Exact and Approximate tests of a conditionally specified test

procedure in four-stage unbalanced design

Anita Mehta and M. S. Dulawat
Department of Mathematics & Statisics, Mohanlal Sukhadia University,
Udaipur-313001(INDIA)
E-mail:anita19dsm@rediffmail.com & dulawat_ms@rediffmail.com
Abstract
Bozivich, Bancroft and Hartley (1956) and Brar W. S. (1990) derived
exact and approximate tests for three-stage unbalanced designs and also
developed theoretically and empirically the power function of conditionally
specified test procedures. In this paper exact and approximate test for balance at
the third and the fourth-stage has been derived for four-stage unbalanced designs.
Keyword: Exact test, approximate test, MSS (mean sum of squares), Chi-square
test and distribution of F-test.
Introduction
We consider the linear model for an observation ijkl
Y
in four-stage unbalanced
nested design as
ijkl ijk ij i ijkl
e + c + b + a + = Y
(1)
All terms of the model except

are assumed to be independent and normally

distributed random variables with zero means and variances
2
a

,
2
b

,
2
c

and
2
e

respectively.
Table1. Analysis of variance table for four-stage unbalanced nested designs
Source of
Variation
Degrees of freedom
Mean
squares
E(MSS)
Between A
classes
1 - a
4

4 4
M Y Q Y
2
a 5
2
b 4
2
c 3
2
e
+ + +
Between B
classes within
A classes
a - b
a
i
i 3


3 3
M Y Q Y
2
b 2
2
c 1
2
e
+ +
Between C
classes within


a
i
i
a
i
b
j
ij 2
b c
i
2 2
M Y Q Y
2
c 0
2
e
+
B classes
Within C
classes


a
i
b
j
ij 1
i
c N
1 1
M Y Q Y
2
e

As ijkl
Y
is the sum of general mean

and independent normal variable

ijkl
e and
ijk ij i
c , b , a
, the vector Y is distributed as
) , , ( M J N
, where
J
denotes an all in one column vector. The variance-covariance matrix M can be
expressed as

+ + +
i ij ijk
n
2
a n
2
b n
2
c
2
e
J J J I M
(2)
for testing the hypothesis
0 : H
2
a 0

against the alternative hypothesis
0 : H
2
a 1
> , an exact test is possible when there is a balance at the third and the
fourth-stage.
Approximate Tests:
(i)Approximate F- tests with positive coefficients:
If M is a linear combination of independent mean square with
expectation equal to ( )
2
b 4
2
c 3
2
e
+ + i.e.
H ) E(M
0 4
, then test statistic for
testing
0
H
will be
M
M
F
4
1

(3)
where
+ M
2
b 4
2
c 3
2
e 4
+
under
0 : H
2
a 0

and

+
2
b 4
2
c 3
2
e
+ M
To obtain estimates of the variance components is accomplished by equating
expected and observed mean squares in the ANOVA Table 1 as follows:
1
2
e
M

( )
0
1 2
^
2
c
M - M

and
( )
2
1 2
0
1
1 3
^
2
b
M M M M

1
]
1

( ) ( ) [ ]
1 3 1 3 2 2 3 1 2 3 3
M C C C - C - 1 M C C - C M C M + + +
(4)
on putting
1
0
1
C

, 2
0
3
C

,
3
2
4
C

where
( ) ( ) 1 C 0, C C - C 1, C C C - C - 1
3 3 1 2 3 1 3 2
< > < +
.
Distribution of
1
F
: For positive coefficients
M
M
F
4
1


1
M
is distributed as
1
2
2
1
1

and
2
M
and
3
M
are distributed as
2
2
2
2
d

and
3
2
3
3
d

, respectively (Box 1954). Then M is distributed as

( ) ( )
1
2
2
1 3 1 3 2
2
2
2 3 1 2
3
2
3 3
1 2 3
C C C C 1 d C C C d C

(5)
By Satterthwaites approximation. M has approximately a chi-square type
distribution i.e.
M
is approximately distributed as
2
h 1
1
g

from (5) we have
( )
1 1
2
h 1
h g g E ) M ( E
1

=
2
M

(say) and
( )
1
2
1
2
h 1
h g 2 = g Var ) M V(
1

.
Where
( ) ( )
( ) ( )
1
]
1

+ + +
1
1
]
1

+ +

2
1 3 1 3 2
2
2 3 1 2
2
3 3
1
4
1 2
3 1 3 2
2
4
2 2
3 1 2
3
4
3
2
3
1
C C C C 1 C C C C
C C C C 1 C C C C
g

and
( ) ( )
( ) ( )
1
1
]
1

+ +

1
]
1

+ + +

1
4
1 2
3 1 3 2
2
4
2 2
3 1 2
3
4
3
2
3
2
2
1 3 1 3 2
2
2 3 1 2
2
3 3
1
C C C C 1 C C C C
C C C C 1 C C C C
h

Where
( )
2
2
2 2 2
2
M E
d

and
( )
3
3
3 2 2
3
M E
d

and the M.S.S.
4
M
is
approximately distributed as
4
2
4
4
d

Therefore,
1
F
is approximately distributed
as
( )
1 4
2
2
4
1
, . ~ h F F
M

where
( )
4
4
4 4 2
4
M E
d

and
( ) ( ) 0 C 0, C C - C 0, C C C - C - 1
3 3 1 2 3 1 3 2
> > > +
Hence under the null hypothesis H
0
, the statistic F
1
is approximately distributed as
central F with degrees of freedom
( )
1 4
h ,
.
(ii)Approximate F-tests with mixed coefficients :
According to Gaylor and Hooper (1969) the linear combination of mean
squares MS (say) is grouped in two parts i.e.
2 1
MS - MS MS
, where
1
MS
is a
linear combination of mean squares with positive coefficients having
1
m
degrees
of freedom and
2
MS
, the linear combination of mean squares with negative
coefficients having
2
m
degrees of freedom. The simulation studies made by them
suggests that
) MS ( E
MS
f
0

is approximately distributed as
2
f
0

provided
) 50 . 0 ( F ) 975 . 0 ( F
MS
MS
2 1 1 2
m , m m , m
2
1

for
2 1 1
m 2 m and 100 m
where

,
_

2 1
2
2
0
m
1
m
) 1 (
f
and
1
MS
MS
2
1

Under this condition, Satterthwaites procedure can be used on functions

of mean squares that involve differences as well as sums (Searle 1971). Thus, the
following test statistics are constructed using negative coefficients.
In the statistic
1
F
, the coefficients
( ) C - C - C C 1
3 2 3 1
+
and
( )
3 1 2
C C - C

both are negative then
( ) ( ) [ ]

M 1 - C C - C + C - M C - C C - M C
M
= F
1 3 1 3 2 2 2 3 1 3 3
4
1

(6)
where
( ) ( )
3 1 3 2 2 3 1
C C 1 C C and C C C +
are absolute values of the
coefficients
( ) ( )
3 1 3 2 3 1 2
C C C C 1 and C C C +
.If one of these coefficients is
negative then our statistic will be in following forms :
( ) ( ) [ ]

M C - C - C C + 1 + M C - C C - M C
M
= F
1 3 2 3 1 2 2 3 1 3 3
4
1

(7)
( ) ( ) [ ]

M C C - 1 - C C - M C C - C M C
M
= F
1 3 1 3 2 2 3 1 2 3 3
4
1
+ +

(8)
For
1
F
,
2
MS
i.e.
( ) ( )
1 3 1 3 2 2 2 3 1
M C C 1 C C M C C C + +
is approximately
distributed (by Satterthwaites approximation) as
2
h 1
1
g


taking expectation and
variance of
2
MS
and solving, we obtain
( ) ( )
( ) ( )
1
]
1

+ +
1
1
]
1

+ +

2
1 3 1 3 2
2
2 2 3 1
1
4
1 2
3 1 3 2
2
4
2 2
2 3 1
1
1 C C C C C C C
1 C C C C C C C
g
and
( ) ( )
( ) ( )
1
1
]
1

+ +

1
]
1

+ +

1
4
1 2
3 1 3 2
2
4
2 2
2 3 1
2
2
1 3 1 3 2
2
2 2 3 1
1
1 C C C C C C C
1 C C C C C C C
h
Where
( )
2
2
2 2 2
2
M E
d

under
0
H
.Therefore
2
MS
is approximately
distributed as
1
2
h
1 1
h
h g
1

. For
1
F
to be valid, the following condition must be
satisfied:
( ) ( ) [ ]
) 50 . 0 ( F ) 975 . 0 ( F
M C C - 1 - C C M C - C C
M C
1 3 3 1
h , , h
1 3 1 3 2 2 2 3 1
3 3


+ +
(9)
For
1 3 3
h 2 and 100
.
Consider the statistic F
1

given by (7) where
( )
1 3 2 3 1 3 3 1
M C - C - C C 1 M C MS + +
and
( )
2 2 3 1 2
M C - C C MS
.
The linear combination of
1
MS
(by Satterthwaites approximation) is
approximately distributed as
2
h 1
1
g


. Taking expectation and variance of MS
1
and
solving we have
( )
( )
1
]
1

+ +
1
1
]
1

+ +

2
1 3 2 3 1
3
2 3
1
4
1 2
3 2 3 1
3
4
3
2
3
1
C C C C 1 C
C C C C 1
C
g
and
( )
( )
1
1
]
1

+ +

1
]
1

+ +

1
4
1 2
3 2 3 1
3
4
3
2
3
2
2
1 3 2 3 1
3
2 3
1
C C C C 1
C
C C C C 1 C
h
where
( )
0
3
3 3 2
3 3
H under
d
M E

Thus,
1
MS
is approximately distributed as
1
2
h
1 1
h
h g
1

and for
1
F
to be valid, the following condition must be satisfied.
( ) [ ]
( )
) 50 . 0 ( F ) 975 . 0 ( F
M C C C
M C - C - C C 1 M C
2 1 1 2
, h h ,
2 2 3 1
1 3 2 3 1 3 3

+ +
(10)
for
2 1 1
2 100 h and h
Consider the statistic
1
F
given by (8). Where
( )
2 3 1 2 3 3 1
M C C - C M C MS +

and
( )
1 3 1 3 2 2
M 1 - C C - C C MS +
The linear combination of
1
MS
is
approximately distributed as
( )
1
1
]
1

,
_

,
_

2
2
2 2 3 1 2
3
2
3 3 3
2 3
d C C C d C
where under
( )
3
3
3 3 2
3 0
M E
d
, H

and
( )
2
2
2 2 2
2
M E
d

.
By Satterthwaites approximation
1
MS
is approximately distributed as
2
h 1
1
g


.
Taking expectation and variance of
1
MS
and solving, we obtain
( )
( ) [ ]
2
2 3 1 2
3
2 3
2
4
2
2
3 1 2
3
4
3
2
3
1

C C C C
C C C
C
g
+
1
]
1

+

and
( )
( )
1
1
]
1

1
]
1

+

2
4
2 2
3 1 2
3
4
3
2
3
2
2
2 3 1 2
3
2 3
1
C C C
C
C C C C
h
Thus,
1
MS
is approximately distributed as
1
2
h
1 1
h
h g
1

and
1
F
to be valid,
the following condition must be satisfied.
( ) [ ]
( ) [ ]
) 50 . 0 ( F ) 975 . 0 ( F
M 1 - C C - C C
M C C - C M C
1 1 1 1
, h h ,
1 3 1 3 2
2 3 1 2 3 3


+
+
(11)
for
1 1 1
2 h and 100 h
.
Distribution of
1
F
:
The statistic
1
F
can be written as
MSN
M
= F
4
1
(12)
where
( ) ( ) [ ] M 1 - C C - C C M C - C C - M C MS - MS MSN
1 3 1 3 2 2 2 3 1 3 3 2 1
+
and which is approximately distributed as
1
1
1
]
1

1
2
h
1 1
3
2
2
3 3
h
h g - C
1 3
where
( )
3
3 3
0 3
2
3
d
H / M E

and
( ) ( ) [ ]
0 1 1 3 2 2 2 3 1 1 1
H / M 1 - Cl C - C + C + M C - C C E = h g
.
Following Satterthwaites formula for linear combination of mean squares with
negative coefficients, MSN is approximately distributed as
2
h
*
1 *
1
g
. Taking
expectation and variance of MSN and solving, we obtain
( )
[ ]
g
1 1
2
3 3
1
2
1 1
3
4
3
2
3
*
1
h g C
h
h g C

1
]
1

and
[ ]
( )
1
]
1

1
2
1 1
3
4
3
2
3
2
1 1
2
3 3 *
1
h
h g C
h g C
h

Therefore,
MSN
M
= F
4
1
is approximately distributed as

,
_

,
_

,
_

,
_

*
1
2
h *
1
*
1
4
2
4
4 4
h
h g
d
*
1
4
Or
) h , F(
E(MSN)
) E(M
*
1 4
4

(13)
and thus under H
0,

1
F
is approximately distributed as ( )
*
1 4 1
h , F ~ F
Distribution of
1
F
:
The statistic
1
F
can be written as
MSN
M
F
4
1
(14)
where
( ) ( ) [ ] M C - C - 1 C C M C - C C - M C MS - MS MSN
1 3 2 3 1 2 2 3 1 3 3 2 1
+ +
and which is approximately distributed as
( )
1
1
]
1

2
2
2
2 2 3 1
1
2
h
1 1
2 1
C C C
h
h g
where
( )
2
2 2
0 2
2
2
d
H / M E

and
( ) [ ]
0 1 3 2 3 1 3 3 1 1
H / M C - C - 1 C C M C E + + h g
.
Following Satterthwaites formula for linear combination of mean squares with
negative coefficients, MSN is approximately distributed as
2 * *
1
**
1
h
g
.Taking
expectation and variance of MSN and solving, we obtain
Therefore,
MSN
M
F
4
1

is approximately distributed as

,
_

,
_

,
_

,
_

* *
1
2
h * *
1
* *
1
4
2
4
4 4
h
h g
d
* *
1
4
or as
( )
( )
* *
1 4
4
h , F
E(MSN)
M E

1
]
1

(15)
and thus under
0
H
,
1
F
is approximately distributed as ( )
* *
1 4 1
h , F ~ F
Distribution of
1
F
:
The statistic
1
F
can be written as
MSN
M
F
4
1
(16)
where
( ) ( ) [ ] M 1 - C C - C C - M C C - C M C MS - MS MSN
1 3 1 3 2 2 3 1 2 3 3 2 1
+ +
and which is approximately distributed as
( )

,
_

1
2
2
1 3 1 3 2
1
2
h
1 1
1 1
1 C C C C
h
h g
where
) M ( E
1
2
1

and
0 1 1 1
H / ) (MS E h g
Following Satterthwaites formula for linear combination of mean squares with
negative coefficients, MSN is approximately distributed as
2 * * *
1
***
1
h
g
.Taking
expectation and variance of MSN and solving, we obtain
( ) ( )
( ) ( ) [ ]
2
1 3 1 3 2 1 1
1
4
1
2
3 1 3 2
1
2
1 1
* * *
1
1
1

+
1
1
]
1

C C C C h g
C C C C
h
h g
g
and
( ) ( ) [ ]
( )
( )
1
1
]
1

1
4
1
2
3 1 3 2
1
2
1 1
2
2
1 3 1 3 2 1 1
* * *
1
1
1

C C C C
h
h g
C C C C h g
h
Therefore,
MSN
M
F
4
1
is approximately distributed as
( )

,
_

,
_

,
_

* * *
1
2
* * *
1
* * *
1
4
2
4
4 4
***
1
4
h
h g
d
h

or
as
( )
( )
* * *
1 4
4
h , F
E(MSN)
M E

1
]
1

(17)
Thus, under
0
H
,
1
F
is approximately distributed as ( )
* * *
1 4 1
, ~ h F F .
References
1. Box, G.E.P. (1954): Some theorems in quadratic forms applied in the study of
analysis of variance problems. I. Effect of inequality of variance in one-way
classification. Ann. Math. Stat., 25, 290-302.
2. Bozivich, H., Bancroft, T.A. and Hartley, H.O. (1956): Power of analysis of
variance test procedures for certain incompletely specified model-I. Ann.
Math. Stat. 7, 1017-1043.
3. Brar, W.S. (1990): Estimation and testing of variance components in
unbalanced designs. Unpublished Ph.D. Thesis, University of Rajasthan,
Jaipur, India
4. Khuri, A.I. and Littel, R.C (1987): Exact tests for the main effects variance
components in an unbalanced random two-way model. Biometrics, 43, 545-
560.
5. Patnaik, P.B. (1949): The non-central
2
and F distributions and their
approximations. Biometrika, 36, 202-232.
6. Rohde, C.A. and Tallis, G.M. (1969): Exact first and second order moments of
estimates of components of covariance. Biometrika, 56(3), 517-525.
7. Schultz, E.F. (1955): Rules of thumb for determining expectations of mean
squares in analysis of variance. Biometrics, 11, 123-135.
8. Srivastava, S.R. (1972): Pooling mean squares in ANOVA model II.
J. Amer. Stat. Assoc., 67, 676-679.
9. Tan, W.Y. and Wong, S.P. (1980): On approximating the null and non null
distributions of the F ratio in unbalanced random effect model from non
normal universe. J. Amer. Stat. Assoc., 75, 655-662.
10.. Tan, W.Y. and Cheng, S.S. (1984): On testing variance components in three-
stages unbalanced nested random effects model. Sankhya-B, 46, 188-200.
11. Tietjen, G.L. (1974): Exact and approximate tests for unbalanced random
effects designs. Biometrics, 30, 573-581.