The equivalence of t.test and the hypothesis testing of one way ANOVA

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The equivalence of t.test and the hypothesis testing of one way ANOVA

by Peng Yu :: Rate this Message:

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I read somewhere that t.test is equivalent to a hypothesis testing for
one way ANOVA. But I'm wondering how they are equivalent. In the
following code, the p-value by t.test() is not the same from the value
in the last command. Could somebody let me know where I am wrong?

> set.seed(0)
> N1=10
> N2=10
> x=rnorm(N1)
> y=rnorm(N2)
> t.test(x,y)

        Welch Two Sample t-test

data:  x and y
t = 1.6491, df = 14.188, p-value = 0.1211
alternative hypothesis: true difference in means is not equal to 0
95 percent confidence interval:
 -0.2156863  1.6584968
sample estimates:
 mean of x  mean of y
 0.3589240 -0.3624813

>
> A = c(rep('x',N1),rep('y',N2))
> Y = c(x,y)
> fr = data.frame(Y=Y,A=as.factor(A))
> afit=aov(Y ~ A,fr)
>
> X=model.matrix(afit)
> B=afit$coefficients
> V=solve(t(X) %*% X)
>
> mse=tail(summary(afit)[[1]]$'Mean Sq',1)
> df=tail(summary(afit)[[1]]$'Df',1)
> t_statisitic=(B/(mse * sqrt(diag(V))))[[2]]
> 2*(1-pt(abs(t_statisitic),df))#the p-value from aov
[1] 0.1090802
>

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Re: The equivalence of t.test and the hypothesis testing of one way ANOVA

by Benilton Carvalho :: Rate this Message:

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compare

t.test(x, y, var.equal=T)

with

summary(afit)

b

On Nov 5, 2009, at 12:21 PM, Peng Yu wrote:

> I read somewhere that t.test is equivalent to a hypothesis testing for
> one way ANOVA. But I'm wondering how they are equivalent. In the
> following code, the p-value by t.test() is not the same from the value
> in the last command. Could somebody let me know where I am wrong?
>
>> set.seed(0)
>> N1=10
>> N2=10
>> x=rnorm(N1)
>> y=rnorm(N2)
>> t.test(x,y)
>
>        Welch Two Sample t-test
>
> data:  x and y
> t = 1.6491, df = 14.188, p-value = 0.1211
> alternative hypothesis: true difference in means is not equal to 0
> 95 percent confidence interval:
> -0.2156863  1.6584968
> sample estimates:
> mean of x  mean of y
> 0.3589240 -0.3624813
>
>>
>> A = c(rep('x',N1),rep('y',N2))
>> Y = c(x,y)
>> fr = data.frame(Y=Y,A=as.factor(A))
>> afit=aov(Y ~ A,fr)
>>
>> X=model.matrix(afit)
>> B=afit$coefficients
>> V=solve(t(X) %*% X)
>>
>> mse=tail(summary(afit)[[1]]$'Mean Sq',1)
>> df=tail(summary(afit)[[1]]$'Df',1)
>> t_statisitic=(B/(mse * sqrt(diag(V))))[[2]]
>> 2*(1-pt(abs(t_statisitic),df))#the p-value from aov
> [1] 0.1090802
>>
>
> ______________________________________________
> R-help@... mailing list
> https://stat.ethz.ch/mailman/listinfo/r-help
> PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
> and provide commented, minimal, self-contained, reproducible code.

______________________________________________
R-help@... mailing list
https://stat.ethz.ch/mailman/listinfo/r-help
PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
and provide commented, minimal, self-contained, reproducible code.

Re: The equivalence of t.test and the hypothesis testing of one way ANOVA

by Nutter, Benjamin :: Rate this Message:

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Notice also

> t.stat <- t.test(x,y, var.equal=TRUE)$statistic

> F.stat <- summary(afit)[[1]][1,4]

> t.stat^2 == F.stat
   t
TRUE


-----Original Message-----
From: r-help-bounces@... [mailto:r-help-bounces@...]
On Behalf Of Peng Yu
Sent: Thursday, November 05, 2009 9:21 AM
To: r-help@...
Subject: [R] The equivalence of t.test and the hypothesis testing of one
way ANOVA

I read somewhere that t.test is equivalent to a hypothesis testing for
one way ANOVA. But I'm wondering how they are equivalent. In the
following code, the p-value by t.test() is not the same from the value
in the last command. Could somebody let me know where I am wrong?

> set.seed(0)
> N1=10
> N2=10
> x=rnorm(N1)
> y=rnorm(N2)
> t.test(x,y)

        Welch Two Sample t-test

data:  x and y
t = 1.6491, df = 14.188, p-value = 0.1211 alternative hypothesis: true
difference in means is not equal to 0
95 percent confidence interval:
 -0.2156863  1.6584968
sample estimates:
 mean of x  mean of y
 0.3589240 -0.3624813

>
> A = c(rep('x',N1),rep('y',N2))
> Y = c(x,y)
> fr = data.frame(Y=Y,A=as.factor(A))
> afit=aov(Y ~ A,fr)
>
> X=model.matrix(afit)
> B=afit$coefficients
> V=solve(t(X) %*% X)
>
> mse=tail(summary(afit)[[1]]$'Mean Sq',1)
> df=tail(summary(afit)[[1]]$'Df',1)
> t_statisitic=(B/(mse * sqrt(diag(V))))[[2]]
> 2*(1-pt(abs(t_statisitic),df))#the p-value from aov
[1] 0.1090802
>

______________________________________________
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https://stat.ethz.ch/mailman/listinfo/r-help
PLEASE do read the posting guide
http://www.R-project.org/posting-guide.html
and provide commented, minimal, self-contained, reproducible code.


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______________________________________________
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and provide commented, minimal, self-contained, reproducible code.

Re: The equivalence of t.test and the hypothesis testing of one way ANOVA

by Peng Yu :: Rate this Message:

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Is it possible to use aov() to compute the same p-value that is
generated by t.test() with var.equal=F. An assumption of ANOVA is
equal variance, I'm wondering how to relax such assumption to allow
non equal variance?

On Thu, Nov 5, 2009 at 8:31 AM, Benilton Carvalho <bcarvalh@...> wrote:

> compare
>
> t.test(x, y, var.equal=T)
>
> with
>
> summary(afit)
>
> b
>
> On Nov 5, 2009, at 12:21 PM, Peng Yu wrote:
>
>> I read somewhere that t.test is equivalent to a hypothesis testing for
>> one way ANOVA. But I'm wondering how they are equivalent. In the
>> following code, the p-value by t.test() is not the same from the value
>> in the last command. Could somebody let me know where I am wrong?
>>
>>> set.seed(0)
>>> N1=10
>>> N2=10
>>> x=rnorm(N1)
>>> y=rnorm(N2)
>>> t.test(x,y)
>>
>>       Welch Two Sample t-test
>>
>> data:  x and y
>> t = 1.6491, df = 14.188, p-value = 0.1211
>> alternative hypothesis: true difference in means is not equal to 0
>> 95 percent confidence interval:
>> -0.2156863  1.6584968
>> sample estimates:
>> mean of x  mean of y
>> 0.3589240 -0.3624813
>>
>>>
>>> A = c(rep('x',N1),rep('y',N2))
>>> Y = c(x,y)
>>> fr = data.frame(Y=Y,A=as.factor(A))
>>> afit=aov(Y ~ A,fr)
>>>
>>> X=model.matrix(afit)
>>> B=afit$coefficients
>>> V=solve(t(X) %*% X)
>>>
>>> mse=tail(summary(afit)[[1]]$'Mean Sq',1)
>>> df=tail(summary(afit)[[1]]$'Df',1)
>>> t_statisitic=(B/(mse * sqrt(diag(V))))[[2]]
>>> 2*(1-pt(abs(t_statisitic),df))#the p-value from aov
>>
>> [1] 0.1090802
>>>
>>
>> ______________________________________________
>> R-help@... mailing list
>> https://stat.ethz.ch/mailman/listinfo/r-help
>> PLEASE do read the posting guide
>> http://www.R-project.org/posting-guide.html
>> and provide commented, minimal, self-contained, reproducible code.
>
>

______________________________________________
R-help@... mailing list
https://stat.ethz.ch/mailman/listinfo/r-help
PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
and provide commented, minimal, self-contained, reproducible code.

Re: The equivalence of t.test and the hypothesis testing of one way ANOVA

by JLucke :: Rate this Message:

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There extensions to aov for without assuming equal variances.

Reed, James F., I. & Stark, D. B. (1988), 'Robust alternatives to
traditional analyses of variance: Welch $W^*$, James $J_I^*$, James
$J_II^*$, and Brown-Forsythe $BF^*$', Computer Methods and Programs in
Biomedicine 26, 233--238.


I don't   know whether they are implemented in R.




Peng Yu <pengyu.ut@...>
Sent by: r-help-bounces@...
11/06/2009 07:59 AM

To
r-help@...
cc

Subject
Re: [R] The equivalence of t.test and the hypothesis testing of one way
ANOVA






Is it possible to use aov() to compute the same p-value that is
generated by t.test() with var.equal=F. An assumption of ANOVA is
equal variance, I'm wondering how to relax such assumption to allow
non equal variance?

On Thu, Nov 5, 2009 at 8:31 AM, Benilton Carvalho <bcarvalh@...>
wrote:

> compare
>
> t.test(x, y, var.equal=T)
>
> with
>
> summary(afit)
>
> b
>
> On Nov 5, 2009, at 12:21 PM, Peng Yu wrote:
>
>> I read somewhere that t.test is equivalent to a hypothesis testing for
>> one way ANOVA. But I'm wondering how they are equivalent. In the
>> following code, the p-value by t.test() is not the same from the value
>> in the last command. Could somebody let me know where I am wrong?
>>
>>> set.seed(0)
>>> N1=10
>>> N2=10
>>> x=rnorm(N1)
>>> y=rnorm(N2)
>>> t.test(x,y)
>>
>>       Welch Two Sample t-test
>>
>> data:  x and y
>> t = 1.6491, df = 14.188, p-value = 0.1211
>> alternative hypothesis: true difference in means is not equal to 0
>> 95 percent confidence interval:
>> -0.2156863  1.6584968
>> sample estimates:
>> mean of x  mean of y
>> 0.3589240 -0.3624813
>>
>>>
>>> A = c(rep('x',N1),rep('y',N2))
>>> Y = c(x,y)
>>> fr = data.frame(Y=Y,A=as.factor(A))
>>> afit=aov(Y ~ A,fr)
>>>
>>> X=model.matrix(afit)
>>> B=afit$coefficients
>>> V=solve(t(X) %*% X)
>>>
>>> mse=tail(summary(afit)[[1]]$'Mean Sq',1)
>>> df=tail(summary(afit)[[1]]$'Df',1)
>>> t_statisitic=(B/(mse * sqrt(diag(V))))[[2]]
>>> 2*(1-pt(abs(t_statisitic),df))#the p-value from aov
>>
>> [1] 0.1090802
>>>
>>
>> ______________________________________________
>> R-help@... mailing list
>> https://stat.ethz.ch/mailman/listinfo/r-help
>> PLEASE do read the posting guide
>> http://www.R-project.org/posting-guide.html
>> and provide commented, minimal, self-contained, reproducible code.
>
>

______________________________________________
R-help@... mailing list
https://stat.ethz.ch/mailman/listinfo/r-help
PLEASE do read the posting guide
http://www.R-project.org/posting-guide.html
and provide commented, minimal, self-contained, reproducible code.


        [[alternative HTML version deleted]]

______________________________________________
R-help@... mailing list
https://stat.ethz.ch/mailman/listinfo/r-help
PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
and provide commented, minimal, self-contained, reproducible code.

Re: The equivalence of t.test and the hypothesis testing of one way ANOVA

by Peng Yu :: Rate this Message:

Reply to Author | View Threaded | Show Only this Message

Has the materials in this paper been integrated to any book?

On Fri, Nov 6, 2009 at 8:48 AM, <JLucke@...> wrote:

>
> There extensions to aov for without assuming equal variances.
>
> Reed, James F., I. & Stark, D. B. (1988), 'Robust alternatives to traditional analyses of variance: Welch $W^*$, James $J_I^*$, James $J_II^*$, and Brown-Forsythe $BF^*$', Computer Methods and Programs in Biomedicine 26, 233--238.
>
>
> I don't   know whether they are implemented in R.
>
>
>
> Peng Yu <pengyu.ut@...>
> Sent by: r-help-bounces@...
>
> 11/06/2009 07:59 AM
>
> To
> r-help@...
> cc
> Subject
> Re: [R] The equivalence of t.test and the hypothesis testing of one        way ANOVA
>
>
>
>
> Is it possible to use aov() to compute the same p-value that is
> generated by t.test() with var.equal=F. An assumption of ANOVA is
> equal variance, I'm wondering how to relax such assumption to allow
> non equal variance?
>
> On Thu, Nov 5, 2009 at 8:31 AM, Benilton Carvalho <bcarvalh@...> wrote:
> > compare
> >
> > t.test(x, y, var.equal=T)
> >
> > with
> >
> > summary(afit)
> >
> > b
> >
> > On Nov 5, 2009, at 12:21 PM, Peng Yu wrote:
> >
> >> I read somewhere that t.test is equivalent to a hypothesis testing for
> >> one way ANOVA. But I'm wondering how they are equivalent. In the
> >> following code, the p-value by t.test() is not the same from the value
> >> in the last command. Could somebody let me know where I am wrong?
> >>
> >>> set.seed(0)
> >>> N1=10
> >>> N2=10
> >>> x=rnorm(N1)
> >>> y=rnorm(N2)
> >>> t.test(x,y)
> >>
> >>       Welch Two Sample t-test
> >>
> >> data:  x and y
> >> t = 1.6491, df = 14.188, p-value = 0.1211
> >> alternative hypothesis: true difference in means is not equal to 0
> >> 95 percent confidence interval:
> >> -0.2156863  1.6584968
> >> sample estimates:
> >> mean of x  mean of y
> >> 0.3589240 -0.3624813
> >>
> >>>
> >>> A = c(rep('x',N1),rep('y',N2))
> >>> Y = c(x,y)
> >>> fr = data.frame(Y=Y,A=as.factor(A))
> >>> afit=aov(Y ~ A,fr)
> >>>
> >>> X=model.matrix(afit)
> >>> B=afit$coefficients
> >>> V=solve(t(X) %*% X)
> >>>
> >>> mse=tail(summary(afit)[[1]]$'Mean Sq',1)
> >>> df=tail(summary(afit)[[1]]$'Df',1)
> >>> t_statisitic=(B/(mse * sqrt(diag(V))))[[2]]
> >>> 2*(1-pt(abs(t_statisitic),df))#the p-value from aov
> >>
> >> [1] 0.1090802
> >>>
> >>
> >> ______________________________________________
> >> R-help@... mailing list
> >> https://stat.ethz.ch/mailman/listinfo/r-help
> >> PLEASE do read the posting guide
> >> http://www.R-project.org/posting-guide.html
> >> and provide commented, minimal, self-contained, reproducible code.
> >
> >
>
> ______________________________________________
> R-help@... mailing list
> https://stat.ethz.ch/mailman/listinfo/r-help
> PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
> and provide commented, minimal, self-contained, reproducible code.
>

______________________________________________
R-help@... mailing list
https://stat.ethz.ch/mailman/listinfo/r-help
PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
and provide commented, minimal, self-contained, reproducible code.

Re: The equivalence of t.test and the hypothesis testing of one way ANOVA

by Peter Ehlers :: Rate this Message:

Reply to Author | View Threaded | Show Only this Message

There's oneway.test() which implements Welch's 1953 (?)
paper, I believe.

  -Peter Ehlers

JLucke@... wrote:

> There extensions to aov for without assuming equal variances.
>
> Reed, James F., I. & Stark, D. B. (1988), 'Robust alternatives to
> traditional analyses of variance: Welch $W^*$, James $J_I^*$, James
> $J_II^*$, and Brown-Forsythe $BF^*$', Computer Methods and Programs in
> Biomedicine 26, 233--238.
>
>
> I don't   know whether they are implemented in R.
>
>
>
>
> Peng Yu <pengyu.ut@...>
> Sent by: r-help-bounces@...
> 11/06/2009 07:59 AM
>
> To
> r-help@...
> cc
>
> Subject
> Re: [R] The equivalence of t.test and the hypothesis testing of one way
> ANOVA
>
>
>
>
>
>
> Is it possible to use aov() to compute the same p-value that is
> generated by t.test() with var.equal=F. An assumption of ANOVA is
> equal variance, I'm wondering how to relax such assumption to allow
> non equal variance?
>
> On Thu, Nov 5, 2009 at 8:31 AM, Benilton Carvalho <bcarvalh@...>
> wrote:
>> compare
>>
>> t.test(x, y, var.equal=T)
>>
>> with
>>
>> summary(afit)
>>
>> b
>>
>> On Nov 5, 2009, at 12:21 PM, Peng Yu wrote:
>>
>>> I read somewhere that t.test is equivalent to a hypothesis testing for
>>> one way ANOVA. But I'm wondering how they are equivalent. In the
>>> following code, the p-value by t.test() is not the same from the value
>>> in the last command. Could somebody let me know where I am wrong?
>>>
>>>> set.seed(0)
>>>> N1=10
>>>> N2=10
>>>> x=rnorm(N1)
>>>> y=rnorm(N2)
>>>> t.test(x,y)
>>>       Welch Two Sample t-test
>>>
>>> data:  x and y
>>> t = 1.6491, df = 14.188, p-value = 0.1211
>>> alternative hypothesis: true difference in means is not equal to 0
>>> 95 percent confidence interval:
>>> -0.2156863  1.6584968
>>> sample estimates:
>>> mean of x  mean of y
>>> 0.3589240 -0.3624813
>>>
>>>> A = c(rep('x',N1),rep('y',N2))
>>>> Y = c(x,y)
>>>> fr = data.frame(Y=Y,A=as.factor(A))
>>>> afit=aov(Y ~ A,fr)
>>>>
>>>> X=model.matrix(afit)
>>>> B=afit$coefficients
>>>> V=solve(t(X) %*% X)
>>>>
>>>> mse=tail(summary(afit)[[1]]$'Mean Sq',1)
>>>> df=tail(summary(afit)[[1]]$'Df',1)
>>>> t_statisitic=(B/(mse * sqrt(diag(V))))[[2]]
>>>> 2*(1-pt(abs(t_statisitic),df))#the p-value from aov
>>> [1] 0.1090802
>>> ______________________________________________
>>> R-help@... mailing list
>>> https://stat.ethz.ch/mailman/listinfo/r-help
>>> PLEASE do read the posting guide
>>> http://www.R-project.org/posting-guide.html
>>> and provide commented, minimal, self-contained, reproducible code.
>>
>
> ______________________________________________
> R-help@... mailing list
> https://stat.ethz.ch/mailman/listinfo/r-help
> PLEASE do read the posting guide
> http://www.R-project.org/posting-guide.html
> and provide commented, minimal, self-contained, reproducible code.
>
>
> [[alternative HTML version deleted]]
>
> ______________________________________________
> R-help@... mailing list
> https://stat.ethz.ch/mailman/listinfo/r-help
> PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
> and provide commented, minimal, self-contained, reproducible code.
>
>

______________________________________________
R-help@... mailing list
https://stat.ethz.ch/mailman/listinfo/r-help
PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
and provide commented, minimal, self-contained, reproducible code.

Parent Message unknown Re: The equivalence of t.test and the hypothesis testing of one way ANOVA

by Guido van Steen :: Rate this Message:

Reply to Author | View Threaded | Show Only this Message

Hi,

Student's T-test is a test that can be used to test ONE SINGLE linear restriction - which serves the as alternative hypothesis - on a linear model - which serves as the null hypothesis - AT THE SAME TIME.

Fisher's F test is an extension of the T test. The F test can be used to test ONE OR MORE linear restriction(s) on a linear model AT THE SAME TIME.

So, to test a single restriction on a linear model one can use both the F test and the T test. When multiple restrictions are tested at the same time one needs to apply the F test.

Both the F and the T test actually require equal variances. However, using a transformation matrix one can transform a model assuming unequal variances into an equivalent model assuming equal variances. On such a transformed model the F test or T test can be applied. The untransformed models are usually called general linear models. In R they can be handled using the glm() function. (See ?glm)

A (one-way) Anova model is a specific type of general linear model (glm). So hypotheses on an Anova model are tested in exactly the same way as any other restrictions on a glm should be tested.

Best wishes,

Guido

> ------------------------------
>
> Message: 11
> Date: Fri, 6 Nov 2009 09:48:18 -0500
> From: JLucke@...
> Subject: Re: [R] The equivalence of t.test and the
> hypothesis testing
>     of one    way ANOVA
> To: Peng Yu <pengyu.ut@...>
> Cc: r-help-bounces@...,
> r-help@...
> Message-ID:
>     <OFC71A4670.65D468B9-ON85257666.0050EE14-85257666.005175E1@...>
>    
> Content-Type: text/plain
>
> There extensions to aov for without assuming equal
> variances.
>
> Reed, James F., I. & Stark, D. B. (1988), 'Robust
> alternatives to
> traditional analyses of variance: Welch $W^*$, James
> $J_I^*$, James
> $J_II^*$, and Brown-Forsythe $BF^*$', Computer Methods and
> Programs in
> Biomedicine 26, 233--238.
>
>
> I don't   know whether they are implemented
> in R.
>
>
>
>
> Peng Yu <pengyu.ut@...>
>
> Sent by: r-help-bounces@...
> 11/06/2009 07:59 AM
>
> To
> r-help@...
> cc
>
> Subject
> Re: [R] The equivalence of t.test and the hypothesis
> testing of one way
> ANOVA
>
>
>
>
>
>
> Is it possible to use aov() to compute the same p-value
> that is
> generated by t.test() with var.equal=F. An assumption of
> ANOVA is
> equal variance, I'm wondering how to relax such assumption
> to allow
> non equal variance?
>
> On Thu, Nov 5, 2009 at 8:31 AM, Benilton Carvalho <bcarvalh@...>
>
> wrote:
> > compare
> >
> > t.test(x, y, var.equal=T)
> >
> > with
> >
> > summary(afit)
> >
> > b
> >
> > On Nov 5, 2009, at 12:21 PM, Peng Yu wrote:
> >
> >> I read somewhere that t.test is equivalent to a
> hypothesis testing for
> >> one way ANOVA. But I'm wondering how they are
> equivalent. In the
> >> following code, the p-value by t.test() is not the
> same from the value
> >> in the last command. Could somebody let me know
> where I am wrong?
> >>
> >>> set.seed(0)
> >>> N1=10
> >>> N2=10
> >>> x=rnorm(N1)
> >>> y=rnorm(N2)
> >>> t.test(x,y)
> >>
> >>       Welch Two Sample
> t-test
> >>
> >> data:  x and y
> >> t = 1.6491, df = 14.188, p-value = 0.1211
> >> alternative hypothesis: true difference in means
> is not equal to 0
> >> 95 percent confidence interval:
> >> -0.2156863  1.6584968
> >> sample estimates:
> >> mean of x  mean of y
> >> 0.3589240 -0.3624813
> >>
> >>>
> >>> A = c(rep('x',N1),rep('y',N2))
> >>> Y = c(x,y)
> >>> fr = data.frame(Y=Y,A=as.factor(A))
> >>> afit=aov(Y ~ A,fr)
> >>>
> >>> X=model.matrix(afit)
> >>> B=afit$coefficients
> >>> V=solve(t(X) %*% X)
> >>>
> >>> mse=tail(summary(afit)[[1]]$'Mean Sq',1)
> >>> df=tail(summary(afit)[[1]]$'Df',1)
> >>> t_statisitic=(B/(mse * sqrt(diag(V))))[[2]]
> >>> 2*(1-pt(abs(t_statisitic),df))#the p-value
> from aov
> >>
> >> [1] 0.1090802
> >>>
> >>
> >> ______________________________________________
> >> R-help@...
> mailing list
> >> https://stat.ethz.ch/mailman/listinfo/r-help
> >> PLEASE do read the posting guide
> >> http://www.R-project.org/posting-guide.html
> >> and provide commented, minimal, self-contained,
> reproducible code.
> >
> >
>
> ______________________________________________
> R-help@...
> mailing list
> https://stat.ethz.ch/mailman/listinfo/r-help
> PLEASE do read the posting guide
> http://www.R-project.org/posting-guide.html
> and provide commented, minimal, self-contained,
> reproducible code.
>
>
>     [[alternative HTML version deleted]]
>
>
>



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Re: The equivalence of t.test and the hypothesis testing of one way ANOVA

by JLucke :: Rate this Message:

Reply to Author | View Threaded | Show Only this Message

Guido wrote
"However, using a transformation matrix one can transform a model assuming
unequal variances into an equivalent model assuming equal variances. On
such a transformed model the F test or T test can be applied."

This is indeed news to me.  I thought such transformations for unequal
variances applied only to cases where the variances were known.  Unknown,
unequal variances leads to the Behrens-Fisher problem and its
generalizations, a problem not resolved by mere linear transformation.
Correct me and point me to the literature if I've misunderstood.

Joe




Guido van Steen <gvsteen@...>
11/07/2009 09:28 AM

To
r-help@...
cc
JLucke@..., Peng Yu <pengyu.ut@...>
Subject
Re: [R] The equivalence of t.test and the hypothesis testing of one way
ANOVA






Hi,

Student's T-test is a test that can be used to test ONE SINGLE linear
restriction - which serves the as alternative hypothesis - on a linear
model - which serves as the null hypothesis - AT THE SAME TIME.

Fisher's F test is an extension of the T test. The F test can be used to
test ONE OR MORE linear restriction(s) on a linear model AT THE SAME TIME.


So, to test a single restriction on a linear model one can use both the F
test and the T test. When multiple restrictions are tested at the same
time one needs to apply the F test.

Both the F and the T test actually require equal variances. However, using
a transformation matrix one can transform a model assuming unequal
variances into an equivalent model assuming equal variances. On such a
transformed model the F test or T test can be applied. The untransformed
models are usually called general linear models. In R they can be handled
using the glm() function. (See ?glm)

A (one-way) Anova model is a specific type of general linear model (glm).
So hypotheses on an Anova model are tested in exactly the same way as any
other restrictions on a glm should be tested.

Best wishes,

Guido

> ------------------------------
>
> Message: 11
> Date: Fri, 6 Nov 2009 09:48:18 -0500
> From: JLucke@...
> Subject: Re: [R] The equivalence of t.test and the
> hypothesis testing
>     of one    way ANOVA
> To: Peng Yu <pengyu.ut@...>
> Cc: r-help-bounces@...,
> r-help@...
> Message-ID:
>    
<OFC71A4670.65D468B9-ON85257666.0050EE14-85257666.005175E1@...>

>    
> Content-Type: text/plain
>
> There extensions to aov for without assuming equal
> variances.
>
> Reed, James F., I. & Stark, D. B. (1988), 'Robust
> alternatives to
> traditional analyses of variance: Welch $W^*$, James
> $J_I^*$, James
> $J_II^*$, and Brown-Forsythe $BF^*$', Computer Methods and
> Programs in
> Biomedicine 26, 233--238.
>
>
> I don't   know whether they are implemented
> in R.
>
>
>
>
> Peng Yu <pengyu.ut@...>
>
> Sent by: r-help-bounces@...
> 11/06/2009 07:59 AM
>
> To
> r-help@...
> cc
>
> Subject
> Re: [R] The equivalence of t.test and the hypothesis
> testing of one way
> ANOVA
>
>
>
>
>
>
> Is it possible to use aov() to compute the same p-value
> that is
> generated by t.test() with var.equal=F. An assumption of
> ANOVA is
> equal variance, I'm wondering how to relax such assumption
> to allow
> non equal variance?
>
> On Thu, Nov 5, 2009 at 8:31 AM, Benilton Carvalho <bcarvalh@...>
>
> wrote:
> > compare
> >
> > t.test(x, y, var.equal=T)
> >
> > with
> >
> > summary(afit)
> >
> > b
> >
> > On Nov 5, 2009, at 12:21 PM, Peng Yu wrote:
> >
> >> I read somewhere that t.test is equivalent to a
> hypothesis testing for
> >> one way ANOVA. But I'm wondering how they are
> equivalent. In the
> >> following code, the p-value by t.test() is not the
> same from the value
> >> in the last command. Could somebody let me know
> where I am wrong?
> >>
> >>> set.seed(0)
> >>> N1=10
> >>> N2=10
> >>> x=rnorm(N1)
> >>> y=rnorm(N2)
> >>> t.test(x,y)
> >>
> >>       Welch Two Sample
> t-test
> >>
> >> data:  x and y
> >> t = 1.6491, df = 14.188, p-value = 0.1211
> >> alternative hypothesis: true difference in means
> is not equal to 0
> >> 95 percent confidence interval:
> >> -0.2156863  1.6584968
> >> sample estimates:
> >> mean of x  mean of y
> >> 0.3589240 -0.3624813
> >>
> >>>
> >>> A = c(rep('x',N1),rep('y',N2))
> >>> Y = c(x,y)
> >>> fr = data.frame(Y=Y,A=as.factor(A))
> >>> afit=aov(Y ~ A,fr)
> >>>
> >>> X=model.matrix(afit)
> >>> B=afit$coefficients
> >>> V=solve(t(X) %*% X)
> >>>
> >>> mse=tail(summary(afit)[[1]]$'Mean Sq',1)
> >>> df=tail(summary(afit)[[1]]$'Df',1)
> >>> t_statisitic=(B/(mse * sqrt(diag(V))))[[2]]
> >>> 2*(1-pt(abs(t_statisitic),df))#the p-value
> from aov
> >>
> >> [1] 0.1090802
> >>>
> >>
> >> ______________________________________________
> >> R-help@...
> mailing list
> >> https://stat.ethz.ch/mailman/listinfo/r-help
> >> PLEASE do read the posting guide
> >> http://www.R-project.org/posting-guide.html
> >> and provide commented, minimal, self-contained,
> reproducible code.
> >
> >
>
> ______________________________________________
> R-help@...
> mailing list
> https://stat.ethz.ch/mailman/listinfo/r-help
> PLEASE do read the posting guide
> http://www.R-project.org/posting-guide.html
> and provide commented, minimal, self-contained,
> reproducible code.
>
>
>     [[alternative HTML version deleted]]
>
>
>



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Parent Message unknown Re: The equivalence of t.test and the hypothesis testing of one way ANOVA

by Guido van Steen :: Rate this Message:

Reply to Author | View Threaded | Show Only this Message

Hi Joe,

You are right about the Behrens-Fisher problem. I was merely referring to situations where the distribution of error terms is - assumed to be - known, and not necessarily equal for all observations.

Thanks for pointing this out.

Best wishes,

Guido

--- On Mon, 9/11/09, JLucke@... <JLucke@...> wrote:

> From: JLucke@... <JLucke@...>
> Subject: Re: [R] The equivalence of t.test and the hypothesis testing of one way ANOVA
> To: "Guido van Steen" <gvsteen@...>
> Cc: "Peng Yu" <pengyu.ut@...>, r-help@...
> Date: Monday, 9 November, 2009, 8:44 PM
>
>
> Guido wrote
>
> "However, using a transformation
> matrix one can
> transform a model assuming unequal variances into an
> equivalent model assuming
> equal variances. On such a transformed model the F test or
> T test can be
> applied."
>
>
>
> This is indeed news to me.  I
> thought such transformations
> for unequal variances applied only to cases where the
> variances were known.
>  Unknown, unequal variances leads to the
> Behrens-Fisher problem and
> its generalizations, a problem not resolved by mere linear
> transformation.
>  Correct me and point me to the literature if I've
> misunderstood.
>
>
>
> Joe
>


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