Xlstat Help en PDF

XLSTAT 2019
Copyright © 2019, Addinsoft
https://www.xlstat.com
Introduction 1
Installation 2
License 2
System configuration 4
Installation 2
Advanced installation 6
Using XLSTAT 18
The XLSTAT approach 18
Data selection 19
Messages 21
Options 22
Preparing data 26
Data sampling 26
Distribution sampling 29
Variables transformation 39
Missing data 42
Raking a survey 46
Create a contingency table 52
Full disjunctive tables 56
Discretization 58
Data management 63
Text data cleaning 67
Coding 68
Presence/absence coding 70
Coding by ranks 72
Import data file 75
Describing data 77
Descriptive statistics and Univariate plots 77
Variable characterization 89
Quantiles estimation 94
Histograms 100
Normality tests 113
Resampling 118
Similarity/dissimilarity matrices (Correlations, ...) 126
Biserial correlation 131
Multicolinearity statistics 135
Reliability Analysis 139
Contingency tables (descriptive statistics) 146
Ingelligent pivot tables 151
Visualizing data 157

Scatter plots 157
Probability plots 160
Motion charts 165
Parallel coordinates plots 168
Ternary diagrams 172
2D plots for crosstabs 175
Error bars 178
Word cloud 180
Plot a function 182
AxesZoomer 184
EasyLabels 185
Reposition labels 187
EasyPoints 188
Orthonormal plots 190
Resize a chart 191
Plot transformations 192
Merge plots 194
Analyzing data 196

Factor analysis 196
Principal Component Analysis (PCA) 206
Factorial analysis of mixed data (PCAmix) 219
Discriminant Analysis (DA) 227
Correspondence Analysis (CA) 239
Multiple Correspondence Analysis (MCA) 251
Multidimensional Scaling (MDS) 261
k-means clustering 267
Agglomerative Hierarchical Clustering (AHC) 274
Gaussian Mixture Models 282
Univariate clustering 290
Modeling data 293

Distribution fitting 293
Linear regression 307
ANOVA 321
ANCOVA 340
Repeated Measures ANOVA 358
Mixed Models 370
MANOVA 383
Logistic regression 389
Log-linear regression 405
Quantile regression 412
Cubic splines 423
Nonparametric regression 427
Nonlinear regression 437
Two-stage least squares regression 444
PLS/PCR Regression 453
Machine learning 472

Fuzzy k-means clustering 472
Classification and regression trees 481
K Nearest Neighbors 495
Naive Bayes classifier 505
Support Vector Machine 512
Classification and regression random forests 521
Association rules 531
Correlation/Association tests 537

Correlation tests 537
RV Coefficient 543
Tests on contingency tables (chi-square, ...) 547
Cochran-Armitage trend test 555
Mantel test 559
Parametric tests 563

One-sample t and z tests 563
References 567
Two-sample t and z tests 568
References 574
Comparison of the means of k samples 575
One sample variance test 576
References 580
Two-sample comparison of variances 581
k-sample comparison of variances 586
Multidimensional tests (Mahalanobis, ...) 590
z-test for one proportion 595
References 599
z-test for two proportions 600
References 603
Comparison of k proportions 604
References 607
Multinomial goodness of fit test 608
Equivalence test (TOST) 611
Nonparametric tests 615

Comparison of two distributions (Kolmogorov-Smirnov) 615
Median test (Mood test) 619
One sample Wilcoxon Signed-Rank test 623
Comparison of two samples (Wilcoxon, Mann-Whitney, ...) 628
Comparison of k samples (Kruskal-Wallis, Friedman, ...) 636
Durbin-Skillings-Mack test 643
Page test 648
Cochran's Q test 653
McNemar’s test 658
Cochran-Mantel-Haenszel Test 662
One-sample runs test 666
Testing for outliers 670

Grubbs test 670
Dixon test 677
Cochran’s C test 684
Mandel’s h and k statistics 691
Mathematical tools 697

Probability calculator 697
Matrix operations 700
Tools 703
DataFlagger 703
Min/Max Search 705
Remove text values in a selection 706
Upper and lower case 707
Sheets management 709
Delete hidden sheets 710
Unhide hidden sheets 711
Export to GIF/JPG/PNG/TIF 712
Display the main bar 713
Hide the sub-bars 714
Sensory data analysis 715

External Preference Mapping (PREFMAP) 715
Internal Preference Mapping 726
Panel analysis 733
Product characterization 740
Penalty analysis 745
CATA data analysis 750
TCATA data analysis 757
Temporal Dominance of Sensations 763
Time-Intensity 768
Sensory shelf life analysis 774
Generalized Bradley-Terry model 780
Generalized Procrustes Analysis (GPA) 788
Multiple Factor Analysis (MFA) 797
STATIS 807
CATATIS 814
Semantic differential charts 820
TURF Analysis 823
Sensory wheel 828
Design of experiments for sensory data analysis 831
Design of experiments for sensory discrimination tests 839
Sensory discrimination tests 842
Marketing tools 848

Price Sensitivity Meter (Van Westendorp) 848
Price elasticity of demand 853
Customer Lifetime Value (CLV) 856
Conjoint analysis 862

Design of experiments for conjoint analysis 862
Design for choice based conjoint analysis 867
Conjoint analysis 862
Choice based conjoint analysis 883
Market generator 890
Conjoint analysis simulation tool 892
Design for MaxDiff 898
MadDiff analysis 902
Monotone regression (MONANOVA) 907
Conditional logit model 917
Text mining 924

Feature extraction 925
Decision aid 929

Multicriteria decision aid: ELECTRE methods 929
Design of experiments for the analytic hierarchy process 938
Multicriteria decision aid: AHP method 941
Time series analysis 946

Time series visualization 946
Descriptive analysis 949
Mann-Kendall Trend Tests 954
Homogeneity tests 959
Durbin-Watson test 966
Cochrane-Orcutt estimation 970
Heteroscedasticity tests 979
Unit root and stationarity tests 983
Cointegration tests 992
Time series transformation 998
Smoothing 1004
ARIMA 1012
Spectral analysis 1021
Fourier transformation 1029
Monte Carlo simulations 1031

XLSTAT-Sim 1031
Define a distribution 1039
Define a scenario variable 1051
Define a result variable 1054
Define a statistic 1057
Run 1061
Power analysis 1067

Compare means (Power and sample size) 1067
Compare variances (Power and sample size) 1074
Compare proportions (Power and sample size) 1078
Compare correlations (Power and sample size) 1084
Linear regression (Power and sample size) 1090
ANOVA/ANCOVA (Power and sample size) 1096
Logistic regression (Power and sample size) 1103
Cox model (Power and sample size) 1108
Sample size for clinical trials (Power and sample size) 1113
Statistical Process Control 1120

Subgroup Charts 1120
Individual Charts 1134
Attribute charts 1144
Time Weighted Charts 1154
Pareto plots 1167
Gage R&R for quantitative variables (Measurement System Analysis) 1172
Gage R&R for Attributes (Measurement System Analysis) 1183
Design of Experiments 1189

Screening designs 1189
Analysis of a screening design 1199
Surface response designs 1211
Analysis of a Surface response design 1218
Mixture designs 1230
Analysis of a mixture design 1236
Survival analysis 1248

Kaplan-Meier analysis 1248
Life tables 1254
Nelson-Aalen analysis 1260
Cumulative incidence 1266
Cox Proportional Hazards Model 1272
Proportional Hazards Model with interval censored model 1282
Parametric survival models 1290
Propensity score matching 1297
Sensitivity and Specificity 1306
ROC curves 1313
Method validation 1322

Method comparison 1322
Passing and Bablok regression 1329
Deming regression 1333
Dose effects analysis 1337

Dose effect analysis 1337
Four/Five-parameter parallel lines logistic regression 1345
OMICs data analysis 1351

Differential expression 1351
Heat maps 1358
Multiblock analysis 1362

Canonical Correlation Analysis (CCorA) 1362
Redundancy Analysis (RDA) 1368
Canonical Correspondence Analysis (CCA) 1375
Principal Coordinate Analysis (PCoA) 1382
XLSTAT-PLSPM 1387
Description 1388
Projects 1410
Options 1411
Toolbars 1412
Adding manifest variables 1415
Defining groups 1418
Fitting the model 1419
Results options 1426
Results 1429
Example 1433
References 1434
XLSTAT-LG 1436
Latent class clustering 1436
Latent class regression 1449
Introduction
XLSTAT started in 1995 in order to make accessible to anyone a powerful, complete and user-
friendly data analysis and statistical solution.
The accessibility comes from the compatibility of XLSTAT with all the Microsoft Excel versions
that are used nowadays (starting from Excel 2003 up to Excel 2016), from the interface that is
available in several languages (English, French, German, Italian, Japanese, Portuguese,
Spanish, …) and from the permanent availability of a fully functional 30 days evaluation version
on the XLSTAT website www.xlstat.com.
The power of XLSTAT comes from both the C++ programming language, and from the
algorithms that are used. The algorithms are the result of many years of research of thousands
of statisticians, mathematicians, computer scientists throughout the world. Each development of
a new functionality in XLSTAT is preceded by an in-depth research phase that sometimes
includes exchanges with the leading specialists of the methods of interest.
The completeness of XLSTAT is the fruit of over fifteen years of continuous work, and of
regular exchanges with the users’ community. Users’ suggestions have helped a lot improving
the software, by making it well adapted to a variety of requirements.
Last, the usability comes from the user-friendly interface, which after a few minutes of trying it
out, facilitates the use of some statistical methods that might require hours of training with other
software.
The software architecture has considerably evolved over the last 5 years in order to take into
account the advances of Microsoft Excel and the compatibility issues between platforms. The
software relies on Visual Basic Application for the interface and on C++ for the mathematical
and statistical computations.
As always, the Addinsoft team and the XLSTAT distributors are available to answer any
question you have, or to take into account your remarks and suggestions in order to continue
improving the software.
Introduction 1
Installation
License
XLSTAT 2018 - SOFTWARE LICENSE AGREEMENT
ADDINSOFT SARL ("ADDINSOFT") IS WILLING TO LICENSE VERSION 2018 OF ITS

XLSTAT (r) SOFTWARE AND THE ACCOMPANYING DOCUMENTATION (THE "SOFTWARE")
TO YOU ONLY ON THE CONDITION THAT YOU ACCEPT ALL OF THE TERMS IN THIS
AGREEMENT. PLEASE READ THE TERMS CAREFULLY. BY USING THE SOFTWARE YOU
ACKNOWLEDGE THAT YOU HAVE READ THIS AGREEMENT, UNDERSTAND IT AND
AGREE TO BE BOUND BY ITS TERMS AND CONDITIONS. IF YOU DO NOT AGREE TO
THESE TERMS, ADDINSOFT IS UNWILLING TO LICENSE THE SOFTWARE TO YOU.
1. LICENSE. Addinsoft hereby grants you a nonexclusive license to install and use the Software
in machine-readable form on a single computer for use by a single individual if you are using the
demo version or if you have registered your demo version to use it with no time limits. If you
have ordered a multi- users license, the number of users depends directly on the terms
specified on the invoice sent to your company by Addinsoft or the authorized reseller.
2. RESTRICTIONS. Addinsoft retains all right, title, and interest in and to the Software, and any
rights not granted to you herein are reserved by Addinsoft. You may not reverse engineer,
disassemble, decompile, or translate the Software, or otherwise attempt to derive the source
code of the Software, except to the extent allowed under any applicable law. If applicable law
permits such activities, any information so discovered must be promptly disclosed to Addinsoft
and shall be deemed to be the confidential proprietary information of Addinsoft. Any attempt to
transfer any of the rights, duties or obligations hereunder is void. You may not rent, lease, loan,
or resell for profit the Software, or any part thereof. You may not reproduce or distribute the
Software except as expressly permitted under Section 1, and you may not create derivative
works of the Software unless with the express agreement of Addinsoft.
3. SUPPORT. Registered users of the Software are entitled to Addinsoft standard support
services. Demo version users may contact Addinsoft for support but with no guarantee to
benefit from Addinsoft standard support services.
4. NO WARRANTY. THE SOFTWARE IS PROVIDED "AS IS" AND WITHOUT ANY

WARRANTY OR CONDITION, WHETHER EXPRESS, IMPLIED OR STATUTORY. Some
jurisdictions do not allow the disclaimer of implied warranties, so the foregoing disclaimer may
not apply to you. This warranty gives you specific legal rights and you may also have other legal
rights which vary from state to state, or from country to country.
Installation 2 License
5. LIMITATION OF LIABILITY. IN NO EVENT WILL ADDINSOFT OR ITS SUPPLIERS BE
LIABLE FOR ANY LOST PROFITS OR OTHER CONSEQUENTIAL, INCIDENTAL OR
SPECIAL DAMAGES (HOWEVER ARISING, INCLUDING NEGLIGENCE) IN CONNECTION
WITH THE SOFTWARE OR THIS AGREEMENT, EVEN IF ADDINSOFT HAS BEEN ADVISED
OF THE POSSIBILITY OF SUCH DAMAGES. In no event will Addinsoft liability in connection
with the Software, regardless of the form of action, exceed the price paid for acquiring the
Software. Some jurisdictions do not allow the foregoing limitations of liability, so the foregoing
limitations may not apply to you.
6. TERM AND TERMINATION. This Agreement shall continue until terminated. You may
terminate the Agreement at any time by deleting all copies of the Software. This license
terminates automatically if you violate any terms of the Agreement. Upon termination you must
promptly delete all copies of the Software.
7. CONTRACTING PARTIES. If the Software is installed on computers owned by a corporation

or other legal entity, then this Agreement is formed by and between Addinsoft and such entity.
The individual executing this Agreement represents and warrants to Addinsoft that they have
the authority to bind such entity to the terms and conditions of this Agreement.
8. INDEMNITY. You agree to defend and indemnify Addinsoft against all claims, losses,
liabilities, damages, costs and expenses, including attorney's fees, which Addinsoft may incur in
connection with your breach of this Agreement.
9. GENERAL. The Software is a "commercial item." This Agreement is governed and

interpreted in accordance with the laws of the Court of Paris, France, without giving effect to its
conflict of laws provisions. The United Nations Convention on Contracts for the International
Sale of Goods is expressly disclaimed. Any claim arising out of or related to this Agreement
must be brought exclusively in a court located in PARIS, FRANCE, and you consent to the
jurisdiction of such courts. If any provision of this Agreement shall be invalid, the validity of the
remaining provisions of this Agreement shall not be affected. This Agreement is the entire and
exclusive agreement between Addinsoft and you with respect to the Software and supersedes
all prior agreements (whether written or oral) and other communications between Addinsoft and
you with respect to the Software.
COPYRIGHT (c) 2018 BY Addinsoft SARL, Paris, FRANCE. ALL RIGHTS RESERVED.
XLSTAT(r) IS A REGISTERED TRADEMARK OF Addinsoft SARL.
Paris, FRANCE, March 2018
Installation 3 License
System configuration
XLSTAT runs under the following operating systems: Windows Vista, Windows 7, Windows 8.x
and 10, Mac OSX 10.6 till 10.12. 32 and 64 bits platforms are supported.
To be able to run XLSTAT required that Microsoft Excel is also installed on your computer.
XLSTAT is compatible with the following Excel versions on the Windows systems: Excel 97
(8.0), Excel 2000 (9.0), Excel XP (10.0), Excel 2003 (11.0), Excel 2007 (12.0), Excel 2010
(14.0), Excel 2013 (15.0) and Excel 2016 (16.0) (32 and 64 bits). On the Mac OSX system,
XLSTAT is compatible with Excel versions 2011 (14.1 and later) and 2016 (15.27 and later).
Free patches and upgrades for Microsoft Office are available for free on the Microsoft Website.
We highly recommend that you download and install these patches as some of them are critical.
To check if your Excel version is up to date, please go from time to time to the following web
site:
Windows: http://office.microsoft.com/officeupdate
Mac: http://www.microsoft.com/mac/downloads.aspx
Installation 4 System configuration

Installation
To install XLSTAT you need to:
Either double-click on the xlstat.exe (PC) or xlstatMac.zip (Mac) file that you downloaded
from the XLSTAT website www.xlstat.com or from one of our numerous partners, or
available on a CD-Rom,
Or insert the CD-Rom you received from us or from a distributor and wait until the
installation procedure starts and then follow the step by step instructions.
If your rights on your computer are restricted, you should ask someone that has administrator
rights on the machine to install the software for you. Once the installation is over, the
administrator must let you have read and write access to the following folder:
The folder where the XLSTAT user files are located (typically C:\Documents and
settings\User Name\Application Data\Addinsoft\XLSTAT\), including the corresponding
subfolders.
This folder can be changed by the administrator, using the options dialog box of XLSTAT.
Installation 5 Installation
Advanced installation
XLSTAT is easy to deploy within organizations thanks to a variety of functionalities that assist
you during the installation on a server, a farm of computers or on computers with multiple user
accounts.
In this section:
Silent installation by InstallShield Script (Windows only)
Language selection
Selection of the user folder
Server installation and creation of an install image
References
Silent installation by InstallShield Script (Windows only)

XLSTAT uses an installation program that was created with InstallShield. It is based on install
script only. That means that, as with any other installation package based on InstallShield, you
do a silent installation.
During the installation, XLSTAT needs that MS Excel is installed on the computer. Excel will be
called once to add the XLSTAT button in the Excel main icon bar. The reverse operation is
performed during the uninstall process.
Use of an InstallShield script:
You can call the installation program to run a silent installation with the following options that are
described in the help of InstallShield.
/uninst: This option forces an uninstall of XLSTAT.
/s: The installation will be done without showing the user dialogs.
/f1 "script file": This parameter indicates the script file that should be used with an absolute path
and file name.
/f2 "log file": This parameter indicates the log file that should be used with an absolute path and
file name.
/r: This parameter activates the record mode to create a script file.
/L: This parameter allows the selection of the language used during the installation. 10
languages are currently supported as indicated in the following table:
Installation 6 Advanced installation

/servername=XLSTATLICENSESERVER: this parameter gives the name of the network on
which the XLSTAT server is hosted. It is only useful in the case of an XLSTAT client server
concurrent license. In that case, XLSTATLICENSESERVER should be replaced by the host
name of the server where the XLSTAT concurrent license is hosted.
After the installation of XLSTAT there are two sample script files for installation and uninstall of
XLSTAT in the folder silentinstall under the XLSTAT installation folder. You need also the file
setup.exe of the installation package to be able to work with the scripts. You obtain these scripts
by dezipping the xlstat.zip file that you can download on our website.
To work in a convenient way with scripts for a silent installation, in the following examples, we
suppose that the script files and the setup.exe file are located in the same MYDir folder, which is
at the same time the current working folder.
Silent installation of XLSTAT
A call to install XLSTAT can be as follows:
setup.exe /s /f1"C:\MyDir\setup.iss"
In this case the script file setup.iss contains the following text:
[InstallShield Silent]
Version=v7.00
File=Response File
[File Transfer]
OverwrittenReadOnly=NoToAll
[{68B36FA5-E276-4C03-A56C-EC25717E1668}-DlgOrder]
Dlg0={68B36FA5-E276-4C03-A56C-EC25717E1668}-SdWelcome-0
Count=9
Dlg1={68B36FA5-E276-4C03-A56C-EC25717E1668}-SdLicense2Rtf-0

Dlg2={68B36FA5-E276-4C03-A56C-EC25717E1668}-SetupType2-0
Dlg3={68B36FA5-E276-4C03-A56C-EC25717E1668}-SdAskDestPath2-0
Dlg5={68B36FA5-E276-4C03-A56C-EC25717E1668}-SdComponentTree-0
Dlg6={68B36FA5-E276-4C03-A56C-EC25717E1668}-SdStartCopy2-0
Dlg7={68B36FA5-E276-4C03-A56C-EC25717E1668}-MessageBox-0
Dlg8={68B36FA5-E276-4C03-A56C-EC25717E1668}-SdFinish-0
[{68B36FA5-E276-4C03-A56C-EC25717E1668}-SdWelcome-0]
Result=1
[{68B36FA5-E276-4C03-A56C-EC25717E1668}-SdLicense2Rtf-0]
Result=1
[{68B36FA5-E276-4C03-A56C-EC25717E1668}-SetupType2-0]
Result=303
[{68B36FA5-E276-4C03-A56C-EC25717E1668}-SdAskDestPath2-0]
szDir=C:\Program Files\Addinsoft\XLSTAT
Result=1
szDir=C:\My documents\Addinsoft\
Result=1
[{68B36FA5-E276-4C03-A56C-EC25717E1668}-SdComponentTree-0]
Component-type=string
Component-count=4
Component-0=Program Files
Component-1=Help Files
Component-2=Icons & Menu
Component-3=SingleNode
Result=1

[{68B36FA5-E276-4C03-A56C-EC25717E1668}-SdStartCopy2-0]
Result=1
[{68B36FA5-E276-4C03-A56C-EC25717E1668}-MessageBox-0]
Result=1
[Application]
Name=XLSTAT 2017
Version=19.1.08.2810
Company=Addinsoft
Lang=040c
[{68B36FA5-E276-4C03-A56C-EC25717E1668}-SdFinish-0]
Result=1
bOpt1=0
bOpt2=0
In this example you may replace the path "C:\Program Files\Addinsoft\XLSTAT" by your desired
installation path. You can as well change the path for the user’s files "C:\Program
Files\Addinsoft\" to a path of your choice.
Silent uninstall of XLSTAT
A call to uninstall XLSTAT can be as follows:
setup.exe /uninstall /s /f1"C:\MyDir\setupRemove.iss"
In this case the script file setupRemove.iss contains the following text:
Version=v7.00
File=Response File
[File Transfer]
Dlg0={68B36FA5-E276-4C03-A56C-EC25717E1668}-MessageBox-0

Count=2
[{68B36FA5-E276-4C03-A56C-EC25717E1668}-MessageBox-0]
Result=6
[Application]
Name=XLSTAT 2017
Version=19.1.0001
Company=Addinsoft
Lang=0009
Result=1
bOpt1=0
bOpt2=0
Silent install of XLSTAT server when using a network concurrent license
Silent installation of XLSTAT Server.
Version=v7.00
File=Response File
[File Transfer]
Count=8

Result=1
Result=1
Result=303
Result=1
szDir= C:\My documents\Addinsoft\
Result=1
Component-count=5
Component-3=Server setup

Result=1
Result=1
[Application]
Name=XLSTAT 2017
Version=19.1.08.2810
Company=Addinsoft
Lang=040c
Result=1
bOpt1=0
bOpt2=0
installation path. You can as well change the path for the user’s files "C:\My
Documents\Addinsoft\" to a path of your choice.
Silent install of XLSTAT Client on the user computer when using a network concurrent
license
Version=v7.00
File=Response File
[File Transfer]

Count=9
Dlg6={68B36FA5-E276-4C03-A56C-EC25717E1668}-AskText-0
Result=1
Result=1
Result=303
Result=1
szDir= C:\My documents\Addinsoft\
Result=1
Component-count=5

Component-3=Client setup
Result=1
[{68B36FA5-E276-4C03-A56C-EC25717E1668}-AskText-0]
szText=XLSTATLICENSESERVER
Result=1
Result=1
[Application]
Name=XLSTAT 2017
Version=19.1.08.2810
Company=Addinsoft
Lang=040c
Result=1
bOpt1=0
bOpt2=0
installation path. You can as well change the path for the user’s files "C:\My
Documents\Addinsoft\" to a path of your choice.
You must enter the hostname of the server where the XLSTAT server license is installed, by
replacing "XLSTATLICENSESERVER"by that hostname.
Creating a user defined script file
For further changes to the installation you may also record a manual installation of XLSTAT to
create a script file that will be used later. Please use the option /r. A sample call for a script
creation might look as follows:
setup.exe /r /f1"C:\MyDir\setup.iss"

Language selection
In most cases, a language selection is not necessary during a silent installation. If XLSTAT was
already installed on the computer, the language selection by the installation option /L or the
registry entry explained hereunder will have no effect. Each user of the computer will find the
language choice he has made before. The user might change the language option at any
moment using the XLSTAT Options menu. A demonstration on how a user can change the
language is available at:
http://www.xlstat.com/demo-lang.htm
If XLSTAT is being installed for the first time by a user, with the InstallShield interface, then the
language that has just been selected for the installation, will be chosen as the default language
for XLSTAT.
If XLSTAT is being installed for the first time using a silent installation, then English will be
selected as default language. There are two possibilities to change the interface language of
XLSTAT before the first start of XLSTAT.
/L: Use this option when calling the silent installation to set the desired language for the
installation and for XLSTAT.
Register entry: After the installation of XLSTAT has finished and before XLSTAT is
started for the first time, you may change the value of the registry key
HKEY_LOCAL_MACHINE\SOFTWARE\XLSTAT+\General\Language to one of the 7
values to set the language of XLSTAT:
Selection of the user folder

XLSTAT gives the user the possibility to save data selections and choices made in the dialog
boxes that correspond to the different functions, so that you can reuse them during a future
session. Further details on how to control this feature can be found in the XLSTAT Options
dialog box.
Standard installation of XLSTAT

The selection of the user folder during a standard installation of XLSTAT is set by InstallShield
to:
%USERPROFILE%\Application data\ADDINSOFT\XLSTAT
%USERPROFILE%, which is a Windows environment variable, is replaced by its current value

during the installation.
Each user has the possibility to change this default value to a user defined value using the
corresponding option in the "Advanced" tab of the XLSTAT Options dialog box.
Furthermore you have the possibility to directly change the value of the following registry entry
to the desired user folder. The registry entry has priority over the selection in the XLSTAT
Options dialog box. The registry entry is different for each user. It has the following name:
HKEY_CURRENT_USER\Software\XLSTAT+\DATA\UserPath
The value of the registry entry may contain environment variables.
Multi-user environment
There are different types of multi-user environments. One example would be a server
installation in the case of the Windows Terminal Server or in the case of a Citrix Metaframe
Server. Another type of environment is a pool of computers that have all the same installation,
often created using an image that has been replicated on all the computers of the pool where
some users are authorized to work with XLSTAT. For such cases, please take note of the
following advices regarding the choice of the user directories.
In that case, for each user, the user folder should point to a personal folder, for which the user
has read and write rights.
There are basically two ways to meet these requirements:
Use of a virtual folder;
Use of environment variables.
Virtual folder
In this case, a virtual user folder already exists and is being used. This folder has the same
name for every user, but it points to a different folder. A virtual folder is often associated to a
user disc like U or X. During the login this user drive is often mounted automatically by a script.
The users have normally read and write rights in this folder. For XLSTAT are no further actions
necessary regarding the access rights.
If for instance the virtual user folder is U, then you can choose the following XLSTAT user folder
that will contain the user data following the Microsoft naming conventions:
U:\Application Data\ADDINSOFT\XLSTAT

This folder should exist for each possible XLSTAT user before starting XLSTAT. If this is not the
case, an error message informs about the non existing user folder and invites the user to select
another user folder.
Environment variables
With this method the value of an environment variable is used to choose a different folder for
each user. The user must have read and write rights in that folder.
For instance the environment variable %USERPROFILE% can be used to define the following
folder using the Microsoft naming conventions:
%USERPROFILE%\Application Data\ADDINSOFT\XLSTAT
The use of environment variables in the dialog boxes of InstallShield is not possible. You may
use environment variables in a script file or directly in registry entries.
Server installation and image creation

Server installation and image creation should be possible without any problem. Please notice
that Microsoft Excel must have been installed on the machine including all options for VBA
(Visual Basic for Applications), Microsoft Forms and graphical filters. During a server installation
under Windows Terminal Server, Microsoft Excel version 2003 or later is a preferable choice.
During the installation of XLSTAT, read and write rights are necessary for the folder where the
Excel.exe file is located.
If you have specific questions regarding the server installation, do not hesitate to contact the
XLSTAT Support.
References
InstallShield 2008 Help Library. Setup.exe and Update.exe Command-Line Parameters,
http://helpnet.acresso.com/robo/projects/installshield14helplib/IHelpSetup_EXECmdLine.htm
Macrovision.

Using XLSTAT
The XLSTAT approach
The XLSTAT interface totally relies on Microsoft Excel, whether for inputting the data or for
displaying the results. The computations, however, are completely independent of Excel and the
corresponding programs have been developed with the C++ programming language.
In order to guarantee accurate results, the XLSTAT software has been intensively tested and it
has been validated by specialists of the statistical methods of interest.
Addinsoft has always been concerned about permanently improving the XLSTAT software suite,
and welcomes any remarks and improvements you might want to suggest. To contact Addinsoft,
write to support@xlstat.com.
Using XLSTAT 18 The XLSTAT approach

Data selection
As with all XLSTAT modules, the selecting of data needs to be done directly on an Excel sheet,
preferably with the mouse. Statistical programs usually require that you first build a list of
variables, then define their type, and at last select the variables of interest for the method you
want to apply to them. The XLSTAT approach is completely different as you only need to select
the data directly on one or more Excel sheets.
Three selection modes are available:
Selection by range: you select with the mouse on the Excel sheet all the cells of the
table that corresponds to the selection field of the dialog box.
Selection by columns: this mode is faster but requires that your data set starts on the
first row of the Excel sheet. If this requirement is fulfilled you may select data by clicking
on the name (A, B, …) of the first column of your data set on the Excel sheet, and then by
selecting the next columns by leaving the mouse button pressed and dragging the mouse
cursor over the columns to select.
Selection by rows: this mode is the reciprocal of the "selection by rows" model. It
requires that your data set starts on the first column (A) of the Excel sheet. If this
requirement is fulfilled you may select data by clicking on the name (1, 2, …) of the first
row of your data set on the Excel sheet, and then by selecting the next rows by leaving
the mouse button pressed and dragging the mouse cursor over the rows to select.
Notes:
Doing multiple selections is possible: if your variables go from column B to column G, and
if you do not want to include column E in the selection, you should first select columns B
to D with the mouse, then press the Ctrl key, and then select columns F to G still pressing
Ctrl. You may also select columns B to G, then press Ctrl, then select column E.
Multiple selections with selection by rows cannot be used if the transposition option is not
activated ( button).
Multiple selections with selection by columns cannot be used if the transposition is

activated ( button).
When selecting a variable or a group of variables (for example the quantitative

explanatory variables) you cannot mix the selection mode. However you may use different
modes for different selections within a dialog box.
If you selected the name of the variables within the data selection, you should make sure
the "Columns labels" or "Labels included" option activated.
You can use keyboard shortcuts to quickly select data. Notice this is possible only you
installed the latest patches for Microsoft Excel. Here is a list of the most useful selection
shortcuts:
Ctrl A: Selects the whole spreadsheet
Using XLSTAT 19 Data selection

Ctrl Space: Selects the whole column corresponding to the already selected cells
Shift Space: Selects the whole row corresponding to the already selected cells
When one or more cells are selected:
Shift Down: Selects the currently selected cells and the cells on the row below on one
row
Shift Up: Selects the currently selected and the cells on the row below on one row
Shift Left: Selects the currently selected and the cells to the left on one column
Shift Right: Selects the currently selected and the cells to the right on one column
Ctrl Shift Down: Selects all the adjacent non empty cells below the currently selected
cells
Ctrl Shift Up: Selects all the adjacent non empty cells above the currently selected cells
Ctrl Shift Left: Selects all the adjacent non empty cells to the left of the currently selected
cells
Ctrl Shift Right: Selects all the adjacent non empty cells to the right of the currently
selected cells
When one ore more columns are selected:
Shift Left: Selects one more column to the left of the currently selected columns
Shift Right: Selects one more column to the right of the currently selected columns
Ctrl Shift Left: Selects all the adjacent non empty columns to the left of the currently
selected columns
Ctrl Shift Right: Selects all the adjacent non empty columns to the right of the currently
selected columns
When one or more rows are selected:
Shift Down: Selects one more row to the left of the currently selected rows
Shift Up: Selects one more row to the right of the currently selected rows
Ctrl Shift Down: Selects all the adjacent non empty rows below the currently selected
rows
Ctrl Shift Up: Selects all the adjacent non empty rows above the currently selected rows
See also:
http://www.xlstat.com/demo-select.htm
Using XLSTAT 20 Data selection

Messages
XLSTAT uses an innovative message system to give information to the user and to report
problems.
The dialog box below is an example of what happens when an active selection field (here the
Dependent variables) has been activated but left empty. The software detects the problem and
displays the message box.
The information displayed in red (or in blue depending on the severity) indicates which
object/option/selection is responsible for the message. If you click on OK, the dialog box of the
method that had just been activated is displayed again and the field corresponding to the
Quantitative variable(s) is activated.
This message should be explicit enough to help you solve the problem by yourself. If a tutorial is
available, the hyperlink "http://www.xlstat.com" links to a tutorial on the subject related to the
problem. Sometimes an email address is displayed below the hyperlink to allow you send an
email to Addinsoft using your usual email software, with the content of the XLSTAT message
being automatically displayed in the email message.
Using XLSTAT 21 Messages

Options
XLSTAT offers several options in order to allow you to customize and optimize the use of the
software.
To display the options dialog box of XLSTAT, click on "Options" in the menu or on the button
of the XLSTAT toolbar.
: Click this button to save the changes you have made.
: Click this button to close the dialog box. If you haven’t previously saved the options,
the changes you have made will not be kept.
: Click this button to display the help.
: Click this button to reload the default options.
General tab:
Language: Use this option to change the language of the interface of XLSTAT.
Dialog box entries:
Memorize during one session: Activate this option if you want XLSTAT to memorize
during one cession (from opening until closing of XLSTAT) the entries and options of the
dialog boxes.
Including data selections: Activate this option so that XLSTAT records the data
selections during one session.
Memorize from one session to the next: Activate this option if you want XLSTAT to
memorize the entries and options of the dialog boxes from one session to the next.
Including data selections: Activate this option so that XLSTAT records the data
selections from one session to the next. This option is useful and saves your time if you
work on spreadsheets that always have the same layout.
Ask for selections confirmation: Activate this option so that XLSTAT prompts you to confirm
the data selections once you clicked on the OK button. If you activate this option, you will be
able to verify the number of rows and columns of all the active selections.
Notify me before license or access to upgrades expires: Activate this option so that XLSTAT
notifies you two weeks before your license or your free access to upgrades expires.
Show only the active functions in menus and toolbars: Activate this option if you want that
only the active functions corresponding to registered modules are displayed in the XLSTAT
menu and in the toolbars.
Using XLSTAT 22 Options

Display information messages: Activate this option if you want to see the news released by
Addinsoft. This is the best way to be informed of the availability of free upgrades.
Display the XLSTAT toolbars in the Add-ins tab: Activate this option if you want to see the
XLSTAT toolbars in the Add-ins tab of the Excel ribbon (available only with Excel 2007 and later
versions).
Missing data tab:
Consider empty cells as missing data: this is the default option for XLSTAT and it cannot be
changed. Empty cells are considered by all tools as missing data.
Consider also the following values as missing data: when a cell contains a value that is in
the list, below this option, it will be considered as a missing data, whether the corresponding
selection is for numerical or categorical data.
Consider all text values as missing data: when this option is activated, any text value found
in a table that should contain only numerical values, will be converted and considered by
XLSTAT as a missing data. This option should be activated if you are sure that text values can
not correspond to numerical values converted to text by mistake.
Outputs tab:
Position of new sheets: If you choose the "Sheet" option in the dialog boxes of the XLSTAT
functions, use this option to modify the position if the results sheets in the Excel workbook.
Color tabs: Activate this option if you want to highlight the tabs produced by XLSTAT using a
specific color.
Display the report header:
Display the results list in the report header: Activate this option so that XLSTAT
displays the results list at the bottom of the report header.
Display the project name in the report header: Activate this option to display the name
of your project in the report header. Then enter the name of your project in the
corresponding field.
Display the action buttons: Activate this option to display the buttons that allow to
relaunch an analysis.
Enlarge the first column of the report by a factor of X: Enter the value of the factor that is
used to automatically enlarge the width of the first column of the XLSTAT report. Default value is
1. When the factor is 1 the width is left unchanged.
Display titles in bold: Activate this option so that XLSTAT displays the titles of the results
tables in bold.

Empty rows after titles: Choose the number of empty rows that must be inserted after titles.
The number of empty rows after tables and charts corresponds to this same number +1.
Theme for tables: Choose the theme to apply on the tables produced by XLSTAT.
Display table headers in bold: Activate this option to display the headers of the results tables
in bold.
Number of decimals: Choose the number of decimals to display for the numerical results.
Notice that you always have the possibility to view a different number of decimals afterwards, by
using the Excel formatting options.
Minimum p-value: Enter the minimum p-value below which the p-values are replaced by "< p"
where p is the minimum p-value.
Charts tab:
Style: Choose the output style that fits your needs. "Classic" corresponds to the style XLSTAT
has been using since its inception. "Modern" uses a different palette of colors. Scientific is using
black, white and grey colors.
Display charts on separate sheets: Activate this option if you want that the charts are
displayed on separate chart sheets. Note: when the charts are displayed on a spreadsheet you
can still transform them into a chart sheet, by clicking the right button of the mouse, and then
selecting "location" and then "As new sheet".
Charts size:
Automatic: Choose this option if you want XLSTAT to automatically determine the size of
the charts using as a starting value the width and height defined below.
User defined: Activate this option if you want XLSTAT to display charts with dimensions
as defined by the following values:
Width: Enter the value in points of the chart’s width;
Height: Enter the value in points of the chart’s height.
Display charts with aspect ratio equal to one: Activate this option to ensure that there is no
distortion of distances due to different scales of the horizontal and vertical axes that could lead
to misinterpretations.
Advanced tab:
Random numbers:
Fix the seed to: Activate this option if want to make sure that the computations involving
random numbers always give the same result. Then enter the seed value.

Maximum nu mber of processors: XLSTAT can run calculations on multiple processors to
educe the computing time. Choose the maximum number of processors that XLSTAT can use.
Use NVIDIA GPUs: GPUs stands for Graphical Processing Units. Those units are now an
integral part of many devices and allow the fast computation of high quality graphics and
rendering in many applications. Alternately, they can also be used as General-Purpose
computing GPUs (GPGPUs) in computational intensive algorithms to do what they do best:
handle massive computations at an incredible speed.
XLSTAT chose NVIDIA, the manufacturer of the most widespread and powerful GPUs, to
implement on GPUs a growing number of algorithms and offer both better performances and
power savings to its users. Methods with an available GPU implementation are marked with the
line "GPU accelerated" in their description in the XLSTAT help.
If your device is equipped with NVIDIA GPUs and if you are using the 64 bits version of Excel,
you can activate this option to enable GPUs acceleration on the supported algorithms. You
should then experience significant speedups on your usual methods.
Show the advanced buttons in the dialog boxes: Activate this option if you want to display
the buttons that allow to save or load dialog box settings, or generate VBA code to automate
XLSTAT runs.
Path for the user's files: This path can be modified if and only if you have administrator rights
on the machine. You can then modify the folder where the user’s files are saved by clicking the
[…] button that will display a box where you can select the appropriate folder. User’s files
include the general options as well as the options and selections of the dialog boxes of the
various XLSTAT functions. The folder where the user’s files are stored must be accessible for
reading and writing to all types of users.

Preparing data
Data sampling
Use this tool to generate a subsample of observations from a set of univariate or multivariate
data.
In this section:
Description
Dialog box
References
Description
Sampling is one of the fundamental data analysis and statistical techniques. Samples are
generated to:
Test an hypothesis on one sample, then test it on another;
Obtain very small tables which have the properties of the original table.
To meet these different situations, several methods have been proposed. XLSTAT offers the
following methods for generating a sample of N observations from a table of M rows:
N first rows: The sample obtained is taken from the first N rows of the initial table. This method
is only used if it is certain that the values have not been sorted according to a particular criterion
which could introduce bias into the analysis;
N last rows: The sample obtained is taken from the last N rows of the initial table. This method
is only used if it is certain that the values have not been sorted according to a particular criterion
which could introduce bias into the analysis;
N every s starting at k: The sample is built extracting N rows, every s rows, starting at row k;
Random without replacement: Observations are chosen at random and may occur only once
in the sample;
Random with replacement: Observations are chosen at random and may occur several times
in the sample;
Systematic from random start: From the j'th observation in the initial table, an observation is
extracted every k observations to be used in the sample. j is chosen at random from among a
Preparing data 26 Data sampling

number of possibilities depending on the size of the initial table and the size of the final sample.
k is determined such that the observations extracted are as spaced out as possible;
Systematic centered: Observations are chosen systematically in the centers of N sequences of

observations of length k;
Random stratified (1): Rows are chosen at random within N sequences of observations of
equal length, where N is determined by dividing the number of observations by the requested
sample size;
Random stratified (2): Rows are chosen at random within N strata defined by the user. In each
stratum, the number of sampled observations is proportional to the relative frequency of the
stratum.
Random stratified (3 ): Rows are chosen at random within N strata defined by the user. In each
stratum, the number of sampled observations is proportional to a relative frequency supplied by
the user.
User defined: A variable indicates the frequency of each observation within the output sample.
Training and test sets: Data are split into two parts – a training set and a test set. The rows of
each set are randomly drawn from the initial dataset. The size of the training set is defined by a
number of rows.
Training and test sets (%): Data are split into two parts – a training set and a test set. The
rows of each set are randomly drawn from the initial dataset. The size of the training set is
defined by a row number percentage from the initial data set.
Dialog box
: Click this button to start the computations.
: Click this button to close the dialog box without doing any computation.
: Click this button to delete the data selections.
: Click these buttons to change the data selection mode. If the button shows a
mouse icon, XLSTAT expects that you select data with the mouse. If the button shows a list
icon, XLSTAT will display a list of the available variables that you can select. If the button shows
an orange paper sheet, XLSTAT displays additional buttons so that you can select data from flat
files .
Data: Select the data in the Excel worksheet.

Sampling: Choose the sampling method (see the description section for more details).
Sample size: Enter the size of the sample to be generated.
Strata: This option is only available for the random stratified sampling (2) and (3). Select in that
field a column that tell to which stratum each observation belongs.
Weight of each stratum: This option is only available for the random stratified sampling (3).
Select a table with two columns, the first containing the strata ID, and the second the weight of
the stratum in the final sample. Whatever the weight unit (size, frequency, percentage), XLSTAT
standardizes the weight so that the sum is equal to the requested sample size.
Range: Activate this option if you want to display the results starting from a cell in an existing
worksheet. Then select the corresponding cell.
Sheet: Activate this option to display the results in a new worksheet of the active workbook.
Workbook: Activate this option to display the results in a new workbook.
Variable labels: Activate this option if the first row of the data selections (data and observations
labels) includes a header.
Observation labels: Activate this option if observations labels are available. Then select the
corresponding data. If the "Variable labels" option is activated you need to include a header in
the selection. If this option is not activated, the observations labels are automatically generated
by XLSTAT (Obs1, Obs2 …).
Display the report header: Deactivate this option if you want the sampled table to start from
the first row of the Excel worksheet (situation after output to a worksheet or workbook) and not
after the report header. You can thus select the variables of this table by columns.
Shuffle: Activate this option if you want to randomly permute the output data. If this option is not
activated, the sampled data respect the order of the input data.
Display side by side: Activate this option to display generated samples side by side.
References
Cochran W.G. (1977). Sampling techniques. Third edition. John Wiley & Sons, New York.
Hedayat A.S. & Sinha B.K. (1991). Design and inference in finite population sampling. John
Wiley & Sons, New York.

Distribution sampling
Use this tool to generate a data sample from a continuous or discrete theoretical distribution or
from an existing sample.
In this section:
Description
Dialog box
Example
References
Description
Where a sample has been generated from a theoretical distribution, you must choose the
distribution and, if necessary any parameters required for this distribution.
Distributions
XLSTAT provides the following distributions:
Arcsine (a): the density function of this distribution (which is a simplified version of the
Beta type I distribution) is given by:
sin(πα) x α−1
f (x) = ( ) , with 0 < α < 1, x ∈ [0, 1]
πx 1−x
We have E(X) = α and V (X) = α(1 − α)/2
Bernoulli (p): the density function of this distribution is given by:
P (X = 1) = p, P (X = 0) = 1 − p, with p ∈ [0, 1]
We have E(X) = p and V (X) = p(1 − p)

The Bernoulli, named after the Swiss mathematician Jacob Bernoulli (1654-1705), allows to
describe binary phenomena where only events can occur with respective probabilities of p and
1 − p.
Beta (a, b): the density function of this distribution (also called Beta type I) is given by:
1
f (x) = xα−1 (1 − x)β−1
B(α, β)
Preparing data 29 Distribution sampling

Γ(α)Γ(β)
with α, β > 0, x ∈ [0, 1] and B(α, β) =
Γ(α + β)
We have E(X) = α/(α + β) and V (X) = αβ/[(α + β + 1)(α + β)2 ]
Beta4 (α, β, c, d): the density function of this distribution is given by:
1 (x − c)α−1 (d − x)β−1
f (x) = , with α, β > 0, x ∈ [c, d]
B(α, β) (d − c)α+β−1
Γ(α)Γ(β)
c, d ∈ R and B(α, β) =
Γ(α + β)
c+(c−d)α (c−d)2 αβ
We have E(X) = (α+β) and V (X) = (α+β+1)(α+β)2
Pour the type I beta distribution, X takes values in the [0, 1] range. The beta4 distribution is
obtained by a variable transformation such that the distribution is on a [c, d] interval where c
and d can take any value.
Binomial (n, p) : the density function of this distribution is given by:
P (X = x) = Cnx px (1 − p)n−x , with n, x ∈ N, n > 0, x ∈ [0, n], p ∈ [0, 1]
We have E(X) = np and V (X) = np(1 − p)
n is the number of trials, and p the probability of success. The binomial distribution is the
distribution of the number of successes for n trials, given that the probability of success is p.
Negative binomial type I (n, p): the density function of this distribution is given by:
P (X = x) = Cn+x−1
x−1
pn (1 − p)x , with n, x ∈ N, n > 0, p ∈ [0, 1]
We have E(X) = n(1 − p)/p and V (X) = n(1 − p)/p2
n is the number of successes, and p the probability of success. The negative binomial type I
distribution is the distribution of the number x of unsuccessful trials necessary before obtaining
n successes.
Negative binomial type II (k, p): the density function of this distribution is given by:
Γ(k + x)px
P (X = x) = , with x ∈ N , k, p > 0
x!Γ(k)(1 + p)k+x
We have E(X) = kp and V (X) = kp(p + 1)

The negative binomial type II distribution is used to represent discrete and highly
heterogeneous phenomena. As k tends to infinity, the negative binomial type II distribution
tends towards a Poisson distribution with λ = kp.
Khi2 (df ): the density function of this distribution is given by:
(1/2)df /2 df2 −1 −x/2

f (x) = x e , with x > 0, df ∈ N∗
Γ(df /2)
We have E(X) = df and V (X) = 2df
The Chi-square distribution corresponds to the distribution of the sum of df squared standard
normal distributions. It is often used for testing hypotheses.
Erlang (k, λ): the density function of this distribution is given by:
e−λx
f (x) = λk xk−1 , with x ≥ 0 and k, λ > 0 and k ∈ N
(k − 1)!
We have E(X) = k/λ and V (X) = k/λ2
k is the shape parameter and λ is the rate parameter.

This distribution, developed by the Danish scientist A. K. Erlang (1878-1929) when studying the
telephone traffic, is more generally used in the study of queuing problems.
Note: When k = 1, this distribution is equivalent to the exponential distribution. The Gamma
distribution with two parameters is a generalization of the Erlang distribution to the case where
k is a real and not an integer (for the Gamma distribution the scale parameter β = 1/λ is
used).
Exponential(λ): the density function of this distribution is given by:
f (x) = λ exp(−λx), with x > 0 and λ > 0
We have E(X) = 1/λ and V (X) = 1/λ2

The exponential distribution is often used for studying lifetime in quality control.
Fisher (df1 , df2 ): the density function of this distribution is given by:
df1 /2 df2 /2
1
( ) (1 − )
df1 x df1 x
f (x) =
xB(df1 /2, df2 /2) df1 x + df2 df1 x + df2
with x > 0 and df1 , df2 ∈ N∗
2df22 (df1 +df2 −2)

We have E(X) = df2 /(df2 − 2) if df2 > 2, and V (X) = df1 (df2 −2)2 (df2 −4) if df2 > 4

Fisher's distribution, from the name of the biologist, geneticist and statistician Ronald Aylmer
Fisher (1890-1962), corresponds to the ratio of two Chi-square distributions. It is often used for
testing hypotheses.
Fisher-Tippett (β, μ): the density function of this distribution is given by:
1 x−μ x−μ
f (x) = exp (− − exp (− )) , with β > 0
β β β
We have E(X) = μ + βγ and V (X) = (πβ)2 /6 where γ is the Euler-Mascheroni
constant.
The Fisher-Tippett distribution, also called the Log-Weibull or extreme value distribution, is used
in the study of extreme phenomena. The Gumbel distribution is a special case of the Fisher-
Tippett distribution where β = 1 and μ = 0.
Gamma (k, β, μ): the density of this distribution is given by:
k−1 e−(x−μ)/β
f (x) = (x − μ) , with x > μ and k, β > 0
β k Γ(k)
We have E(X) = μ + kβ and V (X) = kβ 2
k is the shape parameter of the distribution and β the scale parameter.
GEV (β, k, μ): the density function of this distribution is given by:
x − μ −1/k−1 x − μ −1/k
exp (− (1 + k ),
1
f (x) = (1 + k ) ) with β > 0
β β β
2
We have E(X) = μ + βk Γ(1 + k) and V (X) = ( βk ) (Γ(1 + 2k) − Γ2 (1 + k))
The GEV (Generalized Extreme Values) distribution is much used in hydrology for modeling
flood phenomena. k lies typically between -0.6 and 0.6.
Gumbel: the density function of this distribution is given by:
f (x) = exp(−x − exp(−x))
We have E(X) = γ and V (X) = π 2 /6 where γ is the Euler-Mascheroni constant

(0.5772156649…).
The Gumbel distribution, named after Emil Julius Gumbel (1891-1966), is a special case of the
Fisher-Tippett distribution with β = 1 and μ = 0. It is used in the study of extreme phenomena
such as precipitations, flooding and earthquakes.
Logistic (μ, s): the density function of this distribution is given by:

(x−μ)
e− s
f (x) = (x−μ)
, with s > 0
s(1 + e− s )
We have E(X) = μ and V (X) = (πs)2 /3
Lognormal (μ, σ): the density function of this distribution is given by:
1 −
(ln(x)−μ)2
f (x) = e 2σ 2 , with x, σ > 0
xσ 2π
We have E(X) = exp(μ + σ 2 /2) and V (X) = (exp(σ 2 ) − 1) exp(2μ + σ 2 )
Lognormal2 (m, s): the density function of this distribution is given by:
1 −
(ln(x)−μ)2
f (x) = e 2σ 2 , with x, σ > 0
xσ 2π
We have:
μ = ln(m) − ln(1 + s2 /m2 )/2 and σ 2 = ln(1 + s2 /m2 )

And:
E(X) = m and V (X) = s2

This distribution is just a reparametrization of the Lognormal distribution.
Normal (μ, σ) : the density function of this distribution is given by:
1 (x−μ)2
f (x) = e− 2σ2 , with σ > 0
σ 2π
We have E(X) = μ and V (X) = σ 2
Standard normal: the density function of this distribution is given by:
1 − x22
f (x) = e
2π
We have E(X) = 0 and V (X) = 1
This distribution is a special case of the normal distribution with μ = 0 and σ = 1
Pareto (a, b): the density function of this distribution is given by:
aba
f (x) = , with a, b > 0 with x ≥ b
xa+1
ab2
We have E(X) = ab/(a − 1) with V (X) = ((a−1)2 (a−2))

The Pareto distribution, named after the Italian economist Vilfredo Pareto (1848-1923), is also
known as the Bradford distribution. This distribution was initially used to represent the
distribution of wealth in society, with Pareto's principle that 80% of the wealth was owned by
20% of the population.
PERT (a, m, b): the density function of this distribution is given by:
1 (x − a)α−1 (b − x)β−1
f (x) = , with α, β > 0, x ∈ [a, b]
B(α, β) (b − a)α+β−1
Γ(α)Γ(β)
a, b ∈ R with B(α, β) =
Γ(α + β)
4m + b − 5a
α=
b−a
5b − a − 4m
β=
b−a
We have E(X) = (b − a)α/(α + β) with V (X) = (b −

a) αβ/ ((α + β + 1) (α + β)2 ))
2
The PERT distribution is a special case of the beta4 distribution. It is defined by its definition
interval [a, b] and m the most likely value (the mode). PERT is an acronym for Program
Evaluation and Review Technique, a project management and planning methodology. The
PERT methodology and distribution were developed during the project held by the US Navy and
Lockheed between 1956 and 1960 to develop the Polaris missiles launched from submarines.
The PERT distribution is useful to model the time that is likely to be spent by a team to finish a
project. The simpler triangular distribution is similar to the PERT distribution in that it is also
defined by an interval and a most likely value.
Poisson (λ): the density function of this distribution is given by:
exp(−λ)λx
P (X = x) = , with x ∈ N with λ > 0
x!
We have E(X) = λ with V (X) = λ
Poisson's distribution, discovered by the mathematician and astronomer Siméon- Denis Poisson
(1781-1840), pupil of Laplace, Lagrange and Legendre, is often used to study queuing
phenomena.
Student (df ) : the density function of this distribution is given by:
Γ((df + 1/2))
f (x) = (1 + x2 /df )−(df +1)/2 , with df > 0
πdf Γ(df /2)

We have E(X) = 0 if df > 1 with V (X) = df /(df − 2) if df > 2
The English chemist and statistician William Sealy Gosset (1876-1937), used the nickname
Student to publish his work, in order to preserve his anonymity (the Guinness brewery forbade
its employees to publish following the publication of confidential information by another
researcher). The Student’s t distribution is the distribution of the mean of df variables standard
normal variables. When df = 1, Student's distribution is a Cauchy distribution with the
particularity of having neither expectation nor variance.
Trapezoidal (a, b, c, d): the density function of this distribution is given by:
⎧
⎪
⎪
2(x−a)
⎪
f (x) = , x ∈ [a, b]
⎪
⎪
(d+c−b−a)(b−a)
⎪
⎪
⎪
⎪
⎪
⎪
⎪
2
⎪
f (x) = (d+c−b−a) , x ∈ [b, c]
⎪
⎪
⎪
⎨ f (x) = 2(d−x)
(d+c−b−a)(d−c) , x ∈ [c, d]
⎪
⎪
⎪
⎪
⎪
⎪
⎪
⎪
⎪
⎪
f (x) = 0, x < a, x>d
⎪
⎪
⎪
⎪
⎪
⎪
⎩ with a < b < c < d
d2 +c2 −b2 −a2 +cd−ab (c+d)(c2 +d2 )−(a+b)(a2 +b2 )

We have E(X) = 3(d+c−b−a) with V (X) = 6(d+c−b−a) − E 2 (X)
This distribution is useful to represent a phenomenon for which we know that it can take values
between two extreme values (a and d), but that it is more likely to take values between two
values (b and c) within that interval.
Triangular (a, m, b): the density function of this distribution is given by:
⎧
⎪
⎪
2(x−a)
⎪
f (x) = (b−a)(m−a) , x ∈ [a, m]
⎪
⎪
⎪
⎪
⎪
⎪
⎪
⎪ f (x) = 2(b−x)
(b−a)(b−m) , x ∈ [m, b]
⎨
⎪
⎪
⎪
⎪
⎪
f (x) = 0, x < a, x<b
⎪
⎪
⎪
⎪
⎪
⎪
⎩ with a < m < b
We have E(X) = (a + m + b)/3 with V (X) = (a2 + m2 + b2 − ab − am − bm)/18
TriangularQ (q1 , m, q2 , p1 , p2 ): the density function of this distribution is a

reparametrization of the Triangular distribution. A first step requires estimating the a and b
parameters of the triangular distribution, from the q1 and q2 quantiles to which

percentages p1 and p2 correspond. Once this is done, the distribution functions can be
computed using the triangular distribution functions.
Uniform (a, b): the density function of this distribution is given by:
1
f (x) = , with b > a with x ∈ [a, b]
b−a
We have E(X) = (a + b)/2 with V (X) = (b − a)2 /12
The uniform (0,1) distribution is much used for simulations. As the cumulative distribution
function of all the distributions is between 0 and 1, a sample taken in a Uniform (0,1) distribution
is used to obtain random samples in all the distributions for which the inverse can be calculated.
Uniform discrete (a, b): the density function of this distribution is given by:
1
P [X = x] = , with (a, b, x) ∈ N3 , x ∈ [a, b]
b−a+1
We have E(X) = (a + b)/2 with V (X) = [(b − a + 1)2 − 1]/12
The uniform discrete distribution corresponds to the case where the uniform distribution is
restricted to integers.
Weibull (β): the density function of this distribution is given by:
f (x) = βxβ−1 exp(−xβ ), with x > 0 with β > 0
We have E(X) = Γ( β1 + 1) with V (X) = Γ( β2 + 1) − Γ2 ( β1 + 1)
β is the shape parameter for the Weibull distribution.
Weibull (β, γ): the density function of this distribution is given by:
β x β−1 −( xγ )β
f (x) = ( ) e , with x > 0, with β, γ > 0
γ γ
We have E(X) = γΓ ( β1 + 1) with V (X) = γ 2 [Γ ( β2 + 1) − Γ2 ( β1 + 1)]
β is the shape parameter of the distribution and γ the scale parameter. When β = 1, the
Weibull distribution is an exponential distribution with parameter 1/γ .
Weibull (β, γ, μ): the density function of this distribution is given by:
β x − μ β−1 −( x−μ
f (x) = ( )
β
e γ ) , with x > μ, with β, γ > 0
γ γ
We have E(X) = μ + γΓ ( β1 + 1) with V (X) = γ 2 [Γ ( β2 + 1) − Γ2 ( β1 + 1)]

The Weibull distribution, named after the Swede Ernst Hjalmar Waloddi Weibull (1887-1979), is
much used in quality control and survival analysis. β is the shape parameter of the distribution
and γ the scale parameter. When β = 1 and μ = 0, the Weibull distribution is an exponential
distribution with parameter 1/γ .
Dialog box
Theoretical distribution: Activate this option to sample data in a theoretical distribution. Then
choose the distribution and enter any parameters required by the distribution.
Empirical Distribution: Activate this option to sample data in an empirical distribution. Then
select the data required to build the empirical distribution.
Column labels: Activate this option if the first row of the selected data (data and weights)
contains a label.
Weights: Activate this option if the observations are weighted. Weights must be greater than or
equal to 0. If a column header has been selected, check that the "Column labels" option is
activated.
Number of samples: Enter the number of samples to be generated.
Sample size: Enter the number of values to generate for each of the samples.

Display the report header: Deactivate this option if you want the table of sampled values to
start from the first row of the Excel worksheet (situation after output to a worksheet or workbook)
and not after the report header.
Example
An example showing how to generate a random normal sample is available on the Addinsoft
website:
http://www.xlstat.com/demo-norm.htm
References
Abramowitz M. & I.A. Stegun (1972). Handbook of Mathematical Functions. Dover
Publications, New York, 925-964.
El-Shaarawi A.H., Esterby E.S. and Dutka B.J (1981). Bacterial density in water determined
by Poisson or negative binomial distributions. Applied an Environmental Microbiology, 41 (1).
107-116.
Fisher R.A. and Tippett H.C. (1928). Limiting forms of the frequency distribution of the smallest
and largest member of a sample. Proc. Cambridge Phil. Soc., 24, 180-190.
Gumbel E.J. (1941). Probability interpretation of the observed return periods of floods. Trans.
Am. Geophys. Union, 21, 836-850.
Jenkinson A. F. (1955). The frequency distribution of the annual maximum (or minimum) of
meteorological elements. Q. J. R. Meteorol. Soc., 81, 158-171.
Perreault L. and Bobée B. (1992). Loi généralisée des valeurs extrêmes. Propriétés
mathématiques et statistiques. Estimation des paramètres et des quantiles XT de période de
retour T. INRS-Eau, rapport de recherche no 350, Québec.
Weibull W. (1939). A statistical theory of the strength of material. Proc. Roy. Swedish Inst. Eng.
Res. 151 (1), 1-45.

Variables transformation
Use this tool to quickly apply simple transformations to a set of variables.
In this section:
Dialog box
Example
References
Dialog box
The dialog box is divided into several tabs that correspond to a variety of options ranging from
the selection of data to the display of results. You will find below the description of the various
elements of the dialog box.
: Click these buttons to change the way XLSTAT handles the data. If the arrow points
down, XLSTAT considers that rows correspond to observations and columns to variables. If the
arrow points to the right, XLSTAT considers that rows correspond to variables and columns to
observations.
General tab:
Data: Select the data in the Excel worksheet. If headers have been selected, check that the
"Column labels" option has been activated.
Column labels: Activate this option if the first row of the selected data (data and coding table)
contains a label.
Observation labels: Check this option if you want to use the observation labels. If you do not
check this option, labels will be created automatically (Obs1, Obs2, etc.). If a column header
has been selected, check that the "Column labels" option has been activated.
Preparing data 39 Variables transformation

Display the report header: Deactivate this option if you want the results table to start from the
first row of the Excel worksheet (situation after output to a worksheet or workbook) and not after
the report header.
Transformation: Choose the transformation to apply to the data.
Standardize (n-1): Choose this option to standardize the variables using the unbiased
standard deviation.
Other: Choose this option to use another transformation. Then click on the
"Transformations" tab to choose the transformation to apply.
Transformations tab:
Standardize (n): Choose this option to standardize the variables using the biased standard
deviation.
Center: Choose this option to center the variables.
/ Standard deviation (n-1): Choose this option to divide the variables by their unbiased
standard deviation.
/ Standard deviation (n): Choose this option to divide the variables by their biased standard
deviation.
Rescale from 0 to 1: Choose this option to rescale the data from 0 to 1.
Rescale from 0 to 100: Choose this option to rescale the data from 0 to 100.
Binarize (0/1): Choose this option to convert all values that are not 0 to 1, and leave the 0s
unchanged.
Sign (-1/0/1): Choose this option to convert all values that are negative to -1, all positive values
to 1, and leave the 0s unchanged.
Arcsin: Choose this option to transform the data to their arc-sine.
Box-Cox transformation: Activate this option to improve the normality of the sample; the Box-
Cox transformation is defined by the following equation:

Yt = {
Xtλ −1
λ
, (Xt > 0, λ = 0) ou (Xt ≥ 0, λ > 0)
ln(Xt ), Xt > 0, λ = 0
XLSTAT accepts a fixed value of l, or it can find the value that maximizes the likelihood of the
sample, assuming the transformed sample follows a normal distribution.
Winsorize: Choose this transformation to remove data that are not within an interval defined by
two percentiles: let p1 and p2 be two values comprised between 0 and 1, such that p1<p2. If a
value x from the sample is lower than q1, the quantile that corresponds to p1 obtained from the
sample, or greater than q2 the quantile that corresponds to p2, then the value is transformed to
q1 in the first case, or to q2 in the second case.
Johnson transformation: Choose the Johnson transformation to transform your data to follow
a normal distribution. The selection of the distribution and the estimation of the parameters is
performed using the approach described by Chou et al. (1998). You can select the normality test
that is used to identify the best transformation together with the significance level.
Missing data tab:
Do not accept missing data: Activate this option so that XLSTAT prevents the computations
from continuing if missing data have been detected.
Remove observations: Activate this option to remove the observations that contain missing
data.
Ignore missing data: Activate this option to ignore missing data.
Estimate missing data: Activate this option to estimate the missing data by using the mean of
the variables.
Example
An example of a Johnson transformation is available on the Addinsoft website:
http://www.xlstat.com/demo-johnsonEN.htm
References
Chou Y-M, Polansky A. M. and Mason R.L. (1998). Transforming Non-Normal Data to
Normality in Statistical Process Control. Journal of Quality Technology, 30:2, 133-141
Johnson N. L. (1949). Systems of frequency curves generated by methods of translation.

Biometrika, 36, 149-176.

Missing data
Use this tool to treat missing values prior to using other XLSTAT analyses.
In this section:
Description
Dialog box
Results
Example
References
Description
Most XLSTAT functions include options to handle missing data. However, only few approaches
are available. This tool allows you to complete or clean your dataset using advanced missing
value treatment methods.
There are three types of missing values (Allison, 2001): data missing completely at random
(MCAR), data missing at random (MAR) and data not missing at random (NMAR).
Data is missing completely at random (MCAR) if the event that leads to a missing data is
independent of observable variables and of unobservable parameters. It should occur entirely at
random. When data are MCAR, the analyses performed on the data are unbiased.
Data is missing at random (MAR) when the event that leads to a missing data is related to a
particular variable, but it is not related to the value of the variable that has missing data. This is
the most common case.
Data is not missing at random (NMAR) when data is missing for a particular reason. An example
of this is the filtered questions in a questionnaire (the question is only intended for some
respondents, the others are missing)
The methods available in this tool correspond to the MCAR and MAR cases.
Different methods are available depending on your needs and data:
For quantitative data, XLSTAT allows you to:
Remove observations with missing value.
Use a mean imputation method.
Use a nearest neighbor approach.
Use the NIPALS algorithm.
Preparing data 42 Missing data

Use an MCMC multiple imputation algorithm.
For qualitative data, XLSTAT allows you to:
Remove the observations with missing value.
Use a mode imputation method.
Use a nearest neighbor approach.
NIPALS algorithm
The NIPALS method is a method presented by H. Wold (1973) to allow principal component
analysis with missing values. The NIPALS algorithm is applied on the dataset and the obtained
PCA model is used to predict the missing values.
Multiple imputations
XLSTAT proposes a multiple imputation algorithm based on the Markov Chain Monte Carlo
(MCMC) approach also called fully conditional specification (Van Buulen, 2007).
The algorithm works as follows:
1. Initial values of the missing values are obtained sampled from a normal distribution with
mean and standard error equal to the mean and standard error obtained on available
data.
2. For each variable of the dataset with missing values, an imputation method based on
sampling and OLS regression is applied. The used model is a regression model with the
studied variable as dependent variable and all the other variables as independent
variables. Disturbance using data sampled from different distributions are also used. New
imputed values are obtained using this model.
These two steps are repeated until the number of imputation is reached. The average value of
each imputed missing value is taken.
Dialog box

observations.
General tab:
Data: Select your dataset. If a column header has been selected, check that the "Variable
labels" option has been activated.
Type of data: Select the type of data you wish to complete.
Method: Select the method for missing data treatment to be used.
Number of imputations: If you selected the multiple imputation method, enter the number of
imputation to be used.
Workbook: Activate this option to display the options in a new workbook.
Variable labels: Activate this option if the first row (column mode) or first column (rows mode)
of the selected data contain labels.
Weights: Activate this option if you want to carry out a weighted least squares regression. If you
do not activate this option, the weights will be considered as 1. Weights must be greater than or
equal to 0. If a column header has been selected, check that the "Variable labels" option is
activated.
Outputs tab:

Descriptive statistics: Activate this option to display descriptive statistics for the selected
samples before and after imputation.
Results
The first table displays the descriptive statistics associated with the data. If an imputation
method has been applied, a second descriptive statistics table will appear with the statistics
associated with the data after imputation.
Then, the data table is displayed. Imputed missing values are shown in bold.
Example
An example showing how to run apply the multiple imputation method is available at:
http://www.xlstat.com/demo-missing.htm
References
Allison P. D. (Ed.). (2001). Missing data (No. 136). Sage.
Schafer J. L. (1997). Analysis of Incomplete Multivariate Data. London: Chapman and Hall.
Van Buuren S. (2007). Multiple imputation of discrete and continuous data by fully conditional
specification. Statistical Methods in Medical Research, 16, 219–242.
Wold H. (1973). Non-linear Iterative PArtial Least Squares (NIPALS) modelling. Some current
developments. In: P.R. Krishnaiah (Ed.), Multivariate Analysis III, Academic Press, New York,
383-407.

Raking a survey
Use this tool to compute raking weights using supplementary qualitative variables.
In this section:
Description
Dialog box
Results
Example
References
Description
When working on surveys, on might need to rake the surveyed sample. That often means
looking for raking weights. Sometime, a survey sample may cover a segment of the population
with different proportions than in the population itself. The basic idea is to find weights applied to
the observations that will give the same proportions in the survey sample as in the population.
To do that, we need to use auxiliary variables that are measured both on the survey sample and
on the population.
XLSTAT provides four methods for calculating adjustment weights, including the raking ratio
method (Deming and Stefan, 1940).
Let's consider a sample of size n from a population with a known size N . A survey is conducted
on this sample by including a certain number of auxiliary variables whose distribution over the
global population is known. The adjustment methods will allow for iterative algorithms to find the
appropriate weights so that the sample "looks like" the population.
The four methods available in XLSTAT are:
The raking ratio method.
The logit method: It is close to the raking ratio but lower and upper bounds for the weights
are used. These bounds have to be specified by the user.
The linear method.
The truncated linear method: It is the linear method with bounds for the final weights.
The weights are calculated using an algorithm called the generalized raking procedure
developed by Deville, Särndall and Sautory (1993). The difference from one method to another
is the function to be optimized.
Preparing data 46 Raking a survey

Raking weights computation
XLSTAT lets you use four methods to obtain raking weights. Classical raking ratio is one of
them.
Let S be a sample with n observations and p qualitative variables called auxiliary. Let xij be
the value of the ith observation for j th variable. Let Xj be the marginal control totals in the
population for the j th variable. Let di be the initial weights before raking and wi the final
weights after raking.
We are looking for weights wi close to di satisfying the following equations:

n
∑ wk xkj = Xj ∀j = 1, … , p
k=1
We choose a distance function G(u) with u = wk /dk , where this function has to be convex
and positive. We have an optimization problem that can be solved using Lagrange multipliers
method (λ).
The problem is the following:

n
min ∑ dk G(Wk /dk )
wk
k=1
n
s.c. ∑ wk xk = X
k=1
With Lagrangian equal to:

n n
L = ∑ dk G(Wk /dk ) − λ (∑ wk xk − X)
′
k=1 k=1
We have:
wk = dk F (x′k λ)
n
∑ dk F (x′k λ)xk = X
k=1
With:
dG(u)
F (u) = g −1 (u) with g(u) =
du
A numerical method like Newton’s method can be used to solve this problem.
The F() functions are:
- For the raking ratio method, we have:

F (u) = exp(u)
- For the logit method, we have (with a lower bound L and an upper bound U ):
F (u) = L(UU −1)+U (1−L) exp(Au)

−1+(1−L) exp(Au)
U −L
A = (1−L)(U −1)
- For the linear method, we have:
F (u) = 1 + u
- For the truncated linear method, we have:
F (u) = 1 + u ∈ [L; U ]
The algorithm is iterative and continues until the resulting weights are stable using the following
criterion:
∣ w(i+1) wk(i) ∣∣
n ∣ k
max ∣ − ∣<ϵ
k=1 ∣ dk dk ∣
∣ ∣
Dialog box
observations.
General tab:

Data to be raked on: Select the auxiliary qualitative variables. If headers have been selected,
check that the "Sample labels" option has been activated.
Marginal control totals: Select the marginal control totals for all the variables to be raked on.
They should be represented in column with one row for each modality of the qualitative variable.
Each column should sum to the same total. Columns have to be selected in the same orders as
the variables to be raked on.
Format:
Values: Activate this option if the marginal control totals represent real value in the global
population.
Percentages: Activate this option if the marginal control totals are percentages of the
global population. If this option is selected, you have to indicate the population size.
Sample labels: Activate this option if the first row of the selected data (data, sub-samples,
weights) contains a label.
Initial weights: Check this option if the observations are initially weighted. If you do not check
this option, the weights will be considered as N /n. Weights must be greater than 0. If a column
header has been selected, check that the "Sample labels" option is activated.
Options tab:
Estimation method: Select the method you want to use. For logit and truncated linear, you
have to give the bounds (lower bound < 1 and upper bound
1).
Stop conditions:
Iterations: Enter the maximum number of iterations for the algorithm. The calculations are
stopped when the maximum number of iterations has been exceeded. Default value: 50.

Convergence: Enter the maximum value of the evolution in the convergence criterion
from one iteration to another which, when reached, means that the algorithm is
considered to have converged. Default value: 0.00001.
Missing data tab:
Remove observations: Activate this option to ignore the observations that contain missing
data.
Estimate missing data: Activate this option to estimate the missing data by using the mode of
the variables.
Outputs tab:
Descriptive statistics: Activate this option to display the descriptive statistics of the sample
before and after raking.
Show data in output: Activate this option to display the initial auxiliary variable in the final
weights table.
Weights ratio: Activate this option to display the weights ratio for each observation in the final
weights table.
List of combines: Activate this option to display the table with the list of all combines of the
modalities and their associated frequency and weights ratio.
Details of iterations: Activate this option to display the table with the details for each iteration
of the algorithm (Lagrange multipliers and stopping criterion).
Results
Summary statistics (before raking): This table displays for each modality of the auxiliary
variables, the frequency and the percentages in the sample and in the population using
marginal control totals.
Final weights: This table displays final raked weights. If the corresponding options are
selected, initial data and weights ratios are also displayed.
Summary statistics (after raking): This table displays for each modality of the auxiliary
variables, the frequency and the percentages in the sample with final weighting, and in the
population using marginal control totals.
List of combines: This table displays all the combines of the modalities of the auxiliary
variables with their frequency and their weights ratio.
Details of iterations: This table displays the details for each iteration with the Lagrange
multipliers and the stopping criterion.
Example

An example showing how to rake a sample is available on the Addinsoft website at:
http://www.xlstat.com/demo-raking.htm
References
Deming W.E. and Stephan F.F. ( 1940). On a least squares adjustment of a sampled frequency
table when the expected marginal totals are known. Annals of Mathematicals Statistics, 11, 427-
444.
Deville, J.-C., Särndal, C.-E. and Sautory, O. (199 3). Generalized raking procedures in
survey sampling. Journal of the American Statistical Association, vol. 88, no. 418, 376-382.

Create a contingency table
Use this tool to create a contingency table from two or more qualitative variables. A chi-square
test is optionally performed.
In this section:
Description
Dialog box
Example
Description
A contingency table is an efficient way to summarize the relation (or correspondence) between
two categorical variables V1 and V2. It has the following structure:
V1 \ V2 Category 1 … Category j … Category m2
Category 1 n(1, 1) n(1, j) … n(1, m2 )

… … … … … …
Category i n(i, 1) … n(i, j) … n(i, m2 )
… … … … … …
Category m1 n(m1 , 1) … n(m1 , j) … n(m1 , m2 )
where n(i, j) = nij is the frequency of observations that show both characteristic i for
variable V1 , and characteristic j for variable V2 .
To create a contingency table from two qualitative variables V1 and V2 , the first transformation
consists of recoding the two qualitative variables V1 and V2 as two disjunctive tables Z1 and
Z2 or indicator (or dummy) variables. For each category of a variable there is a column in the
respective disjunctive table. Each time the category c of variable V1 occurs for an observation i,
the value of Z1 (i, c) is set to one (the same rule is applied to the V2 variable). The other values
of Z1 and Z2 are zero. The contingency table of the two variables is the table Z1′ Z2 (where ‘
indicates matrix transpose).
The Chi-square distance has been suggested to measure the distance between two categories.
The Pearson chi-square statistic, which is the sum of the Chi- square distances, is used to test
the independence between rows and columns. Is has asymptotically a Chi-square distribution
with (m1 − 1)(m2 − 1) degrees of freedom.
Inertia is a measure inspired from physics that is often used in Correspondence Analysis, a
method that is used to analyse in depth contingency tables. The inertia of a set of points is the
weighted mean of the squared distances to the center of gravity. In the specific case of a
Preparing data 52 Create a contingency table

contingency table, the total inertia of the set of points (one point corresponds to one category)
can be written as:
m1 m2 2
χ2 ( nnij − ni.nn2 .j ) m2 m1
2
ϕ = = ∑∑ ni. n.j , with ni. = ∑ nij and n.j = ∑ nij
n i=1 j=1 n 2
j=1 j=1
where n is the sum of the frequencies in the contingency table. We can see that the inertia is
proportional to the Pearson chi-square statistic computed on the contingency table.
Dialog box
observations.
General tab:
Row variable(s): Select the data that correspond to the variable(s) that will be used to construct
the rows of the contingency table(s).
Column variable(s): Select the data that correspond to the variable(s) that will be used to
construct the columns of the contingency table(s).

Variable labels: Activate this option if the first row of the data selections (row and column
variables, weights) includes a header.
Weights: Activate this option if the observations are weighted. If you do not activate this option,
the weights will be considered as 1. Weights must be greater than or equal to 0. If a column
header has been selected, check that the "Variable labels" option is activated.
Options tab:
Sort categories alphabetically: Activate this option so that the categories of all the variables
are sorted alphabetically.
Variable-Category labels: Activate this option to create the labels of the contingency table
using both the variable name of the name of the categories. If the option is not activated, the
labels are only based on the categories.
Chi-square test: Activate this option to display the statistics and the interpretation of the Chi-
square test of independence between rows and columns.
Significance level (%): Enter the significance level for the test.
Missing data tab:
data.
Group missing values into a new category: Activate this option to group missing data into a
new category of the corresponding variable.
Outputs tab:
List of combines: Activate this option to display the table that lists all the possible combines
between the two variables that are used to create a contingency table, and the corresponding
frequencies.
Contingency table: Activate this option to display the contingency table.
Inertia by cell: Activate this option to display the inertia for each cell of the contingency table.
Chi-square by cell: Activate this option to display the contribution to the chi-square of each cell
of the contingency table.
Significance by cell: Activate this option to display a table indicating, for each cell, if the actual
value is equal (=), lower (<) or higher (>) than the theoretical value, and to run a test (Fisher’s

exact test of on a 2 × 2 table having the same total frequency as the complete table, and the
same marginal sums for the cell of interest), in order to determine if the difference with the
theoretical value is significant or not.
Observed frequencies: Activate this option to display the table of the observed frequencies.
This table is almost identical to the contingency table, except that the marginal sums are also
displayed.
Theoretical frequencies: Activate this option to display the table of the theoretical frequencies
computed using the marginal sums of the contingency table.
Proportions or percentages / Row: Activate this option to display the table of proportions or
percentages computed by dividing the values of the contingency table by the marginal sums of
each row.
Proportions or percentages / Column: Activate this option to display the table of proportions
or percentages computed by dividing the values of the contingency table by the marginal sums
of each column.
Proportions or percentages / Total: Activate this option to display the table of proportions or
percentages computed by dividing the values of the contingency table by the sum of all the cells
Charts tab:
3D view of the contingency table: Activate this option to display the 3D bar chart
corresponding to the contingency table.
Example
An example showing how to create a contingency table is available on the Addinsoft website:
http://www.xlstat.com/demo-cont.htm

Full disjunctive tables
Use this tool to create a full disjunctive table from one or more qualitative variables.
In this section:
Description
Dialog box
Example
Description
A disjunctive table is a drill-down of a table defined by n observations and q qualitative variables
into a table defined by n observations and p indicators where p is the sum of the numbers of
categories of the q variables: each variable Q(j) is broken down into a sub-table with q(j)
columns where column k contains 1's for observations corresponding to the k'th category and 0
for the other observations.
Dialog box
"Variable labels" option has been activated.
Variable labels: Check this option if the first line of the selected data contains a label.
Observation labels: Check this option if you want to use the available line labels. If you do not
check this option, line labels will be created automatically (Obs1, Obs2, etc.). If a column header
has been selected, check that the "Variable labels" option has been activated.
Preparing data 56 Full disjunctive tables

variables.
Display the report header: Deactivate this option if you want the full disjunctive table to start
from the first row of the Excel worksheet (situation after output to a worksheet or workbook) and
not after the report header.
Example
Input table:
Q1 Q2
Obs1 A C
Obs2 B D
Obs3 B E
Obs4 A D
Full disjunctive table:
Q1-1 Q1-B Q2-C Q2-D Q2-E

Obs1 1 0 1 0 0
Obs2 0 1 0 1 0
Obs3 0 1 0 0 1
Obs4 1 0 0 1 0
Preparing data 57 Full disjunctive tables

Discretization
Use this tool to discretize a numerical variable. Several discretization methods are available.
In this section:
Description
Dialog box
Results
Example
References
Description
Discretizing a numerical variable means transforming it into an ordinal variable. This process is
used a lot in marketing where it is often referred to as segmentation.
XLSTAT makes available several discretization methods that are more or less automatic. The
number of classes (or intervals, or segments) to generate is either fixed by the user (for
example with the method of equal ranges), or by the method itself (for example, with the 80-20
option where two classes are created).
The Fisher’s classification algorithm can be very slow when the size of dataset exceeds 1000.
This method generates a number of classes that is lower or equal to the number of classes
requested by the user, as the algorithm is able to automatically merge similar classes.
Dialog box
Preparing data 58 Discretization

down, XLSTAT considers that rows correspond to observations and columns to samples. If the
arrow points to the right, XLSTAT considers that rows correspond to samples and columns to
observations.
General tab:
Observations/variables table: Select a table comprising N objects described by P descriptors.

If column headers have been selected, check that the "Variable labels" option has been
activated.
Method: Select the discretization method:
Constant range: Choose this method to create classes that have the same range. Then
enter the value of the range. You can optionally specify the "minimum" that corresponds to
the lower bound of the first interval. This value must be lower or equal to the minimum
value of the series. If the minimum is not specified, the lower bound will be set to the
minimum value of the series.
Intervals: Use this method to create a given number of intervals with the same range.
The, enter the number of intervals. The range of the intervals is determined by the
difference between the maximum and minimum values of the series. You can optionally
specify the "minimum" that corresponds to the lower bound of the first interval. This value
must be lower or equal to the minimum value of the series. If the minimum is not
specified, the lower bound will be set to the minimum value of the series.
Equal frequencies: Choose this method so that all the classes contain as much as
possible the same number of observations. Then, enter the number of intervals (or
classes) to generate.
Automatic (Fisher): Use this method to create the classes using the Fisher’s algorithm.
When the size of dataset exceeds 1000, the computations can be very slow. You need to
enter the number of intervals (or classes) to generate. However; this method generates a
number of classes that is lower or equal to the number of classes required by the user, as
the algorithm is able to automatically merge similar classes.
Automatic (k-means): Choose this method to create classes (or intervals) using the k-
means algorithm. Then, enter the number of intervals (or classes) to generate.
Intervals (user defined): Choose this option to select a column containing in increasing
order the lower bound of the first interval, and the upper bound of all the intervals.
80-20: Use this method to create two classes, the first containing the 80 first % of the
series, the data being sorted in increasing order, the second containing the remaining
20%.
20-80: Use this method to create two classes, the first containing the 20 first % of the
series, the data being sorted in increasing order, the second containing the remaining

80%.
80-15-5 (ABC): Use this method to create two classes, the first containing the 80 first % of
the series, the data being sorted in increasing order, the second containing the next 15%,
and the third containing the remaining 5%. This method is sometimes referred to as "ABC
classification".
5-15-80: Use this method to create two classes, the first containing the 5 first % of the
series, the data being sorted in increasing order, the second containing the next 15%, and
the third containing the remaining 80%.
Sheet: Activate this option to display the results in a new worksheet in the active workbook.
Display the report header: Deactivate this option if you do not want to display the report
header.
Options tab:
Weights: Check this option if the observations are weighted. If you do not check this option, the
weights will be considered as 1. Weights must be greater than or equal to 0. If a column header
has been selected, check that the "Variable labels" option is activated.
Standardize the weights: if you check this option, the weights are standardized such that
their sum equals the number of observations.
Missing data tab:
Do not accept missing data: Activate this option so that XLSTAT does not continue
calculations if missing values have been detected.
Remove observations:
For the corresponding sample: Activate this option to ignore an observation which has
a missing value only for the variables that have a missing value.

For all samples: Activate this option to ignore an observation which has a missing value
for all selected variables.
the variable.
Outputs tab:
Descriptive statistics: Activate this option to display descriptive statistics for the variables
selected.
Centroids: Activate this option to display the table of centroids of the classes.
Central objects: Activate this option to display the coordinates of the nearest object to the
centroid for each class.
Results by class: Activate this option to display a table giving the statistics and the objects for
each of the classes.
Results by object: Activate this option to display a table giving the class each object is
assigned to in the initial object order.
Charts tab:
Histograms: Activate this option to display the histograms of the samples. For a theoretical
distribution, the density function is displayed.
Bars: Choose this option to display the histograms with a bar for each interval.
Continuous lines: Choose this option to display the histograms with a continuous line.
Cumulative histograms: Activate this option to display the cumulated histograms of the
samples.
Based on the histogram: Choose this option to display cumulative histograms based on
the same interval definition as the histograms.
Empirical cumulative distribution: Choose this option to display cumulative histograms

which actually correspond to the empirical cumulative distribution of the sample.
Ordinate of the histograms: Choose the quantity to be used for the histograms: density,
frequency or relative frequency.
Results

Summary statistics: This table displays for the selected variables, the number of observations,
the number of missing values, the number of non- missing values, the mean and the standard
deviation.
A histogram and the corresponding empirical cumulative distribution function are

displayed if the corresponding options are activated. The statistics of the intervals are then
displayed.
Class centroids: This table shows the class centroids for the various descriptors.
Distance between the class centroids: This table shows the Euclidean distances between the
class centroids for the various descriptors.
Central objects: This table shows the coordinates of the nearest object to the centroid for each
class.
Distance between the central objects: This table shows the Euclidean distances between the
class central objects for the various descriptors.
Results by class: The descriptive statistics for the classes (number of objects, sum of weights,
within-class variance, minimum distance to the centroid, maximum distance to the centroid,
mean distance to the centroid) are displayed in the first part of the table. The second part shows
the objects.
Results by object: This table shows the assignment class for each object in the initial object
order.
Example
An example showing how to discretize data is available on the Addinsoft website:
http://www.xlstat.com/demo-disc.htm
References
Arabie P., Hubert L.J. and De Soete G. (1996). Clustering and Classification. Wold Scientific,
Singapore.
Everitt B.S., Landau S. and Leese M. (2001). Cluster Analysis (4th edition). Arnold, London.
Fisher W.D. (1958). On grouping for maximum homogeneity. Journal of the American Statistical
Association, 53, 789-798.

Data management
Use this tool to manage tables of data. Eight functions are included in this tool: deduping,
grouping, joining (inner and outer), filtering (keep and remove), stacking (and unstacking).
These features are common in databases, but are not included in Excel.
In this section:
Description
Dialog box
Description
Deduping
It is sometimes necessary to dedupe a table. Some observations might be mistakenly

duplicated (or repeated) when they come from different sources, or because of input errors.
Grouping
Grouping is useful when you want to aggregate data. For example, imagine a table that
contains all your sales records (one column with the customer id, and one with the sales value),
that you want to transform to obtain one record per customer and the corresponding sum of
sales. XLSTAT allows you to aggregate the data and to obtain the summary table within
seconds. The sum is only one of the several available possibilities.
Joining
Joining is common task in database management. It allows to merge two tables "horizontally"
on the basis of a common information named the "key". For example, imagine you measured
some chemical indicators on 150 sites. Then you want to add geographical information on the
sites where the data were collected. Your geographical table contains information on 1000 sites,
including the 150 sites of interest. In order to avoid the tedious work of manually merging the
two tables, a join will allow you to obtain within seconds the merged table that includes both the
collected data and the geographical information.
One distinguishes two main types of joining:
Inner joins: the merged table includes only keys that are common to both input tables.
Outer joins: the merged table includes all keys that are available in the first, the second or
both input tables.
Filtering (Keep/Remove)
This tool allows you to select a table and create a new table that includes (Keep) or excludes
(Remove) the rows, for which the value in a given column, matches a value contained in a user
defined list.
Preparing data 63 Data management

Stack / Unstack
This tool enables you to transform a table organized with one column per group into a table with
two columns, one with the value of the variable and one with the associated group. The
opposite operation is also possible (unstack). That can be useful to transform data organized by
column into a dataset that can be easily used as input in an ANOVA model.
Dialog box
observations.
files .
General tab:
Data: This field is displayed if the selected method is "Dedupe", "Group","Filter" or "Stack".
Select the data that correspond to the table that you want to dedupe, to aggregate, to filter or to
stack.
Observation labels: This field is displayed only for the "Dedupe" method. Select the column
(column mode) or row (row mode) where the observations labels are available. If you do not

Table 1: This field is displayed if the data management method is "Join". Select the data that
correspond to the first input table to use in the join procedure.
Table 2: This field is displayed if the data management method is "Join". Select the data that
correspond to the second input table to use in the join procedure.
Guess types: this option is displayed only for the "Group" method. Activate this option if you
want that XLSTAT guesses the types of the variables of the selected table. If you uncheck this
option, XLSTAT will prompt you to confirm or modify the type of the variables.
Method: select the data management method to use:
Dedupe
Group
Join (Inner)
Join (Outer)
Filter (Keep)
Filter (Remove)
Stack
Unstack
Operation: This option is only available if the method is "Group". Select the operation to apply
to the data when aggregating them.
Range: Check this option if you want to display the results starting from a cell in an existing
Sheet: Check this option to display the results in a new worksheet in the active workbook.
Workbook: Check this option to display the results in a new workbook.
Variable labels: Check this option if the first row of the selected data (data and observation
labels) contains a label.
header.

Outputs tab:
This tab is only displayed if the selected method is "Dedupe" or "Group".
variables.
The following options are only displayed if the selected method is "Dedupe":
Deduped table: Activate this option to display the deduped table.
Frequencies: Activate this option to display in the last column of the deduped table, the
frequencies of each observation in the input table (1 corresponds to non-repeated
observations; values equal or greater than 2 correspond to duplicated observations).
Duplicates: Activate this option to display the duplicates that have been removed from the
original table in order to obtain the deduped table.
Missing data tab:
This tab is only displayed if the selected method is "Group".
Remove observations: Activate this option to remove the observations with missing data.

Text data cleaning
Use this tool to trim spaces to the left and/or right of strings, correct space repetitions or replace
strings.
In this section:
Dialog box
Results
Dialog box
General tab:
Data: Select data on the worksheet, in a list or from a file.
Trim spaces: Activate this option to trim spaces from text data.
Left: Activate this option to remove spaces at the beginning of the strings.
Right: Activate this option to remove spaces at the end of the strings.
Including \ : Activate this option to remove the '\ ' characteres (ASCII 160) that are typical
of texts imported from the internet.
Spaces between words: Activate this option to define the maximum number of spaces
between two words.
Replace: Activate this option to replace a text by another one.
Column labels: Check this option if the first row of the selected data contains a label.
header.
Results
The results are displayed at the desired location. The table contains the strings processed by
the methods chosen.
Preparing data 67 Text data cleaning

Coding
Use this tool to code or recode a table into a new table, using a coding table that contains the
initial values and the corresponding new codes.
In this section:
Dialog box
Example
Dialog box
Coding table: Select a two-column table that contains in the first column the initial values, and
in the second column the codes that will replace the values. If headers have been selected,
check that the "Column labels" option has been activated.
Column labels: Activate this option if the first row of the data selected (data and coding table)
contains a label.
Preparing data 68 Coding

the report header.
Example
An example showing how to recode data is available on the Addinsoft website:
http://www.xlstat.com/demo-code.htm
Preparing data 69 Coding

Presence/absence coding
Use this tool to convert a table of lists (or attributes) into a table of presences/absences showing
the frequencies of the various elements for each of the lists.
In this section:
Description
Dialog box
Example
Description
This tool is used, for example, to convert a table containing p columns corresponding to p lists
of objects into a table with p rows and q columns where q is the number of different objects
contained in the p lists, and where for each cell of the table, there is a 1 if the object is present
and a 0 if it is absent.
For example, in ecology, if we have p species measurements with, for each measurement, the
different species found in columns, we will obtain a two-way table showing the presence or
absence of each of the species for each of the measurements.
Dialog box
Column labels: Activate this option if the first row of the selected data contains a label.
Presence/absence coding by:
Rows: Choose this option if each row corresponds to a list.
Preparing data 70 Presence/absence coding

Columns: Choose this option if each column corresponds to a list.
the report header.
Example
Input table:
List 1 List 2
E1 E1 E2 E1 E3 E3 E1 E4
Presence/absence table:
E1 E2 E3 E4
List 1 1 1 1 0
List 2 1 0 1 1
Preparing data 71 Presence/absence coding

Coding by ranks
Use this tool to recode a table with n observations and p quantitative variables into a table
containing ranks, the latter being determined variable by variable.
In this section:
Description
Dialog box
Example
Description
This tool is used to recode a table with n observations and p quantitative variables into a table
containing ranks, the ranks being determined variable by variable. Coding in ranks lets you
convert a table of continuous quantitative variables into discrete quantitative variables if only the
order relationship is relevant and not the values themselves.
Two strategies are possible for taking tied values into account: either they are assigned to the
mean rank or they are assigned to the lowest rank of the tied values.
Dialog box
Preparing data 72 Coding by ranks

Take ties into account: Activate this option to take account of the presence of tied values and
adapt the rank of tied values as a consequence.
Mean ranks: Choose this option to replace the rank of tied values by the mean of the
ranks.
Minimum: Choose this option to replace the rank of tied values by the minimum of their
ranks.
Display the report header: Deactivate this option if you want the sampled table to start from
the first row of the Excel worksheet (situation after output to a worksheet or workbook) and not
after the report header.
Example
Initial table:
V1 V2
Obs1 1.2 12
Obs2 1.6 11
Obs3 1.2 10
Obs4 1.4 10.5
Recoded table (using mean ranks for ties):
R1 R2
Obs1 1.5 4
Obs2 4 3
Obs3 1.5 1
Obs4 3 2
Recoded table (using the lowest ranks for ties):

R1 R2
Obs1 1 4
Obs2 4 3
Obs3 1 1
Obs4 3 2

Import data file
Use this tool to load data from a text file into a computer's memory. This method gives you the
great advantage of using data which exceed the limits of an Excel worksheet.
In this section:
Description
Dialog box
Description
Sometimes, it is necessary to work with data which have been stored into a text file. It can
happen that this data cannot be imported into Excel due to volume constraints. To this end,
XLSTAT allows to load data in a computer's memory (currently, this tool is only available for one
functionnality, see Data management)
Dialog box
The dialog box is divided into two tabs including options ranging from data reading to file
encoding. You will find below the description of the various elements of the dialog box.
: Click this button to show a preview of the first ten columns of the file.
: Click this button to save the parameters used to read the file.
: Click this button to close the dialog box without saving the parameters.
General tab:
File path: this field defines the path where the data file is stored.
Format: select the file format:
CSV Files: This includes all data files written with *.csv extension.
Text Files: This includes all data files written with *.txt extension.
All Files: This includes all data files written with all extension.
Delimiter: this field defines the charater used to separate each column in the file.
Decimal separator: this field defines the separator used for numerical values.
Encoding: select the encoding type:
UTF-8: this encoding suggests that characters are written in 8 bits bytes. This
fonctionnality checks if UTF-8 encoding uses a BOM (Byte Order Mark) and removes it if
necessary.
Preparing data 75 Import data file

UTF-16: this encoding suggests that characters are written in 16 bits bytes. This
fonctionnality reads BOM (Byte Order Mark) and defines if it's a big-endian (BE) or little-
endian (LE) order. By default, if BOM doesn't exist, encoding is defined as a little-endian
order (LE).
Text qualifier: this field defines the text qualifier. The data file can contain complex element
such as elements composed by two words separated by a space. For example, SPACE chosen
as delimiter and a column title is "Word list". If the text qualifier ' " ' is defined, "Word list"
surrounded by quote will be see as a single element.
Variable labels: Check this option if the first row of the selected data (data and observation
labels) contains a label.
Observation labels: Check this option if the first column of the selected data contains an
observation label.
Options tab:
Start import at row: this field defines the row where XLSTAT starts reading the file. For
example, you can choose not to include the firsts N lines of your data.
Comment qualifier: this field defines the character which is used commenting. All elements on
the right of this character are ignored. Thus, a data file can containg comments without the
these being considered in the data reading. For example, some MAC users have the habit to
add a header with ' # ' character in their data in order to specify the generation date, author
name, ...
Detect format: Check this option in order to automatically fill the parameters each time a file
path is given.
Button Preview :
This button is used to show a preview window in which we can find every field of General tab
plus the Line(s) to show field which allows you to define the number of rows displayed in the
preview. It is possible to have a dynamic preview of the data while modifying the preview
parameters. To validate these parameters, click on the button .
Preparing data 76 Import data file

Describing data
Descriptive statistics and Univariate plots
Use this tool to calculate descriptive statistics and display univariate plots (Box plots,
Scattergrams, etc) for a set of quantitative and/or qualitative variables.
In this section:
Description
Dialog box
Example
References
Description
Before using advanced analysis methods like, for example, discriminant analysis or multiple
regression, you must first of all reveal the data in order to identify trends, locate anomalies or
simply have available essential information such as the minimum, maximum or mean of a data
sample.
XLSTAT offers you a large number of descriptive statistics and charts which give you a useful
and relevant preview of your data.
Although you can select several variables (or samples) at the same time, XLSTAT calculates all
the descriptive statistics for each of the samples independently.
Descriptive statistics for quantitative data:
Let's consider a sample made up of N items of quantitative data {y1 , y2 , … yN } whose

respective weights are {W1 , W2 , … WN }.
Number of observations: The number N of values in the selected sample.
Number of missing values: The number of missing values in the sample analyzed. In
the subsequent statistical calculations, values identified as missing are ignored. We define
n to be the number of non-missing values, and {x1 , x2 , … xn } to be the sub-sample of
non-missing values whose respective weights are {w1 , w2 , … wn }.
Sum of weights *: The sum of the weights, W. When all weights are 1, or when weights
are "standardized", W=n.
Describing data 77 Descriptive statistics and Univariate plots

Minimum: The minimum of the series analyzed.
Maximum: The maximum of the series analyzed.
Frequency of minimum *: The frequency of the minimum of the series.
Frequency of maximum *: The frequency of the maximum of the series.
Range: The range is the difference between the minimum and maximum of the series.
1st quartile *: The first quartile Q1 is defined as the value for which 25% of the values are
less.
Median *: The median Q2 is the value for which 50% of the values are less.
3rd quartile *: The third quartile Q3 is defined as the value for which 75% of the values
are less.
Sum *: The weighted sum of the values is defined by:

n
S = ∑ wi xi
i=1
Mean *: The mean of the sample is defined by:
^ = S/W
μ
Variance(n) *: The variance of the sample defined by:
^ )2
∑ni=1 wi (xi − μ
s2n =
W
Note 1: When all the weights are 1, the variance is the sum of the square deviation to the mean
divided by n, hence its name.
Note 2: The variance (n) is a biased estimate of the variance which assumes that the sample is
a good representation of the total population. The variance (n-1) is, on the other hand,
calculated taking into account an approximation associated with the sampling.
Variance(n-1) *: The estimated variance of the sample defined by:

n
^ )2
∑ wi (xi − μ
s2n−1 = i=1
W − W /n
divided by n-1, hence its name.
Note 2: The variance(n) is a biased estimate of the variance which assumes that the sample is a
good representation of the total population. The variance(n-1) is, on the other hand, calculated
taking into account an approximation associated with the sampling.
Standard deviation(n) *: The standard deviation of the sample defined by sn = s2n .

Standard deviation(n-1) *: The standard deviation of the sample defined by sn−1 =
s2n−1 .
Variation coefficient *: this coefficient is only calculated if the mean of the sample is non-
zero. It is defined by:
sn
CV =
μ^
This coefficient measures the dispersion of a sample relative to its mean. It is used to compare
the dispersion of samples whose scales or means differ greatly.
Skewness (Pearson) *: The sample Pearson skewness coefficient is defined by:

n
μ^3 ^ )3
∑i=1 wi (xi − μ
g1 = 3 with μ^3 =
sn−1 W
This coefficient gives an indication of the shape of the distribution of the sample. If the value is
negative (or positive respectively), the distribution is concentrated on the left (or right
respectively) of the mean.
Skewness (Fisher) *: The Fisher skewness coefficient is defined by:
W (W − 2W /n)
G1 = g1
W − 2W /n
Unlike the previous, this coefficient is not biased on the assumption that the data is normally
distributed. This coefficient gives an indication of the shape of the distribution of the sample. If
the value is negative (or positive respectively), the distribution is concentrated on the left (or
right respectively) of the mean.
Skewness (Bowley) *: The Bowley skewness coefficient is defined by:
Q1 − 2Q2 + Q3
A(B) =
Q3 − Q1
Kurtosis (Pearson or excess): The Fisher kurtosis coefficient is defined by:
μ^4 ∑ni=1 wi (xi − μ

^ )4
g2 = 4 − 3 with μ^4 =
sn−1 W
This coefficient, sometimes called excess kurtosis, gives an indication of the shape of the
distribution of the sample. If the value is negative (or positive respectively), the peak of the
distribution of the sample is more flattened out (or respectively less) than that of a normal
distribution.
Kurtosis (Population) *: The unbiased kurtosis coefficient of a population is defined by:
(W − W /n)
G2 = ((W + W /n)g2 + 6)
(W − 2W /n)(W − 3W /n)

Unlike the previous, this coefficient is not biased on the assumption that the data is normally
distributed. This coefficient, sometimes called excess kurtosis, gives an indication of the shape
of the distribution of the sample. If the value is negative (or positive respectively), the peak of
the distribution of the sample is more flattened out (or respectively less) than that of a normal
distribution.
Standard error of the mean *: this statistic is defined by:

sn−1
sμ =
W
Lower bound on mean (x% or significance level α=1-x/100 ) *: this statistic
corresponds to the lower bound of the confidence interval at x% of the mean. This statistic
is defined by:
Lμ = μ
^ − sμ ∣t(a/2) ∣
Upper bound on mean (x% or significance level α=1-x/100) *: this statistic

corresponds to the upper bound of the confidence interval at x% of the mean. This
statistic is defined by:
Uμ = μ
^ + sμ ∣t(α/2) ∣
Standard error of the variance *: this statistic is defined by:
2
ss2 = s2n−1
W −1
Lower bound on mean (x% or significance level α=1-x/100) *: this statistic
corresponds to the lower bound of the confidence interval at x% of the variance. This
Ls2 = sσ /χ(1−α/2)
Upper bound on mean (x% or significance level α=1-x/100) *: this statistic

corresponds to the upper bound of the confidence interval at x% of the variance. This
Us2 = sσ /χ(α/2)
Standard error (Skewness (Fisher)) *: The standard error of the Fisher’s skewness
coefficient is defined by:
6W (W − 1)
se(G1 ) =
(W − 2)(W + 1)(W + 3)
Standard error (Kurtosis (Fisher)) *: The standard error of the Fisher’s kurtosis
coefficient is defined by:
(W 2 − 1)
se(G2 ) = 2se(G1)
(W − 3)(W + 5)

Mean absolute deviation *: as for standard deviation or variance, this coefficient
measures the dispersion (or variability) of the sample. It is defined by:
n
∑ wi ∣xi − μ∣
e(μ) = i=1
W
Median absolute deviation: this statistic is the median of absolute deviations to the
median.
Geometric mean: this statistic is only calculated if all the values are strictly positive. It is
defined by:
n
1
μG = exp( ∑ wi ln(xi ))
W i=1
If all the weights are equal to 1, we have:
n
μG = n
∏ xi
i=1
Geometric standard deviation: this statistic is defined by:

n
1
σG = exp( ∑ wi [ln(xi ) − ln(μG )]2 )
W i=1
Harmonic mean: this statistic is defined by:
W
μH =
∑ni=1 wxii
(*) Statistics followed by an asterisk take the weight of observations into account.
Descriptive statistics for qualitative data:
For a sample made up of N qualitative values, we define:
n to be the number of non-missing values, and {w1, w2, … wn} to be the sub-sample of
weights for the non-missing values.
Sum of weights*: The sum of the weights, W. When all the weights are 1, W=n.
Mode *: The mode of the sample analyzed. In other words, the most frequent category.
Frequency of mode *: The frequency of the category to which the mode corresponds.

Category: The names of the various categories present in the sample.
Frequency by category *: The frequency of each of the categories.
Relative frequency by category *: The relative frequency of each of the categories.
Lower bound on frequencies (x% or significance level α=1-x/100) *: This statistic

corresponds to the lower bound of the confidence interval at x% of the frequency per
category.
Upper bound on frequencies (x% or significance level α=1-x/100) *: This statistic

corresponds to the upper bound of the confidence interval at x% of the frequency per
category.
Proportion per category*: The proportion of each of the categories.
Lower bound on proportions (x% or significance level α=1-x/100) *: This statistic

corresponds to the lower bound of the confidence interval at x% of the proportion per
category.
Upper bound on proportions (x% or significance level α=1-x/100) *: This statistic

corresponds to the upper bound of the confidence interval at x% of the proportion per
category.
Several types of chart are available for quantitative and qualitative data:
Charts for quantitative data:
Box plots: These univariate representations of quantitative data samples are sometimes
called "box and whisker diagrams". It is a simple and quite complete representation since
in the version provided by XLSTAT the minimum, 1-st quartile, median, mean and 3-rd
quartile are displayed together with both limits (the ends of the "whiskers") beyond which
values are considered anomalous. The mean is displayed with a red +, and a black line
corresponds to the median. Limits are calculated as follows:
Linf = X(i) such that {X(i) − [Q1 − 1.5(Q3 − Q1)]} is minimum and
Lower limit:
X(i) = Q1 − 1.5(Q3 − Q1).
Lsup = X(i) such that {X(i) − [Q3 + 1.5(Q3 − Q1)]} is minimum and
Upper limit:
X(i) = Q3 + 1.5(Q3 − Q1)
Values that are outside the ]Q1 − 3(Q3 − Q1); Q3 + 3(Q3 − Q1)[ interval are displayed
with the * symbol; values that are in the [Q1 − 3(Q3 − Q1); Q1 − 1.5(Q3 − Q1)] or the
[Q3 + 1.5(Q3 − Q1); Q3 + 3(Q3 − Q1)] intervals are displayed with the "o" symbol.

XLSTAT allows producing "notched" box plots. The limits of the notch allow to visualize a 95%
confidence interval around the median. The limits are given by:
Lower limit: Ninf = M edian − [1.58(Q3 − Q1)]/ ( n)
Upper limit: Nsup = M edian + [1.58(Q3 − Q1)]/ ( n)

These formulae given by McGill et al. (1978) derive from the asumption that the medians are
normally distributed and coming from equal size samples. If the sample sizes are indeed similar
notched box plots allow to tell whether the samples have different medians or not and to
compare their variability using the size of the notch.
XLSTAT allows to make the box plots width vary with the sample size. The width is proportional
to the square root of the sample size.
Scattergrams: These univariate representations give an idea of the distribution and

possible plurality of the modes of a sample. All points are represented together with the
mean and the median.
Strip plots: These diagrams represent the data from the sample as strips. For a given
interval, the thicker or more tightly packed the strips, the more data there is.
Stem-and-leaf plots: These univariate representations help to visualize the data

distribution while keeping a precise view over the values, in opposition to histograms.
Each data point is split into two parts: a stem part, left of the diagram, and a leaf part, right
of the diagram. Each data point can be recovered by multiplying the number [stem.leaf] by
the unit displayed at the top of the representation.
P-P Charts (normal distribution): P-P charts (for Probability-Probability) are used to
compare the empirical distribution function of a sample with that of a normal variable for
the same mean and deviation. If the sample follows a normal distribution, the data will lie
along the first bisector of the plan.
Q-Q Charts (normal distribution): Q-Q charts (for Quantile-Quantile) are used to
compare the quantities of the sample with that of a normal variable for the same mean
and deviation. If the sample follows a normal distribution, the data will lie along the first
bisector of the plan.
Charts for qualitative data:
Bar charts: Check this option to represent the frequencies or relative frequencies of the
various categories of qualitative variables as bars.
Pie charts: Check this option to represent the frequencies or relative frequencies of the
various categories of qualitative variables as pie charts.
Double pie charts: These charts are used to compare the frequencies or relative
frequencies of sub-samples with those of the complete sample.
Doughnuts: This option is only checked if a column of sub-samples has been selected.
These charts are used to compare the frequencies or relative frequencies of sub-samples

with those of the complete sample.
Stacked bars: This option is only checked if a column of sub-samples has been selected.
Multiple bars: This option is only checked if a column of sub-samples has been selected.
Dialog box
The dialog box is made up of several tabs corresponding to the various options for controlling
the calculations and displaying the results. A description of the various components of the
dialog box are given below.
: Click this button to start the calculations.
: Click this button to close the dialog box without doing any calculations.
: Click this button to display help.
observations.
General tab:
Quantitative data: Check this option to select the samples of quantitative data you want to
calculate descriptive statistics for.
Qualitative data: Check this option to select the samples of qualitative data you want to
calculate descriptive statistics for.
Subsamples: Check this option to select a column showing the names or indexes of the sub-
samples for each of the observations.
Variable-Category labels: Activate this option to use variable-category labels when

displaying outputs. Variable-Category labels include the variable name as a prefix and the
category name as a suffix.

Sample labels: Check this option if the first line of the selections (quantitative data, qualitative
date, sub-samples, and weights) contains a label.
has been selected, check that the "Sample labels" option is activated.
Options tab:
Descriptive statistics: Check this option to calculate and display descriptive statistics.
Charts: Check this option to display the charts.
Normalize: Check this option to standardize the data before carrying out the analysis.
Rescale from 0 to 100: Check this option to arrange the data on a scale of 0 to 100.
Compare to total sample: this option is only checked if a column of sub- samples has been
selected. Check this option so that the descriptive statistics and charts are also displayed for the
total sample.
Confidence interval: Enter the size of the confidence interval (in %).
Outputs tab:
Quantitative Data: Activate the options for the descriptive statistics you want to calculate. The
various statistics are described in the description section.
All: Click this button to select all.
None: Click this button to deselect all.
Display vertically: Check this option so that the table of descriptive statistics is displayed
vertically (one line per descriptive statistic).
Qualitative Data: Activate the options for the descriptive statistics you want to calculate. The

Charts (1) tab:
This tab deals with the quantitative data.
Chart types sub-tab:
Box plots: Check this option to display box plots (or box-and-whisker plots). See the description
section for more details.
Scattergrams: Check this option to display scattergrams. The mean (red +) and the median
(red line) are always displayed.
Strip plots: Check this option to display strip plots. On these charts, a strip corresponds to an
observation.
Stem-and-leaf plots: Check this option to display stem-and-leaf plots.
Unit: 10^: Activate this option if you wish to configure manually the unit over which data
points will be split into stems and leaves.
Normal P-P plots: Check this option to display P-P plots.
Normal Q-Q Charts: Check this option to display Q-Q plots.
Options sub-tab:
These options concern box plots, scattergrams and strip plots
Horizontal: Check this option to display box plots, scattergrams and strip plots horizontally.
Vertical: Check this option to display box plots, scattergrams and strip plots vertically.
Group plots: Check this option to group together the various box plots, scattergrams and strip
plots on the same chart to compare them. You can enter "Dimensions ", the maximum number
of box plots a group can contain (maximum is 20 with Excel 2003 and lower, and 40 with Excel
2007 and later).
Categories: Check this option if you want to group categories in case you have selected
subsamples.
Variables: Check this option if you want to group variables, even in the case where you
have selected subsamples. Check the Grey line option to separate variables with grey
lines on the plots.
Notched: Check this option if you want to display notched box plots.

Adapt width: Check this option if you want that the width of the box plots depends on the
sample size.
Minimum/Maximum: Check this option to systematically display the points corresponding to the
minimum and maximum (box plots).
Outliers: Check this option to display the points corresponding to outliers (box plots) with a
hollowed-out circle.
Labels position: Select the position where the labels have to be placed on the box plots,
scattergrams and strip plots.
Legend: Activate this option to display the legend describing the statistics used on the box plot.
Color inside: Activate this option to color the inside of the box plots.
Color by group: Activate this option so that the color of the box plots varies for each
subsample, if subsamples have been selected.
Charts (2) tab:
This tab deals with the qualitative data.
Bar charts: Check this option to represent the frequencies or relative frequencies of the various
categories of qualitative variables as bars.
Pie charts: Check this option to represent the frequencies or relative frequencies of the various
categories of qualitative variables as pie charts.
Doubles: this option is only checked if a column of sub-samples has been selected.
Doughnuts: this option is only checked if a column of sub-samples has been selected. These
charts are used to compare the frequencies or relative frequencies of sub-samples with those of
the complete sample.
Stacked bars: this option is only checked if a column of sub-samples has been selected. These
charts are used to compare the frequencies or relative frequencies of the different groups of the
sub-sample.
Multiple bars: this option is only checked if a column of sub-samples has been selected. These
charts are used to compare the frequencies or relative frequencies of the different groups of the
sub-sample.
Values used: choose the type of data to be displayed:
Frequencies: choose this option to make the scale of the plots correspond to the
frequencies of the categories.

Relative frequencies: choose this option to make the scale of the plots correspond to the
relative frequencies of the categories.
Example
An example showing how to create Box plots is available on the Addinsoft website:
http://www.xlstat.com/demo-bp.htm
References
Filliben J.J. (1975). The Probability Plot Correlation Coefficient Test for Normality.
Technometrics, 17(1), pp 111-117.
Lawrence T. DeCarlo (1997). On the Meaning and Use of Kurtosis. Psychological Methods,
2(3), pp. 292-307.
Sokal R.R. and Rohlf F.J. (1995). Biometry. The Principles and Practice of Statistics in
Biological Research. Third edition. Freeman, New York.
Tomassone R., Dervin C. and Masson J.P. (1993). Biométrie. Modélisation de Phénomènes
Biologiques. Masson, Paris.

Variable characterization
Use this tool to characterize elements (quantitative variables, qualitative variables or categories
of qualitative variables) exploring the links they share with characterizing elements (quantitative
variables, qualitative variables or categories of qualitative variables). For this purpose, different
statistical tests (parametric or non-parametric) are used.
In this section:
Description
Dialog box
Results
Example
References
Description
Here are the various characterizing possibilities of the procedure:
1. Characterization of a quantitative variable:
1-1. With other quantitative variables:
Characterization of a quantitative variable by other quantitative variables is done with the

correlation coefficient. For each characterizing quantitative variable, it is tested whether the
correlation coefficient is significantly different from 0. Pearson correlation coefficient is used in
the case of parametric test and Spearman correlation coefficient is used in the non-parametric
case. The more significantly the correlation coefficient differs from 0, the more the two
quantitative variables are linked.
1-2. With qualitative variables:
Characterization of a quantitative variable by qualitative variables is performed using parametric

or non-parametric statistical tests. If the p-value of the test is lower than a selected threshold the
assumption of independence between the two variables is rejected. In the parametric case
Fisher test is used (as in ANOVA). In the non-parametric case if the qualitative variable has
k = 2 categories, Mann-Whitney test is used, if the qualitative variable has more than 2
categories, Kruskal-Wallis test is used.
1-3. With categories of a qualitative variable:
Characterization of a quantitative variable with categories of a qualitative variable is done using

an indicator called test value (Lebart, 2000). The test value tk (X) of a quantitative variable X
associated with the category k of a qualitative variable is defined as follows:
Xk − X
tk (X) =
sk (X)
Describing data 89 Variable characterization

with :
n − nk s2 (X)
s2k (X) =
n − 1 nk
where s2 (X) is the empirical variance of the variable X . A p-value associated with this test
value is then calculated, the closer the p-value is to 0, the more the average of the variable X
on the category k is different from the general average.
1. Characterization of a qualitative variable (with k categories):
2-1. With quantitative variables:
Characterization of a qualitative variable by quantitative variables is performed using parametric

or non-parametric statistical tests. If the p-value of the test is lower than a selected threshold the
assumption of independence between the two variables is rejected. In the parametric case, the
Fisher test is used (as in ANOVA). In the non-parametric case if the qualitative variable has
k = 2 categories, the Mann-Whitney test is used, if the qualitative variable has more than 2
categories, Kruskal-Wallis test is used.
2-2. With other qualitative variables:
Characterization of a qualitative variable by other qualitative variables is carried out using an

independence test. For each characterizing qualitative variable we test the independence with
the qualitative variable to characterize with the Chi² independence test (parametric) or the exact
Fisher test (nonparametric).
1. Characterization of a category of a qualitative variable:
3-1. With quantitative variables:
Characterization of a category of a qualitative variable by quantitative variables is done using

the test value as explained in 1-3.
3-2. With categories of a qualitative variable:
Characterization of a category with other categories is done using the test value for qualitative
variables (Lebart, 2000) and its associated p-value. A category is considered to be
characterizing a class if its abundance in the class is considered significantly superior to what
can be expected given its presence in the whole population. Let njk be the number of
individuals with the category j among the nk individuals in the class k , nj the number of
individuals with the category j and n the total number of individuals, the abundance of the
nkj
category j is defined by comparing its percentage in the k th class n to its percentage in the
k
nj
population n .
Dialog box

observations.
General tab:
Y / Element(s) to characterize:
Quantitative variable(s): Activate this option if you want to characterize one or several
quantitative variables. Then, select the variable(s) you want to characterize. If several variables
have been selected, XLSTAT carries out calculations for each of the variables separately. If a
column header has been selected, check that the "Variable labels" option has been activated.
Qualitative variable(s): Activate this option if you want to characterize one or several
qualitative variables. Then, select the variable(s) to characterize. If several variables have been
selected, XLSTAT carries out calculations for each variable separately. If a column header has
been selected, check that the "Variable labels" option has been activated.
Categories: Activate this option if you want to characterize the categories of the qualitative
variable(s) previously selected.
X / Characterizing elements:
Quantitative Variable(s): Activate this option if you want characterizing quantitative variable(s).
Then, select the quantitative variables in the Excel worksheet. The data selected must be of
type numeric. If the variable header has been selected, check that the "Variable labels" option
has been activated.
Qualitative Variable(s): Activate this option if you want characterizing qualitative variable(s).
Then, select the qualitative variables in the Excel worksheet. The selected data may be of any
type, but numerical data will automatically be considered as nominal. If the variable header has
Categories: Activate this option if you want to use the categories of the qualitative variable(s)
previously selected as characterizing elements.

Variable labels: Check this option if the first line of the selections (quantitative data, qualitative
date, and weights) contains a label.
Observation weights: Activate this option if the observations are weighted. If you do not
activate this option, the weights will all be taken as 1. Weights must be greater than or equal to
0. In the case of non-parametric tests, weights must be positive integers. If a column header has
Options tab:
Filter characterizing elements: Activate this option if you want to filter the characterizing
elements to display. Several filtering options are available, depending on the chosen option, you
must choose a threshold for the p-values (or test values) to display or a number p of
characterizing elements to display.
Sort characterizing elements: Activate this option if you want to sort the display of the
characterizing elements according to the p-values.
Significance level: Enter the significance level you want in the associated cell.
Parametric tests: Active this option if you want to perform a parametric test.
Non-parametric tests: Active this option if you want to perform a non-parametric test.
Missing data tab:
Remove observations: Activate this option to remove an observation that has a missing value.
the sample or the nearest neighbor.
Outputs tab:
selected.
p-value chart: Activate this option to display the chart of p-values.
Test values chart: Activate this option to display the chart of test values.
Results

Summary statistics: This table displays descriptive statistics for all the variables selected.
The result table differs depending on the elements to be characterized as well as the
characterizing elements. In all cases, p-values will always be displayed.
If you have selected the p-value chart option, a bar chart with p-values is also displayed below
each table.
Example
An example showing how to compute variable characterization is available on the Addinsoft
website:
http://www.xlstat.com/demo-demod.htm
References
Lebart L. , Morineau A.and Piron M. (2000) . Statistique Exploratoire Multidimensionnelle.
Dunod, 181-184.
Morineau A. (1984) . Note sur la Caractérisation Statistique d'une Classe et les Valeurs-tests.
Bulletin Technique du Centre de Statistique et d’Informatique Appliquées, 2 , n° 1-2, 20-27.

Quantiles estimation
Use this tool to calculate quantiles and display univariate plots (Box plots, Scattergrams, etc) for
a set of quantitative variables.
In this section:
Description
Dialog box
Results
Example
References
Description
Quantiles (or percentiles) can be very useful in statistics. A percentile is a quantile based on a 0
to 100 scale.
XLSTAT offers you five methods to calculate quantiles. Furthermore, two types of confidence
intervals are available.
While you can select several samples at the same time, XLSTAT calculates all the descriptive
statistics for each sample independently.
Definition of a quantile
Let 0 < p < 1. The p-quantile of a variable X is given by:
P (X ≤ x) ≥ p and P (X ≥ x) ≥ 1 − p
Quantiles are useful because they are less sensitive to outliers and skewed distributions.
Methods for quantile computation
Five different methods are available in XLSTAT. Let's consider a sample made up of N items of
quantitative data {x1 , x2 , … xN } whose respective weights are {w1 , w2 , … wN }. Let
x(1), … , x(N ) be the ordered data.
Let y be the p-quantile, j be the integer part of N × p and g be the fractional part. We have:
g = N × p − j
We have:
Describing data 94 Quantiles estimation

Weighted average at x(N ∗ p):
y = (1 − g)x(j) + gx(j+1)
where x(0) is replaced by x(1).
Observation numbered closest to x(N ∗ p):

y = x(j) if g < 1/2
y = x(j) if g = 1/2 and j is even
y = x(j+1) if g = 1/2 and j is odd
y = x(j+1) if g > 1/2
Empirical distribution function:
y = x(j) if g = 0
y = x(j+1) if g > 0
Weighted average aimed at x((N + 1)p): In that case, we take (N + 1)p = j + g .
y = (1 − g)x(j) + gx(j+1)
where x(N + 1) is replaced by x(N ).

Empirical distribution function with averaging:
y = 12 (x(j) + x(j+1) ) if g = 0

y = x(j+1) if g > 0
When weights are associated to the selected variable, the only method available is:
⎧
⎪
⎪
⎪
x(1) if w(1) > pW
⎪
⎪ i
y=⎨
1
2 (x(i) + x(i+1) ) if ∑ w(j) = pW
⎪
⎪
j=1
⎪
⎪
⎪
⎩
i i+1
x(i+1) if ∑ w(j) < pW < ∑ w(j)
j=1 j=1
where w(i) is the weight associated to x(i) and W = ∑N

j=1 wj .
Confidence intervals:
You can obtain confidence intervals associated to the quantiles. Two intervals are available:
Confidence interval based on the normal distribution:

The 100 ∗ (1 − alpha)% confidence interval for the p-quantile is:
[N p + Zα/2 N p(1 − p) + 0.5; N p + Z1−α/2 N p(1 − p) + 0.5]

This kind of interval is valid if the data has a normal distribution and if the sample size is large
(>20 observations).
Distribution free confidence interval:
The 100 ∗ (1 − alpha)% confidence interval for the p-quantile is:
[x(l) ; x(u) ]
l and u are nearly symmetric around [N p] + 1 where [N p] is the integer part of N × p. x(l)
and x(u) are the closest to x([N + 1]p) and satisfy:
Q(u − 1, n, p) − Q(l − 1, n, p) ≥ 1 − α
where Q(k, n, p) is the cumulative binomial probability:
k
Q(k, n, p) = ∑ ( ) pi (1 − p)n−i
n
i
i=1
If weights are selected, confidence intervals cannot be computed.
Charts:
Cumulative histogram: XLSTAT lets you create cumulative histograms by using the
empirical cumulative distribution.
called "box and whisker diagrams". It is a simple representation since in the version
provided by XLSTAT the 1-st quartile, median and 3-rd quartile are displayed together with
both limits (the ends of the "whiskers") beyond which values are considered anomalous.
The red line corresponds to the median. Limits are calculated as follows:
Lower limit:
X(i) = Q1 − 1.5(Q3 − Q1).
Upper limit:
X(i) = Q3 + 1.5(Q3 − Q1)

median.
Dialog box
observations.
General tab:
Data: Check this option to select the samples you want to calculate quantiles for.
Estimation method: Choose the method you want to use to calculate the quantiles. A
description of the methods can be found in the description section of this help. The default
method is weighted average.
Confidence interval:
Normal based: Check this option if you want to display confidence interval based on the
normal distribution. See the description section for more details.
Distribution free: Check this option if you want to display distribution free confidence
interval. See the description section for more details.

Sub-sample: Check this option to select a column showing the names or indexes of the sub-
Missing data tab:
Remove observations: Activate this option to ignore an observation that has a missing value.
the sample.
Outputs tab:
Charts tab:
Empirical cumulative distribution: Activate this option to display the cumulative histograms
that actually correspond to the empirical cumulative distribution of the sample.
Show quantile on charts (%): Check this option and enter the percentile to compute the
associated value and display it on the charts.
Scattergrams: Check this option to display scattergrams. The median (red line) is always
displayed.
Results
Summary statistics: This table displays for the selected samples, the number of observations,
deviation.

Table of quantiles: This table displays percentiles for common values (1, 5, 10, 25, 50, 75, 90,
95, 99) and their associated confidence interval.
Example
An example showing how to compute percentiles is available on the Addinsoft website at
http://www.xlstat.com/demo-qua.htm
References
Evans M., Hastings N. and Peacock B. (2000). Statistical Distribution. 3rd edition, Wiley, New
York.
Hahn J.H. and Meeker W.Q. (1991). Statistical intervals: A guide for Practitioners. Wiley, New
York.

Histograms
Use this tool to create a histogram from a sample of continuous or discrete quantitative data.
In this section:
Description
Dialog box
Results
Example
References
Description
The histogram is one of the most frequently used display tools as it gives a very quick idea of
the distribution of a sample of continuous or discrete data.
Intervals definition
One of the challenges in creating histograms is defining the intervals, as for a determined set of
data, the shape of the histogram depends solely on the definition of the classes. Between the
two extremes of the single class comprising all the data and giving a single bar and the
histogram with one value per class, there are as many possible histograms as there are data
partitions.
To obtain a visually and operationally satisfying result, defining classes may require several
attempts.
The most traditional method consists of using classes defined by intervals of the same width,
the lower bound of the first interval being determined by the minimum value or a value slightly
less than the minimum value.
To make it easier to obtain histograms, XLSTAT lets you create histograms either by defining
the number of intervals, their width or by specifying the intervals yourself. The intervals are
considered as closed for the lower bound and open for the upper bound.
Cumulative histogram
XLSTAT lets you create cumulative histograms either by cumulating the values of the histogram
or by using the empirical cumulative distribution. The use of the empirical cumulative distribution
is recommended for a comparison with a distribution function of a theoretical distribution.
Describing data 100 Histograms

Comparison to a theoretical distribution
XLSTAT lets you compare the histogram with a theoretical distribution whose parameters have
been set by you. However, if you want to check if a sample follows a given distribution, you can
use the distribution fitting tool to estimate the parameters of the distribution and if necessary
check if the hypothesis is acceptable.
sin(πα) x α−1
f (x) = ( ) , with 0 < α < 1, x ∈ [0, 1]
πx 1−x
P (X = 1) = p, P (X = 0) = 1 − p, with p ∈ [0, 1]

1 − p.
1
f (x) = xα−1 (1 − x)β−1
B(α, β)
Γ(α)Γ(β)
with α, β > 0, x ∈ [0, 1] and B(α, β) =
Γ(α + β)
1 (x − c)α−1 (d − x)β−1
f (x) = , with α, β > 0, x ∈ [c, d]
B(α, β) (d − c)α+β−1
Γ(α)Γ(β)
Γ(α + β)
We have E(X) = (α+β)
and V (X) = (α+β+1)(α+β)2

P (X = x) = Cn+x−1
x−1
pn (1 − p)x , with n, x ∈ N, n > 0, p ∈ [0, 1]
n successes.
Γ(k + x)px
P (X = x) = , with x ∈ N , k, p > 0
x!Γ(k)(1 + p)k+x
(1/2)df /2 df2 −1 −x/2

f (x) = x e , with x > 0, df ∈ N∗
Γ(df /2)
e−λx
f (x) = λ x
k k−1
, with x ≥ 0 and k, λ > 0 and k ∈ N
(k − 1)!

used).

df1 /2 df2 /2
1
( ) (1 − )
df1 x df1 x
f (x) =
2df22 (df1 +df2 −2)

testing hypotheses.
1 x−μ x−μ
f (x) = exp (− − exp (− )) , with β > 0
β β β
constant.
k−1 e−(x−μ)/β
β k Γ(k)

−1/k−1 −1/k
exp (− (1 + k ),
1 x−μ x−μ
f (x) = (1 + k ) ) with β > 0
β β β
2

(0.5772156649…).
(x−μ)
e− s
f (x) = , with s > 0
− (x−μ)
s(1 + e s )
1 −
(ln(x)−μ)2
f (x) = e 2σ 2 , with x, σ > 0
xσ 2π
1 (ln(x)−μ)2
f (x) = e− 2σ 2 , with x, σ > 0
xσ 2π
We have:

And:

E(X) = m and V (X) = s2
1 (x−μ)2
f (x) = e− 2σ2 , with σ > 0
σ 2π
1 − x2
f (x) = e 2
2π
aba
xa+1
ab2
1 (x − a)α−1 (b − x)β−1
f (x) = , with α, β > 0, x ∈ [a, b]
B(α, β) (b − a)α+β−1
Γ(α)Γ(β)
Γ(α + β)
4m + b − 5a
α=
b−a
5b − a − 4m
β=
b−a

We haveE(X) = (b − a)α/(α + β) with V (X) = (b −
a) αβ/ ((α + β + 1) (α + β)2 ))
2
exp(−λ)λx
x!
phenomena.
Γ((df + 1/2))
f (x) = (1 + x2 /df )−(df +1)/2 , with df > 0
πdf Γ(df /2)

⎧
⎪
⎪
2(x−a)
⎪
f (x) = (d+c−b−a)(b−a) , x ∈ [a, b]
⎪
⎪
⎪
⎪
⎪
⎪
⎪
⎪
⎪
2
f (x) = , x ∈ [b, c]
⎪
⎪
⎪
(d+c−b−a)
⎪
⎨ f (x) = 2(d−x)
(d+c−b−a)(d−c) , x ∈ [c, d]
⎪
⎪
⎪
⎪
⎪
⎪
⎪
⎪
⎪
⎪
f (x) = 0, x < a, x>d
⎪
⎪
⎪
⎪
⎪
⎪

⎧
⎪
⎪
2(x−a)
⎪
f (x) = (b−a)(m−a) , x ∈ [a, m]
⎪
⎪
⎪
⎪
⎪
⎪
⎪
⎪ f (x) = (b−a)(b−m) , x ∈ [m, b]
2(b−x)
⎨
⎪
⎪
⎪
⎪
⎪
f (x) = 0, x < a, x < b
⎪
⎪
⎪
⎪
⎪
⎪ with a < m < b
⎩

1
b−a

1
P [X = x] = , with (a, b, x) ∈ N3 , x ∈ [a, b]
b−a+1
β x β−1 −( xγ )β
f (x) = ( ) e , with x > 0, with β, γ > 0
γ γ
β−1
β x−μ
f (x) = ( ) e−( )β , with x > μ, with β, γ > 0
x−μ
γ
γ γ
Dialog box

observations.
General tab:
Data: Select the quantitative data. If several samples have been selected, XLSTAT will carry out
the calculations for each of the samples independently while allowing you to superimpose
histograms if you want (see Charts tab). If headers have been selected, check that the "Sample
Data type:
Continuous: Choose this option so that XLSTAT considers your data to be continuous.
Discrete: Choose this option so that XLSTAT considers your data to be discrete.
Subsamples: Activate this option then select a column (column mode) or a row (row mode)
containing the sample identifiers. The use of this option gives one histogram per subsample and
therefore allows to compare the distribution of data between the subsamples. If a header has
been selected, check that the "Sample labels" option has been activated.


Options tab:
Intervals: Choose one of the following options to define the intervals for the histogram:
Number: Choose this option to enter the number of intervals to create.
Width: Choose this option to define a fixed width for the intervals.
User defined: Select a column containing in increasing order the lower bound of the first
interval, and the upper bound of all the intervals.
Minimum: Activate this option to enter the value of the lower value of the first interval.
This value must be lower or equal to the minimum of the series.
Compare sub-samples: this option is only checked if a column of sub- samples has been
selected. Check this option to display the various samples on a single histogram.
Compare to total sample: Check this option so that the descriptive statistics and charts
are also displayed for the total sample.
Missing data tab:
a missing value only for samples which have a missing value.
for all selected samples.
the sample.
Outputs tab:
Descriptive statistics: Activate this option to display the descriptive statistics of the samples.

Charts tab:
samples.

Display a distribution: Activate this option to compare histograms of samples selected with a
density function and/or to compare the histograms of samples selected with a distribution
function. Then choose the distribution to be used and enter the values of the parameters if
necessary. The automatic option allows to let XLSTAT identify the best fitting distribution
(determined using a Kolmogorov-Smirnov test).
Results
deviation.
Histograms: The histograms are displayed. If desired, you can change the color of the lines,
scales, titles as with any Excel chart.
Descriptive statistics for the intervals: This table displays for each interval its lower bound,
upper bound, the frequency (number of values of the sample within the interval), the relative
frequency (the number of values divided by the total number of values in the sample), and the
density (the ratio of the frequency to the size of the interval).
Example
An example showing how to create a histogram is available on the Addinsoft website at
http://www.xlstat.com/demo-histo.htm

References
Chambers J.M., Cleveland W.S., Kleiner B. and Tukey P.A. (1983). Graphical Methods for
Data Analysis. Duxbury, Boston.
Jacoby W. G. (1997). Statistical Graphics for Univariate and Bivariate Data. Sage Publications,
London.
Wilkinson L. (1999). The Grammar of Graphics, Springer Verlag, New York.

Normality tests
Use this tool to check if a sample can be considered to follow a normal distribution. The
distribution fitting tool enables the parameters of the normal distribution to be estimated but the
tests offered are not as suitable as those given here.
In this section:
Description
Dialog box
Results
Example
References
Description
Assuming a sample is normally distributed is common in statistics. But checking that this is
actually true is often neglected. For example, the normality of residuals obtained in linear
regression is rarely tested, even though it governs the quality of the confidence intervals
surrounding parameters and predictions.
XLSTAT offers four tests for testing the normality of a sample:
The Shapiro-Wilk test which is best suited to samples of less than 5000 observations;
The Anderson-Darling test proposed by Stephens (1974) is a modification of the Kolmogorov-

Smirnov test and is suited to several distributions including the normal distribution for cases
where the parameters of the distribution are not known and have to be estimated;
The Lilliefors test is a modification of the Kolmogorov-Smirnov test and is suited to normal cases
where the parameters of the distribution, the mean and the variance are not known and have to
be estimated;
The Jarque-Bera test which is more powerful the higher the number of values.
In order to check visually if a sample follows a normal distribution, it is possible to use P-P plots
and Q-Q plots:
P-P Plots (normal distribution): P-P plots (for Probability-Probability) are used to compare the
empirical distribution function of a sample with that of a sample distributed according to a
normal distribution of the same mean and variance. If the sample follows a normal distribution,
the points will lie along the first bisector of the plan.
Describing data 113 Normality tests

Q-Q Plots (normal distribution): Q-Q plots (for Quantile-Quantile) are used to compare the
quantities of the sample with those of a sample distributed according to a normal distribution of
the same mean and variance. If the sample follows a normal distribution, the points will lie along
the first bisector of the plan.
Dialog box
observations.
files .
General tab:
Data: Select the quantitative data. If several samples have been selected, XLSTAT carries out
normality tests for each of the samples independently. If headers have been selected, check
that the "Sample labels" option has been activated.
header has been selected, check that the "Sample labels" option is activated.
Shapiro-Wilk test: Activate this option to perform a Shapiro-Wilk test.

Anderson-Darling test: Activate this option to perform an Anderson- Darling test.
Lilliefors test: Activate this option to carry out a Lilliefors test.
Jarque-Bera test: Activate this option to carry out a Jarque-Bera test.
Significance level (%): Enter the significance level for the tests.
containing the sample identifiers. The use of this option gives one series of tests per subsample.
If a header has been selected, check that the "Sample labels" option has been activated.
Missing data tab:
the sample.
Outputs tab:
Descriptive statistics: Activate this option to display the descriptive statistics of the samples.
Charts tab:
P-P plots: Activate this option to display Probability-Probability plots based on the normal
distribution.
Q-Q Plots: Activate this option to display Quantile-Quantile plots based on the normal
distribution.

Results
For each test requested, the statistics relating to the test are displayed including, in particular,
the p-value which is afterwards used in interpreting the test by comparing with the chosen
significance threshold.
If requested, P-P and Q-Q plots are then displayed.
Example
An example showing how to test the normality of a sample is available on the Addinsoft website:
http://www.xlstat.com/demo-norm.htm
References
Anderson T.W. and Darling D.A. (1952). Asymptotic theory of certain "Goodness of Fit" criteria
based on stochastic processes. Annals of Mathematical Statistic, 23, 193-212.
Anderson T.W. and Darling D.A. (1954). A test of goodness of fit. Journal of the American
Statistical Association, 49, 765-769.
D'Agostino R.B. and Stephens M.A. (1986). Goodness-of-fit techniques. Marcel Dekker, New
York.
Dallal G.E. and Wilkinson L. (1986). An analytic approximation to the distribution of Lilliefors's
test statistic for normality. Statistical Computing, 40, 294-296.
Jarque C.M. and Bera A.K. (1980). Efficient tests for normality, heteroscedasticity and serial
independence of regression residuals. Economic Letters, 6, 255-259.
Lilliefors H. (1967). On the Kolmogorov-Smirnov test for normality with mean and variance
unknown. Journal of the American Statistical Association, 62, 399-402.
Royston P. (1982). An extension of Shapiro and Wilks’ W test for normality to large samples.
Applied Statistics, 31, 115-124.
Royston P. (1982). Algorithm AS 181: the W test for normality. Applied Statistics, 31, 176-180.
Royston P. (1995). A remark on Algorithm AS 181: the W test for normality. Applied Statistics,
44, 547-551.
Stephens M. A. (1974). EDF statistics for goodness of fit and some comparisons. Journal of the
American Statistical Association, 69, 730-737.
Stephens M. A. (1976). Asymptotic results for goodness-of-fit statistics with unknown

parameters. Annals of Statistics, 4, 357-369.
Shapiro S. S. and Wilk M. B. (1965). An analysis of variance test for normality (complete
samples). Biometrika, 52, 3 and 4, 591-611.

Thode H.C. (2002). Testing for normality. Marcel Dekker, New York, USA.

Resampling
Use this tool to calculate descriptive statistics using resampling methods (bootstrap, jackknife…)
for a set of quantitative variables.
In this section:
Description
Dialog box
Results
Example
References
Description
Resampling methods have become more and more popular since computational power has
increased. It is a well-known approach to nonparametric statistics. The principle is very simple:
from your original sample, randomly draw a new sample and recalculate statistics. Repeating
this step many times gives you the empirical distribution of the statistic, from which you obtain
the standard error, and confidence intervals.
With XLSTAT, you can apply these methods on a selected number of descriptive statistics for
quantitative data.
Three resampling methods are available:
Bootstrap: It is the most famous approach; it has been introduced by Efron and Tibisharni
(1993). It is a statistical method for estimating the sampling distribution of an estimator by
sampling with replacement from the original sample. The number of samples has to be
given.
Random without replacement: Subsamples are drawn randomly from the original
sample. The size of the subsample has to be specified.
Jackknife: The sampling procedure is based on suppressing one observation to the

original sample (of size n). Each subsample has n − 1 observations and the process is
repeated n times. It is less robust than the bootstrap.
Descriptive statistics for quantitative data:
Describing data 118 Resampling

Let's consider a sample made up of n items of quantitative data {x1 , x2 , … , xn } whose
respective weights are {w1 , w2 , … , wn }.
Sum *: The weighted sum of the values is defined by:

n
S = ∑ wi xi
i=1
Mean *: The mean of the sample is defined by:

S
μ=
SW
Variance (n) *: The variance of the sample is defined by:
n
∑ wi (xi − μ)2
s(n)2 = i=1
SW
divided by n, hence its name.
a good representation of the total population. The variance (n − 1) is, on the other hand,
Variance (n-1) *: The estimated variance of the sample is defined by:

n
∑ wi (xi − μ)2
s(n − 1)2 = i=1
SW − SW /n
divided by n − 1, hence its name.
a good representation of the total population. The variance (n − 1) is, on the other hand,
Standard deviation (n) *: The standard deviation of the sample is defined by: s(n)
Standard deviation (n-1) *: The standard deviation of the sample is defined by: s(n −
1)
Median *: The median Q2 is the value for which 50% of the values are less than Q2.
1st quartile *: The first quartile Q1 is the value for which 25% of the values are less than
Q1

3rd quartile *: The third quartile Q3 is the value for which 75% of the values are less than
Q3
Variation coefficient *: this coefficient is only calculated if the mean of the sample is non-
zero. It is defined by: CV = s(n)/μ. This coefficient measures the dispersion of a
sample relative to its mean. It is used to compare the dispersion of samples whose scales
or means differ greatly.
Standard error of the mean *: this statistic is defined by:
s(n − 1)2
Sμ =
SW
Mean absolute deviation *: as for standard deviation or variance, this coefficient

measures the dispersion (or variability) of the sample. It is defined by:
n
∑ wi ∣xi − μ∣
i=1
e(μ) =
SW
Median absolute deviation *: this statistic is the median of absolute deviations to the
median.
Geometric mean *: this statistic is only calculated if all the values are strictly positive. It is
defined by:
μG = exp ( ∑ wi Ln(xi ))
n
1
SW i=1
If all the weights are equal to 1, we have:
n
μG = n
∏ xi
i=1
Geometric standard deviation *: this statistic is defined by:

n
σG = exp ( ∑ wi (Ln (xi ) − Ln (μG ))2 )
1
SW i=1
Harmonic mean *: this statistic is defined by:
SW
μH = n
wi
∑ xi
i=1
Statistics followed by an asterisk (*) take the weights of observations into account.

Statistics obtained after resampling:
Let S be one of the preceding statistics, during the resample procedure it has been computed
B times. In the case of bootstrap and random without replacement, we have:
Mean: It is the mean on the B samples:
B
∑ Sî
^ ⋆ (S) =
μ i=1
B
where Si is the estimated value of S for sample i.
Standard error:
B 2
∑ (Sî − μ
^ ∗ (S))
^ ∗ (S) =
σ i=1
B−1
Standard bootstrap confidence interval: It is defined by:
^ ∗ (S)]
[S ± u1−α/2 σ
where u is the 1 − α/2 percentile of the normal distribution and 1 − α is the confidence
degree. This type of interval depends on a parametric distribution.
Simple percentile confidence interval: Confidence interval limits are obtained using the α/2
and 1 − α/2 percentiles of the empirical distribution of S .
Bias corrected percentile confidence interval: Confidence interval limits are also obtained
using percentiles of the empirical distribution of S , but with a small difference. These limits are
noted Sa1 and Sa2 . Let p be the proportion of Si lower than S (value of the statistic on the
original sample). Up is the percentile associated to the normal distribution with probability p.
Then we have: a1 = Φ(2up + uα/2 ) and a2 = Φ(2up + u1−α/2 ). For more details on this
approach please refer, to Efron and Tibshirani (1993).
Jackknife :
Mean:
n
∑ S^(−i)
i=1
^ (S) =
μ
n
where S(−i) is obtained on the sample without observation i.
Standard error:

n
n−1
∗
^ (S) =
σ ∑(S^(−i) − μ
^ ∗ (S))2
n i=1
Dialog box
observations.
General tab:
Quantitative data: Select the samples of quantitative data you want to calculate descriptive
statistics for.
Method: Choose the resampling method you want to use.
Bootstrap: Check this button to apply the bootstrap method.
Random without replacement: Check this button to apply the random without
replacement method.
Jackknife: Check this button to apply the Jackknife approach.
Sample size: Enter the size of the subsample in the case of random without replacement.
Number of sample: Enter the number of sample in the case of the bootstrap and the random
without replacement.

Missing data tab:
Remove observations: Activate this option to ignore an observation that has a missing value.
the sample.
Outputs tab:
Quantitative Data: Activate the options for the descriptive statistics you want to calculate. The
Confidence interval: Enter the size of the confidence interval (in %).
Standard bootstrap confidence interval: Activate this option to display the standard bootstrap
confidence interval.
Simple percentile confidence interval: Activate this option to display the simple percentile
confidence interval.
Bias corrected percentile confidence interval: Activate this option to display the bias
corrected percentile confidence interval.
Resampled statistics: Activate this option to display the resampled statistics.
Resampled data: Activate this option to display the resampled data.

Charts tab:
Cumulative histograms: Activate this option to display the cumulative histograms of the
samples.

that actually correspond to the empirical cumulative distribution of the sample.
Results
deviation.
Resampling: This table displays for the selected statistics, the mean, the standard error and the
confidence interval obtained with resampling.
Resampled statistics: This table displays the resampled statistics for each of the B samples.
Resampled data: This table displays the B samples obtained by resampling the initial data.
Descriptive statistics for the intervals: This table displays for each interval its lower bound,
upper bound, the frequency (number of values of the sample within the interval), the relative
frequency (the number of values divided by the total number of values in the sample), and the
density (the ratio of the frequency to the size of the interval).
Example
An example showing how to create apply bootstrap is available on the Addinsoft website at
http://www.xlstat.com/demo-resample.htm

References
Efron B. and Tibshirani R.J. (19 93). An introduction to the bootstrap, Chapman & Hall / CRC.
Good P. ( 2006). Resampling methods. A guide to data analysis. Third Edition. Birkhäuser.

Similarity/dissimilarity matrices (Correlations, ...)
Use this tool to calculate a proximity index between the rows or the columns of a data table. The
most classic example of the use of this tool is in calculating a correlation or covariance matrix
between quantitative variables.
In this section:
Description
Dialog box
Results
Example
References
Description
This tool offers a large number of proximity measurements between a series of objects whether
they are in rows (usually the observations) or in columns (usually the variables).
The correlation coefficient is a measurement of the similarity of the variables: the more the
variables are similar, the higher the correlation coefficient.
Similarities and dissimilarities
The proximity between two objects is measured by measuring at what point they are similar
(similarity) or dissimilar (dissimilarity).
The indexes offered depend on the nature of the data:
Quantitative data:
The similarity coefficients proposed by the calculations from the quantitative data are as
follows: Cosine, Covariance (n-1), Covariance (n), Inertia, Gower coefficient, Kendall correlation
coefficient, Pearson correlation coefficient, Spearman correlation coefficient.
The dissimilarity coefficients proposed by the calculations from the quantitative data are as
follows: Bhattacharya's distance, Bray and Curtis' distance, Canberra's distance, Chebychev's
distance, Chi² distance, Chi² metric, Chord distance, Squared chord distance, Euclidian
distance, Geodesic distance, Kendall's dissimilarity, Mahalanobis distance, Manhattan distance,
Ochiai's index, Pearson's dissimilarity, Spearman's dissimilarity.
Binary data:
Describing data 126 Similarity/dissimilarity matrices (Correlations, ...)

The similarity and dissimilarity (pay simple transformation) coefficients proposed by the
calculations from the binary data are as follows: Dice coefficient (also known as the Sorensen
coefficient), Jaccard coefficient, Kulczinski coefficient, Pearson Phi, Ochiai coefficient, Rogers &
Tanimoto coefficient, Sokal & Michener's coefficient (simple matching coefficient), Sokal &
Sneath's coefficient (1), Sokal & Sneath's coefficient (2).
Qualitative data:
The similarity coefficients proposed by the calculations from the qualitative data are as follows:
Cooccurrence, Percent agreement.
The dissimilarity indexes proposed by the calculations from the qualitative data are as follows:
Percent disagreement
Dialog box
General tab:
Data: Select a table comprising N objects described by P descriptors. If column headers have
been selected, check that the "Column labels" option has been activated.
Data type: Choose the type of data selected.
Note (1): in the case where the selected data type is « Binary », if the input data are not binary,
XLSTAT asks you if they should be automatically transformed into binary data (all values that
are not equal to 0 are replaced by 1s).
Note (2): in the case where the selected data type is « Qualitative », whatever the true type of
the data, they are considered as qualitative.

Row weights: Activate this option if the rows are weighted. If you do not activate this option, the
has been selected, check that the "Column labels" option is activated.
Proximity type: similarities / dissimilarities: Choose the proximity type to be used. The data
type and proximity type determine the list of possible indexes for calculating the proximity
matrix.
Note: to calculate a classical correlation coefficient (also called Pearson's correlation coefficient)
you must select data types "quantitative", "similarities" and "Pearson's correlation coefficient".
Column labels: Activate this option if the first row of the data selections (Observations/variables
table, row labels, row weights, column weights) contains a label.
Row labels: Activate this option if observations labels are available. Then select the
corresponding data. If the "Column labels" option is activated you need to include a header in
Compute proximities for:
Columns: Activate this option to measure proximities between columns.
Rows: Activate this option to measure proximities between rows.
Missing data tab:
Estimate missing data: Activate this option to estimate missing data before starting the
computations.
Mean or mode: Activate this option to estimate missing data by using the mean
(quantitative variables) or the mode (qualitative variables) of the corresponding variables.

Nearest neighbour: Activate this option to estimate the missing data of an observation by
searching for the nearest neighbour of the observation.
Outputs tab:
selected.
Proximity matrix: Activate this option to display the proximity matrix.
Flag similar objects: Activate this option to identify similar objects in the proximity matrix.
List similar objects: Activate this option to display the list of similar objects.
Dissimilarity threshold: Enter the threshold value of the index from which you consider objects
to be similar. If the index chosen is a similarity, the values will be considered as being similar if
they are greater than this value. If the index chosen is a dissimilarity, the values will be
considered as being similar if they are less than this value.
Cronbach's Alpha: Activate this option to calculate Cronbach's alpha coefficient.
Bartlett's sphericity test: Activate this option to calculate Bartlett's sphericity test (only for
Pearson correlation or covariance).
Significance level (%): Enter the significance level for the sphericity test.
Results
Summary statistics: This table shows the descriptive statistics for the samples.
Proximity matrix: This table displays the proximities between the object for the chosen index. If
the "Identify similar objects" option has been activated and the dissimilarity threshold has been
exceeded, the values for the similar objects are displayed in bold.
List of similar objects: If the "List similar objects" option has been checked and at least one
pair of objects has a similarity beyond the threshold, the list of similar objects is displayed.
Example
An example showing how to compute a dissimilarity matrix is available on the Addinsoft website:
http://www.xlstat.com/demo-mds.htm
References
Everitt B.S., Landau S. and Leese M. (2001). Cluster Analysis (4th edition). Arnold, London.

Gower J.C. and P. Legendre (1986). Metric and Euclidean properties of dissimilarity
coefficients. Journal of Classification, 3, 5-48.
Jobson J.D. (1992). Applied Multivariate Data Analysis. Volume II: Categorical and Multivariate
Methods. Springer-Verlag, New York.
Legendre P. and Legendre L. (1998). Numerical Ecology. Second English Edition. Elsevier,
Amsterdam.
Biological Research. Third edition. Freeman, New York.

Biserial correlation
Use this tool to compute the biserial correlation between on one hand, one or more quantitative
variables, and on the other hand, one or more qualitative binary variables.
In this section:
Description
Dialog box
Results
Example
References
Description
This tool allows computing the biserial correlation between on one hand, one or more
quantitative variables, and on the other one or more binary variables. The biserial correlation
introduced by Pearson (1909), between a quantitative variable and a binary variable is given by:
(μ
^2 − μ^1 )
r= p1 p2
σ^n
Where μ ^ 1 and μ
^ 2 are the estimated means for the two possible values of the binary variable,
^ n is the biased standard deviation estimated on all the data, and p1 and p2 are the
σ
proportions corresponding to the two values of the binary variable (p1 + p2 = 1). As for the
Pearson correlation, the biserial correlation coefficient varies between -1 and 1. 0 corresponds
to no association (the means of the quantitative variable for the two categories of the qualitative
variable are identical).
XLSTAT allows testing if the r value that has been obtained is different from 0 or not.
For the two-tailed test, the null H0 and alternative Ha hypotheses are as follows:
H0: r =0
Ha: r  0
=
In the left one-tailed test, the following hypotheses are used:
H0: r =0
Ha: r <0
In the right one-tailed test, the following hypotheses are used:
Describing data 131 Biserial correlation

H0: r =0
Ha: r >0
Two methods to compute the p-value are proposed by XLSTAT. The user can choose between
a p-value computed using on a large sample approximation, and a p-value computed using
Monte Carlo resamplings. The second method is recommended.
To compute the p-value using the large sample approximation, we use the following result:
If n is the full sample size, the statistic defined by
n−2
t=r 1−r2
follows a Student distribution with n − 2 degrees of freedom under the null hypothesis.
Note: the XLSTAT_Biserial spreadsheet function can be used to compute the biserial correlation
between a quantitative variable and a binary variable.
Dialog box
observations.
General tab:

Qualitative variables: Activate this option to select one or more quantitative variables. If a
column header has been selected, check that the "Variable labels" option is activated.
Qualitative variables: Activate this option to select one or more binary qualitative variables. If a
Control category : choose the category you want to assign as the group 2 for the above
calculations.
Variable labels: Activate this option if the first row of the data selections (variables, weights,
observations labels) includes a header.
Options tab:
Alternative hypothesis: Choose the alternative hypothesis to be used for the test (see
description).
Significance level (%): Enter the significance level for the test (default value: 5%).
Asymptotic p-value: Activate this option if you want XLSTAT to calculate the p-value based on
the asymptotic approximation (see description).
Monte Carlo method: Activate this option if you want XLSTAT to calculate the p-value based
on Monte Carlo permutations, and select the number of random permutations to perform or the
maximum time to spend.
Missing data tab:
Remove the observations: Activate this option to remove observations with missing data.
For the corresponding variable: Activate this option to ignore an observation which has
a missing value only for the variables that have a missing value.

For all variables: Activate this option to ignore an observation which has a missing value
for all selected variables.
Outputs tab:
variables.
Results
Descriptive statistics: The table of descriptive statistics shows the simple statistics for all the
variables selected. The number of missing values, the number of non-missing values, the mean
and the standard deviation (unbiased) are displayed for the quantitative variables. For
qualitative variables, the categories with their respective frequencies and percentages are
displayed.
The biserial correlation is then given for each pair (quantitative variable, qualitative variable).
The p-values are then displayed if they have been requested. The details for the test are given
only when the correlation is calculated one quantitative variable and one qualitative variable.
Example
An example showing how to compute the biserial correlation is available on the Addinsoft web
site. To download this data, go to:
http://www.xlstat.com/demo-biserial.htm
References
Chmura Kraemer H. (1982). Biserial Correlation, Encyclopaedia of Statistical Sciences, Volume
1, Wiley, 276-279.
Pearson K. (1909). On a New Method of Determining Correlation between a measured

Character A and a Character B, of which only the Percentage of cases wherein B exceeds (or
falls short of) a given Intensity is recorded for each grade of A. Biometrika, 7, 96-105.
Richardson M.W. and Stalnaker J.M. (1933). A note on the use of bi-serial r in test research.
Journal of General Psychology, 8, 463-465.

Multicolinearity statistics
Use this tool to identify multicolinearities between your variables.
In this section:
Description
Dialog box
Results
Example
References
Description
Variables are said to be multicolinear if there is a linear relationship between them. This is an
extension of the simple case of colinearity between two variables. For example, for three
variables X1 , X2 and X3 , we say that they are multicolinear if we can write:
X1 = aX2 + bX3
where a and b are real numbers.
Principle Component Analysis (PCA) can detect the presence of multicolinearities within the
data (a number of non-null factors less than the number of variables indicates the presence of a
multicolinearity), but it cannot identify the variables which are responsible.
To detect the multicolinearities and identify the variables involved, linear regressions must be
carried out on each of the variables as a function of the others. We then calculate:
The R² of each of the models. If the R² is 1, then there is a linear relationship between the
dependent variable of the model (the Y ) and the explanatory variables (the X ).
The tolerance for each of the models. The tolerance is (1-R²). It is used in several
methods (linear regression, logistic regression, discriminant factorial analysis) as a
criterion for filtering variables. If a variable has a tolerance less than a fixed threshold (the
tolerance is calculated by taking into account variables already used in the model), it is
not allowed to enter the model as its contribution is negligible and it risks causing
numerical problems.
The VIF (Variance Inflation Factor) which is equal to the inverse of the tolerance.
Detect multicolinearities within a group of variables can be useful especially in the following
cases:
Describing data 135 Multicolinearity statistics

To identify structures within the data and take operational decisions (for example, stop the
measurement of a variable on a production line as it is strongly linked to others which are
already being measured),
To avoid numerical problems during certain calculations. Certain methods use matrix
inversions. The inverse of a (p × p) matrix can be calculated if it is of rank p (or regular).
If it is of lower rank, in other words, if there are linear relationships between its columns,
then it is singular and cannot be inverted.
Dialog box
observations.
General tab:
Observations/variables table: Select a table with N observations and P variables. If column

headers have been selected, check that the "Variable labels" option has been activated.
Variable labels: Activate this option if the first row of the selection includes a header.

Missing data tab:
Outputs tab:
variables.
Correlations: Activate this option to display the correlations matrix.
R²: Activate this option to display the R-squares.
Tolerance: Activate this option to display the tolerances.
VIF: Activate this option to display the VIFs.
Charts tab:
Bar charts: Activate this option to display the bar charts of the following statistics:
R²
Tolerance
VIF
Results
The results comprise the descriptive statistics of the variables selected, the correlation matrix of
the variables and the multicolinearity statistics (R², Tolerance and VIF). Bar charts are used to
locate the variables which are more multi-correlated than the others.
When the tolerance is 0, the VIF has infinite value and is not displayed.
Example

References
Belsley D.A., Kuh E. and Welsch R.E. (1980). Regression Diagnostics, Identifying Influential
Data and Sources of Collinearity. Wiley, New York.

Reliability Analysis
Reliability analysis can be used to characterize measurement scales composed of elements
(questions in the case of a questionnaire). The procedure computes several measures to
evaluate the reliability of a scale and also provides information on relationships between its
elements.
In this section:
Description
Dialog box
Results
Example
References
Description
Reliability analysis is used in several areas, noticeably in social sciences. The terminology finds
its origin in psychometry. We define a test made up of questions. Questions are called
elements. Elements are gathered within homogeneous constructs called factors, measurement
scales, latent variables or concepts.
As an illustration, graphical skill might be a factor on which we wish to measure a level on a

scale of measurement. The goal of reliability analysis is to assess the reliability of this scale of
measurement, or, in other words, that the construct questions are coherent and measure the
same thing. In the case of the graphical skill, a question on mental calculus would downgrade
the coherence of the scale.
To the statistician, questions are variables often measured on Likert-type scale (rating answers).
Results of a test collected on a group of individuals are gathered in an individuals/variables
array. To ensure compatibility with other areas such as quality control where the reliability
analysis might also be used, those arrays are labelled observations/variables within XLSTAT.
Methods implemented in XLSTAT are used to estimate the internal consistency of a scale by
making sure that results to different questions addressing the same phenomenon are coherent.
Moreover, they also measure the reliability between two tests administered to the same
individuals at two different times.
"Internal" analysis allows you to determine which elements of a survey might be correlated by
providing an index related to the internal consistency of the scale. It also allows you to identify
unnecessary elements that could be removed from the scale.
The "split-half reliability" analysis measures the equivalence between two parts of a test (parallel
forms reliability). This type of analysis is used for two similar sets of items measuring the same
thing, using the same instrument and with the same people.
Describing data 139 Reliability Analysis

Cronbach’s alpha
Cronbach's alpha index measures internal consistency, which is, how closely related a set of
items are. It is considered to be a measure of scale reliability.
This index (represented by the Greek letter « α ») is the mathematical equivalent of the average
of all correlations between 2 equal portions of the scale.
The formula of the raw Cronbach’s alpha is given by:
∑ cov(xh , xh′ )
h=h
 ′ p
α= ×
p−1
var (∑ xh )
h
With xh the hth item of the scale and p the total number of items.
Many methodologists recommend a minimum alpha coefficient between 0.65 and 0.8 (or more);
those below 0.5 are usually considered as unacceptable.
XLSTAT also provides the standardized Alpha coefficient which is equivalent to the reliability
that would be obtained if all items values were standardized (centered-reduced variables)
before computations.
The formula of the standardized Cronbach’s alpha is given by the following equation:
∑ cor(xh , xh′ )
 ′
h=h p
αstd = ×
p + ∑ cor(xh , xh′ ) p−1
h=h
 ′
Guttman's reliability coefficients (lambda 1-6)
There are six reliability coefficients: L1 to L6. Four of them (L1, L3, L5 and L6) are used to
estimate internal consistency and the last two (L2 and L4) are used for split-half reliabilities:
L1: Intermediate coefficient used in computing the other lambdas.
L2: Estimation of the inter-score correlation in the case of parallel measurements. It is more
complex than the Cronbach alpha and better represents the true reliability of the test.
L3: Equivalent to Cronbach's alpha.
L4: Guttman split-half reliability (See the description below).
L5: Recommended when a single item strongly covaries with other items whereas those items
don’t covary between each other.

L6: Recommended when inter-item correlations are low compared to the item squared multiple
correlations (becomes a better estimator as the number of elements increase).
Spearman-Brown reliability (Split-half model):
Another way to calculate the reliability of a scale is to randomly split it into two parts. If the scale
is perfectly reliable, we expect the two halves to be perfectly correlated (ie, R = 1). Bad
reliability leads to imperfect correlations. We can estimate that reliability with the Spearman-
Brown coefficient formula:
2R
Y =
1+R
Where Y is the Spearman-Brown split-half coefficient and R represents the correlation between
the two halves of the scale.
When the two halves have different sizes, a more accurate estimate of the reliability is used
(Horst’s Formula) which reads:
−R2 + R4 + 4R2 (1 − R2 )k1 k2 /k

H=
2(1 − R2 )k1 k2 /k
Where H is the Horst split-half coefficient, R represents the correlation between the two halves
of the scale, k1 the number of items in the first part, k2 the number of items in the second part
and k the total number of items in the scale.
Guttman split-half reliability (Split-half model):
It is similar to the Spearman-Brown half-reliability coefficient, but does not consider the
reliabilities or variances to be equal in both halves (Tau- equivalence). It is calculated as follows:
2(Sp2 − Sp21 − Sp22 )

G=
Sp2
Where G is the Guttman split-half reliability coefficient (L4),Sp ,Sp1 , Sp2 respectively the
variances of total and subparts of the test.
Dialog box

observations.
General tab:
Observations/items table: Select a table made up of N observations described by P items. If

column headers have been selected, check that the "Variable labels" option has been activated.
Observations/items table (1): Select a table made up of N 1 observations described by P

items (first split-half). If column headers have been selected, check that the "Variable labels"
option has been activated.
Observations/items table (2): Select a table made up of N 2 observations described by P

items (second split-half). If column headers have been selected, check that the "Variable labels"
Type of reliability: Choose the type of reliability to use for the computations (see the
description section for more details).
Options tab:
Enumerate: Activate this option to find the optimal split-half maximizing the Guttman L4
reliability index for the given input scale. It is carried out by testing every combination in two

parts of the initial test.
Maximum time (s): Activate this option to set a maximum delay in seconds in order to
search for the optimal Guttman L4 index (max value).
Fast : Use a maximum search algorithm providing an optimal solution in a faster time
(preferable when the number of items becomes larger)
Missing data tab:
Pairwise deletion: Activate this option to remove observations with missing data only when the
variables involved in the calculations have missing data. For example, when calculating the
correlation between two variables, an observation will only be ignored if the data corresponding
to one of the two variables is missing.
Estimate missing data: Activate this option to estimate the missing data before the calculation
starts.
Mean or mode: Activate this option to estimate the missing data by using the mean
(quantitative variables) or the mode (qualitative variables) for the corresponding variables.
Nearest neighbour: Activate this option to estimate the missing data for an observation
by searching for the nearest neighbour to the observation.
Outputs tab:
variables.
Deleted items statistics: Activate this option to calculate and display statistics on the
comparison of each element to the scale composed of others. These statistics include the mean
and variance of the scale if the element was deleted, the correlation between the element and
the sum of others, Cronbach's alpha if the element was removed from the scale, Guttman’s L6 if
the element was removed from the scale and the coefficient of determination (R2 ) between the
deleted element and the scale composed of others.
Correlation matrix: Activate this option to display the correlation matrix that corresponds to the
Pearson correlation applied to the observations/items table given as input.
Covariance matrix: Activate this option to display the covariance matrix related to the
observations/items table given as input.
Cronbach’s alpha statistics: Activate this option to display the raw and standardized
Cronbach’s alphas for the global scale and subscales (only when the "split-half model" reliability
is selected).

Guttman’s statistics: Activate this option to display the Guttman’s reliability indices.
Display the best split-half: Activate this option to display each partition corresponding to
an optimal Guttman L4 coefficient.
Split-half model’s statistics: Activate this option to display the reliability indices corresponding
to a split-half reliability model (correlation between the two halves of the scale, Spearman-
Brown coefficient or Horst coefficient, Guttman split-half reliability coefficient (L4) for the
partitions given as input)
Charts tab:
Correlation maps: Several visualizations of a correlation matrix are proposed.
The "blue-red " option allows to represent low correlations with cold colors (blue is used
for the correlations that are close to -1) and the high correlations are with hot colors
(correlations close to 1 are displayed in red color).
The "Black and white " option allows to either display in black the positive correlations or
in white the negative correlations (the diagonal of 1s is display in grey color), or to display
in black the significant correlations, and in white the correlations that are not significantly
different from 0.
The "Patterns " option allows to represent positive correlations by lines that rise from left
to right, and the negative correlations by lines that rise from right to left. The higher the
absolute value of the correlation, the large the space between the lines.
Results
The correlation matrix and descriptive statistics of scale / item are displayed.
Cronbach's alpha / Guttman’s statistics estimate the reliability of the scale entered as input,
while the deleted items statistics provide useful information on the influence of the withdrawal of
each element on the overall reliability of the scale.
The internal reliability model allows the computation of the best partition which can be used in
the case where a split-half reliability analysis must be considered later.
The correlation map is used to identify possible structures in the correlations and thus to quickly
identify elements with interesting correlations.
Example
An example based on data collected from the Personality Tests website is permanently
available on the Addinsoft web site. To download this data, go to:
http://www.xlstat.com/demo-reliability.htm
References

Cronbach L. J. (1951). Coefficient Alpha and the internal structure of test. Psychometrika, 16
(3), 297-334.
Guttman L (1945) A basis for analyzing test–retest reliability. Psychometrika 10:255–282

Contingency tables (descriptive statistics)
Use this tool to compute a variety of descriptive statistics on a contingency table. A chi-square
test is optionally performed. Additional tests on contingency tables are available in the "Tests on
contingency tables" section.
In this section:
Description
Dialog box
References
Description
A contingency table is an efficient way to summarize the relation (or correspondence) between
two categorical variables V1 and V2. It has the following structure:
Category 1 n(1, 1) n(1, j) … n(1, m2 )

… … … … … …
Category i n(i, 1) … n(i, j) … n(i, m2 )
… … … … … …
Category m1 n(m1 , 1) … n(m1 , j) … n(m1 , m2 )
where n(i, j) = nij is the frequency of observations that show both characteristic i for
variable V1 , and characteristic j for variable V2 .
The Pearson chi-square statistic, which is the sum of the Chi- square distances, is used to test
the independence between rows and columns. Is has asymptotically a Chi-square distribution
with (m1 − 1)(m2 − 1) degrees of freedom.
Inertia is a measure inspired from physics that is often used in Correspondence Analysis, a
method that is used to analyse in depth contingency tables. The inertia of a set of points is the
weighted mean of the squared distances to the center of gravity. In the specific case of a
contingency table, the total inertia of the set of points (one point corresponds to one category)
can be written as:
m1 m2 2
χ2 ( nnij − ni.nn2 .j ) m2 m1
2
ϕ = = ∑∑ ni. n.j , with ni. = ∑ nij and n.j = ∑ nij
n i=1 j=1 n 2
j=1 j=1
Describing data 146 Contingency tables (descriptive statistics)

where n is the sum of the frequencies in the contingency table. We can see that the inertia is
proportional to the Pearson chi-square statistic computed on the contingency table.
Bootsrap confidence intervals
XLSTAT allows you to obtain bootstrap confidence interval around the theoretical frequency of
each pair of categories in a contingency table. It offers an alternative to the classical Chi-square
by cell.
The method is as follow:
1. Build a dataset with two qualitative variables using the value of the contingency table.
2. Randomly draw with replacement N observations from the dataset for both variables
independently.
3. Build a contingency table with the new dataset.
4. Repeat 2 and 3 as many times as specified by the user.
5. Compute mean, standard error, confidence interval and percentile confidence intervals for
each pair of categories.
Pairs with observed value out of the confidence interval show a significant difference between
the two categories (Amiri et al. 2011).
Dialog box
observations.

General tab:
Contingency table: Select the data that correspond to the contingency table. If row and column
labels are included, make sure that the "Labels included" option is checked.
Labels included: Activate this option if the row and column labels are selected.
Options tab:
Bootstrap confidence interval: Activate this option to display the bootstrap confidence interval
around the theoretical value for each pair of categories of the contingency table.
Number of samples: Enter the number of samples to be used to compute bootstrap confidence
intervals.
Missing data tab:
Replace missing data by 0: Activate this option if you consider that missing data are
equivalent to 0.
Replace missing data by their expected value: Activate this option if you want to replace the
missing data by the expected value. The expectation is given by:
ni. n.j
E(nij ) =
n

where ni. is the row sum, n.j is the column sum, and n is the grand total of the table before
replacement of the missing data.
Outputs tab:
frequencies.
exact test of on a 2 × 2 table having the same total frequency as the complete table, and the
displayed.
each row.
of each column.
Raw data: Activate this option to display the raw data table, meaning the observations/variables
table, having N rows and 2 columns.
Charts tab:

References
Amiri S.and von Rosen D. (2011). On the efficiency of bootstrap method into the analysis
contingency table. Computer methods and programs in biomedicine, 104(2), 182-187.

Ingelligent pivot tables
Use this module to turn an individuals/variables table into a dynamic pivot table optimized to let
you understand and analyze the issue phenomenon corresponding to one of the variables
describing the individuals.
In this section:
Description
Dialog box
Results
Example
References
Description
"Ingelligent pivot tables" is a unique solution that allows you to quickly create intelligent pivot
tables. This tool is based on classification trees using the CHAID algorithm in order to find the
most relevant explanatory variables of a response variable.
A pivot table (or contingency table, or two-way table) is a synthetic representation of

occurrences observed on an N -size population for crosses of all the different categories of two
variables.
A dynamic pivot table allows to take more than two variables into account and to organize the
table structure into a hierarchy. The table is said to be dynamic in the sense that software
functionalities allow to navigate among the hierarchy and to create a focused view on particular
classes of particular variables.
This tool allows you to create dynamic pivot tables whose structure is optimized with respect to
a target variable. Numeric continuous or discrete explanatory variables are automatically sliced
into classes that contribute to optimize the quality of the table.
The target variable can be a qualitative variable, or a quantitative variable.
This tool uses classification trees to discretize the quantitative variables and to identify the
contributions of the variables (see the chapter on classification trees). The CHAID method is
used because it suits well the dynamic pivot table representation.
When you run "Intelligent pivot tables" you will see successively two dialog boxes:
- The first dialog box lets you select the data and a few options.
Describing data 151 Ingelligent pivot tables

- The second dialog box allows you to select the dimensions that you want to use in the pivot
table (up to four variables may be selected). To help you select the variables the explanatory
power of each variable are displayed. A specific score is used for that purpose (see bellow for a
detailed description).
The function offers several options. However the default options should give the best results.
For example, you can choose to use an external method for discretizing the quantitative
explanatory variables. A sensitivity index is also available in order to better fit your needs in term
of complexity of the tree generated.
Explanatory variables score index
In order to evaluate the contribution of the variables on the response variable, an index has
been used. It will differ depending on the type of response variable.
In the case of a quantitative response variable, the score index for each variable (quantitative
or qualitative), as defined by Breiman et al. (1984), is:
Score(vari ) = ∑ i2 I(vari ∈ N odej )

j∈T
wi ×wj
With i2 = − yˉj )2 , with i and j being the two nodes separating the studied node, T
wi +wj (yˉi
1 if node j is associated to variable i
being the tree and I(vari ∈ N odej ) = { .
0 if not
The weights w are computed with: wi = nNi (1 − nNi ), ni being the number of observation
associated to the leaf and N being the number of observations associated to the studied node.
In the case of a qualitative response variable, the score index for each variable (quantitative
or qualitative), as defined by Breiman et al. (1984), is:
Score(vari ) = ∑ i2 I(vari ∈ N odej )

j∈T
nb_mod
2 wi ×wj
With i = wi +wj ∑ (pik − pjk )2 with i and j being the two nodes separating the studied
k=1
node, T being the tree and I(vari ∈ N odej ) =
1 if node j is associated to variable i
{ .
0 if not
n n
The weights w are computed with: wi = Ni (1 − Ni ), ni being the number of observation
associated to the leaf and N being the number of observations associated to the studied node.
The probabilities are the probabilities of having modality k of the response variable in each leaf.

Sensitivity index associated to the tree
Building a classification tree requires to set a number of parameters (maximum depth, leaf size,
the thresholds of grouping and separation ...). To simplify the use of "Intelligent pivot tables", a
sensitivity index was developed. It takes values between 0 and 1.
When this index is close to 0, then the building of the tree is not sensitive to small differences.
The number of intervals in the discretization of the quantitative variables will be lower and the
size of the tree will be small. It is therefore the strongest contributions that will be revealed in the
pivot table.
When this index is close to 1, then the building of the tree is very sensitive to small differences.
The number of intervals in the discretization of the quantitative variables will be larger and the
size of the tree will be large. All contributions will be revealed in the pivot table (but sometime
too many).
Dialog box
observations.
General tab:
Y / Response variable: Select the response variable you want to model. If a column header
Choose the type of response variable you have selected:
Quantitative: If you select this option, you must select a quantitative variable.

Qualitative: If you select this option, you must select a qualitative variable. You must then
select a target category which will be used for the outputs of the pivot table. A new box
with the list of the categories of the response variable will appear on the right.
X / Explanatory variables
Quantitative: Activate this option if you want to include one or more quantitative explanatory
variables in the model. Then select the corresponding variables in the Excel worksheet. The
data selected may be of the numerical type. If a variable header has been selected, check that
the "Variable labels" option has been activated.
Qualitative: Activate this option if you want to include one or more qualitative explanatory
selected data may be of any type, but numerical data will automatically be considered as
nominal. If a variable header has been selected, check that the "Variable labels" option has
been activated.
Variable labels: Activate this option if the first row of the data selections (response and
explanatory variables, weights, observations labels) includes a header.
Options tab:
Sensitivity: Enter the value of the sensitivity parameter. When it is close to 1, the classification
tree is large. When it is close to 0, the classification tree is small. For a detailed description,
please refer to the description part of this chapter. The default value is 0.5.
Discretization – quantitative variables: this option is enabled only if quantitative explanatory

variables have been selected.

Automatic: Activate this option to use the automatic discretization within the tree
algorithm (this is the default option).
Equal width: Activate this option to discretize the quantitative variable using equal width
intervals.
Equal frequency: Activate this option to discretize the quantitative variable using equal
frequency intervals.
User defined: Activate this option to discretize the quantitative variable using user
defined interval. Select a table with one row for each bound of the intervals and one
column for each variable.
Missing data tab:
computations.
Outputs tab:
selected.
Discretization: Activate this option to display the discretized explanatory variables.
Contributions: Activate this option to display the contributions table and the corresponding bar
chart.
Pivot table: Activate this option to display the dynamic pivot table.
Results
qualitative variables, including the response variable, the categories with their respective
frequencies and percentages are displayed.
The next table presents the discretized explanatory variables.

The next table presents the variables contributions (raw, % relative and cumulated
contribution). This table allows you to quickly see which variables have the greater impact on
the target variable. A bar chart of the contributions is also displayed. This histogram is an Excel
chart that you can modify to suit your needs.
The most important result is the dynamic pivot table. Each cell corresponds to a unique
combination of the values of the explanatory variables. It is described by the following 4 values,
that can be displayed or not according to the user preferences:
Target average: Percentage of the cases where the target category of the response
variable is present in the case of a qualitative variable; average of the target variable
calculated on the sub-population corresponding to the combination in the case of
continuous variable;
Target size: Count of the occurrences of the target category for the response variable in
the case of qualitative variable;
Population size %: Percentage of the overall population corresponding to the

combination;
Population size: Population size corresponding to the combination.
Example
An example based on data collected for a population census in the United States is
permanently available on the Addinsoft web site. To download this data, go to:
http://www.xlstat.com/demo-pivot.htm
References
Breiman, L. , Friedman, J.H., Olshen, R. A. and Stone, C.J. (1984) . Classification and
regression tree, Chapman & Hall.

Visualizing data
Scatter plots
Use this tool to create 2- or 3-dimensional plots (the 3rd dimension being represented by the
size of the point), or indeed 4-dimensional plots (a qualitative variable can be selected). This
tool is also used to create matrices of plots to enable a study of a series of 2-dimensional plots
to be made at the same time.
Note: XLSTAT-3DPlot can create plots with much more impact thanks to its large number of
options with the possibility of representing data on a third axis.
In this section:
Dialog box
Example
References
Dialog box
observations.
General tab:
X: In this field select the data to be used as coordinates along the X-axis.
Y: In this field select the data to be used as coordinates along the Y-axis.
Visualizing data 157 Scatter plots

Z: Check this option to select the values which will determine the size of the points on the
charts.
Use bubbles: Check this option to use charts with MS Excel bubbles.
Groups: Check this option to select the values which correspond to the identifier of the group to
which each observation belongs. On the chart, the color of the point depends on the group.
Variable labels: Check this option if the first line of the selected data (X, Y, Z, Groups, Weights
and observation labels) contains a label.
Options tab:
Matrix of plots: Check this option to display all possible combinations of variables in pairs in
the form of a two-entry table with Y-variables in rows and Y-variables in columns.
Histograms: Activate this option so that if the X and Y variables are identical, XLSTAT
displays a histogram instead of a X/X plot.
Q-Q plots: Activate this option so that if the X and Y variables are identical, XLSTAT
displays a Q-Q plot instead of a X/X plot.
Frequencies: Check this option to display the frequencies for each point on the charts.
Only if >1: Check this option if you only want frequencies strictly greater than zero to be
displayed.
Confidence ellipses: Activate this option to display confidence ellipses. The confidence
ellipses correspond to a 95% confidence interval for a bivariate normal distribution with the
same means and the same covariance matrix as the variables represented in abscissa and
ordinates.
Legend: Check this option if you want the chart legend to be displayed.

Onglet Colors :
Number of groups : Activate this option to choose a color for each group. Then enter the
number of modalities of the variable Groups selected in the General tab.
Group : Click on each group field to choose the respective color.
Example
A tutorial on using Scatter plots is available on the XLSTAT website on the following page:
http://www.xlstat.com/demo-scatter.htm
References
Chambers J.M., Cleveland W.S., Kleiner B. and Tukey P.A. (1983). Graphical Methods for Data
Analysis. Duxbury, Boston.
Jacoby W. G. (1997). Statistical Graphics for Univariate and Bivariate Data. Sage Publications,
London.
Wilkinson L. (1999). The Grammar of Graphics, Springer Verlag, New York.

Probability plots
Use this tool to create probability plots that allow to visually control if a sample may come from a
population that follows a given distribution.
In this section:
Description
Dialog box
Results
Example
References
Description
Probability plots is an old method (Hazen, 1914), that has been extensively used, especially
through the use of printed probability paper. It is useful to visually control whether a sample
follows a given distribution.
Any XLSTAT distribution can be used (see the Histogram tool for the full list). The fitting of the
distribution can done before creating the plot. The distribution that fits best can be automatically
chosen by XLSTAT, or you can select a specific distribution and choose to enter the parameters
or let XLSTAT estimate them.
Let {x1 , x2 , …, xn } be the order statistics of a sample of size n that is supposed to follow a
distribution F (x). To construct a probability plot, xi is plotted against F −1 (pi ), where pi is the
estimate of F (xi ), namely the plotting position. Several approaches have been proposed to
compute pi . XLSTAT includes the following options:
Blom (1958): pi = (i − 0.375)/(n + 0.25),
Hazen (1914): pi = (i − 0.5)/n,
Weibull (1939): pi = i/(n + 1),
Filliben (1975): p1 = 1 − 0.5n /pn = 0.5n /pi = (i − 0.3175)/(n + 0.365) (1 <

i < n).
XLSTAT proposes as well the possibility to compute the estimated order statistics for a given
distribution using Monte Carlo simulations. Monte Carlo simulations are also used by XLSTAT to
compute confidence intervals. Asymptotic confidence intervals are also available (Chambers,
1983).
Dialog box
Visualizing data 160 Probability plots

observations.
General tab:
Data: Select the data for which you want to compute and display a probability plot. If a sample
header has been selected, check that the "Sample labels" option has been activated.
Subsamples: Check this option to select a column showing the names or indexes of the sub-
Colors only: Activate this option if the subsamples information should only be used to
color data on the probability plot. Otherwise it will be used to compute a separate
probability for each subsample.
Sample labels: Activate this option if the first row of the data selections (data, weights,
subsamples) includes a header.

Options tab:
Distribution: Choose the probability distribution to be used for the fit and/or goodness of fit
tests. See the description section of the distribution fitting function, for more information on the
distributions offered. The automatic option allows to let XLSTAT identify the best fitting
distribution (determined using a Kolmogorov-Smirnov test).
Parameters: You can choose to enter the parameters for the distribution, or estimate them. If
you choose to enter the parameters, you must enter their values.
Estimationmethod: Choose the method of estimating the parameters of the chosen

distribution.
Moments: Activate this option to use the moments method.
Maximum likelihood: Activate this option to use the maximum likelihood method. You
can then change the convergence limit value which when reached means the algorithm
is considered to have converged. Default value: 0.00001.
Method: Select the method you want to use to estimate the plotting positions (see the
description section for more information). If the method is Monte Carlo, you can then specify the
number of simulations and the maximum time to spend on the simulations.
Missing data tab:
computations.
Outputs tab:
selected.

Charts tab:
Log scale: Activate this option to use a log scale on the probability plot.
Abscissa=Observed: Activate this option so that the observed values correspond to the
abscissa axis. Otherwise they correspond to the ordinates.
Display %: Activate this option to use the cumulative % as a scale for the axis used for the
plotting positions.
Confidence intervals: Activate this option to display the confidence intervals. The value you
enter (between 1 and 99), in percentage, is used to determine the confidence intervals for the
estimated values. The default value is 95.
Percentiles: Activate this option and select up to four percentiles that you want to display on
the chart.
Quantiles: Activate this option and select up to four quantiles that you want to display on the
chart.
Results
qualitative variables, including the response variable, the categories with their respective
If a distribution has been fitted to the data, the results of the fit and the estimated parameters of
the distribution are displayed.
The probability is then displayed, with, if the corresponding option has been selected in the
dialog box, the confidence intervals.
Example
An example showing how to create probability plots with XLSTAT is available at:
http://www.xlstat.com/demo-probaplots.htm
References
Blom G. (1958). Statistical Estimates and Transformed Beta Variables. John Wiley, New York.
Chambers J.M., Cleveland W.S., Kleiner B. and Tukey P.A. (1983). Graphical Methods for
Data Analysis. Duxbury, Boston.
Cunname C. (1978). Unbiased plotting positions - A review. Journal of Hydrology, 37, 205-222.
Filliben J.J. (1975). The probability plot correlation coefficient test for normality. Technometrics,
17, 111-117

Hazen A. (1914). Storage to be provided in the impounding reservoirs for municipal water
supply. Transactions of the American Society of Civil Engineers, 77, 1547-1550.
Kimball B.F. (1960). On the choice of plotting positions on probability paper. Journal of the
Looney S.W. and Gulledge T.R. (1985). Use of the correlation coefficient with normal
probability plots. Am. Stat., 39(1), 75-79.
Royston J. P. (1982). Algorithm AS 177: Expected normal order statistics (exact and
approximate). Journal of the Royal Statistical Society. Series C, 31(2), 161-165.
Weibull W. (1939). The phenomenon of rupture in solids. Ingeniors Vetenskaps Akademien

Handingar, 153, 17.

Motion charts
Use this tool to explore the evolution of several variables over time.
In this section:
Description
Dialog box
Buttons
Example
Description
Usually, when one wants to visualize the evolution of a variable over time, the value of the
variable is plotted on the Y axis as a function of time on the X axis. With this type of
representation, you are limited to the evolution of only one variable at a time. If more than one
variable on different observations are to be explored, several charts are needed. The XLSTAT
Motion Chart solves this issue by allowing you to explore the evolution of several variables (up
to 3) measured on different observations over time on a single dynamic chart.
Dialog box
Visualizing data 165 Motion charts

observations.
General tab:
X: In this field select the data to be used as coordinates along the X-axis.
Y: In this field select the data to be used as coordinates along the Y-axis.
Time: In this field select the date or time data, or any numerical index corresponding to the
observations of the time series.
Groups: In this field select the data that indicate the group to which each observation belongs.
Size: Check this option to select the values which will determine the size of the points on the
charts.
Variable labels: Check this option if the first line of the selected data (X, Y, Time, Groups and
Size) contains a label.
Interpolate missing points: Check this option to estimate coordinates of missing points as the
mean of previous and next coordinates.
Smoothing: Check this option to display intermediate positions of points between two
consecutive dates in order to produce a smoother dynamic evolution between each time steps.
Legend: Check this option to display a legend with the minimum and maximum value of Size
according the size of points.
Missing data tab:
Remove the observations: Activate this option to remove the observations with missing data.
Replace by the average of the previous and next values: Activate this option to estimate the
missing data by the mean of the first preceding non missing value and of the first next non
missing value.

Buttons on Motion Chart
: The scrollbar at the bottom of the chart allows to change values of the time variable and
thus display positions of points at different times.
: Click this button to automatically decrease values of the time variable.
: Click this button to stop the moving of points on the chart.
: Click this button to automatically increase values of the time variable.
: Click this button to set the speed of movement (from 1 very slow to 10 very fast) of the
points over time.
Example
A tutorial on generating motion chart is available on the Addinsoft website at the following
address:
http://www.xlstat.com/demo-motion.htm

Parallel coordinates plots
Use this tool to visualize multidimensional data (described by p1 quantitative and p2 qualitative
variables) on a single two dimensional chart.
In this section:
Description
Dialog box
Example
References
Description
This visualization method is useful for data analysis when you need to discover or validate
groups. For example, this method could be used after Agglomerative Hierarchical Clustering
(AHC).
If you consider n observations described by p1 quantitative and p2 qualitative variables, the

chart consists of p = p1 + p2 vertical axes each representing a variable, and n lines
corresponding to each observation. A line crosses an axis to the value the observation takes on
the corresponding variable.
Because of the the Excel restrictions (maximum of 255 data series) you cannot represent more
than 255 observations. If you select more observations, only the first 255 will be displayed. Also
when many observations are present, the graph can quickly become unreadable. This is why
XLSTAT allows you to represent descriptive statistics summarizing information instead of
representing all observations.
Dialog box
Visualizing data 168 Parallel coordinates plots

observations.
files .
General tab:
Quantitative Data: Activate this option to select quantitative data describing the observations. If
a column header has been selected, check that the "Variable labels" option is activated.
Qualitative Data: Activate this option to select qualitative data describing the observations. If a
Weights: Weights can be only applied when you have chosen the Display statistics lines option
(see below) in the Options tab. If you do not activate the Weights option, the weights will all be
considered as 1. Weights must be greater than or equal to 0. If a column header has been
selected, check that the "Variable labels" option is activated.
which each observation belongs. If a column header has been selected, check that the "Variable
labels" option is activated. On the chart, the color of the point depends on the group.
Variable labels: Check this option if the first line of the selected data (quantitative data,
qualitative data, weights, groups and observation labels) contains a label.
Options tab:

Display type:
One line per observation: Activate this option to display as many lines as possible (the
maximum is 250 due to the limitations of Excel).
Display statistics lines: Check this option to display a line for each of the following
statistics:
Minimum and maximum
Median
First quantile (%): Enter the value of the first quantile (2.5% by default).
Second quantile (%): Enter the value of the second quantile (97.5% by default).
Mode (for qualitative variables)
Quantitative data:
Raw data: Activate this option to use the raw data of the quantitative variables. The scale
on the Y-axis will be between the minimum and maximum of all variables.
Rescale: Activate this option so that all variables are represented on the same scale
between 0 (minimum) and 1 (maximum).
Different Y axes: Activate this option so that each Y-axis has a scale adapted to the
associated variable.
Missing data tab:
Ignore missing data: Activate this option to ignore missing data. If missing data are present
they will not be displayed on the chart.
computations.
Example
A tutorial on generating a parallel coordinates plot is available on the Addinsoft website at the
following address:

http://www.xlstat.com/demo-par.htm
References
Inselberg A. (1985). The plane with parallel coordinates. The Visual Computer, 1, pp. 69-91.
Eickemeyer J. S., Inselberg A., Dimsdale B. (1992). Visualizing p-flats in n-space Using
Parallel Coordinates. Technical Report G320-3581, IBM Palo Alto Scientific Center.
Wegman E.J. (1990). Hyperdimensional Data Analysis Using Parallel Coordinates. J. Amer.
Statist. Assoc., 85, 411, pp 664-675.

Ternary diagrams
Use this tool to create ternary diagrams to represent within a triangle a set of points that have
their coordinates in a three-dimensional space, with the constraint that the sum of the
coordinates is constant.
In this section:
Description
Dialog box
Example
Description
This visualization method is particularly useful in domains where one works with three elements
with varying proportions, for example in chemistry or petrology.
This tool lets you quickly create a ternary diagram representing points and the projection lines
connecting each point to each axis.
There are two approaches for ternary graphs:
Either segments corresponding to the orthogonal projection of the points on the axes give
the information on the relative proportions of the three elements.
Or the projection parallel to the axis A onto the axis B corresponds to the coordinate of the
point along the axis B, where B is after A when turning counterclockwise.
XLSTAT currently allows only the second approach.
Dialog box
Visualizing data 172 Ternary diagrams

observations.
General tab:
X: Check this option to select the data corresponding to the first element.
Y: Check this option to select the data corresponding to the second element.
Z: Activate this option to select the quantitative data that correspond to the third element.
Options tab:
Constant: Check this option to display as many lines as possible (the maximum is 250 due to
the limitations of Excel).
Charts tab:
X1/X2 | Min / Max: You can modify the min and the Max for each dimension. However you must
take into account that the (Max-Min) for each dimension is the same. The min and Max for the
third dimension is automatically computed from the min and Max for the first two dimensions.
Number of segments: Enter the number of segments into which you want to divide each axis
of the ternary chart.
Projection lines: Activate this option to display dotted red lines between the points and their
coordinate on each axis.
Lines between axes: Activate this option to display the lines between the axes.
Link to input data: Activate this option to link the chart to the input data. If you check this
option, a change in the input data is immediately reflected on the ternary diagramm.
Example
A tutorial on generating ternary plots is available on the Addinsoft website at the following
address:

http://www.xlstat.com/demo-ternary.htm

2D plots for crosstabs
Use this tool to create a 2-dimensional plot based on a contingency table or, more generally, on
a crosstab.
In this section:
Description
Dialog box
Example
Description
This visualization tool allows to quickly generate a 2D plot showing the relative importance of
values contained in a two-way contingency table (a contingency table displays the counts for
the different combinations of the categories of two qualitative variables - for example, the counts
of respondents grouped into age groups that replied to a yes/no question) or more generally in a
crosstab (for example, the total of sales by product in different countries).
This tool can work directly on raw data (weighted or not) or on a cross tab.
Dialog box
observations.
General tab:
Data format: Select the data format.
Visualizing data 175 2D plots for crosstabs

Crosstab: Activate this option if your data correspond to a contingency table or a
crosstab.
Qualitative variables: Activate this option if your data are available as two qualitative
variables to be used to create a contingency table.
Contingency table: If the data format is "contingency table", select the data that correspond to
the contingency table. If row and column labels are included, make sure that the "Labels
included" option is checked.
Qualitative variable(1): If the data format is "qualitative variables", select the data that
correspond to the qualitative variable that will be used to construct the rows of the contingency
table, and that will be used for the ordinates axis of the plot.
Qualitative variable(2): If the data format is "qualitative variables", select the data that
correspond to the qualitative variable that will be used to construct the columns of the
contingency table, and that will be used for the abscissa axis of the plot.
Z: If the data format is "qualitative variables", check this option to select the values which will
weigh the observations and modify the size of the points on the plot. If you want to display
several dimensions on the plot, you can select several columns. If you want that the same scale
is used for each dimension on the plot, activate the same scale option.
Labels included: Activate this option if the row and column labels of the contingency table are
selected.
Variable labels: Activate this option if the first row of the data selections includes a header.
Display title: Check this option, to display a title on the plot.
Options tab:
Shape: Select the shape you want to use.
Circle
Square
Bubbles
Show values: Activate this option to display the values on the plot.

Size: Choose which dimension is related the values (Z): area, width or width². With area, the
area of the points is proportional to the values, so this is diminishing the difference between
small and large values. It is the opposite with width².
Scale(%): Choose how the points should be rescaled. The default is 100 and corresponds to no
rescaling.
Horizontal axis at bottom: Check this option to display the horizontal axis at the bottom of the
chart.
Gridlines: Check this option to display gridlines on the chart.
Example
A tutorial on generating a 2D plot for a contingency table is available at:
http://www.xlstat.com/demo-2dcont.htm

Error bars
Use this tool to easily create Excel charts with error bars that can be different for each point.
In this section:
Description
Dialog box
Example
Description
This tool has is there to get around a failure of Excel: if it is possible to add error bars on
different types of graphs, this operation is tedious if the bounds are not the same for all points.
With this tool you can create a chart with error bars at once.
Dialog box
: Click this button to create the charts.
: Click this button to close the dialog box without creating the charts.
down, XLSTAT considers that rows correspond to observations and columns to variables
(column mode). If the arrow points to the right, XLSTAT considers that rows correspond to
variables and columns to observations (row mode).
General tab:
X: Select in this field the data to be used as coordinates for the x-axis. If you select several
columns (column mode) or several rows (row mode), you must then select the same number of
columns (or rows) for Y, the lower bounds, and the upper bounds. However, if you select a
single column (or row), you can then select one or more columns (or rows) for Y, the lower
bounds and upper bounds
Visualizing data 178 Error bars

Y: Select in this field that data to be used as coordinates on the y-axis. See above the
constraints that apply to the number of columns.
Lower bound: Activate this option if you want to add lower bounds on the graph. Then select in
this field the data to be used as lower bounds. The number of columns (column mode) or rows
(row mode) to be selected must be equal to that of Y.
Upper bound: Activate this option if you want to add lower bounds on the graph. Then select in
this field the data to be used as upper bounds. The number of columns (column mode) or rows
(row mode) to be selected must be equal to that of Y.
Variable labels: Check this option if the first line of the selected data (X, Y, Z, Groups, Weights
and observation labels) contains a label.
Charts tab:
Chart type: select the type of chart you want to display:
Bar chart.
Curve.
Scatter plot.
Example
A tutorial on how to a chart with error bars is available on the Addinsoft website
http://www.xlstat.com/demo-err.htm
Visualizing data 179 Error bars

Word cloud
Use this method to create a visual representation of text data, typically to represent keywords
based on their frequencies. Tags are usually single words, and the frequency of each tag is
shown by varying font size and/or color.
This format is useful for quickly identifying the most important terms in a document.
In this section:
Description
Dialog box
Results
Example
Description
Word cloud is a visualization tool based on frequency. In its simplest form, only one dimension
of information is shown: font size is proportional to the word frequency, which means that the
larger a word is in the word cloud, the more frequent the word is in the document.
The word cloud feature takes as input one vector of terms (term labels) and a term frequency
matrix (one column per document) and plots in output one word cloud per document.
A custom color-scale can be specified in order to change word colors according from least
frequent to most frequent in the document.
Dialog box
: Click this button to create the charts.
: Click this button to close the dialog box without creating the charts.
down, XLSTAT considers that rows correspond to observations and columns to variables
(column mode). If the arrow points to the right, XLSTAT considers that rows correspond to
variables and columns to observations (row mode).
Visualizing data 180 Word cloud

General tab:
Term frequency matrix: Select the term frequency matrix on the Excel worksheet. If a column
header has been selected, check that the "Documents labels" option has been activated.
Term labels: Select the term labels vector on the Excel worksheet. If a column header has
been selected, check that the "Document labels" option has been activated.
Document labels: Activate this option if the first row of the selected data (term frequency
matrix, term labels) contains a header.
Options tab:
Max. words: Activate this option to set a maximum number of words to be plotted in the word
cloud. Least frequent terms will be dropped.
Random position: Activate this option to plot words in random order. If not, they will be plotted
in decreasing frequency from the center of the plot.
Rot. period: Activate this option to set the rotation period of 90° between each displayed word.
By default the rotation period is 4 words, i.e. one rotation at 90 degree will be applied to the
cloud display sequence every fourth word.
Color scale: Select the type of color scale.
Random colors scale: Activate this option so that colors are randomly assigned to
words.
Custom colors scale: Activate this option to manually select the cells corresponding to
the color scale (colors ordered in decreasing frequency)
Results
The result that is displayed is one or several Word Cloud chart (according number of colons in
Term frequency matrix). As it is an Excel chart, you can modify color, font type, words position
as much as you want.
Example
An example of Word Cloud on the Addinsoft web site:
http://www.xlstat.com/demo-wdc.htm
Visualizing data 181 Word cloud

Plot a function
Use this tool to create a chart and plot a function on it, or to add a function to an existing chart.
In this section:
Description
Dialog box
Example
Description
This tool allows you to plot a function of the type y = f (x) on an existing or new chart. The
syntax of the function must respect the conventions imposed by Excel for functions used in
spreadsheets. In addition, the abscissa must be identified by X1.
Examples:
Function XLSTAT Syntax

Y = x2 X1²
Y = ln(x) LN(X1)
Y = e(x) EXP(X1)
Y =∣ x ∣ ABS(X1)
Y = x si x < 0, Y = 2x si x = 0 IF(X1<0; X1; 2*X1)
In addition, you can as well use XLSTAT worksheet functions. For example, to plot the normal
cumulative distribution function, enter XLSTAT_CDFNormal (X1).
Dialog box
: Click this button to create the chart.
: Click this button to close the dialog box without creating the chart.
Visualizing data 182 Plot a function

General tab:
Function Y =: Enter the function that you want to plot, while respecting the syntax defined in the
Description section.
Minimum: Enter the minimum value for which the function must be evaluated and plotted.
Max imum: Enter the maximum value for which the function must be evaluated and plotted.
Number of points: Enter the number of points at which the function must be evaluated between
the minimum and maximum values. This option allows you to adjust the quality of the graph. For
a function with many inflection points, too few points might give a graph of poor quality. Too
many points may also degrade the quality of the display.
Active chart: Activate this option to add the function to the chart that is currently being
selected.
Example
An example showing how to create a chart with a function is available on the Addinsoft website
at:
http://www.xlstat.com/demo-fun.htm
Visualizing data 183 Plot a function

AxesZoomer
Use this tool to change the minimum and maximum values on the X- and Y-axes of a plot.
In this section:
Dialog box
Dialog box
Important: before running this tool, you must select a scatter plot or curve.
: Click this button to apply changes to the plot.
: Click on this button to close the dialog box.
Min X: Enter the minimum value of the X-axis.
Max X: Enter the maximum value of the X-axis.
Min Y: Enter the maximum value of the X-axis.
Max Y: Enter the maximum value of the Y-axis.
Visualizing data 184 AxesZoomer

EasyLabels
Use this tool to add labels, formatted if required, to a series of values on a chart.
In this section:
Dialog box
Dialog box
Important: before running this tool, you must select a scatter plot or curve, or a series of points
on a plot.
: Click this button to add the labels.
: Click this button to close the dialog box without making any changes.
down, XLSTAT considers that the labels are in a column. If the arrow points to the right, XLSTAT
considers that the labels are in a row.
Labels: Select the labels to be added to the series of values selected on the plot.
Header in the first cell: Check this option if the first cell of the labels selected is a header and
not a label.
Use the text properties: Check this option if you want the text format used in the cells
containing the labels to also be applied to the text of labels in the chart:
Font: Check this option to use the same character font.
Size: Check this option to use the same size of font.
Style: Check this option to use the same font style (normal, bold, italic).
Color: Check this option to use the same font color.
Visualizing data 185 EasyLabels

Use the cell properties: Check this option if you want the format applied to the cells containing
the labels to also be applied to the labels in the chart:
Border: Check this option to use the same border.
Pattern: Check this option to use the same pattern.
Use the point properties: Check this option if you want the label color to be the same as the
color of the points:
Inside color: Check this option to use the color inside the points.
Border color: Check this option to use the border color of the points.
Visualizing data 186 EasyLabels

Reposition labels
Use this tool to change the position of observation labels on a chart.
In this section:
Dialog box
Dialog box
: Click this button to reposition the labels.
Corners: Check this option to place labels in the direction of the corner of the quadrant in which
the point is located.
Distance to point:
Automatic: Check this option for XLSTAT to automatically determine the most appropriate
distance to the point.
User defined: Check this option to enter the value (in pixels) of the distance between the
label and the point.
Above: Check this option to place labels above the point.
Right: Check this option to place labels to the right of the point.
Below: Check this option to place labels below the point.
Left: Check this option to place labels to the left of the point.
Apply only to the selected series: Check this option to only change the position of labels for
the series selected.
Visualizing data 187 Reposition labels

EasyPoints
Use this tool to modify the size, the color or the shape of the points that are displayed in an
Excel chart.
In this section:
Dialog box
Example
Dialog box
Important: before running this tool, you must select a scatter plot or curve, or a series of points
on a plot.
: Click this button to add the labels.
down, XLSTAT considers that the labels are in a column. If the arrow points to the right, XLSTAT
considers that the labels are in a row.
Size: Activate this option and select the cells that give the size to be applied to the points. The
size of the points is determined by the values in the cells.
Header in the first cell: Check this option if the first cell of the labels selected is a header and
not a label.
Rescale: Choose the interval of sizes to use when displaying the points. The minimum must be
between 2 and 71, and the maximum between 3 and 72.
Shapes and/or color: Activate this option to change the shape of the points and/or the color to
be applied to the points. Select the cells and which color (if the Use the cell properties that tell
which shape should be used for each point: 1 corresponds to a square, 2 to a diamond, 3 to a
Visualizing data 188 EasyPoints

triangle, 4 to an x, 5 to a star (*), 6 to a point (.), 7 to a dash (-), 8 to a plus (+) and 9 to a circle
(o). The color of the border of the points depends on the color of the bottom border of the cells
and the inside color of the points depends on the background color of the cells (Note: the
default color of the cells is "none", so you need to set it to white to obtain white points).
Change shapes: Check this option if you want the shapes to be changed depending on the
values selected in the "Shapes and or color" field.
Use the cell properties: Check this option if you want the format applied to the cells to also be
applied to the points in the chart:
Border: Check this option to use the cell borders as the foreground color.
Background: Check this option to use the cell color as the background color.
Example
An example describing how to use the EasyPoints tool is available on the Addinsoft website at:
http://www.xlstat.com/demo-easyp.htm
Visualizing data 189 EasyPoints

Orthonormal plots
Use this tool to adjust the minimum and maximum of the X- and Y- axes so that the plot
becomes orthonormal. This tool is particularly useful if you have enlarged an orthonormal plot
produced by XLSTAT (for example after a PCA) and you want to ensure the plot is still
orthonormal.
Note: an orthonormal plot is where a unit on the X-axis appears the same size as a unit on the
Y-axis. Orthonormal plots avoid interpretation errors due to the effects of dilation or overwriting.
In this section:
Dialog box
Dialog box
: Click this button to apply the transformation to the plot.
: Click this button to cancel the transformation of the plot.
Visualizing data 190 Orthonormal plots

Resize a chart
Use this tool to resize a chart, or a plot area inside a chart.
In this section:
Dialog box
Dialog box
: Click this button to resize the chart.
Select the zone you want to resize:
Chart: Activate this option to resize the whole chart.
Plot area: Activate this option to resize only the plot area.
Original size: The width and the height displayed here correspond to those of the selected
chart or plot area before the resizing.
New size: Enter the new width and the new height of the chart, either in pixels or in percentage
of the original size.
Lock aspect ratio: Activate this option if you want to that the initial proportions of the chart are
respected.
Visualizing data 191 Resize a chart

Plot transformations
Use this tool to apply one or more transformations to the points in a plot.
In this section:
Dialog box
Dialog box
Important: before running this tool, you must select a scatter plot or curve.
: Click this button to transform the plot.
: Click this button to close the dialog box without carrying out the transformation.
Symmetry:
Horizontal axis: Check this option to apply a symmetry around the X-axis.
Vertical axis: Check this option to apply a symmetry around the Y-axis.
Note: if you select both the previous options, the symmetry applied will be a central symmetry.
Translation:
Horizontal: Check this option to enter the number of units for a horizontal translation.
Vertical: Check this option to enter the number of units for a vertical translation.
Rotation:
Angle (°): enter the angle in degrees for the rotation to be applied.
Right: if this option is activated, a clockwise rotation is applied.
Visualizing data 192 Plot transformations

Left: if this option is activated, an anti-clockwise rotation is applied.
Rescaling:
Factor: enter the scaling factor to be applied to the data.
Display the new coordinates: Check this option to display the coordinates once all the
transformations have been applied.
Update Min and Max on the new plot: Check this option for XLSTAT to automatically adjust
the minimum and maximum of the X- and Y- axes, once the transformations have been carried
out, so that all points are visible.
Orthonormal plot: Check this option for XLSTAT to automatically adjust the minimum and
maximum of the X- and Y- axes, once the transformations have been carried out, so that the
plot becomes orthonormal.
Visualizing data 193 Plot transformations

Merge plots
Use this tool to merge multiple plots into one.
In this section:
Dialog box
Dialog box
Important: before using this tool, you must select at least two plots of the same type (e.g. two
scatter plots).
: Click this button to merge the plots.
Display title: Check this option, to display a title on the merged plot.
Title of the first chart: Check this option to use the title of the first chart.
New title: Check this option to enter a title for the merged plot.
Orthonormal plot: Check this option for XLSTAT to verify that the plot resulting from the
merged plots is orthonormal.
New chart sheet: Check this option to display the plot resulting from the merge in a new chart
sheet.
Visualizing data 194 Merge plots

Display the report header: clear this option to stop the previous report header for the chart
from being displayed.
Visualizing data 195 Merge plots

Analyzing data
Factor analysis
Factor analysis highlights, where possible, the existence of underlying factors common to the
quantitative variables measured in a set of observations.
In this section:
Description
Dialog box
Results
Example
References
Description
The factor analysis method dates from the start of the 20th century (Spearman, 1904) and has
undergone a number of developments, several calculation methods having been put forward.
This method was initially used by psychometricians, but its field of application has little by little
spread into many other areas, for example, geology, medicine and finance.
Today, there are two main types of factor analysis:
Exploratory factor analysis (or EFA)
Confirmatory factor analysis (or CFA)
It is EFA which will be described below and which is used by XLSTAT. It is a method which
reveals the possible existence of underlying factors which give an overview of the information
contained in a very large number of measured variables. The structure linking factors to
variables is initially unknown and only the number of factors may be assumed.
CFA in its traditional guise uses a method identical to EFA but the structure linking underlying
factors to measured variables is assumed to be known. A more recent version of CFA is linked
to models of structural equations.
Going from p variables to k factors
Spearman's historical example, even if the subject of numerous criticisms and improvements,
may still be used to understand the principle and use of the method. By analyzing correlations
between scores obtained by children in different subjects, Spearman wanted to form a
Analyzing data 196 Factor analysis

hypothesis that the scores depended ultimately on one factor, intelligence, with a residual part
due to an individual, cultural or other effect.
Thus the score obtained by an individual (i) in subject (j) could be written as x(i, j) = μ +
b(j)F + e(i, j), where μ is the average score in the sample studied and F the individual's
level of intelligence (the underlying factor) and e(i,j) the residual.
Generalizing this structure to p subjects (the input variables) and to k underlying factors, we
obtain the following model:
x = μ + Λf + u (1)
where x is a vector of dimension (p x 1), μ in the mean vector, Λ is the matrix (p x k) of the
factor loadings and f and u are the random vectors of dimensions (k x 1) and (p x 1)
respectively are assumed to be independent. The elements of f are called common factors,
and those of u specific factors.
If we set the norm of f to 1, then the covariance matrix for the input variables from expression
(1) is written as:
Σ = ΛΛ′ + Ψ (2)
Thus the variance of each of the variables can be divided into two parts: The communality (as it
arises from the common factors),
k
h2i = ∑ λ2ij (3)
j=1
and Ψii the specific variance or unique variance (as it is specific to the variable in question).
It can be shown that the method used to calculate matrix Λ, an essential challenge in factorial
analysis, is independent of the scale. It is therefore equivalent to working from the covariance
matrix or correlation matrix.
The challenge of factorial analysis is to find matrices Λ and Ψ, such that equation (2) can be at
least approximately verified.
Note: factor analysis is sometimes included with Principle Component Analysis (PCA) as PCA is
a special case of factor analysis (where k, the number of factors, equals p, the number of
variables). Nevertheless, these two methods are not generally used in the same context.
Indeed, PCA is first and foremost used to reduce the number of dimensions while maximizing
the unchanged variability in order to obtain independent (non-correlated) factors or for
visualizing data in a 2- or 3-dimensional space. Whereas, factor analysis is used to identify a
latent structure and for possibly reducing afterwards the number of variables measured if they
are redundant with respect to the latent factors.
Extracting Factors

Three methods of extracting latent factors are offered by XLSTAT:
Principle components: this method is also used in Principle Component Analysis (PCA). It is
only offered here in order to make a comparison between the results of the three methods
bearing in mind that the results from the module dedicated to PCA are more complete.
Principal factors: this method is probably the most used. It is an iterative method which
enables the communalities to be gradually converged. The calculations are stopped when the
maximum change in the communalities is below a given threshold or when a maximum number
of iterations is reached. The initial communalities can be calculated according to various
methods.
Maximum likelihood: this method was first put forward by Lawley (1940). The proposal to use
the Newton-Raphson algorithm (iterative method) dates from Jennrich (1969). It was afterwards
improved and generalized by Jöreskog (1977). This method assumes that the input variables
follow a normal distribution. The initial communalities are calculated according to the method
proposed by Jöreskog (1977). As part of this method, an adjustment test is calculated. The
statistic used for the test follows a Chi-square distribution to (p − k)2 /2 − (p + k)/2 degrees
of freedom where p is the number of variables and k the number of factors.
Number of factors
Determining the number of factors to select is one of the challenges of factor analysis. The
"automatic" method offered by XLSTAT is uniquely based on the spectral decomposition of the
correlation matrix and the detection of a threshold from which the contribution made by
information (in the sense of variability) is not significant.
The likelihood maximum method offers an adjustment test to help determine the correct number
of principle factors for the principle factor method. For the principal factors method, the defining
the number of factors is more difficult?
The Kaiser-Guttman rule suggests that only those factors with associated eigenvalues which
are strictly greater than 1 should be kept. The number of factors to be kept corresponds to the
first turning point found on the curve. Crossed validation methods have been suggested to
achieve this aim.
Anomalies (Heywood cases)
Communalities are by definition the squares of correlations. They must therefore be between 0
and 1. However, it may happen that the iterative algorithms (principle factors method or
likelihood maximum method) will produce solutions with communalities equal to 1 (Heywood
cases), or greater than 1 (ultra Heywood cases). There may be many reasons for these
anomalies (too many factors, not enough factors, etc.). When this happens, XLSTAT sets the
communalities to 1 and adapts the elements of Λ in consequence.
Rotations

Once the results have been obtained, they may be transformed in order to make them more
easy to interpret, for example by trying to arrange that the coordinates of the variables on the
factors are either high (in absolute value), or near to zero. There are two main families of
rotations:
Orthogonal rotations can be used when the factors are not correlated (hence orthogonal). The
methods offered by XLSTAT are Varimax, Quartimax, Equamax, Parsimax and Orthomax.
Varimax rotation is the most used. It ensures that for each factor there are few high factor
loadings and few that are low. Interpretation is thus made easier as, in principle, the initial
variables will mostly be associated with one of the factors.
Oblique transformations can be used when the factors are correlated (hence oblique). The
methods offered by XLSTAT are Quartimin and Oblimin.
The Promax method, also offered by XLSTAT, is a mixed procedure since it consists initially of a
Varimax rotation followed by an oblique rotation so that the high factor loadings and low factor
loadings are the same but with the low values even lower.
Dialog box
observations.
General tab:
The main data entry field is used to select one of three types of table:
Observations/variables table / Correlation matrix / Covariance matrix: Choose the option

appropriate to the format of your data, and then select the data. If your data correspond to a

table comprising N observations described by P quantitative variables select the
Observations/variables option. If column headers have been selected, check that the "Variable
labels" option has been activated. If you select a correlation or covariance matrix, and if you
include the variable names in the first row of the selection, you must also select them in the first
column.
Correlation: Choose the type of matrix to be used by factor analysis. The difference between
the Pearson (n) and the Pearson (n-1) options, only influences the way the variables are
standardized, and the difference can only be noticed on the coordinates of the observations.
Extraction method: Choose the factor extraction method to be used, The three possible
methods are (see the description section for more details):
Principal components
Principal factors
Maximum likelihood
Variable labels: Activate this option if the first row of the data selections (input table, weights,
observation labels) includes a header. Where the selection is a correlation or covariance matrix,
if this option is activated, the first column must also include the variable labels.
Options tab:
Number of factors:
Automatic: Activate this option to make XLSTAT determine the number of factors
automatically.
User defined Activate this option to tell XLSTAT the number of factors to use in the
calculations.

Initial communalities: Choose this calculation method for the initial communalities (this option
is only visible for the principle factors methods):
Squared multiple correlations: The initial communalities are based a variable's level of
dependence with regard to the other variables.
Random: The initial communalities are drawn from the interval ]0 ; 1[.
1: The initial communalities are set to 1.
Maximum: The initial communalities are set to the maximum value of the squares of the
multiple correlations.
Stop conditions:
Convergence: Enter the maximum value of the evolution in the communalities from one
iteration to another which, when reached, means that the algorithm is considered to have
converged. Default value: 0.0001.
Rotation: Activate this option if you want to apply a rotation to the factor coordinate matrix.
Number of factors: Enter the number of factors the rotation is to be applied to.
Method: Choose the rotation method to be used. For certain methods a parameter must
be entered (Gamma for Orthomax, Tau for Oblimin, and the power for Promax).
Kaiser normalization: Activate this option to apply Kaiser normalization during the
rotation calculation.
Missing data tab:
starts.

Outputs tab:
variables.
Correlations: Activate this option to display the correlation or covariance matrix depending on
the type of options chosen in the "General" tab. If the Test significance option is activated, the
significant correlations at the selected significance threshold are displayed in bold.
Kaiser-Meyer-Olkin: Activate this option to compute the Kaiser-Meyer- Olkin Measure of

Sampling Adequacy.
Cronbach's Alpha: Activate this option to compute the Cronbach's alpha coefficient.
Eigenvalues: Activate this option to display the table and chart (scree plot) of eigenvalues.
Factor pattern: Activate this option to display factor loadings (coordinates of variables in the
factor space).
Factor/Variable correlations: Activate this option to display correlations between factors and
variables.
Factor pattern coefficients: Activate this option if you want the coefficients of the factor pattern
to be displayed. Multiplying the (standardized) coordinates of the observations in the initial
space by these coefficients gives the coordinates of the observations in the factor space.
Factor structure: Activate this option to display correlations between factors and variables after
rotation.
Charts tab:
Variables charts: Activate this option to display charts representing the variables in the new
space.
Vectors: Activate this option to display the initial variables in the form of vectors.
Correlations charts: Activate this option to display charts showing the correlations between the
factors and initial variables.
Observations charts: Activate this option to display charts representing the observations in the
new space.

Labels: Activate this option to have observation labels displayed on the charts. The
number of labels displayed can be changed using the filtering option.
Colored labels: Activate this option to show labels in the same color as the points.
Filter: Activate this option to modulate the number of observations displayed:
Random: The observations to display are randomly selected. The "Number of

observations" N to display must then be specified.
N first rows: The N first observations are displayed on the chart. The "Number of
N last rows: The N last observations are displayed on the chart. The "Number of
Group variable: If you choose this option, you need to select a binary variable with only
0s and 1s. The 1s identify the observations to display.
Results
variables selected. This includes the number of observations, the number of missing values, the
number of non-missing values, the mean and the standard deviation (unbiased).
Correlation/Covariance matrix: This table shows the data to be used afterwards in the
calculations. The type of correlation depends on the option chosen in the "General" tab in the
dialog box. For correlations, significant correlations are displayed in bold.
Measure of Sample Adequacy of Kaiser-Meyer-Olkin: This table gives the value of the KMO
measure for each individual variable and the overall KMO measure. The KMO measure ranges
between 0 and 1. A low value corresponds to the case where it is not possible to extract
synthetic factors (or latent variables). In other words, observations do not bring out the model
that one could imagine (the sample is "inadequate"). Kaiser (1974) recommends not to accept a
factor model if the KMO is less than 0.5. If the KMO is between 0.5 and 0.7 then the quality of
the sample is mediocre, it is good for a KMO between 0.7 and 0.8, very good between 0.8 and
0.9 and excellent beyond.
Cronbach's Alpha: If this option has been activated, the value of Cronbach's Alpha is
displayed.
Maximum change in communality at each iteration: This table is used to observe the
maximum change in communality for the last 10 iterations. For the maximum likelihood method,
the evolution of a criterion which is proportional to the opposite of the likelihood maximum is
also displayed.
Goodness of fit test: The goodness of fit test is only displayed when the likelihood maximum
method has been chosen.

Reproduced correlation matrix: This matrix is the product of the factor loadings matrix with its
transpose.
Residual correlation matrix: This matrix is calculated as the difference between the variables
correlation matrix and the reproduced correlation matrix.
Eigenvalues: This table shows the eigenvalues associated with the various factors together
with the corresponding percentages and cumulative percentages.
Eigenvectors: This table shows the eigenvectors.
Factor pattern: This table shows the factor loadings (coordinates of variables in the vector
space, also called factor pattern ). The corresponding chart is displayed.
Factor/Variable correlations: This table displays the correlations between factors and
variables.
Factor pattern coefficients: This table displays the coefficients of the factor pattern to be
displayed. Multiplying the (standardized) coordinates of the observations in the initial space by
these coefficients gives the coordinates of the observations in the factor space.
Where a rotation has been requested, the results of the rotation are displayed with the rotation
matrix first applied to the factor loadings. This is followed by the modified variability
percentages associated with each of the axes involved in the rotation. The coordinates of the
variables and observations after rotation are displayed in the following tables.
Factor structure: This table shows the correlations between factors and variables after rotation.
Example
A tutorial on how to use Factor analysis is available on the Addinsoft website:
http://www.xlstat.com/demo-fa.htm
References
Cattell, R. B. (1966). The scree test for the number of factors. Multivariate Behavioral
Research, 1, 245-276.
Crawford C.B. and Ferguson G.A. (1970). A general rotation criterion and its use in orthogonal
rotation. Psychometrika, 35(3), 321-332.
Cureton E.E. and Mulaik S.A. (1975). The weighted Varimax rotation and the Promax rotation.
Psychometrika, 40(2), 183-195.
Jennrich R.I. and Robinson S.M. (1969). A Newton-Raphson algorithm for maximum
likelihood factor analysis. Psychometrika, 34(1), 111-123.
Jöreskog K.G. (1967). Some Contributions to Maximum Likelihood Factor Analysis.

Psychometrika, 32(4), 443-481.

Jöreskog K.G. (1977). Factor Analysis by Least-Squares and Maximum Likelihood Methods, in
Statistical Methods for Digital Computers, eds. K. Enslein, A. Ralston, and H.S. Wilf. John Wiley
& Sons, New York.
Lawley D.N. (1940). The estimation of factor loadings by the Method of maximum likelihood.
Proceedings of the Royal Society of Edinburgh. 60, 64-82.
Loehlin J.C. (1998). Latent Variable Models: an introduction to factor, path, and structural
analysis, LEA, Mahwah.
Mardia K.V., Kent J.T. and Bibby J.M. (1979). Multivariate Analysis. Academic Press, London.
Spearman C. (1904). General intelligence, objectively determined and measured. American

Journal of Psychology, 15, 201-293.

Principal Component Analysis (PCA)
Use Principle Component Analysis to analyze a quantitative observations/variables table or a
correlation or covariance matrix. This method is used to:
Study and visualize correlations between variables.
Obtain non-correlated factors which are linear combinations of the initial variables.
Visualize observations in a 2- or 3-dimensional space.
In this section:
Description
Dialog box
Results
Example
References
Description
Principle Component Analysis (PCA) is one of the most frequently used multivariate data
analysis methods. Given a table of quantitative data (continuous or discrete) in which n
observations (observations, products, etc.) are described by p variables (the descriptors,
attributes, measurements, etc.), if p is quite high, it is impossible to grasp the structure of the
data and the nearness of the observations by merely using univariate statistical analysis
methods or even a correlation matrix.
Uses of PCA
There are several uses for PCA, including:
The study and visualization of the correlations between variables to hopefully be able to limit the
number of variables to be measured afterwards;
Obtaining non-correlated factors which are linear combinations of the initial variables so as to
use these factors in modeling methods such as linear regression, logistic regression or
discriminant analysis.
Visualizing observations in a 2- or 3-dimensional space in order to identify uniform or atypical

groups of observations.
Principle of PCA
Analyzing data 206 Principal Component Analysis (PCA)

PCA can be considered as a projection method which projects observations from a p-
dimensional space with p variables to a k -dimensional space (where k < p) so as to conserve
the maximum amount of information (information is measured here through the total variance of
the scatter plots) from the initial dimensions. If the information associated with the first 2 or 3
axes represents a sufficient percentage of the total variability of the scatter plot, the
observations will be able to be represented on a 2- 3-dimensional chart, thus making
interpretation much easier.
Correlations or covariance
PCA is used to calculate matrices to project the variables in a new space using a new matrix
which shows the degree of similarity between the variables. It is common to use the Pearson
correlation coefficient or the covariance as the index of similarity, Pearson correlation and
covariance have the advantage of giving positive semi-defined matrices whose properties are
used in PCA. However other indexes may be used. XLSTAT makes it possible to also use the
Spearman correlation coefficient because the corresponding matrices are also positive semi-
definite. Making a PCA on a Spearman correlation matrix is fully equivalent to a classic PCA
(based on Pearson correlation) performed on the matrix of ranks. When you run a PCA based
on Spearman correlations, XLSTAT offers the option to display the matrix of the ranks in the
report.
Traditionally, a correlation coefficient rather than the covariance is used as using a correlation
coefficient removes the effect of scale: thus a variable which varies between 0 and 1 does not
weigh more in the projection than a variable varying between 0 and 1000. However in certain
areas, when the variables are supposed to be on an identical scale or we want the variance of
the variables to influence factor building, covariance is used.
Where only a similarity matrix is available rather than a table of observations/variables, or where
you want to use another similarity index, you can carry out a PCA starting from the similarity
matrix. The results obtained will only concern the variables as no information on the
observations was available.
Note: where PCA is carried out on a correlation matrix, it is called normalized PCA.
Interpreting the results
Representing the variables in a space of k factors enables the correlations between the
variables and between the variables and factors to be visually interpreted with certain
precautions.
Indeed if the observations or variables are being represented in the factor space, two points a
long distance apart in a k-dimensional space may appear near in a 2-dimensional space
depending on the direction used for the projection (see diagram below).

We can consider that the projection of a point on an axis, a plan or a 3-dimensional space is
reliable if the sum of the squared cosines on the representation axis is near to 1. The squared
cosines are displayed in the results given by XLSTAT in order to avoid any incorrect
interpretation.
If the factors are afterwards to be used with other methods, it is useful to study the relative
contribution (expressed as a percentage or a proportion) of the different variables in building
each of the factor axes so as to make the results obtained afterwards easy to interpret. The
contributions are displayed in the results given by XLSTAT.
Number of factors
Two methods are commonly used for determining the number of factors to be used for
interpreting the results:
The scree test (Cattell, 1966) is based on the decreasing curve of eigenvalues. The number of
factors to be kept corresponds to the first turning point found on the curve.
We can also use the cumulative variability percentage represented by the factor axes and
decide to use only a certain percentage.
Graphic representations
One of the advantages of PCA is that it simultaneously provides the best view of both variables
and observations with biplots combining both (see below). However, these representations are
only reliable if the sum of the variability percentages associated with the axes of the
representation space are sufficiently high. If this percentage is high (for example 80%), the
representation can be considered as reliable. If the percentage is reliable, it is recommended to
produce representations on several axis pairs in order to validate the interpretation made on the
first two factor axes.
Biplots

After carrying out a PCA, it is possible to simultaneously represent both observations and
variables in the factor space. The first work on this subject dates from Gabriel (1971). Gower
(1996) and Legendre (1998) synthesized the previous work and extended this graphical
representation technique to other methods. The term biplot is reserved for simultaneous
representations which respect the fact that the projection of observations on variable vectors
must be representative of the input data for the same variables. In other words, the projected
points on the variable vectors must respect the order and the relative distances of the
observations for that same variable, in the input data.
The simultaneous representation of observations and variables cannot be produced directly by

taking the coordinates of the variables and observations in the factor space. A transformation is
required in order to make the interpretation precise. Three methods using the graphic
representation are available depending on the type of interpretation desired:
Correlation biplot: This type of biplot interprets the angles between the variables as these are
directly linked to the correlations between the variables. The position of two observations
projected onto a variable vector can be used to determine their relative level for this variable.
The distance between the two observations is an approximation of the Mahalanobis distance in
the k-dimensional factor space. Lastly, the projection of a variable vector in the representation
space is an approximation of the standard deviation of the variable (the length of the vector in
the k-dimensional factor space is equal to the standard deviation of the variable).
Distance biplot: A distance biplot is used to interpret the distances between the observations
as these are an approximation of their Euclidean distance in the p-dimensional variable space.
The position of two observations projected onto a variable vector can be used to determine their
relative level for this variable. Lastly, the length of a variable vector in the representation space
is representative of the variable's level of contribution to building this space (the length of the
vector is the square root of the sum of the contributions).
Symmetric biplot: This biplot was proposed by Jobson (1992) and is half-way between the two
previous biplots. If neither the angles nor the distances can be interpreted, this representation
may be chosen as it is a compromise between the two.
XLSTAT lets you adjust the lengths of the variable vectors so as to improve the readability of the
charts. However, if you use this option with a correlation biplot, the projection of a variable
vector will no longer be an approximation of the standard deviation of the variable.
Bootstrap charts
Several validation techniques have been developed for PCA. One objective of validation is to
estimate the proximity between the observations on a factorial plan and to know which
observations are significantly different from each other. For that purpose, XLSTAT uses the
partial bootstrap method (Lebart, 2007). The partial bootstrap method consists in drawing m
samples (with replacement) each of the same size as the matrix of data used for the PCA.
Then, each sample is centered, and normalized in the case of normalized PCA, and each
observation of each sample is displayed on the factorial plans as supplementary observation.
As a consequence, a cloud of bootstrap observations is generated around each original
observation. In order to simplify charts, XLSTAT proposes two types of representations:

Convex hulls: XLSTAT looks for the bootstrap observations the most extreme and
connects them to represent the convex hull of the cloud of points.
Confidence ellipses: XLSTAT calculates and represents for each original observation the
95 % confidence ellipse based and centered on the bootstrap points.
These two graphical representations can be interpreted in the same way. Indeed, we can
conclude that two observations are significantly different from each other on a given factorial
plan, if their convex hulls or ellipses do not overlap.
Dialog box
observations.
General tab:
The main data entry field is used to select one of three types of table:
Observations/variables table / Correlation matrix / Covariance matrix: Choose the option

appropriate to the format of your data, and then select the data. If your data correspond to a
table comprising n observations described by p quantitative variables, select the
Observations/variables option. If column headers have been selected, check that the "Variable
PCA type: If the format selected is "observations/variables", you can choose between
correlation (normalized PCA), covariance (non normalized PCA) and Spearman to perform PCA
on a Spearman correlation matrix. If the format is "covariance matrix", you can choose between
correlation (the selected covariance matrix will be transformed into a correlation matrix and a

normalized PCA will be done) or covariance. In the latter case, the PCA will be performed on
the selected covariance matrix.
Variable labels: Activate this option if the first row of the data selections (observations/variables
table, weights, observation labels) includes a header.
Options tab:
Filter factors: You can activate one of the following two options in order to reduce the number
of factors for which results are displayed.
Minimum %: Activate this option then enter the minimum percentage of the total
variability that the chosen factors must represent.
Maximum Number: Activate this option to set the number of factors to take into account.
Standardisation: If the format of your data is "observations/variables", you can choose how
correlation (or covariance) will be computed: with denominator (n) or (n – 1).
be entered (Kappa for Orthomax, Tau for Oblimin, and the power for Promax).
Supplementary data tab:

Supplementary observations: Activate this option if you want to calculate and represent the
coordinates of additional observations. These observations are not taken into account for the
computation of the correlation matrix and for the subsequent calculations (we talk of passive
observations as opposed to active observations). If the first row of the data selection for
supplementary observations includes a header you must activate the "Variable labels for supp.
obs" option.
Supplementary variables: Activate this option if you want to calculate coordinates afterwards
for variables which were not used in calculating the factor axes (passive variables as opposed
to active variables).
Quantitative: Activate this option if you have supplementary quantitative variables. If

column headers were selected for the main table, ensure that a label is also present for
the variables in this selection.
Qualitative: Activate this option if you have supplementary qualitative variables. If column
headers were selected for the main table, ensure that a label is also present for the
variables in this selection.
Display the centroids: Activate this option to display the centroids that correspond to the
categories of the supplementary qualitative variables.
Data options tab:
Missing data:
starts.
Replace missing data by 0: if the format of your data is "correlation matrix" or "covariance
matrix", you can activate this option to replace missing data by 0.
Groups:

By group analysis: Activate this option and select the data that describe to which group each
observation belongs. You can choose between the following three options:
One PCA per group: This option allows you to perform one PCA for each group.
One PCA per selected group: This option allows you to choose in a new dialog box on
which groups you want to run separate PCAs.
One PCA on merged groups: This option allows you to perform a unique PCA on a
series of groups, that will be merged once you have selected them in a dialog box that is
displayed at the beginning of the computations.
Outputs tab:
selected.
the type of options chosen in the "General" tab.
Test significance: Where a correlation was chosen in the "General" tab in the dialog box,
activate this option to test the significance of the correlations.
Bartlett's sphericity test: Activate this option to perform the Bartlett sphericity test.
Significance level (%): Enter the significance level for the above tests.
Kaiser-Meyer-Olkin: Activate this option to compute the Kaiser-Meyer-Olkin Measure of

Sampling Adequacy.
Matrix of ranks: If you have chosen the Spearman PCA type, you can display the rank matrix
of your data with this option.
Factor loadings: Activate this option to display the coordinates of the variables in the factor
space.
Variables/Factors correlations: Activate this option to display correlations between factors and
variables.
Factor scores: Activate to display the coordinates of the observations (factor scores) in the new
space created by PCA.
Contributions: Activate this option to display the contribution tables for the active variables and
observations.
Squared cosines: Activate this option to display the tables of squared cosines for the variables
and observations.

Charts tab:
Variables sub-tab:
components and initial variables. This chart is named correlation circle.
Orientate labels: This option (only available with Excel 2010 and later versions) allows to
orientate labels of variables in order to display them in the continuity of the vector.
Color by group: Activate this option, if you want to color variable points according to
levels of a qualitative variable. Then select a vertical series of data that has as many rows
as there are active variables. If headers were selected for the main table, a header must
be included in this selection.
Resize points with Cos2: Activate this option so that the variable points sizes are
proportional to the respective sum of the squared cosines within the selected subspace.
Filter: Activate this option to modulate the number of variables displayed:
Random: The observations to display are randomly selected. The "Number of variables"
N to display must then be specified.
N first variables: The first N variables are displayed on the chart. The "Number of
variables" N to display must then be specified.
N last variables: The last N variables are displayed on the chart. The "Number of
0s and 1s. The 1s identify the variables to display.
Sum(Cos2)>: Only the variables for which the sum of squared cosines (communalities)
are bigger than a value to enter are displayed on the plots.
Observations sub-tab:
new space.

Color by group: Activate this option, if you want to color observation points according to
levels of a qualitative variable. Then select a vertical vector that must have as many rows
as there are active observations. If headers were selected for the main table, ensure that
a label is also present for the variable in this selection.
Confidence ellipses: Activate this option if you want to display confidence ellipses
around group of observations corresponding to the levels of the group variable selected to
color observations. You also have to select the confidence interval for the ellipses.
Resize points with Cos2: Activate this option so that the observation points sizes are
proportional to the sum of the corresponding squared cosines within the selected
subspace.

N first rows: The first N observations are displayed on the chart. The "Number of
N last rows: The last N observations are displayed on the chart. The "Number of
Sum(Cos2)>: Only the observations for which the sum of squared cosines
(communalities) are bigger than a value to enter will be displayed on the plots.
Biplots sub-tab:
Biplots: Activate this option to display charts representing the observations and variables
simultaneously in the new space.
Options for variables:
Labels: Activate this option to have variable labels displayed on the biplots.
Supplementary variables: If you have included supplementary variables in the PCA,

activate this option to display them on the biplot.
Filter variables: If you used a filter variable to display variables, the same filter variable
will be used to filter the display of variables on the biplot.
Labels: Activate this option to have observation labels displayed on the biplots.

Supplementary observations: If you have included supplementary observations in the
PCA, activate this option to display them on the biplot.
Filter variables: If you used a filter variable to display observations, the same filter
variable will be used to filter the display of observations on the biplot.
Type of biplot: Choose the type of biplot you want to display. See the description section for
more details.
Correlation biplot: Activate this option to display correlation biplots.
Distance biplot: Activate this option to display distance biplots.
Symmetric biplot: Activate this option to display symmetric biplots.
Coefficient: Choose the coefficient whose square root is to be multiplied by the

coordinates of the variables. This coefficient lets you to adjust the position of the variable
points in the biplot in order to make it more readable. If set to other than 1, the length of
the variable vectors can no longer be interpreted as standard deviation (correlation biplot)
or contribution (distance biplot).
Bootstrap charts sub- tab:
Bootstrap observations chart: Activate this option to display charts containing the
observations generated with the partial bootstrap method. See the description section for more
details.
Number of samples: Enter here the number of bootstrap samples to generate.
Color observations: Activate this option so that each observation is colored with a
different color.
Filter observations: If you used a filter variable to display observations, the same filter
variable will be used to filter the display of observations on the bootstrap chart.
Convex hulls: Activate this option to display the convex hull corresponding to the
bootstrap generated points.
Confidence ellipses: Activate this option to display the confidence ellipse corresponding
to the bootstrap generated points.
Results

Bartlett's sphericity test: The results of the Bartlett sphericity test are displayed. They are
used to confirm or reject the hypothesis according to which the variables do not have significant
correlation.
Measure of Sample Adequacy of Kaiser-Meyer-Olkin: This table gives the value of the KMO
Eigenvalues: The eigenvalues and corresponding chart (scree plot ) are displayed. The
number of eigenvalues is equal to the number of non-null eigenvalues.
If the corresponding output options have been activated, XLSTAT afterwards displays the factor
loadings in the new space, then the correlations between the initial variables and the
components in the new space. The correlations are equal to the factor loadings in a
normalized PCA (on the correlation matrix).
If supplementary variables have been selected, the corresponding coordinates and correlations
are displayed at the end of the table.
Contributions: Contributions are an interpretation aid. The variables which had the highest
influence in building the axes are those whose contributions are highest.
Squared cosines: As in other factor methods, squared cosine analysis is used to avoid
interpretation errors due to projection effects. If the squared cosines associated with the axes
used on a chart are low, the position of the observation or the variable in question should not be
interpreted.
The factor scores in the new space are then displayed. If supplementary data have been
selected, these are displayed at the end of the table.
Contributions: This table shows the contributions of the observations in building the principal
components.
Squared cosines: This table displays the squared cosines between the observation vectors
and the factor axes.
percentages associated with each of the axes involved in the rotation. The coordinates,
contributions and cosines of the variables and observations after rotation are displayed in the
following tables.

Example
A tutorial on how to use Principal Component Analysis is available on the Addinsoft website:
http://www.xlstat.com/demo-pca.htm
A tutorial on how to use Principal Component Analysis and apply filters based on communalities
(squared cosines) is available on the Addinsoft website:
http://www.xlstat.com/demo-pcafilter.htm
References
Research, 1, 245-276.
Gabriel K.R. (1971). The biplot graphic display of matrices with application to principal
component analysis. Biometrika, 58, 453-467.
Gower J.C. and Hand D.J. (1996). Biplots. Monographs on Statistics and Applied Probability,
54, Chapman and Hall, London.
Jolliffe I.T. (2002). Principal Component Analysis, Second Edition. Springer, New York.
Kaiser H. F. (1974). An index of factorial simplicity. Psychometrika, 39, 31-36.
Lebart L. (2007). Which bootstrap for principal axes methods? Selected Contributions in Data
Analysis and Classification. P. Brito et al. Editors, Springer, 581-588.
Amsterdam, 403-406.
Morineau A. and Aluja-Banet T. (1998). Analyse en Composantes Principales. CISIA-

CERESTA, Paris.

Factorial analysis of mixed data (PCAmix)
Use Factorial analysis of mixed data (PCAmix) to analyze a data table where observations are
described both by quantitative variables and qualitative variables. This method is used to :
Study and visualize correlations between variables.
Obtain non-correlated factors which are linear combinations of the initial variables.
Visualize observations in a 2- or 3-dimensional space.
In this section:
Description
Dialog box
Results
Example
References
Description
The factorial analysis of mixed data is a method initially developed by Hill and Smith (1972).
Few variants of this method were then developed (Escofier 1979, Pagès 2004). The method
used in XLSTAT is called PCAmix and has been developed by Chavent et al (2014). This
method can be seen as a mixture of two well known methods of factorial analysis: principal
component analysis (PCA) which allows to study an observations/quantitative variables table
and the multiple correspondence analysis (MCA) which allows to study an
observations/qualitative variables table. The PCAmix method can be seen as a mixture of these
two methods, it allows the analysis of a table where n observations are described by p1
quantitative variables and by p2 qualitative variables with a total of mQ categories. We note
p = p1 + p2 . As the other factorial analysis methods, the PCAmix method aims to reduce data
dimensionality as well as to identify nearness between variables but also proximity between the
observations.
PCAmix results
The PCAmix method supplies the same classic results as other factorial analysis methods:
factorial coordinates, contributions and squared cosines. These results are interpreted in the
same way as in PCA or MCA. Contributions are a help to the interpretation. Variables having
the most influenced the construction of axes are the ones whose contributions are the highest.
Squared cosines allow to measure the quality of projection on a factorial axis and so to avoid
errors of interpretation due to projection effects. If squared cosines associated to axes used on
a graph are low, we shall avoid interpreting the position of the observation or the variable in
question.
A specific output of PCAmix is called squared loadings of variables. The squared loading
between a quantitative variable and a factorial axis is equal to the squared correlation between
Analyzing data 219 Factorial analysis of mixed data (PCAmix)

the variable and the axis k . The squared loading between a qualitative variable y and a factorial
axis k is equal to the correlation ratio η 2 between the variable y and the axis k . We have:
∑m ˉ ˉ 2
2 s=1 ns ( ks − k )
η (k∣y) =
∑ni=1 (ki − kˉ )2
Where m is the total number of categories of the variable y , ns is the number of observations
having the categorie s, kˉs is the mean of the variable k calculated on the observations having
the categorie s and k ˉ is the mean of the variable k calculated on all the observations. This
correlation ratio is equal to the sum of the contributions to the axis of each s categories of the
qualitative variable y . Squared loadings are used to visualize quantitative variables and
qualitative variables on the same chart and so their links with factorial axes.
Dialog box
observations.
General tab:
Observations/quantitative variables: Select a table where n observations are described by

p1 quantitative variables. If column headers have been selected, check that the "Variable labels"
Observations/qualitative variables: Select a table where n observations are described by p2

qualitative variables. If column headers have been selected, check that the "Variable labels"

activate this option, the weights will be considered as 1. Weights must be greater than or equal
to 0. If a column header has been selected, check that the "Variable labels" option is activated.
Variable labels: Activate this option if the first row of the data selections (observations/variables
table, weights, observation labels) includes a header.
Options tab:
Variable-Category labels: Activate this option to use variable-category labels when displaying
outputs. Variable-Category labels include the variable name as a prefix and the category name
as a suffix.
Filter factors: You can activate one of the three following options in order to reduce the number
of factors displayed:
Minimum %: Activate this option and then enter the minimum percentage that should be
reached to determine the number of factors to display.
Maximum number: Activate this option to set the maximum number of factors to take into
account when displaying the results.
Supplementary observations: Activate this option if you want to represent additional

observations by calculating their coordinates. These observations are neither taken into account
for the computation of the correlation matrix, nor for the subsequent calculations (we talk of
passive observations as opposed to active observations). If the first row of the data selection for
obs" option. You can also select labels for supplementary observations which will be used for
the display.

Quantitative variables: select a table with n′ supplementary observations described by
the same p1 active quantitative variables.
Qualitative variables: select a table with n′ supplementary observations described by
the same p2 active qualitative variables.
Supplementary variables: Activate this option if you want to compute a posteriori the
coordinates of variables that are not taken into account for the computing of the principal axes
(passive variables, as opposed to active variables).
Quantitative: Activate this option if you want to include quantitative supplementary

variables. If the headers of the columns of the main table have been selected, you also
need to select headers here.
Qualitative: Activate this option if want to include qualitative supplementary variables. If

the headers of the columns of the main table have been selected, you also need to select
headers here.
Missing data tab:
data.
Replace missing data: Activate this option to replace missing data. When a missing data
corresponds to a quantitative variable, they are replaced by the mean of the variable. When a
missing data corresponds to a qualitative variable , a new "Missing" category is created for the
variable.
Outputs tab:
Descriptive statistics: Activate this option to display the descriptive statistics for the selected
variables.
Eigenvalues: Activate this option to display the table and the scree plot of the eigenvalues.
Display results for:
Observations and variables: Activate this option to display the results that concern the
observations and the variables.
Observations: Activate this option to display only the results that concern the
observations.
Variables: Activate this option to display only the results that concern the variables.

Principal coordinates: Activate this option to display the principal coordinates.
Contributions: Activate this option to display the contributions.
Squared cosines: Activate this option to display the squared cosines.
Squared loadings : Activate this option to display the squared loadings.
Charts tab:
Quantitative sub-tab:
components and initial variables. This chart is named correlation circle.
Orientate labels: This option (only available with Excel 2010 and later versions) allows to
orientate labels of variables in order to display them in the continuity of the vector.
Resize points with Cos2: Activate this option so that the variable points sizes are
Sum(Cos2)>: Only the variables for which the sum of squared cosines (communalities)
are bigger than a value to enter are displayed on the plots.

Qualitative sub-tab:
Factorial map of categories: Activate this option to display the chart showing the principal
coordinates of categories of active and supplementary qualitative variables.
Labels: Activate this option to show labels of categories on the chart.
Resize points with Cos2: Activate this option so that the categories points sizes are
Link categories: Activate this option so that the categories belonging to a given variable
are linked. This option allows to quickly distinguish categories which belong to a variable.
Mixed sub-tab:
Mixed chart : Activate this option to display the mixed chart of squared loadings for quantitative
and qualitative variables.
Options for quantitative variables:
Labels : Activate this option to have quantitative variables labels displayed on the mixed
chart.
Vectors : Activate this option to display the quantitative variables in the form of vectors.

Supplementary variables: If you have included supplementary quantitative variables,
activate this option to display them on the mixed chart.
Filer variables: If you used a filter variable to display quantitative variables, the same
filter variable will be used to filter the display of quantitative variables on the mixed chart.
Options for qualitative variables:
Labels : Activate this option to have qualitative variables labels displayed on the mixed
chart.
Vectors : Activate this option to display the qualitative variables in the form of vectors.
Supplementary variables: If you have included supplementary qualitative variables,

activate this option to display them on the mixed chart.
Filer variables: If you used a filter variable to display qualitative variables, the same filter
variable will be used to filter the display of quantitative variables on the mixed chart.
Factorial map of observations: Activate this option to display charts representing the principal
coordinates of observations.
levels of a qualitative variable. Then select a vertical series of that that must have as
many rows as there are active observations. If headers were selected for the main table,
ensure that a label is also present for the variable in this selection.
subspace.
Colors tab:
This tab allows you to personalize colors of differents numerical results and charts colors.
Results
variables selected

Variables results: If the options of corresponding outputs have been activated, XLSTAT
displays outputs for active variables (principal coordinates, squared cosines, contributions and
squared loadings). The first part of every table concerns quantitative variables, the second part
concerns qualitative variables. If supplementary variables have been selected, results for these
variables are then shown. The correlation circle of quantitative variables, the factorial map of the
categories of the qualitative variables and the mixed chart of squared loadings are then shown.
Observations results: If the options of corresponding outputs have been activated, XLSTAT
displays outputs for active observations (principal coordinates, squared cosines and
contributions). If supplementary observations have been selected, results for these observations
are then shown. The factorial map of the observations is then shown.
Example
A tutorial on how to use PCAmix is available on the Addinsoft website:
http://www.xlstat.com/demo-pcm.htm
References
Beh, E. J. and R. Lombardo (2012). A Genealogy of Correspondence Analysis. Australian &
New Zealand Journal of Statistics. 54 (2), 137–168
Chavent, M., V. Kuentz, A. Labenne, B. Liquet, and J. Saracco (2014). PCAmixdata :

Multivariate Analysis of Mixed Data. R package version 2.2.
Escofier, B. (1979). Traitement simultané de variables qualitatives et quantitatives en analyse

factorielle. Cahiers de l’analyse des données. 4 (2), 137–146.
Hill, M. O. and A. J. E. Smith (1976, May). Principal Component Analysis of Taxonomic Data
with Multi-State Discrete Characters. Taxon. 25 (2/3), 249–255.
Labenne, A. (2015). Méthodes de réduction de dimension pour la construction d'indiquateurs

de qualité de vie. Phd Thesis. Université de Bordeaux
Pagès, J. (2004). Analyse factorielle de données mixtes. Revue de Statistique Appliquée.

52(4), 93–111.

Discriminant Analysis (DA)
Use discriminant analysis to explain and predict the membership of observations to several
classes using quantitative or qualitative explanatory variables.
In this section:
Description
Dialog box
Results
Example
References
Description
Discriminant Analysis (DA) is an old method (Fisher, 1936) which in its classic form has
changed little in the past twenty years. This method, which is both explanatory and predictive,
can be used to:
Check on a two- or three-dimensional chart if the groups to which observations belong are
distinct,
Show the properties of the groups using explanatory variables,
Predict which group an observation will belong to
DA may be used in numerous applications, for example in ecology and the prediction of
financial risks (credit scoring).
Linear or quadratic model
Two models of DA are used depending on a basic assumption: if the covariance matrices are
assumed to be identical, linear discriminant analysis is used. If, on the contrary, it is assumed
that the covariance matrices differ in at least two groups, then the quadratic model is used. The
Box test is used to test this hypothesis (the Bartlett approximation enables a χ2 distribution to
be used for the test). We start with linear analysis then, depending on the results from the Box
test, carry out quadratic analysis if required.
Multicolinearity issues
With linear and still more with quadratic models, we can face problems of variables with a null
variance or multicolinearity between variables. XLSTAT has been programmed so as to avoid
these problems. The variables responsible for these problems are automatically ignored either
Analyzing data 227 Discriminant Analysis (DA)

for all calculations or, in the case of a quadratic model, for the groups in which the problems
arise. Multicolinearity statistics are optionally displayed so that you can identify the variables
which are causing problems.
Stepwise methods
As for linear and logistic regression, efficient stepwise methods have been proposed. They can,
however, only be used when quantitative variables are selected as the input and output tests on
the variables assume them to be normally distributed. The stepwise method gives a powerful
model which avoids variables which contribute only little to the model.
Classification table, ROC curve and cross-validation
Among the numerous results provided, XLSTAT can display the classification table (also called
confusion matrix) used to calculate the percentage of well- classified observations. When only
two classes (or categories or modalities) are present in the dependent variable, the ROC curve
may also be displayed.
The ROC curve (Receiver Operating Characteristics ) displays the performance of a model and
enables a comparison to be made with other models. The terms used come from signal
detection theory.
The proportion of well-classified positive events is called the sensitivity. The specificity is the
proportion of well-classified negative events. If you vary the threshold probability from which an
event is to be considered positive, the sensitivity and specificity will also vary. The curve of
points (1-specificity, sensitivity) is the ROC curve.
Let's consider a binary dependent variable which indicates, for example, if a customer has
responded favorably to a mail shot. In the diagram below, the blue curve corresponds to an
ideal case where the n% of people responding favorably corresponds to the n% highest
probabilities. The green curve corresponds to a well-discriminating model. The red curve (first
bisector) corresponds to what is obtained with a random Bernoulli model with a response
probability equal to that observed in the sample studied. A model close to the red curve is
therefore inefficient since it is no better than random generation. A model below this curve
would be disastrous since it would be less even than random.

The area under the curve (or AUC ) is a synthetic index calculated for ROC curves. The AUC
corresponds to the probability such that a positive event has a higher probability given to it by
the model than a negative event. For an ideal model, AU C = 1 and for a random model,
AU C = 0.5. A model is usually considered good when the AU C > 0.7. A well-
discriminating model must have an AUC of between 0.87 and 0.9. A model with an AU C >
0.9 is excellent.
The results of the model as regards forecasting may be too optimistic: we are effectively trying
to check if an observation is well-classified while the observation itself is being used in
calculating the model. For this reason, cross-validation was developed: to determine the
probability that an observation will belong to the various groups, it is removed from the learning
sample, then the model and the forecast are calculated. This operation is repeated for all the
observations in the learning sample. The results thus obtained will be more representative of the
quality of the model. XLSTAT gives the option of calculating the various statistics associated
with each of the observations in cross-validation mode together with the classification table and
the ROC curve if there are only two classes.
Lastly, you are advised to validate the model on a validation sample wherever possible. XLSTAT
has several options for generating a validation sample automatically.
Discriminant analysis and logistic regression
Where there are only two classes to predict for the dependent variable, discriminant analysis is
very much like logistic regression. Discriminant analysis is useful for studying the covariance
structures in detail and for providing a graphic representation. Logistic regression has the
advantage of having several possible model templates, and enabling the use of stepwise
selection methods including for qualitative explanatory variables. The user will be able to
compare the performances of both methods by using the ROC curves.
Dialog box

: click this button to start the calculations.
: click this button to close the dialog box without doing any calculations.
: click this button to display help.
: click this button to reload the default options.
: click this button to delete the data selections.
: click these buttons to change the way XLSTAT handles the data. If the arrow points
observations.
General tab:
Y / Dependent variables:
Qualitative: Select the qualitative variable(s) you want to model. If several variables have been
selected, XLSTAT carries out calculations for each of the variables separately. If a column
header has been selected, check that the "Variable labels" option has been activated.
X / Explanatory variables:
data selected must be of the numerical type. If a variable header has been selected, check that
selected data must be of any type, but numerical data will automatically be considered as
been activated.

Variable labels: Activate this option if the first row of the data selections (dependent and
activate this option, the weights will all be considered as 1. XLSTAT uses these weights for
calculating degrees of freedom. Weights must be greater than or equal to 0. If a column header
Options tab:
Tolerance: Enter the value of the tolerance threshold below which a variable will automatically
be ignored.
Equality of covariancematrices: Activate this option if you want to assume that the covariance
matrices associated with the various classes of the dependent variable are equal.
Prior probabilities: Activate this option if you want to take prior possibilities into account. The
probabilities associated with each of the classes are equal to the frequency of the classes. Note:
this option has no effect if the prior possibilities are equal for the various groups.
Filter factors: You can activate one of the two following options in order to reduce the number
of factors used in the model:
Minimum %: Activate this option and enter the minimum percentage of total variability
that the selected factors should represent.
account.
Significance level (%): Enter the significance level for the various tests calculated.
Model selection: Activate this option if you want to use one of the four selection methods
provided:
Stepwise (Forward): The selection process starts by adding the variable with the largest
contribution to the model. If a second variable is such that its entry probability is greater
than the entry threshold value, then it is added to the model. After the third variable is

added, the impact of removing each variable present in the model after it has been added
is evaluated. If the probability of the calculated statistic is greater than the removal
threshold value, the variable is removed from the model.
Stepwise (Backward): This method is similar to the previous one but starts from a
complete model.
Forward: The procedure is the same as for stepwise selection except that variables are
only added and never removed.
Backward: The procedure starts by simultaneously adding all variables. The variables are
then removed from the model following the procedure used for stepwise selection.
Classes weight correction: If the number of observations for the various classes for the
dependent variables are not uniform, there is a risk of penalizing classes with a low number of
observations in establishing the model. To get over this problem, XLSTAT has two options:
Automatic: Correction is automatic. Artificial weights are assigned to the observations in

order to obtain classes with an identical sum of weights.
Corrective weights: You can select the weights to be assigned to each observation.
Validation tab:
Validation: Activate this option if you want to use a sub-sample of the data to validate the
model.
Validation set: Choose one of the following options to define how to obtain the observations
used for the validation:
Random: The observations are randomly selected. The "Number of observations" N must
then be specified.
N last rows: The N last observations are selected for the validation. The "Number of
observations" N must then be specified.
N first rows: The N first observations are selected for the validation. The "Number of
0s and 1s. The 1s identify the observations to use for the validation.
Prediction tab:
Prediction: Activate this option if you want to select data to use them in prediction mode. If
activate this option, you need to make sure that the prediction dataset is structured as the
estimation dataset: same variables with the same order in the selections. On the other hand,

variable labels must not be selected: The first row of the selections listed below must
correspond to data.
Quantitative: Activate this option to select the quantitative explanatory variables. The first row
must not include variable labels.
Qualitative: Activate this option to select the qualitative explanatory variables. The first row
Observations labels: Activate this option if observations labels are available. Then select the
corresponding data. If this option is not activated, the observations labels are automatically
generated by XLSTAT (PredObs1, PredObs2 …).
Missing data tab:
computations.
Outputs tab:
selected.
Correlations: Activate this option to display the correlation matrix.
Multicolinearity statistics: Activate this option to display the table of multicolinearity statistics.
Covariance matrices: Activate this option to display the inter-class, intra-class, intra-class total,
and total covariance matrices.
SSCP matrices: Activate this option to display the inter-class, intra- class total, and total SSCP
(Sums of Squares and Cross Products ) matrices.
Distance matrices: Activate this option to display the matrices of distances between groups.
Canonical correlations and functions: Activate this option for canonical correlations and
functions.
Classification functions: Activate this option to display classification functions.

Eigenvectors: Activate this option to display the eigenvector table.
variables.
Factor scores: Activate this option to display the coordinates of the observations in the factor
space. The prior and posterior classes for each observation, the probabilities of assignment for
each class and the distances of the observations from their centroid are also displayed in this
table.
Confusion matrix: Activate this option to display the table showing the numbers of well- and
badly-classified observations for each of the classes.
Cross-validation: Activate this option to display cross-validation results (probabilities for

observations and confusion matrix).
Charts tab:
Correlation charts: Activate this option to display the charts involving correlations between the
factors and input variables.
Vectors: Activate this option to display the input variables with vectors.
Observations charts: Activate this option to display the charts that allow visualizing the
observations in the new space.
Labels: Activate this option to display the observations labels on the charts. The number
of labels can be modulated using the filtering option.
categories of the dependent variable.
ellipses correspond to a x% confidence interval (where x is determined using the
significance level entered in the Options tab) for a bivariate normal distribution with the
same means and the same covariance matrix as the factor scores for each category of
the dependent variable.
Use covariance hypothesis: Activate this option to base the computation of the ellipses
on the hypothesis that covariance matrices are equal or not.
Centroids and confidence circles: Activate this option to display a chart with the centroids and
the confidence circles around the means.
Colored labels: Activate this option to display the labels with the same color as the
corresponding points. If this option is not activated the labels are displayed in black.

Results
qualitative variables, including the dependent variable, the categories with their respective
Correlation matrix: This table displays the correlations between the explanatory variables.
Means by class: This table provides the means of the various explanatory variables for the
various classes of the dependent variable.
Sum of weights, prior probabilities and logarithms of determinants for each class: These
statistics are used, among other places, in the posterior calculations of probabilities for the
observations.
Multicolinearity: This table identifies the variables responsible for the multicolinearity between
variables. As soon as a variable is identified as being responsible for a multicolinearity (its
tolerance is less than the limit tolerance set in the "options" tab in the dialog box), it is not
included in the multicolinearity statistics calculation for the following variables. Thus in the
extreme case where two variables are identical, only one of the two variables will be eliminated
from the calculations. The statistics displayed are the tolerance (equal to 1 − R2 ), its inverse
and the VIF (Variance inflation factor).
SSCP matrices: The SSCP (Sums of Squares and Cross Products ) matrices are proportional
to the covariance matrices. They are used in the calculations and check the following
relationship: SSCP total = SSCP inter + SSCP intra total.
Covariance matrices: The inter-class covariance matrix (equal to the unbiased covariance
matrix for the means of the various classes), the intra- class covariance matrix for each of the
classes (unbiased), the total intra- class covariance matrix, which is a weighted sum of the
preceding ones, and the total covariance matrix calculated for all observations (unbiased) are
displayed successively.
Box test: The Box test is used to test the assumption of equality for intra-class covariance
matrices. Two approximations are available, one based on the χ2 distribution, and the other on

the Fisher distribution. The results of both tests are displayed.
Kullback’s test: The Kullback’s test is used to test the assumption of equality for intra-class
covariance matrices. The statistic calculated is approximately distributed according to a χ2
distribution.
Mahalanobis distances: The Mahalanobis distance is used to measure the distance between
classes taking account of the covariance structure. If we assume the intra-class variance
matrices are equal, the distance matrix is calculated by using the total intra-class covariance
matrix which is symmetric. If we assume the intra-class variance matrices are not equal, the
Mahalanobis distance between classes i and j is calculated by using the intra- class covariance
matrix for class i which is symmetric. The distance matrix is therefore asymmetric.
Fisher’s distances: If the covariance matrices are assumed to be equal, the Fisher distances
between the classes are displayed. They are calculated from the Mahalanobis distance and are
used for a significance test. The matrix of p-values is displayed so as to identify which distances
are significant.
Generalized squared distances: If the covariance matrices are not assumed to be equal, the
table of generalized squared distances between the classes is displayed. The generalized
distance is also calculated from the Mahalanobis distances and uses the logarithms of the
determinants of the covariance matrices together with the logarithms of the prior probabilities if
required by the user.
Wilks’ Lambda test (Rao’s approximation): The test is used to test the assumption of equality
of the mean vectors for the various classes. When there are two classes, the test is equivalent
to the Fisher test mentioned previously. If the number of classes is less than or equal to three,
the test is exact. The Rao approximation is required from four classes to obtain a statistic
approximately distributed according to a Fisher distribution.
Unidimensional test of equality of the means of the classes: These tests are used to test
the assumption of equality of the means between classes variable by variable. Wilks’ univariate
lambda is always between 0 and 1. A value of 1 means the class means are equal. A low value
is interpreted as meaning there are low intra-class variations and therefore high inter-class
variations, hence a significant difference in class means.
Pillai’s trace: The test is used to test the assumption of equality of the mean vectors for the
various classes. It is less used than Wilks’ Lambda test and also uses the Fisher distribution for
calculating p-values.
Hotelling-Lawley trace: The test is used to test the assumption of equality of the mean vectors
for the various classes. It is less used than Wilks’ Lambda test and also uses the Fisher
distribution for calculating p-values.
Roy’s greatest root: The test is used to test the assumption of equality of the mean vectors for
the various classes. It is less used than Wilks’ Lambda test and also uses the Fisher distribution
for calculating p-values.

Eigenvalues: This table shows the eigenvalues associated with the various factors together
with the corresponding discrimination percentages and cumulative percentages. In discriminant
analysis, the number of non-null eigenvalues is equal to at most (k − 1) where k is the number
of classes. The scree plot is used to display how the discriminant power is distributed between
the discriminant factors. The sum of the eigenvalues is equal to the Hotelling trace.
Bartlett’s test on significancy of eigenvalues: This table displays for each eigenvalue, the
Bartlett statistic and the corresponding p-value which is computed using the asymptotic Chi-
square approximation. The Bartlett’s test allows to test the null hypothesis H0 that all the p
eigenvalues are equal to zero. If it is rejected for the greatest eigenvalue then the test is
performed again until H0 cannot be rejected. This test is known as conservative, meaning that it
tends to confirm H0 in some cases where it should not. You can however use this test to check
how many factorial axes you should consider (see Jobson, 1992).
Eigenvectors: This table shows the eigenvectors afterwards used in the canonical correlations,
canonical function coefficients and observation coordinate (scores ) calculations.
Variables/Factors correlations: The calculation of correlations between the scores in the initial
variable space and in the discriminant factor space is used to display the relationship between
the initial variables and the factors in a correlation circle. The correlation circle is an aid in
interpreting the representation of the observations in factor space.
Canonical correlations: The canonical correlations associated with each factor are the square
L(i)
roots of (1−L(i)) where L(i) is the eigenvalue associated with factor i. Canonical correlations
are also a measurement of the discriminant power of the factors. Their sum is equal to the
Pilai’s trace.
Canonical discriminant function coefficients: These coefficients can be used to calculate the
coordinates of an observation in discriminant factor space from its coordinates in the initial
variable space.
Standardized canonical discriminant function coefficients: These coefficients are the same
as the previous, but are standardized. Thus comparing them gives a measure of the relative
contribution of the initial variables to the discrimination for a given factor.
Functions at the centroids: This table gives the evaluation of the discriminant functions for the
mean points for each of the classes.
Classification functions: The classification functions can be used to determine which class an
observation is to be assigned to using values taken for the various explanatory variables. If the
covariance matrices are assumed equal, these functions are linear. If the covariance matrices
are assumed unequal, these functions are quadratic. An observation is assigned to the class
with the highest classification function.
Prior and posterior classification, membership probabilities, scores and squared

distances: This table shows for each observation its membership class defined by the
dependent variable, the membership class as deduced by the membership probabilities, the
probabilities of membership of each of the classes, the coordinates in discriminant factor space
and the squared distances of the observations from the centroids of each of the classes.

Confusion matrix for the estimation sample: The confusion matrix is deduced from prior and
posterior classifications together with the overall percentage of well-classified observations.
Where the dependent variable only comprises two classes, the ROC curve is displayed (see the
Cross-validation: Where cross-validation has been requested, the table containing the
information for the observations and the confusion matrix are displayed (see the description
section for more details).
Example
A tutorial on how to use Discriminant Analysis is available on the Addinsoft website:
http://www.xlstat.com/demo-da.htm
References
Fisher R.A. (1936). The use of multiple measurements in taxonomic problems. Annals of
Eugenics, 7, 179 -188.
Huberty C. J. (1994). Applied Discriminant Analysis. Wiley-Interscience, New York.
Lachenbruch P. A. (1975). Discriminant Analysis. Hafner, New York.
Tomassone R., Danzart M, Daudin J.J. and Masson J.P. (1988). Discrimination et
Classement. Masson, Paris.

Correspondence Analysis (CA)
Use this tool to visualize the links between the categories of two qualitative variables. The
variables can be available as an observations/variables table, as a contingency table, or as a
more general type of two-way table.
In this section:
Description
Dialog box
Results
Example
References
Description
Correspondence Analysis is a powerful method that allows studying the association between
two qualitative variables. The research of J.-P. Benzécri that started in the early sixties led to the
emergence of the method. His disciples worked on several developments of the basic method.
For example, M.J. Greenacre’s book (1984) contributed to the popularity of the method
throughout the world. The work of C. Lauro from the University of Naples led to a non-
symmetrical variant of the method.
Measuring the association between two qualitative variables is a complex subject that first
requires transforming the data: it is not possible to compute a correlation coefficient using the
data directly, as one could do with quantitative variables.
The first transformation consists of recoding the two qualitative variables V1 and V2 as two
disjunctive tables Z1 and Z2 or indicator (or dummy) variables. For each category of a variable
there is a column in the respective disjunctive table. Each time the category c of variable V1
occurs for an observation i, the value of V1 (i, c) is set to one (the same rule is applied to the
V2 variable). The other values of Z1 and Z2 are zero. The generalization of this idea to more
than two variables is called Multiple Correspondence Analysis. When there are only two
variables, it is sufficient to study the contingency table of the two variables, that is the table
Z1t Z2 .
To represent the distance between two categories it is not necessary to use from the X1 and
X2 disjunctive tables. It is enough to start from the contingency table that algebraically
corresponds to the X1t X2 product.
The contingency table has the following structure:
Analyzing data 239 Correspondence Analysis (CA)

Category 1 n11 n1j … n1m2
… … … … … …
Category i ni1 … nij … nim2
… … … … … …
Category m1 n1m1 … nm1j … nm1m2
where nij is the frequency of observations that show both characteristic i for variable V1, and
characteristic j for variable V2.
Inertia is a measure inspired from physics that is often used in Correspondence Analysis. The
inertia of a set of points is the weighted mean of the squared distances to the center of gravity.
In the specific case of CA, the total inertia of the set of points (one point corresponds to one
category) can be written as:
m1 m2 nij ni. n.j m2 m1
χ2 −
ϕ = 2
= ∑∑ n
ni. n.j
n2
, with ni. = ∑ nij and n.j = ∑ nij
2 i=1 j=1 n2 j=1 i=1
and where n is the sum of the frequencies in the contingency table. We can see that the inertia
is proportional to the Pearson chi-square statistic computed on the contingency table.
The aim of CA is to represent as much of the inertia on the first principal axis as possible, a
maximum of the residual inertia on the second principal axis and so on until all the total inertia is
represented in the space of the principal axes. One can show that the number of dimensions of
the space is equal to min(m1, m2) -1.
Non-Symmetrical Correspondence Analysis (NSCA) developed by Lauro and D’Ambra

(1984) analyzes the association between the rows and columns of a contingency table while
introducing the notion of dependency between the rows and the columns, which leads to an
asymmetry in their treatment. The example the authors used in their first article on this subject
corresponds to the analysis of a contingency table that contains the prescriptions of 6 drugs for
7 different diseases for 69 patients. There is here an obvious dependency of the drugs on the
disease. In order to take into account the dependency, Goodman and Kruskal’s tau (1954) was
suggested. The tau coefficient that corresponds to the case where the rows depend on the
columns can be written as:
∑m2
j=1
n.j
n
∑m1 nij
i=1 ( n.j −
ni. 2
n
)
τb/RC = ni. 2
1 − ∑m1
i=1 n
As with the total inertia, it is possible to compute a representation space for the categories, such
that the proportion of the Goodman and Kruskal’s tau represented on the chart is maximized on
the first axes.
Greenacre (1984) defined a framework (the generalized singular value decomposition) that
allows computing both CA and the related method of NSCA in a similar way.

An alternative approach using the Hellinger distance was proposed by Rao (1995). The
Hellinger distance only depends on the profiles of the concerned pair and does not depend on
the sample sizes on which the profiles are estimated. Therefore, the Hellinger distance
approach might be a good alternative to the classical CA when average column profiles are not
relevant (e.g. when columns represent populations of individuals classified according to row
categories) or if some categories have low frequencies. Computations follows the unified
approach described by Cuadras and Cuadras (2008). The inertia is generalized by the following
formula:
m1 m2 m2 m
nij /n
ϕ (α, β) = ∑ ∑[(
2
)α − 1]2 [(ni. /n)(n.j /n)]2β , with ni. = ∑ nij and n.j = ∑
i=1 j=1
(ni. /n)(n.j /n) j=1 i=
Notes:
In the case of Correspondence analysis using the Hellinger distance, α = 1/2 and β =
1/2.
In the of classical correspondence analysis, α = 1 and β = 1/2
The analysis of a subset of categories is a new method that has been recently developed by
Greenacre (2006). It allows parts of tables to be analyzed while maintaining the margins of the
whole table and thus the same weights and chi-square distances of the whole table, simplifying
the analysis of large tables by breaking down the interpretation into parts.
Dialog box
: Click these buttons to change the way XLSTAT loads the data:
Case where the data are in a contingency table or a more general two-way table: if the
arrow points down XLSTAT allows you to select data by columns or by range. If the arrow
points to the right, XLSTAT allows you to select data by rows or by range.

Case where the data are in an observations/variables table: if the arrow points down,
XLSTAT considers that rows correspond to observations and columns to variables. If the
arrow points to the right, XLSTAT considers that rows correspond to variables and
columns to observations.
General tab:
The first selection field lets you alternatively select two types of tables:
Two-way table: Select this option if your data correspond to a two-way table where the cells
contain the frequencies corresponding to the various categories of two qualitative variables (in
this case it is more precisely a contingency table), or other type of values.
Observations/variables table: Select this option if your data correspond to N observations

described by 2 qualitative variables. This type of table typically corresponds to a survey with 2
questions. During the computations, XLSTAT will automatically transform this table into a
contingency table.
Labels included: This option is visible if the selected table is a contingency table or a more
general two-way table. Activate this option if the labels of the columns and rows are included in
the selection.
Variable labels: This option is visible only if you selected the observations/variables table
format. Activate this option if the first row contains the variable labels (case of an
observations/variables table) or the category labels (case of a disjunctive table).
Weights: This option is visible only if you selected the observations/variables table format.
Activate this option if you want to weight the observations. If you do not activate this option, the
weights are considered to be equal to 1. The weights must be greater or equal to 0. If the
"Variable labels" option is activated make sure that the header of the selection has also been
selected.
Options tab:
Advanced analysis: This option is active only in the case where the input is a contingency
table or a more general two-way table. The possible options are:
Supplementary data: If you select this option you may then enter the number of
supplementary rows and/or columns. Supplementary rows and columns are passive

data that are not taken into account for the computation of the representation space. Their
coordinates are computed a posteriori. Notice that supplementary data should be the last
rows and/or columns of the data table.
Subset analysis: If you select this option you can then enter the number of rows and/or
columns to exclude from the subset analysis. See the description section for more
information on this topic. Notice that the excluded data should be the last rows and/or
columns of the data table.
Non-symmetrical analysis: This option allows computing a non-symmetrical correspondence

analysis, as proposed by Lauro et al. (1984).
Rows depend on columns: Select this option if you consider that the row variable
depends on the column variable and if you want to analyze the association between both
while taking into account this dependency.
Columns depend on rows: Select this option if you consider that the column variable
depends on the row variable and if you want to analyze the association between both
while taking into account this dependency.
Distance: This option allows computing a correspondence analysis based on the Hellinger
distance as proposed by Rao (1995).
Chi-Square: Select this option to compute classical correspondence analysis (CA).
Hellinger: Select this option to compute correspondence analysis based on Hellinger

distance (HD). This option is not available if the non-symmetrical option has been
selected.
To summarize, three approaches of the correspondence analysis are proposed:
Classical correspondence analysis (CA): Do not select the "non-symmetrical analysis"

option and select Chi-Square distance.
Non-symmetrical correspondence analysis (NSCA): Select the "non-symmetrical analysis"

option and select Chi-Square distance.
Correspondence analysis using the Hellinger distance (HD): Do not select the "non-
symmetrical analysis" option and select Hellinger distance.
Test of independence: Activate this option if you want XLSTAT to compute a test of
independence based on the chi-square statistic.
Significance level (%): Enter the value of the significance level for the test (default value:
5%).

Missing data tab:
Options for contingency tables and other two-way tables:
equivalent to 0.
ni. nj.
E(nij ) =
n
Options for the observations/variables tables:
data.
Outputs tab:
Options specific to the observations/variables tables:
Descriptive statistics: Activate this option to display the descriptive statistics for the two
selected variables.
Disjunctive table: Activate this option to display the full disjunctive table that corresponds to the
qualitative variables.
Common options:

3D view of the contingency table / two-way table: Activate this option to display the 3D
bar chart corresponding to the contingency table or to the two-way table.
Row and column profiles: Activate this option to display the row and column profiles.
Chi-square (or Hellinger) distances: Activate this option to display the chi-square (or
Hellinger) distances between the row points and between the column points.
Principal coordinates: Activate this option to display the principal coordinates of the row points
and the column points.
Standard coordinates: Activate this option to display the standard coordinates of the row
points and the column points.
Contributions: Activate this option to display the contributions of the row points and the column
points to the principal axes.
Squared cosines: Activate this option to display the squared cosines of the row points and the
column points to the principal axes.
Table for 3D visualization: Activate this option to display the table for 3D visualization.
Charts tab:
Maps sub-tab:
Symmetric plots: Activate this option to display the plots for which the row points and the
column points play a symmetrical role. These maps are based on the principal coordinates of
the row points and the column points.
Rows and columns: Activate this option to display a chart on which the row points and
the column points are displayed.
Rows: Activate this option to display a chart on which only the row points are displayed.
Columns: Activate this option to display a chart on which only the column points are
displayed.
Asymmetric plots: Activate this option to display the plots for which the row points and the
column points play an asymmetrical role. These plots use on the one hand the principal
coordinates and on the other hand the standard coordinates.
Rows: Activate this option to display a chart where the row points are displayed using
their principal coordinates, and the column points are displayed using their standard
coordinates.

Columns: Activate this option to display a chart where the row points are displayed using
their standard coordinates, and the column points are displayed using their principal
coordinates.
Vectors: Activate this option to display the vectors for the standard coordinates on the
asymmetric charts.
Length factor: Activate this option to modulate the length of the vectors.
Contribution biplots: Activate this option to display the contribution biplots for which the row
points and the column points play an asymmetrical role. These plots use on the one hand the
principal coordinates and on the other hand the contribution coordinates that take into account
the weights.
Rows: Activate this option to display a chart where the row points are displayed using
their principal coordinates, and the column points are displayed using their contribution
coordinates.
Columns: Activate this option to display a chart where the row points are displayed using
their contribution coordinates, and the column points are displayed using their principal
coordinates.
Options specific to the observations/variables tables:
Row options sub-tab:
Filter rows: Activate this option to modulate the number of rows displayed:
Random: The rows to display are randomly selected. The "Number of rows" N to display
must then be specified.
N first rows: The first N rows are displayed on the chart. The "Number of rows" N to
display must then be specified.
N last rows: The last N rows are displayed on the chart. The "Number of rows" N to
0s and 1s. The 1s identify the rows to display.
Sum(Cos2)>: Only the rows for which the sum of squared cosines on the given
dimensions are larger than a value to enter are displayed on the plots.
Resize row points with: Activate this option to resize the row points:
Cos2: The sizes of the row points are proportional to the sum of squared cosines on the
given dimensions.
Contribution: The sizes of the row points are proportional to the sum of contributions on
the given dimensions.

Confidence ellipses: Activate this option to display confidence ellipses to identify the row
categories that contribute to the dependency between the row and column categories of the
contingency table.
Row labels: Activate this option to display the labels of the row categories on the charts.
Column options sub- tab:
Filter columns: Activate this option to modulate the number of columns displayed:
Random: The columns to display are randomly selected. The "Number of columns" N to
N first columns: The first N columns are displayed on the chart. The "Number of
columns" N to display must then be specified.
N last columns: The last N columns are displayed on the chart. The "Number of
columns" N to display must then be specified.
0s and 1s. The 1s identify the columns to display.
Sum(Cos2)>: Only the columns for which the sum of squared cosines on the given
dimensions are larger than a value to enter are displayed on the plots.
Resize column points with: Activate this option to resize the column points:
Cos2: The sizes of the column points are proportional to the sum of squared cosines on
the given dimensions.
Contribution: The sizes of the column points are proportional to the sum of contributions
on the given dimensions.
Confidence ellipses: Activate this option to display confidence ellipses to identify the column
categories that contribute to the dependency between the row and column categories of the
contingency table.
Column labels: Activate this option to display the labels of the column categories on the charts.
Results
Descriptive statistics: This table is displayed only if the input data correspond to an
observations/variables table.
Disjunctive table: This table is displayed only if the input data correspond to an
observations/variables table. This table is an intermediate table that allows to obtain the
contingency table that corresponds to the two selected variables.

Contingency table: The contingency table is displayed at this stage. The 3D bar chart that
follows corresponds to the table.
Inertia by cell: This table displays the inertia that corresponds to each cell of the contingency
table.
Test of independence between rows and columns: This test allows us to determine if we can
reject the null hypothesis that rows and columns of the table are independent. A detailed
interpretation of this test is displayed below the table that summarizes the test statistic.
Eigenvalues and percentages of inertia: The eigenvalues and the corresponding scree plot
are displayed. Only the non-trivial eigenvalues are displayed. If a filtering has been requested in
the dialog box, it is not applied to this table, but only to the results that follow. Note: the sum of
the eigenvalues is equal to the total inertia. To each eigenvalue corresponds a principal axis
which accounts for a certain percentage of inertia. This allows us to measure the cumulative
percentage of inertia for a given set of dimensions.
A series of results is displayed afterwards, first for the row points, then for the column points:
Weights, distances and squared distances to the origin, inertias and relative inertias: This table
gives basic statistics for the points.
Profiles: This table displays the profiles.
Chi-square (or Hellinger) distances: This table displays the chi- square (or Hellinger)
distances between the profile points.
Principal coordinates: This table displays the principal coordinates which are used later to
represent projections of the profile points in symmetric and asymmetric plots.
Standard coordinates: This table displays the standard coordinates which are used later to
represent projections of unit profile points in asymmetric plots.
Contributions: The contributions are helpful for interpreting the plots. The categories that have
influenced the most the calculation of the axes are those that have the higher contributions. An
approach consists of restricting the interpretation to the categories whose contribution to a given
axis is higher than the corresponding relative weight that is displayed in the first column.
Squared cosines: As with other data analysis methods, the analysis of the squared cosines
allows us to avoid misinterpretations of the plots that are due to projection effects. If, for a given
category, the cosines are low on the axes of interest, then any interpretation of the position of
the category is hazardous.
The plots (or maps) are the ultimate goal of Correspondence Analysis, because they allow us to
considerably accelerate our understanding of the association patterns in the data table.
Symmetric plots: These plots are exclusively based on the principal coordinates. Depending
on the choices made in the dialog box, a symmetric plot mixing row points and column points, a
plot with only the row points, and a plot with only the column points, are displayed. The

percentage of inertia that corresponds to each axis and the percentage of inertia cumulated
over the two axes are displayed on the map. If the "confidence ellipses" option was selected,
confidence ellipses are draw around the points. The confidence ellipses allow the identification
of the categories that contribute to the association structure between the variables. The ellipses
reflect the information contained in dimensions non-represented on the map.
Asymmetric plots: These plots use the principal coordinates for the rows and the standard
coordinates for the columns or vice versa. The percentage of inertia that corresponds to each
axis and the percentage of inertia cumulated over the two axes are displayed on the map. In an
"asymmetric row plot", one can study the way the row points are positioned relatively to the
column vectors. The latter indicate directions: if two row points are displayed in the same
direction as a column vector, the row point that is the furthest in the column vector direction is
the one that is more associated with the columns.
Contribution biplots: These plots use the principal coordinates for the rows and the
contribution coordinates for the columns or vice versa. The percentage of inertia that
corresponds to each axis and the percentage of inertia cumulated over the two axes are
displayed on the map. In an "contribution row plot", one can study the way the row points are
positioned relatively to the column vectors while the length of the column vectors take into
account their contribution to the building of the biplot.
Example
A tutorial on how to use Correspondence Analysis is available on the Addinsoft website:
http://www.xlstat.com/demo-ca.htm
References
Balbi S. (1997). Graphical displays in non-symmetrical correspondence analysis. In: Blasius J.
and Greenacre M. (eds.), Visualisation of Categorical Data. Academic Press, San Diego. pp
297-309.
Beh E. J. & Lombardo R. (2015). Confidence Regions and Approximate p-values for Classical
and Non Symmetric Correspondence Analysis.Communications in Statistics-Theory and
Methods, 44 (1) , 95-114.
Benzécri J.P. (1969). Statistical analysis as a tool to make patterns emerge from data. In
Watanabe S. (ed.), Methodologies of Pattern Recognition. Academic Press, New York. pp 35-
60.
Benzécri J.P. (1973). L’Analyse des Données, Tome2 : L’Analyse des Correspondances.
Dunod, Paris.
Benzécri J.P. (1992). Correspondence Analysis Handbook. Marcel Decker, New York.
Cuadras C. M. & Cuadras i Pallejà D. (2008). A unified approach for representing rows and
columns in contingency tables.
Goodman, L. A. and Kruskal, W. H. (1954). Measures of association for cross classifications.

Journal of the American Statistical Association. 49, 732-764.

Greenacre M. J. (1984). Theory and Applications of Correspondence Analysis. Academic
Press, London.
Greenacre M. J. (1993). Correspondence Analysis in Practice. Academic Press, London.
Greenacre M. J., Pardo R. (2006). Subset correspondence analysis: Visualizing relationships

among a selected set of response categories from a questionnaire survey. Sociological Methods
& Research, 35 (2), 193-218.
Lauro C., Balbi S. (1999). The analysis of structured qualitative data. Applied Stochastic
Models and Data Analysis. 15, 1-27.
Lauro N.C., D’Ambra L. (1984). Non-symmetrical correspondence analysis. In: Diday E. et al.
(eds.), Data Analysis and Informatics, III, North Holland, Amsterdam. 433-446.
Lebart L., Morineau A. & Piron M. (1997). Statistique Exploratoire Multidimensionnelle, 2ème
édition. Dunod, Paris. 67-107.
Rao, C. R. (1995). A review of canonical coordinates and an alternative to correspondence

analysis using Hellinger distance. Questiió: Quaderns d'Estadística, Sistemes, Informatica i
Investigació Operativa, 19 (1), 23-63.
Saporta G. (1990). Probabilités, Analyse des Données et Statistique. Technip, Paris. 199-216.

Multiple Correspondence Analysis (MCA)
Use this tool to visualize the links between the categories of two or more qualitative variables.
In this section:
Description
Dialog box
Results
Example
References
Description
Multiple Correspondence Analysis (MCA) is a method that allows studying the association
between two or more qualitative variables. MCA is to qualitative variables what Principal
Component Analysis is to quantitative variables. Maps can be obtained, where it is possible to
visually observe the distances between the categories of the qualitative variables and between
the observations.
Multiple Correspondence Analysis (MCA) can also be understood as a generalization of

Correspondence Analysis (CA) to the case where there are more than two variables. While it is
possible to summarize a table with n observations and p (p > 2) qualitative variables in a table
whose structure is close to a contingency table, it is much more common in MCA to start from
an observations/variables table (for example, from a survey where p questions were submitted
to n individuals). XLSTAT also allows the user to start from a full disjunctive table (indicator
matrix).
The generation of the disjunctive table is, in any case, a preliminary step of the MCA
computations. The p qualitative variables are broken down into p disjunctive tables
Z1 , Z2 , … , Zp , composed of as many columns as there are categories in each of the
variables. Each time a category c of the j-th variable corresponds to an observation i, one sets
the value of Zj (i, c) to one. The other values of Zj are zero. The p disjunctive tables are
concatenated into a full disjunctive table.
A series of transformations allows the computing of the coordinates of the categories of the
qualitative variables, as well as the coordinates of the observations in a representation space
that is optimal for a criterion based on inertia. In the case of MCA one can show that the total
inertia is equal to the average number of categories minus one. XLSTAT also allows to compute
MCA by using the Burt table instead of the disjunctive table. As a matter of fact, the inertia does
not only depend on the degree of association between the categories but is seriously inflated.
Greenacre (1993) suggested an adjusted version of inertia, inspired from Joint Correspondence
Analysis (JCA). This adjustment allows us to have higher and more meaningful percentages for
the maps.
Analyzing data 251 Multiple Correspondence Analysis (MCA)

The analysis of a subset of categories is a method that has very recently been developed by
Greenacre and Pardo (2006). It allows us to concentrate the analysis on some categories only,
while still taking into account all the available information in the input table. XLSTAT allows you
to select the categories that belong to the subset.
Dialog box
observations.
General tab:
The first selection field lets you alternatively select two types of tables:
Observations/variables table: Select this option if your data correspond to a table with n
observations described by p qualitative variables. If the headers of the columns have also been
selected, make sure the "Variable labels" option is activated.
Disjunctive table: Select this option if your data correspond to a disjunctive table. If the
headers of the columns have also been selected, make sure the "Variable labels" option is
activated. If this option is activated, supplementary observations and supplementary qualitative
variables must also be selected in disjunctive table format.

Variable labels: Activate this option if the first row contains the variable labels (case of an
observations/variables table) or the category labels (case of a disjunctive table).
Weights: Activate this option if you want to weight the observations. If you do not activate this
option, the weights are considered to be equal to 1. The weights must be greater or equal to 0.
If the "Variable labels" option is activated make sure that the header of the selection has also
been selected.
Options tab:
MCA type:
Disjunctive table: If you select this option, MCA will be performed with the
observations/variables disjunctive table.
Burt table: If you select this option, MCA will be performed with the
observations/variables Burt table.
Adjusted inertia: If you select this option, MCA will be performed with the Burt table and
then obtained inertias will be adjusted with the method of Greenacre(1993).
Advanced analysis:
None: If you select this option, MCA will be classically performed on all categories of
active variables.
Subset analysis: If you select this option, XLSTAT will ask you to select during the
computations the categories that belong to the subset to analyze.
as a suffix.
Filter factors: You can activate one of the three following options in order to reduce the number

1/p: Activate this option to only take into account the factors which eigenvalue is greater
than 1/p, where p is the number of variables. This is the default option.
Supplementary observations: Activate this option if you want to represent additional

observations by calculating their coordinates. These observations are neither taken into account
for the computation of the correlation matrix, nor for the subsequent calculations (we talk of
passive observations as opposed to active observations). If the first row of the data selection for
obs" option. You can also select labels for supplementary observations which will be used for
the display.
Supplementary variables: Activate this option if you want to compute a posteriori the
coordinates of variables that are not taken into account for the computing of the principal axes
(passive variables, as opposed to active variables).
Quantitative: Activate this option if you want to include quantitative supplementary

variables. If the headers of the columns of the main table have been selected, you also
need to select headers here.
Qualitative: Activate this option if want to include qualitative supplementary variables. If

the headers of the columns of the main table have been selected, you also need to select
headers here.
Missing data tab:
data.
Replace missing data: Activate this option to replace missing data. When a missing data
corresponds to a quantitative supplementary variable, they are replaced by the mean of the
variable. When a missing data corresponds to a qualitative variable of the initial table (active
variables) or to a qualitative supplementary variable (passive variable), a new "Missing"
category is create for the variable.
Outputs tab:

Descriptive statistics: Activate this option to display the descriptive statistics for the selected
variables.
Disjunctive table: Activate this option to display the full disjunctive table that corresponds to the
selected qualitative variables.
Burt table: Activate this option to display the Burt table.
3D view of the Burt table: Activate this option to display a 3D visualization of the Burt table.
Display results for:
Observations and variables: Activate this option to display the results that concern the
observations and the variables.
Observations: Activate this option to display only the results that concern the
observations.
Variables: Activate this option to display only the results that concern the variables.
Standard coordinates: Activate this option to display the standard coordinates.
Test values: Activate this option to display the test values for the variables.
Significance level (%): Enter the significance level used to determine if the test values
are significant or not.
Charts tab:
Variables sub-tab:
Labels: Activate this option to show labels of categories on the chart.

Resize points with Cos2: Activate this option so that the categories points sizes are
Link categories: Activate this option so that the categories belonging to a given variable
are linked. This option allows to quickly distinguish categories which belong to a variable.
Correlation circle of supplementary variables: Activate this option to display the correlation
circle of supplementary quantitative variables.
levels of a qualitative variable. Then select a vertical series of that that must have as
many rows as there are active observations. If headers were selected for the main table,
ensure that a label is also present for the variable in this selection.
subspace.


(communalities) are bigger than a value to enter are displayed on the plots.
Biplots sub-tab:
Biplots: Activate this option to display charts representing the observations and categories
simultaneously.
Symmetric plot: Activate this option to display on the same chart principal coordinates of
observations and principal coordinates of categories.
Asymmetric plots: Activate this option to display asymmetric charts. These charts use
principal coordinates and standardized coordinates. Two kinds of charts are available:
Asymmetric row plot: Activate this option to display on the same chart principal
coordinates of observations and standardized coordinates of categories.
Asymetric column plot: Activate this option to display on the same chart principal
coordinates of categories and standardized coordinates of observations.
Categories labels: Activate this option to have observation labels displayed on the
biplots.
Supplementary variables: If you have included supplementary variables in the PCA,

activate this option to display them on the biplot.
Filter variables: If you used a filter variable to display variables, the same filter variable
will be used to filter the display of variables on the biplot.
Options for observations:
Observations labels: Activate this option to have observation labels displayed on the
biplots.
Vectors: Activate this option to display the observations in the form of vectors.

Supplementary observations: If you have included supplementary observations in the
MCA, activate this option to display them on the biplot.
Filter variables: If you used a filter variable to display observations, the same filter
variable will be used to filter the display of observations on the biplot.
Dialog box (subset categories)

This dialog is displayed if you selected the Advanced analysis / Subset analysis option in the
MCA dialog box.
The list of categories that corresponds to the complete set of active qualitative variables is
displayed so that you can select the subset of categories on which the analysis will be focused.
All: Click this button to select all the categories.
None: Click this button to deselect all the categories.
Results
Descriptive statistics: This table is displayed only if the input data correspond to an
observations/variables table.
Disjunctive table: This table is displayed only if the input data correspond to an
observations/variables table. This table is an intermediary table that allows us to obtain the
contingency table that corresponds to the two selected variables.
Burt table: The Burt table is displayed only if the corresponding option is activated in the dialog
box. The 3D bar chart that follows is the graphical visualization of this table.
Eigenvalues and percentages of inertia: The eigenvalues, the percentages of inertia and the
corresponding scree plot are displayed. Only the non- trivial eigenvalues are displayed. If a
filtering has been requested in the dialog box, it is not applied to this table, but only to the
results that follow.
A series of results is displayed afterwards, first for the variables, then for the observations:
Principal coordinates: This table displays the principal coordinates which are used later to
represent projections of profile points in symmetric and asymmetric plots.
Standard coordinates: This table displays the standard coordinates which are used later to
represent projections of unit profile points in asymmetric plots.

Contributions: The contributions are helpful for interpreting the plots. The categories that have
influenced the most the calculation of the axes are those that have the higher contributions. A
shortcut consists of restricting the analysis to the categories which contribution on a given axis
is higher than the corresponding relative weight that is displayed in the first column.
Squared cosines: As with other data analysis methods, the analysis of the squared cosines
allows us to avoid misinterpretations of the plots that are due to projection effects. If, for a given
category, the cosines are low on the axes of interest, then any interpretation of the position of
the category is hazardous.
The plots (or maps) are the ultimate goal of Multiple Correspondence Analysis, because they
considerably facilitate our interpretation of the data.
Symmetric plots: These plots are exclusively based on the principal coordinates. Depending
on the choices made in the dialog box, a symmetric plot mixing observations and variables, a
plot showing only the categories of the variables, and a plot showing only the observations, are
displayed. The percentage of adjusted inertia that corresponds to each axis and the percentage
of adjusted inertia cumulated over the two axes are displayed on the map.
Asymmetric plots: These plots use the principal coordinates for the categories of the variables
and the standard coordinates for the observations and vice versa. The percentage of inertia that
corresponds to each axis and the percentage of inertia cumulated over the two axes are
displayed on the map. On an "asymmetric observations plot", on can study the way the
observations are positioned relatively to the category vectors. The later indicate directions: if two
observations are displayed in the same direction as a category vector, the observation that is
the furthest in the category vector direction is more likely to have selected that category of
response.
Example
A tutorial on how to use Multiple Correspondence Analysis is available on the Addinsoft website:
http://www.xlstat.com/demo-mca.htm
References
Greenacre M. J. (1984). Theory and Applications of Correspondence Analysis. Academic
Press, London.
Greenacre M. J. (1993). Correspondence Analysis in Practice. Academic Press, London.
Greenacre, M.J. (1993). Multivariate generalizations of correspondence analysis, in Multivariate

Analysis: Future Directions 2 (Eds: C.M. Cuadras and C.R. Rao), Elsevier Science, Amsterdam.
327-340.
Greenacre M. J., Pardo R. (2006). Multiple correspondence analysis of subsets of response

categories. In Multiple Correspondence Analysis and Related Methods (eds Michael Greenacre
& Jörg Blasius), Chapman & Hall/CRC, London, 197-217.

Lebart L., Morineau A. and Piron M. (1997). Statistique Exploratoire Multidimensionnelle,
2ème édition. Dunod, Paris. 108-145.

Multidimensional Scaling (MDS)
Use multidimensional scaling to represent in a two- or three-dimensional space the observations
for which only a proximity matrix (similarity or dissimilarity) is available.
In this section:
Description
Dialog box
Results
Example
References
Description
Multidimensional Scaling (MDS) is used to go from a proximity matrix (similarity or dissimilarity)
between a series of N objects to the coordinates of these same objects in a p-dimensional
space. p is generally fixed at 2 or 3 so that the objects may be visualized easily. For example,
with MDS, it is possible to reconstitute the position of towns on a map very precisely from the
distances in kilometers (the dissimilarity in this case being the Euclidean distance) between the
towns, modulo a rotation and a symmetry.
This example is only intended to demonstrate the performance of the method and to give a
general understanding of how it is used. Practically, MDS is often used in psychometry
(perception analysis) and marketing (distances between products obtained from consumer
classifications) but there are applications in a large number of domains.
If the starting matrix is a similarity matrix (a similarity is greater the nearer the objects are), it will
automatically be converted into a dissimilarity matrix for the calculations. The conversion is
carried out by subtracting the matrix data from the value of the diagonal.
There are two types of MDS depending on the nature of the dissimilarity observed:
Metric MDS: The dissimilarities are considered as continuous and giving exact
information to be reproduced as closely as possible. There are a number of sub-models:
Absolute MDS: the distances obtained in the representation space must correspond as
closely as possible to the distances observed in the starting dissimilarity matrix.
Ratio MDS: the distances obtained in the representation space must correspond as
closely as possible to the distances observed in the initial matrix using a near
proportionality factor (the factor being identical for all pairs of distances).
Interval MDS: the distances obtained in the representation space must correspond as
closely as possible to the distances observed in the initial matrix using a near linear
relationship (the linear relationship being identical for all pairs of distances).
Analyzing data 261 Multidimensional Scaling (MDS)

Polynomial MDS: the distances obtained in the representation space must correspond as
closely as possible to the distances observed in the initial matrix using a near 2-nd-degree
polynomial relationship (the polynomial relationship being identical for all pairs of
distances).
Note: the absolute model is used to compare distances in the representation space with those
in the initial space. The other models have the advantage of speeding up the calculations.
Non metric MDS: with this type of MDS, only the order of the dissimilarities counts. In
other words, the MDS algorithm does not have to try to reproduce the dissimilarities but
only their order. Two models are available:
Ordinal (1): the order of the distances in the representation space must correspond to the
order of the corresponding dissimilarities. If there are two dissimilarities of the same rank,
then there are no restrictions on the corresponding distances. In other words,
dissimilarities of the same rank need not necessarily give equal distances in the
representation space.
Ordinal (2): the order of the distances in the representation space must correspond to the
order of the corresponding dissimilarities. If dissimilarities exist in the same rank, the
corresponding distances must be equal.
The MDS algorithms aim to reduce the difference between the disparity matrix from the models
and the distance matrix obtained in the representation configuration. For the absolute model,
the disparity is equal to the dissimilarity of the starting matrix. The difference is measured
through the Stress, several variations of which have been proposed:
Raw Stress:
σr = ∑ wij (Dij − dij )2 ,

i<j
where Dij is the disparity between individuals i and j , dij is the Euclidean distance on the
representation for the same individuals, and wij is the weight of the ij proximity (value is 1 by
default).
Normalized Stress:
∑ wij (Dij − dij )2

i<j
σr = 2 ⋅
∑ wij Dij
i<j
Kruskal's stress 1:

i<j
σr = ⋅
∑ wij d2ij
i<j

Kruskal's stress 2:

i<j
σr = ⋅
∑ wij (dij − dˉ)2
i<j
where dˉ is the average of the distances on the representation.
Note: for a given number of dimensions, the weaker the stress, the better the quality of the
representation. Furthermore, the higher the number of dimensions, the weaker the stress.
To find out whether the result obtained is satisfactory and to determine which is the correct
number of dimensions needed to give a faithful representation of the data, the evolution in the
stress with the number of dimensions and the point from which the stress stabilizes may be
observed. The Shepard diagram is used to observe any ruptures in the ordination of the
distances. The more the chart looks linear, the better the representation. For the absolute
model, for an ideal representation, the points must be aligned along the first bisector.
There are several MDS algorithms including, in particular, ALSCAL (Takane et al. 1977) and
SMACOF (Scaling by MAjorizing a COnvex Function ) which minimizes the "Normalized Stress"
(de Leeuw, 1977). XLSTAT uses the SMACOF algorithm.
Dialog box
: Click these buttons to change the way XLSTAT handles the data. if the arrow points
down XLSTAT allows you to select data by columns or by range. If the arrow points to the right,
XLSTAT allows you to select data by rows or by range.
General tab:

The main data entry field is used to select one of two types of table:
Data: Select a similarity or dissimilarity matrix. If only the lower or upper triangle is available, the
table is accepted. If differences are detected between the lower and upper parts of the selected
matrix, XLSTAT warns you and offers to change the data (by calculating the average of the two
parts) to continue with the calculations.
Dissimilarities / Similarities: Choose the option that corresponds to the type of your data.
Model: Select the model to be used. See description for more details.
Dimensions: Enter the minimum and maximum number of dimensions for the object
representation space. The algorithm will be repeated for all dimensions between the two
boundaries.
Labels included: Activate this option if you have included row and column labels in the
selection.
Weights: Activate this option if the data are weighted. You then select a weighting matrix
(without selecting labels for rows and columns). If you do not activate this option, the weights
will be considered as 1. Weights must be greater than or equal to 0.
Options tab:
Stress: Choose the type of stress to be used for returning the results, given that the SMACOF
algorithm minimizes the raw stress. See the description section for more details.
Initial configuration:
Random: Activate this option to make XLSTAT generate the starting configuration
randomly. Then enter the number of times the algorithm is to be repeated from a new
randomly-generated configuration. The default value for the number of repetitions is 100.
Note: the configuration displayed in the results is the repetition for which the best result
was found.
User defined: Activate this option to select an initial configuration which the algorithm will
use as a basis for carrying out optimization.
Stop conditions:

Iterations: Enter the maximum number of iterations for the SMACOF algorithm. Stress
Optimization is stopped when the maximum number of iterations has been exceeded.
Default value: 100.
Convergence: Enter the minimum value of evolution in stress from one iteration to
another which, when reached, means that the algorithms is considered to have
Missing data tab:
Ignore missing data: If you activate this option, XLSTAT does not include proximities
corresponding to missing data when minimizing stress.
Outputs tab:
Distances: Activate this option to display the matrix of Euclidean distances corresponding to the
optimum configuration.
Disparities: Activate this option to display the disparity matrix corresponding to the optimum
configuration.
Residual distances: Activate this option to display the matrix of residual distances
corresponding to the difference between the distance matrix and the disparity matrix.
Charts tab:
Evolution of stress: Activate this option to display the stress evolution chart according to the
number of dimensions in the configuration.
Configuration: Activate this option to display the configuration representation chart. This chart
is only displayed for the configuration in a two-dimensional space if this has been calculated.
Labels: Activate this option if you want object labels to be displayed.
Shepard diagram: Activate this option to display the Shepard diagram.
Results
Stress after minimization: This table shows the final stress obtained, the number of iterations
required and the level of convergence reached for the dimensions considered. Where multiple
dimensions were considered, a chart is displayed showing the stress evolution as a function of
the number of dimensions.

The results which follow are displayed for each of the dimensions considered.
Configuration: This table shows the coordinates of objects in the representation space. If this is
a two-dimensional space, a graphic representation of the configuration is provided. If you have
XLSTAT-3DPlot, you can also display a three-dimensional configuration.
Distances measured in the representation space: This table shows the distances between
objects in the representation space.
Disparities computed using the model: This table shows the disparities calculated according
to the model chosen (absolute, interval, etc.).
Residual distances: These distances are the difference between the dissimilarities of the
starting matrix and the distances measured in the representation space.
Comparative table: This table is used to compare dissimilarities, disparities and distances and
the ranks of these three measurements for all paired combinations of objects.
Shepard diagram: This chart compares the disparities and the distances to the dissimilarities.
For a metric model, the representation is better the more the points are aligned with the first
bisector of the plan. For a non-metric model, the model is better the more regularly the line of
dissimilarities/disparities increases. Furthermore, the performance of the model can be
evaluated by observing if the (dissimilarity/distance) points are near to the
(dissimilarity/disparity) points.
Example
A tutorial on how to use Multidimensional Scaling is available on the Addinsoft website:
http://www.xlstat.com/demo-mds.htm
References
Borg I. and Groenen P. (1997). Modern Multidimensional Scaling. Theory and applications.
Springer Verlag, New York.
Cox T.C. and Cox M.A.A. (2001). Multidimensional Scaling (2nd edition). Chapman and Hall,
New York.
De Leeuw J. (1977). Applications of Convex Analysis to Multidimensional Scaling, in J.R. Barra

a.o. (eds.), Recent Developments in Statistics. North Holland Publishing Company, Amsterdam.
133-146.
Heiser W.J. (1991). A general majorization method for least squares multidimensional scaling of
pseudodistances that may be negative. Psychometrika, 56,1, 7-27.
Kruskal J.B., Wish M. (1978). Multidimensional Scaling. Sage Publications, London.
Takane Y., Young F. W. and DeLeeuw J. (1977). Nonmetric individual differences

multidimensional scaling: an alternating least squares method with optimal scaling features.
Psychometrika, 42, 7-67.

k-means clustering
Use k-means clustering to make up homogeneous groups of objects (classes) on the basis of
their description by a set of quantitative variables.
In this section:
Description
Dialog box
Results
Example
References
Description
k-means clustering was introduced by McQueen in 1967. Other similar algorithms had been
developed by Forgey (1965) (moving centers) and Friedman (1967).
k-means clustering has the following advantages in particular:
An object may be assigned to a class during one iteration then change class in the following
iteration, which is not possible with Agglomerative Hierarchical Clustering for which assignment
is irreversible.
By multiplying the starting points and the repetitions, several solutions may be explored.
The disadvantage of this method is that it does not give a consistent number of classes or
enable the proximity between classes or objects to be determined.
The k-means and AHC methods are therefore complementary.
Note: if you want to take qualitative variables into account in the clustering, you must first
perform a Multiple Correspondence Analysis (MCA) and consider the resulting coordinates of
the observations on the factorial axes as new variables.
Principle of the k-means method
k-means clustering is an iterative method which, wherever it starts from, converges on a

solution. The solution obtained is not necessarily the same for all starting points. For this
reason, the calculations are generally repeated several times in order to choose the optimal
solution for the selected criterion.
For the first iteration, a starting point is chosen which consists in associating the center of the k
classes with k objects (either taken at random or not). Afterwards the distance between the
objects and the k centers is calculated and the objects are assigned to the centers they are
Analyzing data 267 k-means clustering

nearest to. Then the centers are redefined from the objects assigned to the various classes. The
objects are then reassigned depending on their distances from the new centers. And so on until
convergence is reached.
Classification criteria
Several classification criteria may be used to reach a solution. XLSTAT offers four criteria to be
minimized.
Trace(W): The W trace, pooled SSCP matrix, is the most traditional criterion. Minimizing the W
trace for a given number of classes amounts to minimizing the total within-class variance, in
other words minimizing the heterogeneity of the groups. This criterion is sensitive to effects of
scale. In order to avoid giving more weight to certain variables and not to others, the data must
be normalized beforehand. Moreover, this criterion tends to produce classes of the same size.
Determinant(W): The determinant of W, pooled within covariance matrix, is a criterion

considerably less sensitive to effects of scale than the W trace criterion. Furthermore, group
sizes may be less homogeneous than with the trace criterion.
Wilks lambda: The results given by minimizing this criterion are identical to that given by the
determinant of W. Wilks’ lambda criterion corresponds to the division of determinant(W) by
determinant(T) where T is the total inertia matrix. Dividing by the determinant of T always gives
a criterion between 0 and 1.
Trace(W) / Median: If this criterion is chosen, the class centroid is not the mean point of the
class but the median point which corresponds to an object of the class. The use of this criterion
gives rise to longer calculations.
Dialog box
General tab:

activated.
Column weights: Activate this option if the columns are weighted. If you do not activate this
option, the weights will be considered as 1. Weights must be greater than or equal to 0. If a
column header has been selected, check that the "Column labels" option is activated.
Classification criterion: Choose the classification criterion (see the description section for
more details).
Number of classes: Enter the number of classes to be created by the algorithm. You can let
the number of classes vary between two bounds.
Options tab:
Cluster rows: Activate this option is you want to create classes of objects in rows described by
descriptors in columns.
Cluster columns: Activate this option is you want to create classes of objects in columns
described by descriptors in rows.
Center: Activate this option is you want to center the data before starting the calculations.

Reduce: Activate this option is you want to reduce the data before starting the calculations.
You can then select whether you want to apply the transformation on the rows or the columns.
Stop conditions:
Iterations: Enter the maximum number of iterations for the k-means algorithm. The
calculations are stopped when the maximum number of iterations has been exceeded.
Default value: 500.
Convergence: Enter the minimum value of evolution for the chosen criterion from one
iteration to another which, when reached, means that the algorithms is considered to have
Initial partition: Use these options to choose the way the first partition is chosen, in other
words, the way objects are assigned to classes in the first iteration of the clustering algorithm.
N classes by data order: Objects are assigned to classes depending on their order.
Random: Objects are assigned to classes randomly.
User defined: Objects are assigned to classes according to an indicator variable defined
by the user. The user must in this case select a column indicator variable containing as
many rows as objects (with an optional header), and the classes must be defined by the
values 1 to k where k is the number of classes. If the "Column labels" option is activated
you need to include a header in the selection.
Defined by centers: The user has to select the k centers corresponding to the k classes.
The number of rows must be equal to the number of classes and the number of columns
equal to the number of columns in the data table. If the "Column labels" option is activated
you need to include a header in the selection.
Missing data tab:
computations.

Outputs tab:
selected.
Results in the original space: Activate this option to display the results in the original space. If
the center/reduce options are activated and this option is not activated, the results are provided
in the standardized space.
Optimization summary: Activate this option to display the optimization summary.
Charts tab:
Evolution of the criterion: Activate this option for the evolution chart of the chosen criterion.
Profile plot: Activate this option to display a plot that allows to compare the means of the
different classes that have been create.
Results
Summary statistics: This table displays for the descriptors of the objects, the number of
observations, the number of missing values, the number of non-missing values, the mean and
the standard deviation.
Evolution of the within-class variance: If you have selected a number of classes between two
bounds, XLSTAT displays at first the evolution of the within-class variance, which reduces
mathematically when the number of classes increases. If the data is distributed homogeneously,
the decrease is linear. If there is actually a group structure, an elbow is observed for the relevant
number of classes.
Optimization summary: This table shows the evolution of the within-class variance. If several
repetitions have been requested, the results for each repetition are displayed.
Statistics for each iteration: Activate this option to see the evolution of miscellaneous
statistics calculated as the iterations for the repetition proceed, given the optimum result for the
chosen criterion. If the corresponding option is activated in the Charts tab, a chart showing the
evolution of the chosen criterion as the iterations proceed is displayed.
Note: if the values are standardized (option in the Options tab), the results for the optimization
summary and the statistics for each iteration are calculated in the standardized space. On the

other hand, the following results are displayed in the original space if the "Results in the original
space" option is activated.
Variance decomposition for the optimal classification: This table shows the within-class
variance, the between-class variance and the total variance.
class.
the objects.
order.
Profile plot: This chart allows to compare the means of the different classes that have been
create.
Example
A tutorial on k-means clustering is available on the Addinsoft website:
http://www.xlstat.com/demo-cluster2.htm
References
Singapore.
Everitt B.S., Landau S. and Leese M. (2001). Cluster analysis (4th edition). Arnold, London.
Forgey E. (1965). Cluster analysis of multivariate data: efficiency versus interpretability of

castigation. Biometrics, 21, 768.
Friedman H.P. and Rubin J. (1967). On some invariant criteria for grouping data. Journal of the
Methods. Springer-Verlag, New York, 483-568.

MacQueen J. (1967). Some method for castigation and analysis of multivariate observations.
In: Proceedings of the Fifth Berkeley Symposium on Mathematical Statistics and Probability,
281-297.
Saporta G. (1990). Probabilités, Analyse des Données et Statistique. Technip, Paris, 251-260.

Agglomerative Hierarchical Clustering (AHC)
Use Agglomerative Hierarchical Clustering to make up homogeneous groups of objects
(classes) on the basis of their description by a set of variables, or from a matrix describing the
similarity or dissimilarity between the objects.
In this section:
Description
Dialog box
Results
Example
References
Description
Agglomerative Hierarchical Clustering (AHC) is a classification method which has the following
advantages:
You work from the dissimilarities between the objects to be grouped together. A type of
dissimilarity can be chosen which is suited to the subject studied and the nature of the data.
One of the results is the dendrogram which shows the progressive grouping of the data. It is
then possible to gain an idea of a suitable number of classes into which the data can be
grouped.
The disadvantage of this method is that it is slow. Furthermore, the dendrogram can become
unreadable if too much data is used.
Principle of AHC
Agglomerative Hierarchical Clustering (AHC) is an iterative classification method whose

principle is simple.
The process starts by calculating the dissimilarity between the N objects. Then two objects
which when clustered together minimize a given agglomeration criterion, are clustered together
thus creating a class comprising these two objects. Then the dissimilarity between this class
and the N-2 other objects is calculated using the agglomeration criterion. The two objects or
classes of objects whose clustering together minimizes the agglomeration criterion are then
clustered together. This process continues until all the objects have been clustered.
These successive clustering operations produce a binary clustering tree (dendrogram), whose
root is the class that contains all the observations. This dendrogram represents a hierarchy of
partitions.
Analyzing data 274 Agglomerative Hierarchical Clustering (AHC)

It is then possible to choose a partition by truncating the tree at a given level, the level
depending upon either user-defined constraints (the user knows how many classes are to be
obtained) or more objective criteria.
Similarities and dissimilarities
The proximity between two objects is measured by measuring at what point they are similar
(similarity) or dissimilar (dissimilarity). If the user chooses a similarity, XLSTAT converts it into a
dissimilarity as the AHC algorithm uses dissimilarities. The conversion for each object pair
consists in taking the maximum similarity for all pairs and subtracting from this the similarity of
the pair in question.
The similarity coefficients proposed are as follows: Cooccurrence, Cosine, Covariance (n-1),
Covariance (n), Dice coefficient (also known as Sorensen coefficient), General similarity, Gower
coefficient, Inertia, Jaccard coefficient, Kendall correlation coefficient, Kulczinski coefficient,
Ochiai coefficient, Pearson’s correlation coefficient, Pearson Phi, Percent agreement, Rogers &
Tanimoto coefficient, Sokal & Michener coefficient (or simple matching coefficient), Sokal &
Sneath coefficient (1), Sokal & Sneath coefficient (2), Spearman correlation coefficient.
The dissimilarity coefficients proposed: Bhattacharya's distance, Bray and Curtis' distance,
Canberra's distance, Chebychev's distance, Chi² distance, Chi² metric, Chord distance, Squared
chord distance, Dice coefficient, Euclidian distance, Geodesic distance, Jaccard coefficient,
Kendall dissimilarity, Kulczinski coefficient, Mahalanobis distance, Manhattan distance, Ochiai
coefficient, Pearson's dissimilarity, Pearson's Phi, General dissimilarity, Rogers & Tanimoto
coefficient, Sokal & Michener's coefficient, Sokal & Sneath's coefficient (1), Sokal & Sneath
coefficient (2), Spearman dissimilarity.
Note: some of the abovementioned coefficients should be used with binary data only. If the data
are not binary, XLSTAT asks you if it should automatically transform the data into binary data.
Quality of a hierarchical clustering
The quality of an agglomerative hierarchical clustering might be assessed by the cophenetic

correlation coefficient. It uses a measure of distance called the cophenetic distance that can be
estimated on the dendrogram obtained from a classification.
The cophenetic distance separating 2 observations is given by the height of the dendrogram at
which the 2 observations belong to the same cluster.
Finally, the cophenetic correlation is estimated as the Pearson correlation coefficient between
the dissimilarity matrix used for the AHC and the cophenetic distance matrix. The closer to 1 the
correlation, the better the quality of the clustering.
Agglomeration methods
To calculate the dissimilarity between two groups of objects A and B, different strategies are
possible. XLSTAT offers the following methods:

Simple linkage: The dissimilarity between A and B is the dissimilarity between the object of A
and the object of B that are the most similar. Agglomeration using simple linkage tends to
contract the data space and to flatten the levels of each step in the dendrogram. As the
dissimilarity between two elements of A and of B is sufficient to link A and B, this criterion can
lead to very long clusters (chaining effect) while they are not homogeneous.
Complete linkage: The dissimilarity between A and B is the largest dissimilarity between an
object of A and an object of B. Agglomeration using complete linkage tends to dilate the data
space and to produce compact clusters.
Unweighted pair-group average linkage: The dissimilarity between A and B is the average of
the dissimilarities between the objects of A and the objects of B. Agglomeration using
Unweighted pair-group average linkage is a good compromise between the two preceding
criteria, and provides a fair representation of the data space properties.
Weighted pair-group average linkage: The average dissimilarity between the objects of A and
of B is calculated as the sum of the weighted dissimilarities, so that equal weights are assigned
to both groups. As with unweighted pair-group average linkage, this criterion provides a fairly
good representation of the data space properties.
Flexible linkage: This criterion uses a â parameter that varies between [-1,+1]; this can
generate a family of agglomeration criteria. For â = 0 the criterion is weighted pair-group
average linkage. When â is near to 1, chain- like clusters result, but as â decreases and
becomes negative, more and more dilatation is obtained.
Ward’s method: This method aggregates two groups so that within-group inertia increases as
little as possible to keep the clusters homogeneous. This criterion, proposed by Ward (1963),
can only be used in cases with quadratic distances, i.e. cases of Euclidian distance and Chi-
square distance.
Dialog box

General tab:
Observations/variables table/ Proximity matrix: Choose the option which corresponds to the
format of your data, then select the data. For the Observations/variables table option, select a
table comprising N objects described by P quantitative descriptors. For a Proximity matrix,
select a squared matrix giving the proximities between the objects. If column headers have
been selected, check that the "Variable labels" option has been activated. For a proximity
matrix, if column labels have been selected, row labels must also be selected.
Proximity type: similarities / dissimilarities: Choose the proximity type to be used. The data
type and proximity type determine the list of possible indexes for calculating the proximity
matrix.
Agglomeration method: Choose the agglomeration method (see the description section for
more details).
table, row labels, row weights, column weights) contains a label. Where the selection is a
proximity matrix, if this option is activated, the first column must also include the object labels.
Column weights: Activate this option if the columns are weighted. If you do not activate this
Options tab:
Cluster rows: Activate this option is you want to create classes of objects in rows described by
data in columns.
Cluster columns: Activate this option is you want to create classes of objects in columns
described by data in rows.

Center: Activate this option is you want to center the data before starting the calculations.
Reduce: Activate this option is you want to reduce the data before starting the calculations.
You can then select whether you want to apply the transformation on the rows or the columns.
Truncation: Activate this option is you want XLSTAT to automatically define the truncation
level, and therefore the number of classes to retain, or if you want to define the number of
classes to create (you can let the number of classes vary between two bounds), or the level at
which the dendrogram is to be truncated.
Within-class variances: Activate this option to select the within-class variances. This option is
only active if object weights have been selected (row weights if you are clustering rows, column
weights if you are clustering columns). This option can be used if you previously clustered the
objects using another method (k-means for example) and want to use a method such as
unweighted pair group averages to cluster the groups previously obtained. If a column header
Missing data tab:
computations.
Outputs tab:
selected.
Proximity matrix: Activate this option to display the proximity matrix.
Results in the original space: Activate this option to display the results in the original space. If
the center/reduce options are activated and this option is not activated, the results are provided
in the standardized space.
Node statistics: Activate this option to display the statistics for dendrogram nodes.

Cophenetic distance matrix: Activate this option to display the cophenetic distance matrix.
Cophenetic correlation: Activate this option to display the cophenetic correlation.
Charts tab:
Levels bar chart: Activate this option to display the diagram of levels showing the impact of
successive clusterings.
Dendrogram: Activate this option to display the dendrogram.
Horizontal: Choose this option to display a horizontal dendrogram.
Vertical: Choose this option to display a vertical dendrogram.
Full: Activate this option to display the full dendrogram (all objects are represented).
Truncated: Activate this option to display the truncated dendrogram (the dendrogram
starts at the level of the truncation).
Labels: Activate this option to display object labels (full dendrogram) or classes
(truncated dendrogram) on the dendrogram.
Colors: Activate this option to use colors to represent the different groups on the full
dendrogram.
Profile plot: Activate this option to display a plot that allows to compare the means of the
different classes that have been create.
Results
Node statistics: This table shows the data for the successive nodes in the dendrogram. The
first node has an index which is the number of objects increased by 1. Hence it is easy to see at
any time if an object or group of objects is clustered with another object or group of objects at
the level of a new node in the dendrogram.

Levels bar chart: This table displays the statistics for dendrogram nodes.
Evolution of the within-class variance: If you have selected a number of classes between two
bounds, XLSTAT displays the evolution of the within-class variance, which reduces
mathematically when the number of classes increases. If the data is distributed homogeneously,
the decrease is linear. If there is actually a group structure, an elbow is observed for the relevant
number of classes.
Dendrograms: The full dendrogram displays the progressive clustering of objects. If truncation
has been requested, a broken line marks the level the truncation has been carried out. The
truncated dendrogram shows the classes after truncation.
class.
the objects.
order.
Profile plot: This chart allows to compare the means of the different classes that have been
create.
Example
A tutorial on agglomerative hierarchical clustering is available on the Addinsoft website:
http://www.xlstat.com/demo-cluster.htm
References
Singapore.
Everitt B.S., Landau S. and Leese M. (2001). Cluster analysis (4th edition). Arnold, London.

Methods. Springer-Verlag, New York, 483-568.
Amsterdam, 403-406.
Saporta G. (1990). Probabilités, Analyse des Données et Statistique. Technip, Paris, 251-260.
Ward J.H. (1963). Hierarchical grouping to optimize an objective function. Journal of the

Gaussian Mixture Models
Use Gaussian mixture models to cluster multidimensional data according to their distribution.
In this section:
Description
Dialog box
Results
Example
References
Description
Gaussian mixture models allow data to be modeled by a set of Gaussian distributions. Usually,
these models are used in a clustering framework and each Gaussian is supposed to correspond
to one group.
Mixture model
Denote x = {x1 , … , xn }a vector of size n, where xi ∈ Rd . Assume that each Xi is

distributed according to a probability distribution function f :
K
f (xi ; θ) = ∑ πk h(xi ; νk )
k=1
where πk is the mixture proportion of the group k (∀k ∈ {1, … , K}, 0 < πk <
K
1 and ∑ πk = 1) and θ represents the model parameters. The function h(.; νk ) is a
k=1
probability distribution of dimension d with parameter νk . For instance, for Gaussian mixture
models, h is a Gaussian with mean μk and variance Σk , hence νk = (μk , Σk ).
Note that, for a mixture distribution, there is a label vector z = {z1 , ⋯ ⋅, zn }with zi =
{zi1 , … , ziK } defined such that:
zik = 1 if xi is assigned to the k-th component
{
zik = 0 otherwise
This vector is often unknown and in a clustering context or density estimation context, the
estimation of each zi is of main interest.
Analyzing data 282 Gaussian Mixture Models

Inference of the model parameters
Due to the latent variables z , the estimation of mixture models parameters cannot be done by
directly maximizing the log-likelihood. This optimization requires an iterative algorithm such as
the EM (Dempster et al. (1977)) or the SEM, its stochastic version proposed by McLachlan and
Peel (2000).
Once the parameters have been estimated, the vector of labels is directly obtained by assigning
each xi to the component providing the highest posterior probability τîk given by:
^ k h(xi ; ν^k )
π
τîk = τk (xi ; θ^) = K
^ j h(xi ; ν^j )
∑π
j=1
For a clustering purpose, Celeux and Govaert (1992) proposed the CEM (Classification EM)
algorithm which is a k-means-like algorithm and can be viewed as a classifying version of the
EM. Contrary to the EM and the SEM, the CEM algorithm maximizes the quantity
n K
∑ ∑ zik log[πk h(xi ; νk )] and not the log-likelihood.
i=1 k=1
Model selection (Choice of the number of components)
The number of components of a mixture model is often unknown. Several criteria such as the
BIC (Bayesian Information Criterion, Schwarz (1978)) or the AIC (Akaike Information Criterion,
Akaike (1974)) can be used. These criteria are based on a penalization of the observed log-
likelihood L(x; θ). In 2000, Biernacki et al. proposed the ICL (Integrated Completed Likelihood)
which aims at penalizing the complete log-likelihood L(x, z; θ). This criterion can be written as
n K
a BIC criterion penalized by an entropy term: − ∑i=1 ∑k=1 zîk log τik .
For assessing the number of components of a mixture, we can try to find the model which
provides well-separated clusters. Proposed by Celeux and Soromengo (1996), the NEC is an
entropy-based criterion which measures the overlap of the mixture components:
Ek
N ECk =
Lk − L1
where Ek is the entropy of the mixture model with k components and Lk its complete log-
likelihood (calculated on the ML estimates). This criterion can also be used as a diagnostic tool.
For a given number of components K ′ , if N ECK ′ ≤ 1, we can say that there is a clustering
structure in the data.
Parsimonious Gaussian mixture models
In the Gaussian mixture models context, the number of parameters can be large and the
quantity of data available can be insufficient to achieve a reliable estimate. A classical approach

is to reduce the number of parameters by applying constraints on the variance-covariance
matrix Σk . Bandfield and Raftery (1993) and Celeux and Govaert (1995) proposed to express
the matrix Σk in term of its eigenvalue decomposition:
Σk = λk Dk Ak Dk′
1
where λk = ∣Σk ∣ d is the volume of the k-th component, Dk the matrix of eigenvectors and Ak
is a diagonal matrix composed by the eigenvalues of Σk organized in decreasing order such that
∣Ak ∣ = 1. These two matrices Dk andAk allow to control the orientation and the shape of the
component.
Model Number of parameters Model name

λk Dk Ak Dk′ a + Kb VVV
λDAD′ a+b EEE
λDk ADk′ a + Kb − (K − 1)d EEV
λDk Ak Dk′ a + Kb − (K − 1) EVV
λk Dk ADk′ a + Kb − (K − 1)(d − 1) VEV

λB a+d EEI
λBk a + Kd − K + 1 EVI
λk Bk a + Kd VVI
λk B a+d+K −1 VEI
λI a+1 EII
λk I a+d VII
λk DAD a+b+K −1 VEE
λDAk D a + Kb + (K − 1)(d − 1) EVE

λk DAk D a + Kb + (K − 1)d VVE
Thus, in the multidimensional case, we have 28 different models. In the one- dimensional case,
only two models are available (equal variance or not).
Dialog box

observations.
General tab:
Observations/variables table: Select a table with N objects described by P descriptors. If

column headers have been selected, check that the "Column labels" option has been activated.
Partial labeling: Activate this option if you want to specify that some rows are constraint to be
included in a specific group. If you do not activate this option, all the rows’ groups will be
considered as unknown. Group identifier must be integers greater than or equal to 1. If a column
header has been selected, check that the "Column labels" option is activated.
Data dimension: you can either do a one-dimensional (column by column) or multidimensional

analysis.
row weights) contains a label.

by XLSTAT (Obs1, Obs2…).
Options(1) tab:
Inference algorithm: Select the algorithm used for inference.
EM: Usual EM algorithm proposed by Dempster et al. (1977) is used. It is the default
algorithm.
SEM: stochastic version of the EM algorithm. A stochastic step is added to the classical
EM which aims at assigning the observations to the clusters. This algorithm can lead to
empty classes and disturb parameters estimation.
CEM: classifying version of the EM algorithm. A classification step is added to the

classical EM which aims at assigning the observations to the clusters. This algorithm can
lead to empty classes and disturb parameters estimation.
Selection criteria: Select the criterion to estimate the number of clusters.
BIC: Bayesian Information Criterion. It is the default criterion.
AIC: Akaike Information Criterion. This criterion tends to overestimate the number of
components.
ICL: Integrated Complete Likelihood. This criterion searches for the model which provides
well-separated clusters. Usually, the selected number of clusters is larger than the number
obtained with BIC.
NEC: Normalized Entropy Criterion. The NEC is not defined for a model with one
component. This criterion is devoted to choose the number of components rather than the
model parameterization.
Initialization: Select the method to initialize the inference algorithm.
Random: Objects are assigned to classes randomly. The algorithm is run as many times
as specified by the number of repetitions until convergence of the algorithm. The best
estimate from all repetitions is retained.
Short runs: Objects are assigned to classes randomly. The algorithm is run as many times
as specified by the number of repetitions with a maximum number of 5 iterations. The best
estimate from all repetitions is retained to initialize the algorithm.
K-means: Objects are assigned to classes according to the inference algorithm.
Number of repetitions: Specify the number of repetitions when the initialization method is
Random or Short EM.

Stop conditions:
Iterations: Enter the maximum number of iterations for the inference algorithm. The
calculations are stopped when the maximum number if iterations has been exceeded.
Default value: 500.
iteration to another which, when reached, means that the algorithms is considered to have
converged. Default value: 0.00001
Options(2) tab:
Mixture models: Select the model(s) you want to use to fit the data. The best model will be
retained according the selection criteria.
Number of classes: Select the minimum and maximum number of classes. The minimum
number must be greater than or equal to 1 and the maximum number lower than the number of
data points. Default values are 2 and 5.
Equal proportions: Activate this option to constrain mixture proportion to be equal.
Missing data tab:
Outputs tab:
selected.
Evolution of the criterion: Activate this option to display the evolution table of the chosen
criterion.
Posterior probabilities: Activate this option to display the table of posterior probabilities for
each cluster.
MAP classification: Activate this option to display the table of classification obtained by the
MAP rule.
Charts tab:
Evolution of the criterion: Activate this option to display the evolution chart of the chosen
criterion.

MAP classification: Activate this option to display the classification chart obtained by the MAP
rule.
Fitted model: Activate this option to display the selected model.
Cumulative density function: Activate this option to display both the empirical and the
estimated cdf. This chart is a diagnostic tool. If the two cdf are similar, the mixture model fits
well. This chart is only available in the one-dimensional case.
Q-Q plot: Activate this option to display the Q-Q plot of the empirical distribution against the
estimated mixture distribution. This chart is a diagnostic tool. If the points in the Q-Q plot
approximately lie on the line y = x, we can consider the two distributions as similar.
Results
Evolution of the criterion: This table displays the values of the criterion for each selected
model. A chart is also displayed.
Estimated parameters: Three tables are displayed: the mixture proportions, the means and the
variance for each cluster.
Characteristics of the selected model: This table shows some characteristics of the selected
model (BIC, AIC, ICL, Log-likelihood, NEC, Entropy, DDL).
Posterior probabilities: The posterior probabilities of belonging to each cluster are displayed in
this table.
MAP classification: This table displays the assignment of each observation according to the
MAP rule. A chart also displays this classification.
Adjusted model: The fitted model is represented on this chart.
Cumulative density function: This chart allows to compare the empirical cdf to the estimated
one.
Q-Q plot: This chart allows to display the quantiles of the empirical distribution against those of
the estimated mixture distribution.
Example
A tutorial on Gaussian mixture models is available on the Addinsoft website:
http://www.xlstat.com/demo-gmm.htm
References

Akaike H. (1974). A new look at the statistical model identification. IEEE Transactions on
Automatic Control, 19 (6): 716-723.
Banfield J. D. and Raftery A. E. (1993), Model-based gaussian and non- gaussian clustering.
Biometrics, 49, 803-821.
Biernacki C., Celeux G. and Govaert G. (2000). Assessing a mixture model for clustering with
the integrated completed likelihood. IEEE Transactions on Pattern Analysis and Machine
Intelligence, 22, 719-725.
Celeux G. and Govaert G. (1992). A classification EM algorithm for clustering and two
stochastic versions. Computational Statistics & Data Analysis, 14, 315-332.
Celeux G. and Govaert G. (1995). Parsimonious Gaussian models in cluster analysis. Pattern
Recognition, 28, 781-793.
Celeux G. and Soromenho G. (1996). An entropy criterion for assessing the number of
clusters in a mixture model. Journal of Classification, 13, 195-212.
Dempster A. P., Laird N. M. and Rubin D. B. (1977). Maximum likelihood from incomplete data
via the EM algorithm (with discussion). JRSS, 39, 1-38.
McLachlan, G. J. and Peel D. (2000). Finite Mixture Models. New York, Wiley.
Schwarz G. (1978). Estimating the dimension of a model. The Annals of Statistics, 6(2), 461-
464.

Univariate clustering
Use univariate clustering to optimally cluster objects in k homogeneous classes, based on their
description using a single quantitative variable.
In this section:
Description
Dialog box
Results
Example
References
Description
Univariate clustering clusters N one-dimensional observations (described by a single
quantitative variable) into k homogeneous classes.
Homogeneity is measured here using the sum of the within-class variances. To maximize the
homogeneity of the classes, we therefore try to minimize the sum of the within-class variances.
The algorithm used here is very fast and uses the method put forward by W.D. Fisher (1958).
This method can be seen as a process of turning a quantitative variable into a discrete ordinal
variable. There are many applications, e.g. in mapping applications for creating color scales or
in marketing for creating homogeneous segments.
Dialog box
Analyzing data 290 Univariate clustering

General tab:

activated.
Number of classes: Enter the number of classes to be created by the algorithm.
Missing data tab:
computations.
Outputs tab:

selected.
Results
Summary statistics: This table displays for the descriptor of the objects, the number of
class.
the objects.
order.
Example
References
Fisher W.D. (1958). On grouping for maximum homogeneity. Journal of the American Statistical

Modeling data
Distribution fitting
Use this tool to fit a distribution to a sample of continuous or discrete quantitative data.
In this section:
Description
Dialog box
Results
Example
References
Description
Fitting a distribution to a data sample consists, once the type of distribution has been chosen, in
estimating the parameters of the distribution so that the sample is the most likely possible (as
regards the maximum likelihood) or that at least certain statistics of the sample (mean, variance
for example) correspond as closely as possible to those of the distribution.
Distributions
sin(πα) x α−1
f (x) = ( ) , with 0 < α < 1, x ∈ [0, 1]
πx 1−x
P (X = 1) = p, P (X = 0) = 1 − p, with p ∈ [0, 1]

Modeling data 293 Distribution fitting

1 − p.
1
f (x) = xα−1 (1 − x)β−1
B(α, β)
Γ(α)Γ(β)
with α, β > 0, x ∈ [0, 1] and B(α, β) =
Γ(α + β)
1 (x − c)α−1 (d − x)β−1
f (x) = , with α, β > 0, x ∈ [c, d]
B(α, β) (d − c)α+β−1
Γ(α)Γ(β)
Γ(α + β)
We have E(X) = (α+β) and V (X) = (α+β+1)(α+β)2
x−1
P (X = x) = Cn+x−1 pn (1 − p)x , with n, x ∈ N, n > 0, p ∈ [0, 1]
n successes.

Γ(k + x)px
P (X = x) = , with x ∈ N , k, p > 0
x!Γ(k)(1 + p)k+x
(1/2)df /2 df2 −1 −x/2

f (x) = x e , with x > 0, df ∈ N∗
Γ(df /2)
e−λx
f (x) = λk xk−1 , with x ≥ 0 and k, λ > 0 and k ∈ N
(k − 1)!

used).


df1 /2 df2 /2
1
( ) (1 − )
df1 x df1 x
f (x) =
2df22 (df1 +df2 −2)

testing hypotheses.
1 x−μ x−μ
f (x) = exp (− − exp (− )) , with β > 0
β β β
constant.
k−1 e−(x−μ)/β
β k Γ(k)
−1/k−1 −1/k
exp (− (1 + k ),
1 x−μ x−μ
f (x) = (1 + k ) ) with β > 0
β β β
2

(0.5772156649…).
(x−μ)
e− s
f (x) = (x−μ)
, with s > 0
s(1 + e− s )
1 (ln(x)−μ)2
f (x) = e− 2σ 2 , with x, σ > 0
xσ 2π
1 (ln(x)−μ)2
f (x) = e− 2σ 2 , with x, σ > 0
xσ 2π
We have:
And:
E(X) = m and V (X) = s2

1 − (x−μ)
2
f (x) = e 2σ 2 , with σ > 0
σ 2π
1 − x2
f (x) = e 2
2π

aba
xa+1
ab2
1 (x − a)α−1 (b − x)β−1
f (x) = , with α, β > 0, x ∈ [a, b]
B(α, β) (b − a)α+β−1
Γ(α)Γ(β)
Γ(α + β)
4m + b − 5a
α=
b−a
5b − a − 4m
β=
b−a
We have E(X) = (b − a)α/(α + β) with V (X) = (b −

a)2 αβ/ ((α + β + 1) (α + β)2 ))
exp(−λ)λx
x!

phenomena.
Γ((df + 1/2))
f (x) = (1 + x2 /df )−(df +1)/2 , with df > 0
πdf Γ(df /2)
⎧
⎪
⎪
2(x−a)
⎪
f (x) = (d+c−b−a)(b−a) , x ∈ [a, b]
⎪
⎪
⎪
⎪
⎪
⎪
⎪
⎪
⎪
2
f (x) = , x ∈ [b, c]
⎪
⎪
⎪
(d+c−b−a)
⎪
⎨ 2(d−x)
⎪
f (x) = (d+c−b−a)(d−c) , x ∈ [c, d]
⎪
⎪
⎪
⎪
⎪
⎪
⎪
⎪
⎪
f (x) = 0, x < a, x>d
⎪
⎪
⎪
⎪
⎪
⎪

We have E(X) = 3(d+c−b−a)
with V (X) = 6(d+c−b−a)
− E 2 (X)

⎧
⎪
⎪
2(x−a)
⎪
f (x) = (b−a)(m−a) , x ∈ [a, m]
⎪
⎪
⎪
⎪
⎪
⎪
⎪
⎪ f (x) = 2(b−x)
(b−a)(b−m) , x ∈ [m, b]
⎨
⎪
⎪
⎪
⎪
⎪
f (x) = 0, x < a, x<b
⎪
⎪
⎪
⎪
⎪
⎪
⎩ with a < m < b

1
b−a
1
P [X = x] = , with (a, b, x) ∈ N3 , x ∈ [a, b]
b−a+1

β x β−1 −( xγ )β
f (x) = ( ) e , with x > 0, with β, γ > 0
γ γ
β−1
β x−μ
x−μ
γ
γ γ
Fitting method
XLSTAT offers two fitting methods:
Moments: this simple method uses the definition of the moments of the distribution as a function
of the parameters to determine the latter. For most distributions, the use of the mean and the
variance is sufficient. However, for certain distributions, the mean suffices (for example
Poisson's distribution), or, if not, the asymmetry coefficient is also required (Weibull's distribution
for example).
Likelihood: the parameters of the distribution are estimated by maximizing the likelihood of the
sample. This method, more complex, has the advantage of rigor for all distributions and enables
approximate standard deviations to be obtained for parameter estimators. The maximum
likelihood method is offered for the negative binomial type II distribution, Fisher-Tippett
distribution, GEV distribution and Weibull distribution.
For certain distributions, the moments method gives exactly the same result as the maximum
likelihood method. This is particularly true for the normal distribution.
Goodness of fit test
Once the parameters for the chosen distribution have been estimated, the hypothesis must be
tested in order to check if the phenomenon observed through the sample follows the distribution
in question. XLSTAT offers two goodness of fit tests.

The Chi-square goodness of fit test is a parametric test using the distance (as regards Chi-
square) between the histogram of the theoretical distribution (determined by the estimated
parameters) and the histogram of the empirical distribution of the sample. The histograms are
calculated using k intervals chosen by the user. It is shown that the statistic calculated
asymptotically follows a Chi-square distribution with (n-k) degrees of freedom where n is the
number of observations in the sample. This test is better for discrete distributions and it is
recommended to check that the expected frequency in each class is not less than 5.
It may happen that the Chi-square test leads to a bad fit of the distribution to the data with one
class contributing much more to the Chi-square than the others. In this case, the union of the
class in question with a neighbouring class is used to check if the conclusion is due only to the
class in question or it is actually the fit which is incorrect.
The Kolmogorov-Smirnov goodness of fit test is an exact non-parametric test based on the
maximum distance between a theoretical distribution function (entirely determined by the known
values of its parameters) and the empirical distribution function of the sample. This test can only
be used for continuous distributions.
When a parameter estimation precedes the goodness of fit test, the Kolmogorov- Smirnov test
is not correct as the parameters are estimated by trying to bring the theoretical distribution as
close as possible to the data. If it confirms the goodness of fit hypothesis, the Kolmogorov-
Smirnov test risks being optimistic.
For the case where the distribution used is the normal distribution, Lilliefors and Stephens (see
normality tests) have put forward a modified Kolmogorov-Smirnov test which allows parameters
to be estimated on the sample tested.
Dialog box
observations.

General tab:
Data: Select the data for which the goodness of fit test is to be calculated. You can select
several columns (columns mode) or rows (rows mode) if you want to carry out tests on several
samples at the same time.
Distribution: Choose the probability distribution to be used for the fit and/or goodness of fit
tests. See the description section for more information on the distributions offered. The
automatic option allows to let XLSTAT identify the best fitting distribution (determined using a
Kolmogorov-Smirnov test).
Parameters: You can choose to enter the parameters for the distribution, or estimate them. If
you choose to enter the parameters, you must enter their values.
Sample labels: Activate this option if the sample labels are on the first row (columns mode) or
in the first column (rows mode) of the selected data.
Standardize weights: If you activate this option, the weights are standardized such that
Options tab:
Tests: Choose the type of goodness of fit test (see the description section for more details on
the tests).
Kolmogorov-Smirnov: Activate this option to perform a Kolmogorov-Smirnov test.
Chi-square: Activate this option to perform the Chi-square test.
Estimation method: Choose the method of estimating the parameters of the chosen
distribution (see the description section for more details on estimation methods).
Moments: Activate this option to use the moments method.

Maximum likelihood: Activate this option to use the maximum likelihood method. You
can then change the convergence limit value which when reached means the algorithm is
Intervals: For a Chi-square distribution, or if you want to compare the density of the distribution
chosen with the sample histogram, you must choose one of the following options:
Minimum: Activate this option to enter the value of the lower value of the first interval.
This value must be lower or equal to the minimum of the series.
Missing data tab:
computations.
Outputs tab:
Descriptive statistics: Activate this option to display descriptive statistics for the samples
selected.
Charts tab:

Cumulative histograms: Activate this option to display the cumulative histograms of the
samples. For a theoretical distribution, the distribution function is displayed.

Results
deviation.
Estimated parameters: This table displays the parameters for the distribution.
Statistics estimated on the input data and computed using the estimated parameters of
the distribution: This table is used to compare the mean, variance, skewness and kurtosis
coefficients calculated from the sample with those calculated from the values of the distribution
parameters.
Kolmogorov-Smirnov test: The results of the Kolmogorov-Smirnov test are displayed if the
corresponding option has been activated.
Chi-square test: The results of the Chi-square test are displayed if the corresponding option
has been activated.
Comparison between the observed and theoretical frequencies: This table is displayed if a
Chi-square test was requested.
Descriptive statistics for the intervals: This table is displayed if histograms have been
requested. It shows for each interval the frequencies, the relative frequencies, together with the
densities for the samples and distribution chosen.
Example
A tutorial on distribution fitting is available on the Addinsoft website:
http://www.xlstat.com/demo-dfit.htm
References
Abramowitz M. & I.A. Stegun (1972). Handbook of Mathematical Functions. Dover
Publications, New York, 925-964.
El-Shaarawi A.H., Esterby E.S. and Dutka B.J (1981). Bacterial density in water determined
by Poisson or negative binomial distributions. Applied an Environmental Microbiology, 41 (1).
107-116.

Fisher R.A. and Tippett H.C. (1928). Limiting forms of the frequency distribution of the smallest
and largest member of a sample. Proc. Cambridge Phil. Soc., 24, 180-190.
Gumbel E.J. (1941). Probability interpretation of the observed return periods of floods. Trans.
Am. Geophys. Union, 21, 836-850.
Jenkinson A. F. (1955). The frequency distribution of the annual maximum (or minimum) of
meteorological elements. Q. J. R. Meteorol. Soc., 81, 158-171.
Perreault L. and Bobée B. (1992). Loi généralisée des valeurs extrêmes. Propriétés
mathématiques et statistiques. Estimation des paramètres et des quantiles XT de période de
retour T. INRS-Eau, rapport de recherche no 350, Québec.
Weibull W. (1939). A statistical theory of the strength of material. Proc. Roy. Swedish Inst. Eng.
Res. 151 (1), 1-45.

Linear regression
Use this tool to create a simple or multiple linear regression model for explanation or prediction.
In this section:
Description
Dialog box
Results
Example
References
Description
Linear regression is, without doubt, the most frequently used statistical method. A distinction is
usually made between simple regression (with only one explanatory variable) and multiple
regression (several explanatory variables) although the overall concept and calculation methods
are identical.
The principle of linear regression is to model a quantitative dependent variable Y through a

linear combination of p quantitative explanatory variables, X1 , X2 , … , Xp . The determinist
model (not taking randomness into account) is written for observation i as follows:
p
yi = β0 + ∑ βj xij + ϵi (1)
j=1
where yi is the value observed for the dependent variable for observation i, xij is the value
taken by variable j for observation i, and ϵi is the error of the model.
The statistical framework and the hypotheses which accompany it are not required for fitting this
model. Furthermore, minimization using the least squares method (the sum of squared errors ϵ2i
is minimized) provides an exact analytical solution. However, to be able to test the hypotheses
and measure the explanatory power of the various explanatory variables in the model, a
statistical framework is necessary.
The linear regression hypotheses are as follows: the errors ei follow the same normal
distribution N (0, s) and are independent.
The way the model with this hypothesis added is written means that, within the framework of the
linear regression model, the yi are the expression of random variables with mean μi and
variance s2 , where
Modeling data 307 Linear regression

p
μi = β0 + ∑ βj xij (2)
j=1
The estimator of the β coefficients and of their covariance matrix are given by:
β^ = (X t X)−1 X t Y (3)
and
V ar(β^) = σ
^ 2 (X t X)−1 (4)
To use the various tests proposed in the results of linear regression, it is recommended to check
retrospectively that the underlying hypotheses have been correctly verified. The normality of the
residuals can be checked by analyzing certain charts or by using a normality test. The
independence of the residuals can be checked by analyzing certain charts or by using the
Durbin-Watson test.
Correcting for Heteroscedasticity and Autocorrelation
Homoscedasticity and independence of the error terms are key hypotheses in linear regression
where it is assumed that the variances of the error terms are independent and identically
distributed and normally distributed. When these assumptions are not possible to keep (a
Durbin Watson or White test available in the Time series menu allow to challenge these
hypotheses), a consequence is that the covariance matrix cannot be estimated using the
classical formula, and the variance of the parameters corresponding to the β coefficients of the
linear model can be wrong and their confidence intervals as well. A predictor could be said to be
significant (or respectively not) while being the opposite. XLSTAT allows to correct for
heteroscedasticity and autocorrelation that can arise, especially in time series.
For what concerns heteroscedasticity, White (1980) followed by several authors has explored
ways to correct the classical estimate of the covariances using residuals and centered
leverages obtained from the linear regression computations (see MacKinnon (1985) and Zeileis
(2006) for a review). When the assumptions of classical linear regression do not hold, while the
estimators of the coefficients are unchanged, the simplified writing of the covariance matrix (see
equation 4) of the beta parameters is not possible, and we must revert to the general
expression:
V ar(β) = (X t X)−1 (X t ΩX)(X t X)−1 (5)

Equation (5) is equivalent to equation (4) when
^2I
Ω=σ (6)
Let ωi be the diagonal elements of W. The different heteroscedasticity coefficients (HC)

estimators for the ωi are given by:

HC0 : ωi = eî 2
n
HC1 : ωi = eî 2
(n − p − 1)
eî 2
HC2 : ωi =
(1 − hi )
eî 2
HC3 : ωi =
(1 − hi )2
eî 2 ˉ)
HC4 : ωi = with δi = min(4, hi /h
(1 − hi )δi
where eî is the residual, and hi the centered leverage for the ith observation, and p is the
number of predictors.
Newey and West (1987) suggested an estimator that corrects for both autocorrelation and
heteroscedasticity, but the lag must be known from the user (the descriptive analysis of time
series or ARIMA functions of XLSTAT can be used for that). For lag=0 (no autocorrelation) we
have:
n
n
t
X ΩX = X Ω0 X = t
∑ e^2i xti xi
n − p − 1 i=1
where xi is the vector of the predictors (including a 1 for the intercept of the model) for the ith
observation. For lag m (m>0), we have:
m n
n
t
X ΩX = X Ω0 X +t
∑ ∑ e^2t e^2t−l (xtt xt−l − xtt−l xt )
n−p−1
l=1 t=l+1
The unadjusted version of the Newey West estimator corresponds to the same without the
n/(n − p − 1) adjustment factor.
Dialog box

observations.
files .
General tab:
Quantitative: Select the response variable(s) you want to model. If several variables have been
Quantitative: Select the quantitative explanatory variables in the Excel worksheet. The data
selected must be of type numeric. If the variable header has been selected, check that the
Qualitative: Activate this option to perform an ANCOVA analysis. Then select the qualitative
explanatory variables (the factors) in the Excel worksheet. The selected data may be of any
type, but numerical data will automatically be considered as nominal. If the variable header has

0. A weight of 2 is equivalent to repeating the same observation twice. If a column header has
Regression weights: Activate this option if you want to carry out a weighted least squares
regression. If you do not activate this option, the weights will be considered as 1. Weights must
be greater than or equal to 0. If a column header has been selected, check that the "Variable
labels" option is activated.
Options tab:
Model sub-tab:
Fixed constant: Activate this option to fix the constant of the regression model to a value you
then enter (0 by default).
Tolerance: Activate this option to prevent the model from taking into account variables which
might be either constant or too correlated with other variables already used in the model (0.0001
by default).
Interactions / Level: Activate this option to include interactions in the model then enter the
maximum interaction level (value between 1 and 4).
Confidence interval (%): Enter the percentage range of the confidence interval to use for the
various tests and for calculating the confidence intervals around the parameters and predictions.
Default value: 95.
provided:
Best model: This method lets you choose the best model from amongst all the models
which can handle a number of variables varying from "Min variables" to "Max Variables".
Furthermore, the user can choose several "criteria" to determine the best model.
Criterion: Choose the criterion from the following list: Adjusted R², Mean Square of Errors
(MSE), Mallows Cp, Akaike's AIC, Schwarz's SBC, Amemiya's PC.
Min variables: Enter the minimum number of variables to be used in the model.
Max variables: Enter the maximum number of variables to be used in the model.
Note: this method can cause long calculation times as the total number of models explored is
the sum of the Cn,ks for k varying from "Min variables" to "Max variables", where Cn,k is equal

to n!/[(n-k)!k !]. It is there recommended that the value of "Max variables" be increased
gradually.
Stepwise: The selection process starts by adding the variable with the largest contribution
to the model (the criterion used is Student's t statistic). If a second variable is such that
the probability associated with its t is less than the "Probability for entry ", it is added to
the model. The same for a third variable. After the third variable is added, the impact of
removing each variable present in the model after it has been added is evaluated (still
using the t statistic). If the probability is greater than the "Probability of removal ", the
variable is removed. The procedure continues until no more variables can be added or
removed.
Covariances sub-tab:
In this tab you can choose to apply corrections for heteroscedasticity and autocorrelation. See
the description section for computational details.
Validation tab:
model.
then be specified.
Prediction tab:

variable labels must not be selected: the first row of the selections listed below must correspond
to data.
Observations labels: activate this option if observations labels are available. Then select the
Missing data tab:
Check for each Y separately: Choose this option to remove the observations with
missing data in the select Y (dependent) variables, only if the Y of interest has a missing
data.
Across all Ys: Choose this option to remove the observations with missing data in the Y
(dependent) variables, even if the Y of interest has no missing data.
Ignore missing data: Activate this option to ignore missing data. If missing data are present for
the dependent variable, the corresponding observations will be predicted. If missing data are
present for the explanatory variable(s) the corresponding observations are used to estimate the
correlation matrix with pairwise deletion.
computations.
Outputs tab:
General sub-tab:
selected.
Correlations: Activate this option to display the correlation matrix for quantitative variables
(dependent or explanatory).

Multicolinearity statistics: Activate this option to display the multicolinearity statistics for all
explanatory variables.
Analysis of variance: Activate this option to display the analysis of variance table.
Type I/III SS: Activate this option to display the Type I and Type III sum of squares tables.
Press: Activate this option to calculate and display the Press (predicted residual error sum of
squares) statistic.
Interpretation: Activate this option to display an automatic interpretation of the regression

results.
Standardized coefficients: Activate this option if you want the standardized coefficients (beta
coefficients) for the model to be displayed.
Predictions and residuals: Activate this option to display the predictions and residuals for all
the observations.
the observations.
X: Activate this option to display the explanatory variables in the predictions and residuals
table.
Confidence intervals: Activate this option to calculate and display the confidence
intervals on the predictions.
Adjusted predictions: Activate this option to calculate and display adjusted predictions in
the table of predictions and residuals.
Influence diagnostics: Activate this option to calculate and display the table that
contains the influence statistics for each observation.
Contrasts sub-tab:
Compute contrasts: Activate this option to compute contrasts, then select the contrasts table,
where there must be one column per contrast and one row for each coefficient of the model.
Test assumptions sub-tab:
This option is only available if the Prediction and residuals have been requested in the
Outputs/General tab.
Normality test: Activate this option to run a Shapiro-Wilk test on the residuals.
Charts tab:
Regression charts: Activate this option to display regression chart:
Standardized coefficients: Activate this option to display the standardized parameters

for the model with their confidence interval on a chart.

Predictions and residuals: Activate this option to display the following charts.
(1) Line of regression: This chart is only displayed if there is only one explanatory variable and
this variable is quantitative.
(2) Explanatory variable versus standardized residuals: This chart is only displayed if there is
only one explanatory variable and this variable is quantitative.
(3) Dependent variable versus standardized residuals.
(4) Predictions for the dependent variable versus the dependent variable.
(5) Bar chart of standardized residuals.
Confidence intervals: Activate this option to have confidence intervals displayed on charts (1)
and (4).
Results
Summary statistics: The tables of descriptive statistics show the simple statistics for all the
variables selected. The number of observations, missing values, the number of non-missing
values, the mean and the standard deviation (unbiased) are displayed for the dependent
variables (in blue) and the quantitative explanatory variables. For qualitative explanatory
variables the names of the various categories are displayed together with their respective
frequencies.
Correlation matrix: This table is displayed to give you a view of the correlations between the
various variables selected.
Summary of the variables selection: Where a selection method has been chosen, XLSTAT
displays the selection summary. For a stepwise selection, the statistics corresponding to the
different steps are displayed. Where the best model for a number of variables varying from p to
q has been selected, the best model for each number or variables is displayed with the
corresponding statistics and the best model for the criterion chosen is displayed in bold.
Goodness of fit statistics: The statistics relating to the fitting of the regression model are
shown in this table:
Observations: The number of observations used in the calculations. In the formulas

shown below, n is the number of observations.
Sum of weights: The sum of the weights of the observations used in the calculations. In
the formulas shown below, W is the sum of the weights.
DF: The number of degrees of freedom for the chosen model (corresponding to the error
part).
R²: The determination coefficient for the model. This coefficient, which value is between 0
and 1, is defined by:

n
∑ni=1 wi (yî − yˉi )2 1
2
R = n with yˉ = ∑w y
∑i=1 wi (yi − yˉi ) 2 W i=1 i i
The R² is interpreted as the proportion of the variability of the dependent variable explained by
the model. The nearer R² is to 1, the better is the model. The problem with the R² is that it does
not take into account the number of variables used to fit the model.
Adjusted R²: The adjusted determination coefficient for the model. The adjusted R² can
be negative if the R² is near to zero. This coefficient is only calculated if the constant of
the model has not been fixed by the user. Its value is defined by:
^ 2 = 1 − (1 − R2 ) W − 1
R
W −p−1
The adjusted R² is a correction to the R² which takes into account the number of variables used
in the model.
MSE: The mean squared error (MSE) is defined by:

n
1
M SE = ∗
∑ wi (yi − yî )2
W − p i=1
RMSE: The root mean square of the errors (RMSE) is the square root of the MSE.
MAPE: The Mean Absolute Percentage Error is calculated as follows:

n
100 y − yî
M AP E = ∑ wi ∣ i ∣
W i=1 yi
DW: The Durbin-Watson statistic is defined by:
∑ni=2 [(yi − yî ) − (yi−1 − yî−1 )]2

DW =
∑ni=1 wi (yi − yî )2
This coefficient is the order 1 autocorrelation coefficient and is used to check that the residuals
of the model are not autocorrelated, given that the independence of the residuals is one of the
basic hypotheses of linear regression. The user can refer to a table of Durbin-Watson statistics
to check if the independence hypothesis for the residuals is acceptable.
Cp: Mallows Cp coefficient is defined by:
SSE
Cp = + 2p∗ − W
^
σ
where SSE is the sum of the squares of the errors for the model with p explanatory variables
and σ^ is the estimator of the variance of the residuals for the model comprising all the
explanatory variables. The nearer the Cp coefficient is to p*, the less the model is biased.
AIC: Akaike’s Information Criterion is defined by:

SSE
AIC = W ln( ) + 2p∗
W
This criterion, proposed by Akaike (1973) is derived from the information theory and uses
Kullback and Leibler's measurement (1951). It is a model selection criterion which penalizes
models for which adding new explanatory variables does not supply sufficient information to the
model, the information being measured through the MSE. The aim is to minimize the AIC
criterion.
SBC: Schwarz’s Bayesian Criterion is defined by:
SSE
SBC = W ln( ) + ln(W )p∗
W
This criterion, proposed by Schwarz (1978) is similar to the AIC, and the aim is to minimize it.
PC: Amemiya’s Prediction Criterion is defined by:
(1 − R2 )(W + p∗ )
PC =
W − p∗
This criterion, proposed by Amemiya (1980) is used, like the adjusted R² to take account of the
parsimony of the model.
Press: The Press (predicted residual error sum of squares) statistic is only displayed if the
corresponding option has been activated in the dialog box. It is defined by:
n
P ress = ∑ wi (yi − yî(−i) )2
i=1
î(−i) is the prediction for observation i when the latter is not used for estimating
where y
parameters. We then get:
P ress
Press RM SE =
W − p∗
The Press RMSE can then be compared to the RMSE. A large difference between the two
shows that the model is sensitive to the presence or absence of certain observations in the
model.
Q²: This statistic, also known as the cross-validated R², is only displayed if the Press
option has been activated in the dialog box. It is defined by:
Press
Q2 = 1 −
∑xi=1 (yi − y )2
This gives the proportion of the total variance that is explained by the explanatory variables
when the predictions are computed when the corresponding observation is not in the model. A
large difference between the Q² and the R² shows that the model is sensitive to the presence or
absence of certain observations in the model.

The analysis of variance table is used to evaluate the explanatory power of the explanatory
variables. Where the constant of the model is not set to a given value, the explanatory power is
evaluated by comparing the fit (as regards least squares) of the final model with the fit of the
rudimentary model including only a constant equal to the mean of the dependent variable.
Where the constant of the model is set, the comparison is made with respect to the model for
which the dependent variable is equal to the constant which has been set.
If the Type I/III SS (SS: Sum of Squares) is activated, the corresponding tables are displayed.
The table of Type I SS values is used to visualize the influence that progressively adding
explanatory variables has on the fitting of the model, as regards the sum of the squares of the
errors (SSE), the mean squared error (MSE), Fisher's F, or the probability associated with
Fisher's F. The lower the probability, the larger the contribution of the variable to the model, all
the other variables already being in the model. The sums of squares in the Type I table always
add up to the model SS. Note: the order in which the variables are selected in the model
influences the values obtained.
The table of Type III SS values is used to visualize the influence that removing an explanatory
variable has on the fitting of the model, all other variables being retained, expect those were the
effect is present (interactions), as regards the sum of the squares of the errors (SSE), the mean
squared error (MSE), Fisher's F, or the probability associated with Fisher's F. The lower the
probability, the larger the contribution of the variable to the model, all the other variables already
being in the model. Note: unlike Type I SS, the order in which the variables are selected in the
model has no influence on the values obtained. Type II and Type III are identical if there are no
interactions or if the design is balanced.
The parameters of the model table displays the estimate of the parameters, the corresponding
standard error, the Student’s t, the corresponding probability, as well as the confidence interval
The equation of the model is then displayed to make it easier to read or re-use the model.
The table of standardized coefficients (also called beta coefficients) are used to compare the
relative weights of the variables. The higher the absolute value of a coefficient, the more
important the weight of the corresponding variable. When the confidence interval around
standardized coefficients has value 0 (this can be easily seen on the chart of normalized
coefficients), the weight of a variable in the model is not significant.
The predictions and residuals table shows, for each observation, its weight, the value of the
qualitative explanatory variable, if there is only one, the observed value of the dependent
variable, the model's prediction, the residuals, the confidence intervals together with the
adjusted prediction if the corresponding options have been activated in the dialog box. Two
types of confidence interval are displayed: a confidence interval around the mean
(corresponding to the case where the prediction would be made for an infinite number of
observations with a set of given values for the explanatory variables) and an interval around the
isolated prediction (corresponding to the case of an isolated prediction for the values given for
the explanatory variables). The second interval is always greater than the first, the uncertainty
being larger. If validation data have been selected, they are displayed at the end of the table.
The charts which follow show the results mentioned above. If there is only one explanatory
variable in the model, the first chart displayed shows the observed values, the regression line

and both types of confidence interval around the predictions. The second chart shows the
standardized residuals as a function of the explanatory variable. In principle, the residuals
should be distributed randomly around the X-axis. If there is a trend or a shape, this shows a
problem with the model.
The three charts displayed next show respectively the evolution of the standardized residuals
as a function of the dependent variable, the distance between the predictions and the
observations (for an ideal model, the points would all be on the bisector), and the standardized
residuals on a bar chart. The last chart quickly shows if an abnormal number of values are
outside the interval ]-2, 2[ given that the latter, assuming that the sample is normally distributed,
should contain about 95% of the data.
The table of influence diagnostics displays for each observation, its weight, the corresponding
residual, the standardized residual (divided by the RM SE ), the studentized residual, the
deleted residual, the studentized deleted residual, the centered leverage, the Mahalanobis
distance, the Cook's D, the CovRatio, the DFFit, the standardized DFFit, the DFBetas (one per
model coefficient) and the standardized DFBetas.
Four charts are then displayed to make possible an easy identification of the observations
which influence on the predictions or on the coefficients make necessary a special investigation.
If the tests on normality has been requested, the corresponding results are then displayed.
If you have selected the data to be used for calculating predictions on new observations, the
corresponding table is displayed next.
Example
A tutorial on simple linear regression is available on the Addinsoft website:
http://www.xlstat.com/demo-reg.htm
A tutorial on multiple linear regression is available on the Addinsoft website:
http://www.xlstat.com/demo-reg2.htm
References
Akaike H. (1973). Information Theory and the Extension of the Maximum Likelihood Principle.
In: Second International Symposium on Information Theory. (Eds: V.N. Petrov and F. Csaki).
Academiai Kiadó, Budapest. 267-281.
Amemiya T. (1980). Selection of regressors. International Economic Review, 21, 331-354.
Dempster A.P. (1969). Elements of Continuous Multivariate Analysis. Addison-Wesley,

Reading.
Jobson J. D. (1999). Applied Multivariate Data Analysis: Volume 1: Regression and

Experimental Design. Springer Verlag, New York.
MacKinnon J. G. and White H. (1985). Some Heteroskedasticity-Consistent Covariance Matrix

Estimators with Improved Finite Sample Properties. Journal of Econometrics, 29, 305-325.

Mallows C.L. (1973). Some comments on Cp. Technometrics, 15, 661-675.
Newey W.K.; West K.D. (1987). A simple, positive semi-definite, heteroskedasticity and
autocorrelation consistent covariance matrix. Econometrica, 55 (3): 703-708.
Tomassone R., Audrain S., Lesquoy de Turckheim E. and Miller C. (1992). La Régression,
Nouveaux Regards sur une Ancienne Méthode Statistique. INRA et MASSON, Paris.
Velleman P.F. and R.E. Welsch (1981). Efficient computing of regression diagnostics. The
American Statistician, 35, 234-242.
Welch B. L. (1951). On the comparison of several mean values: An alternative approach.

White H. (1980). A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test

for Heteroskedasticity. Econometrica, 48(4), 817-838.
Zeileis A. (2006). Object-Oriented Computation of Sandwich Estimators. Journal of Statistical

Software,16(9), 1-16.

ANOVA
Use this model to carry out ANOVA (ANalysis Of VAriance) of one or more balanced or
unbalanced factors. The advanced options enable you to choose the constraints on the model
and to take account of interactions between the factors. Multiple comparison tests can be
calculated.
In this section:
Description
Dialog box
Results
Example
References
Description
Analysis of variance (ANOVA) uses the same conceptual framework as linear regression. The
main difference comes from the nature of the explanatory variables: instead of quantitative, here
they are qualitative. In ANOVA, explanatory variables are often called factors.
If p is the number of factors, the ANOVA model is written as follows:

p
yi = β0 + ∑ βk(i,j),j + ϵi (1)
j=1
where yi is the value observed for the dependent variable for observation i, k(i,j) is the index of
the category of factor j for observation i, and ϵi is the error of the model.
The hypotheses used in ANOVA are identical to those used in linear regression: the errors ϵi
follow the same normal distribution N (0, s) and are independent.
linear regression model, the yi are the expression of random variables with mean μi and
variance s2 , where
p
μi = β0 + ∑ βk(i,j),j (2)
j=1
β^ = (X t X)−1 X t Y (3)
Modeling data 321 ANOVA

and
V ar(β^) = σ
^ 2 (X t X)−1 (4)
To use the various tests proposed in the results ANOVA, it is recommended to check
residuals can be checked by analyzing certain charts, by using a normality test, or by running a
Levene's test to test if the variances for the different groups are homogeneous. The
Durbin Watson test.
Data selection
Typically, in order to run an ANOVA in XLSTAT, you need to enter each variable in a single
column.
XLSTAT allows you to select the data in two different ways when having up to three factors
(explanatory variables):
Select a single column of values for each variable (dependent and factors).
Select a table where rows categorize the data according to one factor, and columns
categorize them according to the other factors (1 or 2 variables). In this case, it is
impossible to estimate the missing data. They will therefore necessarily be deleted.
and ANOVA where it is assumed that the variances of the error terms are independent and
identically distributed and normally distributed. When these assumptions are not possible to
keep (a Durbin Watson or White test available in the Time series menu allow to challenge these
classical formula, and the variance of the parameters corresponding to the coefficients of the
equation 4) of the β parameters is not possible, and we must revert to the general expression:
V ar(β) = (X t X)−1 (X t ΩX)(X t X)−1 (5)

^2I
Ω=σ (6)


HC0 : ωi = eî 2
n
HC1 : ωi = eî 2
(n − p − 1)
eî 2
HC2 : ωi =
(1 − hi )
eî 2
HC3 : ωi =
(1 − hi )2
eî 2 ˉ)
(1 − hi )δi
have:
n
n
t
X ΩX = X Ω0 X =t
∑ e^2i xti xi
n − p − 1 i=1
m n
n
t t
X ΩX = X Ω0 X + ∑ ∑ e^2t e^2t−l (xtt xt−l − xtt−l xt )
n−p−1
l=1 t=l+1
Interactions
By interaction is meant an artificial factor (not measured) which reflects the interaction between
at least two measured factors. For example, if we carry out treatment on a plant, and tests are
carried out under two different light intensities, we will be able to include in the model an
interaction factor treatment*light which will be used to identify a possible interaction between the
two factors. If there is an interaction between the two factors, we will observe a significantly
larger effect on the plants when the light is strong and the treatment is of type 2 while the effect
is average for weak light, treatment 2 and strong light, treatment 1 combinations.
To make a parallel with linear regression, the interactions are equivalent to the products
between the continuous explanatory values although here obtaining interactions requires
nothing more than simple multiplication between two variables. However, the notation used to
represent the interaction between factor A and factor B is A*B.
The interactions to be used in the model can be easily defined in XLSTAT.

Nested effects
When constraints prevent us from crossing every level of one factor with every level of the other
factor, nested factors can be used. We say we have a nested effect when fewer than all levels
of one factor occur within each level of the other factor. An example of this might be if we want
to study the effects of different machines and different operators on some output characteristic,
but we can't have the operators change the machines they run. In this case, each operator is
not crossed with each machine but rather only runs one machine. XLSTAT has an automatic
device to find nested factors and one nested factor can be included in the model.
Balanced and unbalanced ANOVA
We talk of balanced ANOVA when for each factor (and interaction if available) the number of
observations within each category is the same. When this is not true, the ANOVA is said to be
unbalanced. XLSTAT can handle both cases.
Random effects
Random factors can be included in an ANOVA. When some factors are supposed to be random,
XLSTAT displays the expected mean squares table.
Constraints
During the calculations, each factor is broken down into a sub-matrix containing as many
columns as there are categories in the factor. Typically, this is a full disjunctive table.
Nevertheless, the breakdown poses a problem: if there are g categories, the rank of this sub-
matrix is not g but g-1. This leads to the requirement to delete one of the columns of the sub-
matrix and possibly to transform the other columns. Several strategies are available depending
on the interpretation we want to make afterwards:
1) a1=0: the parameter for the first category is null. This choice allows us force the effect of the
first category as a standard. In this case, the constant of the model is equal to the mean of the
dependent variable for group 1.
2) an=0: the parameter for the last category is null. This choice allows us force the effect of the
last category as a standard. In this case, the constant of the model is equal to the mean of the
dependent variable for group g.
3) Sum (ai) = 0: the sum of the parameters is null. This choice forces the constant of the model
to be equal to the mean of the dependent variable when the ANOVA is balanced.
4) Sum (ni.ai) = 0: the sum of the parameters is null. This choice forces the constant of the
model to be equal to the mean of the dependent variable even when the ANOVA is unbalanced.
Note: even if the choice of constraint influences the values of the parameters, it has no effect on
the predicted values and on the different fitting statistics.
Multiple Comparisons Tests

One of the main applications of ANOVA is multiple comparisons testing whose aim is to check if
the parameters for the various categories of a factor differ significantly or not. For example, in
the case where four treatments are applied to plants, we want to know not only if the treatments
have a significant effect, but also if the treatments have different effects.
Numerous tests have been proposed for comparing the means of categories. The majority of
these tests assume that the sample is normally distributed. XLSTAT provides the main tests
including:
Tukey's HSD test: this test is the most used (HSD: Honestly Significant Difference ).
Fisher's LSD test: this is Student's test that tests the hypothesis that all the means for
the various categories are equal (LSD: Least Significant Difference ).
Bonferroni's t* test: this test is derived from Student's test and is less reliable as it takes
into account the fact that several comparisons are carried out simultaneously.
Consequently, the significance level of the test is modified according to the following
formula:
α
α′ =
g(g − 1)/2
where g is the number of categories of the factor whose categories are being compared.
Dunn-Sidak's test: this test is derived from Bonferroni's test. It is more reliable in some
situations.
α′ = 1 − (1 − α)2/[g(g−1)]
The following tests are more complex as they are based on iterative procedures where the
results depend on the number of combinations remaining to be tested for each category.
Newman-Keuls's test (SNK): this test is derived from Student's test (SNK: Student
Newman-Keuls), and is very often used although not very reliable.
Duncan's test: this test is little used.
REGWQ test: this test is among the most reliable in a majority of situations (REGW:
Ryan-Einot-Gabriel-Welsch).
Another approach is possible with the Benjamini-Hochberg option: use this option to control
the False Discovery Rate (FDR). This p-value penalization procedure is poorly conservative.
The Games-Howell (GH) test can be used in one-way ANOVAs when the variances lack of
homogeneity. While it can be used with unequal sample sizes, it is recommended to use it when
the smallest sample has 5 elements or more, otherwise it is too liberal. The Tamhane's T2 test
is more conservative, but not as powerful as the GH test.

All the above tests enable comparisons to be made between all pairs of categories and belong
to the MCA test family (Multiple Comparisons of All, or All-Pairwise Comparisons ).
Other tests make comparisons between all categories and a control category. These tests are
called MCB tests (Multiple Comparisons with the Best, Comparisons with a control ). XLSTAT
offers the Dunnett test which is the most used. There are three Dunnett tests:
Two-tailed test: the null hypothesis assumes equality between the category tested and
the control category. The alternative hypothesis assumes the means of the two categories
differ.
Left one-tailed test: the null hypothesis assumes equality between the category tested
and the control category. The alternative hypothesis assumes that the mean of the control
category is less than the mean of the category tested.
Right one-tailed test: the null hypothesis assumes equality between the category tested
category is greater than the mean of the category tested.
Robust tests of mean comparison for a one-way ANOVA
In an analysis of variance, it may happen that the variances can not be assumed to be equal. In
this case, the F test of the ANOVA is not robust enough to be used. XLSTAT offers two tests
based on the F distribution but more robust than the classical F test.
These tests are:
Welch Test or Welch ANOVA (Welch, 1951). The Welch test adjusts the denominator of
the F ratio so it has the same expectation as the numerator when the null hypothesis is
true, despite the heterogeneity of within-group variance. The p-value can be interpreted in
the same manner as in the analysis of variance table.
The Brown-Forsythe test or Brown-Forsythe F-ratio (1974). This test uses a different
denominator for the formula of F in the ANOVA. Instead of dividing by the mean square of
the error, the mean square is adjusted using the observed variances of each group. The
p-value can be interpreted in the same manner as in the analysis of variance table.
Dialog box

observations.
General tab:
Data format :
Column: Activate this option to enter the data as columns.
Table: Activate this option to enter the data as a table (see Data selection section above for
more details). A maximum of three factors is then allowed.
Data format = Column :
Quantitative: Select the response variable(s) you want to model. If several variables have
been selected, XLSTAT carries out calculations for each of the variables separately. If a
column header has been selected, check that the "Variable labels" option has been
activated--
Quantitative: Activate this option to perform an ANCOVA analysis. Then select the
quantitative explanatory variables in the Excel worksheet. The data selected must be of
type numeric. If the variable header has been selected, check that the "Variable labels"
Qualitative: Select the qualitative explanatory variables (the factors) in the Excel
worksheet. The selected data may be of any type, but numerical data will automatically be
considered as nominal. If the variable header has been selected, check that the "Variable
Data format = Table :
Data table: Select the data table with the response variable and the explanatory
variables.
Number of factors: Enter the number of factors for your analysis.

Options tab:
Model sub-tab:
by default).
Default value: 95.

provided:
the sum of the Cn,ks for k varying from "Min variables" to "Max variables", where Cn,k is equal
to n!/[(n-k)!k !]. It is there recommended that the value of "Max variables" be increased
gradually.
removed.
ANOVA/ANCOVA sub-tab:
Constraints: Details on the various options are available in the description section.
a1 = 0: Choose this option so that the parameter of the first category of each factor is set
to 0.
an = 0: Choose this option so that the parameter of the last category of each factor is set
to 0.
Sum (ai) = 0: for each factor, the sum of the parameters associated with the various
categories is set to 0.
Sum (ni.ai) = 0: for each factor, the sum of the parameters associated with the various
categories weighted by their frequencies is set to 0.

Nested effects: Activate this option to include one nested effect in the model.
Random factors: Activate this option if you want to include random factors in your model. The
expected mean squares table will be automatically displayed.
Validation tab:
model.
then be specified.
Prediction tab:
to data.
Missing data tab:

data.
computations.
Outputs tab:
General sub-tab:
selected.
Type I/II/III SS: Activate this option to display the Type I, Type II, and Type III sum of squares
tables. Type II table is only displayed if it is different from Type III.
squares) statistic.
Interpretation: Activate this option to display an automatic interpretation of the results.

the observations.
Welch and Brown-Forsythe tests: Activate this option to display the Welch and Brown-
Forsythe tests (see the description section of this chapter) in the case of a one-way ANOVA.
Means sub-tab:
Means: Activate this option to compute and display the means for the categories of the main
and interaction factors.
LS Means: Activate this option to compute least squares means instead of observed
means.
Standard errors: Activate this option to display the standard errors with the means
Confidence intervals: Activate this option to additionally display the confidence intervals
around the means.
Multiple comparisons: Activate this option to run multiple comparison tests (post hoc
tests). Information on the multiple comparison tests is available in the description section.
Apply to all factors: Activate this option to compute the selected tests for all factors.
Sort up: Activate this option to sort the compared categories in increasing order, the sort
criterion being their respective means. If this option is not activated, the sort is decreasing.
Confidence intervals: Activate this option if you want to display the confidence intervals
around the mean differences.
Pairwise comparisons: Activate this option then choose the comparison methods.
Comparisons with a control: Activate this option then choose the type of Dunnett test
you want to carry out.
Choose the MSE: Activate this option to select the mean squared error to be taken as
reference for multiple comparisons. When using random factors, using the mean squared
error of the model (classical case) is not appropriate. In that case, the user should choose
a mean square error associated with another term in the model (usually an interaction
term). If this option is enabled, a new dialog allowing you to select the variable to use will
appear.

Contrasts sub-tab:
These options are only available if the Prediction and residuals have been requested in the
Levene's test: Activate this option to run a test on the homogeneity of variances. A test is run to
compare for each factor, the variance of the different categories.
Charts tab:

and (4).
Means charts: Activate this option to display the charts used to display the means of the
various categories of the various factors.
Confidence intervals: Activate this option to display the confidence intervals around the
means on the same chart.
Summary charts: Activate this option to display summary charts that display for each factor,
the comparison of the means of all categories across all dependent variables Y. Filter Ys allows
you do decide whether the results should be displayed only for Ys for which the Fisher’s F of the
model is significant, or if they should be displayed for all Ys.
Results

frequencies.

part).
R²: The determination coefficient for the model. This coefficient, whose value is between 0
and 1, is only displayed if the constant of the model has not been fixed by the user. Its
value is defined by:
n
∑ni=1 wi (yî − yˉi )2 1
2
R = n with ˉ
y = ∑w y
∑i=1 wi (yi − yˉi )2 W i=1 i i
The R2 is interpreted as the proportion of the variability of the dependent variable explained by
the model. The nearer R2 is to 1, the better is the model. The problem with the R2 is that it
does not take into account the number of variables used to fit the model.
Adjusted R²: The adjusted determination coefficient for the model. The adjusted R2 can
be negative if the R2 is near to zero. This coefficient is only calculated if the constant of
^ 2 = 1 − (1 − R2 ) W − 1
R
W −p−1
in the model.

n
1
M SE = ∑ w (y − yî )2
W − p∗ i=1 i i

n
100 yi − yî
M AP E = ∑ wi ∣ ∣
W i=1 yi
∑ni=2 [(yi − yî ) − (yi−1 − yî−1 )]2

DW =
∑ni=1 wi (yi − yî )2
SSE
Cp = + 2p∗ − W
^
σ
SSE
AIC = W ln( ) + 2p∗
W
criterion.
SSE
W
(1 − R2 )(W + p∗ )
PC =
W − p∗

n
i=1
where y
P ress
Press RM SE =
W − p∗
model.
Press
Q2 = 1 −
∑ni=1 (yi − y )2
If the Type I/II/III SS (SS: Sum of Squares) is activated, the corresponding tables are displayed.
The table of Type II SS values is used to visualize the influence that removing an explanatory
variable has on the fitting of the model, all other variables being retained, as regards the sum of

the squares of the errors (SSE), the mean squared error (MSE), Fisher's F, or the probability
associated with Fisher's F. The lower the probability, the larger the contribution of the variable to
the model, all the other variables already being in the model. Note: unlike Type I SS, the order in
which the variables are selected in the model has no influence on the values obtained.
standardized coefficients has value 0 (this can be easily seen on the chart of standardized
The charts which follow show the results mentioned above. A chart shows the standardized
residuals as a function of the explanatory variable. In principle, the residuals should be
distributed randomly around the X-axis. If there is a trend or a shape, this shows a problem with
the model.

If the tests on assumptions have been requested, the corresponding results are then
displayed.
If multiple comparison tests have been requested, the corresponding results are then
displayed.
When a one-way ANOVA is applied and the corresponding option is enabled, the results of the
Welch and Brown-Forsythe tests are displayed. The associated statistics, the degrees of
freedom and the p-values are displayed.
If several dependent variables have been selected and if the multiple comparisons option has
been activated, a table showing the means for each category of each factor and across all Ys is
displayed. The cells of the table are colored using a spectrum scale from blue to red. If there are
more than 10 categories only the 5 lowest and 5 highest means are colored. A chart allows
visualizing the same results.
A second chart allows to visualize estimated means with multiple comparisons grouping letters.
This second chart only displays significant dependent variables on the factor in question
according to the Type III SS ANOVA table.
Example
A tutorial on one-way ANOVA and multiple comparisons tests is available on the Addinsoft
website:
http://www.xlstat.com/demo-ano.htm
A tutorial on two-way ANOVA is available on the Addinsoft website:
http://www.xlstat.com/demo-ano2.htm
References
Brown, M. B. and Forsythe A. B. (1974). The ANOVA and multiple comparisons for data with
heterogeneous variances. Biometrics, 30, 719-724.

Reading.
Hsu J.C. (1996). Multiple Comparisons: Theory and Methods, CRC Press, Boca Raton.

Lea P., Naes T. & Robotten M. (1997). Analysis of Variance for Sensory Data, John Wiley &
Sons, London.
Sahai H. and Ageel M.I. (2000). The Analysis of Variance. Birkhaüser, Boston.

Welsch R.E. and Kuh E. (1977). Linear Regression Diagnostics. Sloan School of Management
Working Paper,923-977, M.I.T., Cambridge, Mass.


Software,16(9), 1-16.

ANCOVA
Use this module to model a quantitative dependent variable by using quantitative and qualitative
dependent variables as part of a linear model.
In this section:
Description
Dialog box
Results
Example
References
Description
ANCOVA (ANalysis of COVAriance) can be seen as a mix of ANOVA and linear regression as
the dependent variable is of the same type, the model is linear and the hypotheses are identical.
In reality it is more correct to consider ANOVA and linear regression as special cases of
ANCOVA.
If p is the number of quantitative variables, and q the number of factors (the qualitative variables
including the interactions between qualitative variables), the ANCOVA model is written as
follows:
p q
yi = β0 + ∑ βj xij + ∑ βk(i,j),j + ϵi (1)
j=1 j=1
where yi is the value observed for the dependent variable for observation i, xij is the value
taken by quantitative variable j for observation i, k(i, j) is the index of the category of factor j
for observation i and ϵi is the error of the model.
β^ = (X t X)−1 X t Y (2)
and
V ar(β^) = σ
^ 2 (X t X)−1 (3)
To use the various tests proposed in the results ANCOVA, it is recommended to check
residuals can be checked by analyzing certain charts, by using a normality test, or by running a
Levene's test to test if the variances for the different groups are homogeneous. The
Modeling data 340 ANCOVA

Durbin Watson test.
Interactions between quantitative variables and factors
One of the features of ANCOVA is to enable interactions between quantitative variables and
factors to be taken into account. The main application is to test if the level of a factor (a
qualitative variable) has an influence on the coefficient (often called slope in this context) of a
quantitative variable. Comparison tests are used to test if the slopes corresponding to the
various levels of a factor differ significantly or not. A model with one quantitative variable and a
factor with interaction is written:
yi = β0 + β1 xi1 + βk(i,1),1 + βk(i,1),2 xi1 + ϵi . (4)
This can be simplified by setting
γk(i,1),1 = β1 + βk(i,1),2 (5)

hence we get
yi = β0 + βk(i,1),1 + γk(i,1),1 xi1 + ϵi . (6)
The comparison of the γ parameters are used to test if the factor has an affect on the slope.
and ANOVA where it is assumed that the variances of the error terms are independent and
identically distributed and normally distributed. When these assumptions are not possible to
keep (a Durbin Watson or White test available in the Time series menu allow to challenge these
classical formula, and the variance of the parameters corresponding to the coefficients of the
equation 3) of the β parameters is not possible, and we must revert to the general expression:
V ar(β) = (X t X)−1 (X t ΩX)(X t X)−1 . (7)

^ 2 I.
Ω=σ (8)


HC0 : ωi = eî 2
n
HC1 : ωi = eî 2
(n − p − 1)
eî 2
HC2 : ωi =
(1 − hi )
eî 2
HC3 : ωi =
(1 − hi )2
eî 2 ˉ)
(1 − hi )δi
have:
n
n
t
X ΩX = X Ω0 X =t
∑ e^2i xti xi
n − p − 1 i=1
m n
n
t t
X ΩX = X Ω0 X + ∑ ∑ e^2t e^2t−l (xtt xt−l − xtt−l xt ).
n−p−1
l=1 t=l+1
Random effects
Random factors can be included in an ANOVA. When some factors are supposed to be random,
XLSTAT displays the expected mean squares table.
Constraints

to be equal to the mean of the dependent variable when the ANOVA is balanced.
4) Sum (ni.ai) = 0: the sum of the parameters is null. This choice forces the constant of the
model to be equal to the mean of the dependent variable even when the ANOVA is unbalanced.
including:
Fisher's LSD test: this is Student's test that tests the hypothesis that all the means for
the various categories are equal (LSD: Least Significant Difference ).
formula:
α
α′ = ,
g(g − 1)/2
situations.
α′ = 1 − (1 − α)2/[g(g−1)] .

Newman-Keuls's test (SNK): this test is derived from Student's test (SNK: Student
Newman-Keuls), and is very often used although not very reliable.
REGWQ test: this test is among the most reliable in a majority of situations (REGW:
Ryan-Einot-Gabriel-Welsch).
differ.
Dialog box

observations.
General tab:
Qualitative: Select the qualitative explanatory variables (the factors) in the Excel worksheet.
The selected data may be of any type, but numerical data will automatically be considered as
nominal. If the variable header has been selected, check that the "Variable labels" option has
been activated.

Options tab:
Model sub-tab:
by default).
Default value: 95.
provided:
the sum of the Cn,k s for k varying from "Min variables" to "Max variables", where Cn,k is equal
to n!/[(n − k)!k!]. It is there recommended that the value of "Max variables" be increased
gradually.

removed.
ANOVA/ANCOVA sub-tab:
Constraints: Details on the various options are available in the description section of the
ANOVA.
to 0.
to 0.
Sum (ni.ai) = 0: for each factor, the sum of the parameters associated with the various
categories weighted by their frequencies is set to 0.
Validation tab:
model.
then be specified.

Prediction tab:
to data.
Missing data tab:
data.
computations.

Ouputs tab:
General sub-tab:
selected.
squares) statistic.
Interpretation: Activate this option to display an automatic interpretation of the results.
the observations.
the observations.
X: Activate this option to display the explanatory variables in the predictions and residuals
table.
Welch and Brown-Forsythe tests: Activate this option to display the Welch and Brown-
Forsythe tests (see the description section of this chapter) in the case of a one-way ANOVA.

Means sub-tab:
Means: Activate this option to compute and display the means for the categories of the main
and interaction factors.
LS Means: Activate this option to compute least squares means instead of observed
means.
Standard errors: Activate this option to display the standard errors with the means
Confidence intervals: Activate this option to additionally display the confidence intervals
around the means.
Multiple comparisons: Activate this option to run multiple comparison tests (post hoc
tests). Information on the multiple comparison tests is available in the description section.
Confidence intervals: Activate this option if you want to display the confidence intervals
around the mean differences.
Comparisons with a control: Activate this option then choose the type of Dunnett test
you want to carry out.
Choose the MSE: Activate this option to select the mean squared error to be taken as
reference for multiple comparisons. When using random factors, using the mean squared
error of the model (classical case) is not appropriate. In that case, the user should choose
a mean square error associated with another term in the model (usually an interaction
term). If this option is enabled, a new dialog allowing you to select the variable to use will
appear.
Comparison of slopes: Activate this option to compare the interaction slopes between
the quantitative and qualitative variables (see the description section on this subject).
Contrasts sub-tab:
These options are only available if the Prediction and residuals have been requested in the

Levene's test: Activate this option to run a test on the homogeneity of variances. A test is run to
compare for each factor, the variance of the different categories.
Charts tab:

and (4).
Confidence intervals: Activate this option to display the confidence intervals around the
means on the same chart.
Summary charts: Activate this option to display summary charts that display for each factor,
the comparison of the means of all categories across all dependent variables Y. Filter Ys allows
you do decide whether the results should be displayed only for Ys for which the Fisher’s F of the
model is significant, or if they should be displayed for all Ys.
Results
frequencies.


part).
n
∑ni=1 wi (yî − yˉi )2 1
2
R = n with ˉ
y = ∑ wi yi
∑i=1 wi (yi − yˉi )2 W i=1
^ 2 = 1 − (1 − R2 ) W − 1 ⋅
R
W −p−1
in the model.

x
1
M SE = ∑ w (y − yî )2 ⋅
W − p∗ i=1 i i

n
100 yi − yî
M AP E = ∑ wi ∣ ∣⋅
W i=1 yi

∑xi=2 [(yi − yî ) − (yi−1 − yî−1 )]2
DW = ⋅
∑xi=1 wi (yi − yî )2
SSE
Cp = + 2p∗ − W ,
^
σ
SSE
AIC = W ln( ) + 2p∗ ⋅
W
criterion.

SSE
SBC = W ln( ) + ln(W )p∗ ⋅
W
(1 − R2 )(W + p∗ )
PC = ⋅
W − p∗
n
P ress = ∑ wi (yi − yî(−i) )2 ,
i=1
where y

P ress
Press RM SE = ⋅
W − p∗
model.
Press
Q2 = 1 − ⋅
∑xi=1 (yi − y )2

variable and one factor in the model, the first chart displayed shows the observed values and
the regression line for each category of the factor. The second chart shows the standardized
residuals as a function of the explanatory variable. In principle, the residuals should be
distributed randomly around the X-axis. If there is a trend or a shape, this shows a problem with
the model.

If the tests on assumptions have been requested, the corresponding results are then
displayed.
If multiple comparison tests have been requested, the corresponding results are then
displayed.
If several dependent variables have been selected and if the multiple comparisons option has
been activated, a table showing the means for each category of each factor and across all Ys is
displayed. The cells of the table are colored using a spectrum scale from blue to red. If there are
more than 10 categories only the 5 lowest and 5 highest means are colored. A chart allows
visualizing the same results.
A second chart allows to visualize estimated means with multiple comparisons grouping letters.
This second chart only displays significant dependent variables on the factor in question
according to the Type III SS ANOVA table.
Example
A tutorial on ANCOVA is available on the Addinsoft website:
http://www.xlstat.com/demo-anco.htm
References

Reading.

Lea P., Naes T. and Robotten M. (1997). Analysis of Variance for Sensory Data, John Wiley &
Sons, London.

Welsch R.E. and Kuh E. (1977). Linear Regression Diagnostics. Sloan School of Management
Working Paper,923-977, M.I.T., Cambridge, Mass.


Software,16(9), 1-16.

Repeated Measures ANOVA
Use this tool to carry out Repeated Measures ANOVA (ANalysis Of VAriance). The advanced
options enable you to choose the constraints on the model and to take account of interactions
between the factors. Multiple comparison tests can be calculated.
XLSTAT proposes two ways for handling repeated measures ANOVA. The classical way using
least squares estimation (LS) that is based on the same model as the classical ANOVA and the
alternative way that is based on the maximum likelihood estimation (REML and ML). This
chapter is devoted to the first method. For details on the second method, please read the
chapter on mixed models.
In this section:
Description
Dialog box
Results
Example
References
Description
Repeated measures Analysis of Variance (ANOVA) uses the same conceptual framework as
classical ANOVA. The main difference comes from the nature of the explanatory variables. The
exploratory variable is measured at different time or repetition. In ANOVA, explanatory variables
are often called factors.
If p is the number of factors, the ANOVA model is written as follows:

p
yit = β0 + ∑ βk(i,j),j + ϵi (1)
j=1
where yit is the value observed for the dependent variable for observation i for measure t,
k(i, j) is the index of the category of factor j for observation i, and ϵi is the error of the model.
However, other hypotheses are necessary in the case of repeated measures ANOVA. As
measures are taken from the same subjects at different times, the repetitions are correlated. In
repeated measures ANOVA we assume that the covariance matrix between the ys is spherical
(for example, compound symmetry is a spherical shape). We can drop this hypothesis when
using the maximum likelihood based approach.
Modeling data 358 Repeated Measures ANOVA

The principle of repeated measures ANOVA is simple. For each measure, a classical ANOVA
model is estimated, then the sphericity of the covariance matrix between measures is tested
using Mauchly’s test, Greenhouse-Geisser epsilon or Huynt-Feldt epsilon. If the sphericity
hypothesis is not rejected, between- and within-subject effects can be tested.
Interactions
Nested effects
not crossed with each machine but rather only runs one machine. XLSTAT has an automatic
device to find nested factors and one nested factor can be included in the model.
Constraints

including:
Fisher's LSD test: this is Student's test that tests the hypothesis that all the means for the
various categories are equal (LSD: Least Significant Difference ).
Bonferroni's t* test: this test is derived from Student's test and is less reliable as it takes into
account the fact that several comparisons are carried out simultaneously. Consequently, the
significance level of the test is modified according to the following formula:
α
α′ = ,
g(g − 1)/2
situations.
α′ = 1 − (1 − α)2/[g(g−1)] .
Newman-Keuls's test (SNK): this test is derived from Student's test (SNK: Student Newman-
Keuls), and is very often used although not very reliable.
REGWQ test: this test is among the most reliable in a majority of situations (REGW: Ryan-
Einot-Gabriel-Welsch).

differ.
Dialog box
observations.

General tab:
One column for all repetitions: activate this option if your dependant variable is organized in
only one column. In that case, you have to select as explanatory variables, one variable with the
name of the repetition and another variable with the name of the subject. For more details on
that format, please see the chapter on mixed models.
One column per repetition: activate this option if your dependant variable has T columns for T
repetitions. In that case, when you will have to select the factors, a factor called repetition and a
factor called subject will appear.
been activated.
Quantitative: Select one or more quantitative variables on the Excel sheet. If the variable labels
have been selected, please check the option "Variable labels" is activated. When no qualitative
variables are selected, then it is a repeated measures linear regression. If qualitative and
quantitative variables are selected then it is a repeated measures ANCOVA. If no explanatory
variables are selected, it is a one-way repeated measures ANOVA.

Options tab:
Tolerance: Activate this option to prevent the OLS regression calculation algorithm taking into
account variables which might be either constant or too correlated with other variables already
used in the model (0.0001 by default).
Default value: 95.
a1 = 0: Choose this option so that the parameter of the first category of each factor is set to 0.
an = 0: Choose this option so that the parameter of the last category of each factor is set to 0.
Missing data tab:
computations.
Outputs tab:

selected.
Analysis of variance: Activate this option to display the analysis of variance table for each
repetition t.
Type I/III SS: Activate this option to display the Type I and Type III sum of squares tables for
each ANOVA associated to repetition t.
the observations.
Multiple comparisons:
Information on the multiple comparison tests is available in the description section.
Use least squares means: Activate this option to compare the means using their least squares
estimators (obtained from the parameters of the model). If this option is not activated, the
means are computed using their estimation based on the data.
Comparisons with a control: Activate this option then choose the type of Dunnett test you
want to carry out.
Charts tab:

Factors and interactions dialog box

Once the first dialog box disappears, a second one appears, to allow you to clarify the
belonging of each factor. It is necessary to select the fixed factors (fixed effects), a repeated
factor and a subject factor. If you selected the one column per repetition layout, then a factor
called repetition and a factor called subject are displayed and must respectively be selected as
repeated and subject factors.
Results
frequencies.
Then for each repetition, we have:

part).
n
∑ni=1 wi (yî − yˉi )2 1
2
R = n with ˉ
y = ∑ wi yi
∑i=1 wi (yi − yˉi )2 W i=1

^ 2 = 1 − (1 − R2 ) W − 1 ⋅
R
W −p−1
in the model.

x
1
M SE = ∗
∑ wi (yi − yî )2 ⋅
W − p i=1

n
100 y − yî
M AP E = ∑ wi ∣ i ∣⋅
W i=1 yi
∑xi=2 [(yi − yî ) − (yi−1 − yî−1 )]2

DW = x ⋅
∑i=1 wi (yi − yî )2
SSE
Cp = + 2p∗ − W ,
^
σ

SSE
AIC = W ln( ) + 2p∗ ⋅
W
criterion.

SSE
SBC = W ln( ) + ln(W )p∗ ⋅
W
This criterion, proposed by Schwarz (1978) is similar to the AIC and, like this, the aim is to
minimize it.
(1 − R2 )(W + p∗ )
PC = ⋅
W − p∗

variable, the model's prediction, the residuals, the confidence. Two types of confidence interval
are displayed: a confidence interval around the mean (corresponding to the case where the
prediction would be made for an infinite number of observations with a set of given values for
the explanatory variables) and an interval around the isolated prediction (corresponding to the
case of an isolated prediction for the values given for the explanatory variables). The second
interval is always greater than the first, the random values being larger. If the validation data
have been selected, they are displayed at the end of the table.
If multiple comparison tests have been requested, the corresponding results are then displayed.
Finally, tables associated to the repeated measures analysis are displayed:
Mauchly’s sphericity test can be used to test the sphericity of the covariance matrix between
repetitions. It has a small power and should not be trusted with small samples. In this table,
Greenhouse-Geisser and Huynt-Feldt epsilons can also be found. The closer they are to one,
the more spherical the covariance matrix is.
The test of within-subject effects is then displayed. It shows which factor has a significant
effect across repetition.
The test of between-subject effects is then displayed. It shows which factor has an effect
which is significantly different from one subject to another and not from one repetition to
another.
Example
A tutorial on repeated measures ANOVA is available on the Addinsoft website:

http://www.xlstat.com/demo-anorep2.htm
References

Reading.
Girden E.R. (1992). ANOVA Repeated Measures. Sage University Paper.
Greenhouse S.W., Geisser S. (1959). On methods in the analysis of profile data.

Psychometrika. 24, 95-112.
Huynt H., Feldt L.S. (1976). Estimation of the Box correction for degrees of freedom from
sample data i, randomized block and split-plot designs. Journal of Educational Statistics. 1, 69-
82.

Lea P., Naes T. & Robotten M. (1997). Analysis of Variance for Sensory Data, John Wiley &
Sons, London.
Mauchly, J.W. (1940). Significance test for sphericity of n-variate normal population. Annals of
Mathematical Statistics. 11, 204-209.
Searle, S. R., Casella, G., and McCulloch, C. E. (1992). Variance Components. John Wiley &
Sons, New York.

Mixed Models
Use this tool to build ANOVA models with repeated factors, random components or repeated
measures.
In this section:
Description
Dialog box
Factors and interaction dialog box
Results
Example
References
Description
Mixed models are complex models based on the same principle as general linear models. They
make it possible to take into account, on the one hand, the concept of repeated measurement
and, on the other hand, that of random factor. The explanatory variables could be as well
quantitative as qualitative. Within the framework of the mixed models, the explanatory variables
are often called factors. XLSTAT uses mixed models to carry out repeated measures ANOVA.
A mixed model is written as follows:
y = Xβ + Zγ + ϵ (1)
where y is the dependent variable, X gathers all fixed effects (these factors are the classical
OLS regression variables or the ANOVA factors), β is a vector of parameters associated with
the fixed factors, Z is a matrix gathering all the random effects (factors that cannot be set as
fixed), γ is a vector of parameters associated with the random effects and ϵ is an error vector.
The main difference between general linear model and mixed model is thatγ ∼ N (0, G(θG ))
et ϵ ∼ N (0, R(θR )).
We have:
0 0
E [ ] = [ ] and V ar [ ] = [ ]
γ γ G
ϵ 0 ϵ 0 R
The variance of y is written as follows: V ar(y) = V (θ) = Z ′ GZ + R, where θ is a vector of

parameters associated with the unknown parameters of G and R. We have y ∼
N (Xβ, V (θ)).
According to the model to be estimated, the matrices R and G will have different forms:
Modeling data 370 Mixed Models

For a classical linear model, we have: Z = 0 and R = σ 2 In .
For a repeated measures ANOVA, we have: Z = 0 and cov(ϵ) = R(θ), where R is a

square-block matrix with a user-defined design. Each block gathers the covariance
between different measures on the same subject (which are correlated). Explanatory
variables are all qualitative.
For a random component model, we have cov(γ) = G, where G is a matrix with a user-
defined design.
The following table shows the designs implemented in XLSTAT for the R and G matrices
(dimension p × p):
Structure de
Nombre de paramètres Formule
covariance
Variance Number of random factors (if σij = σk2 I(i=j) , k is the random effect
components no random factor =1) associated with the row i
Autoregressive(1) 2 σij = σ 2 ρ∣i−j∣

Compound
symmetry
2 σij = σ1 + σ 2 I(i=j)
Unstructured p(p + 1)/2 σij = σij

Toeplitz p σij = σ∣i−j∣+1
Toeplitz(q) Min(p,q) σij = σ∣i−j∣+1 I(∣i−j∣<q)
Parameters estimation is performed by using the maximum likelihood approach. There exist two
methods: the classical maximum likelihood (ML) and the restricted maximum likelihood (REML).
The latter is the default in XLSTAT. The likelihood function is given by:
1 1 1 n−p
lREM L (G, R) = − log ∣ V ∣ − log ∣ X ′ V −1 X ∣ − r′ V −1 r − log(2π) (2)
2 2 2 2
where r = y − X β^. The parameters are obtained by using the first and second derivatives of
lREM L (G, R). For the details of these matrices, one can see Wolfinger, Tobias and Sall
(1994). The use of an analytical method to obtain the θ parameters is not possible. XLSTAT
does not profile the variance during the computation and initial values of the covariance matrix
are the variances obtained with the general linear model. We thus use the iterative Newton-
Raphson algorithm in order to obtain an estimate of θ . Once θ is obtained, the coefficients β
and γ are calculated by solving the following equation system:
^ −1 X
X′ R X′ R^ −1 Z β^ ^ −1 y
X′ R
[ ^ −1 X ^ −1 Z + G ] [
^ −1 γ^ ] = [ ^ −1 y ] (3)
Z′ R Z′ R Z′ R

We obtain:
−
β^ = (X ′ V^ −1 X ) X ′ V^ −1 y
(4)
^ Z ′ V^ −1 (y − X β^)
γ^ = G
where ()− is the generalized inverse of the matrix. The interpretation of the model is made in
the same way than in the linear case.
Data format
Within the framework of mixed models, the data will have a specific format:
If there are no repeated measurements, then there will be one column per variable associated
to each fixed effect and one column per variable associated to each random effect.
If there are repeated measurements, all the repetitions will have to be one after the other. We
cannot have one column for each repetition. We thus define a factor identifying each repetition
and another factor identifying the subject to be treated in each repetition. Thus, for a data set
with 3 repetitions and 2 subjects and an explanatory variable X measured at times T1 and T2
for the two subjects, we have the following table:
fact.rep fact.suj X
1 1 xT1 1
1 2 xT1 2
2 1 xT1 2
2 2 xT2 1
3 1 xT1 3
3 2 xT2 3
XLSTAT makes it possible to select a repeated factor and a subject factor. These factors must
be qualitative and are necessary for repeated measures ANOVA, and available for mixed
models.
Interactions
By interaction is meant an artificial factor (not measured) that reflects the interaction between at
least two measured factors. For example, if we carry out treatment on a plant, and tests are
two factors. If there is an interaction between the two factors, we will observe, for example, a
significantly higher effect on the plants when the light is strong and the treatment is of type 2

while the effect is average for low light and treatment 2 or strong light and treatment 1
combinations.
between the continuous explanatory values. For qualitative variables it is a little more complex,
and constraints must be defined to avoid multicolinearities in the model (see below). However,
the notation used to represent the interaction between factor A and factor B is A*B.
Constraints
matrix is not g but g − 1. This leads to the requirement to delete one of the columns of the sub-
dependent variable for group g .
Inference and tests
XLSTAT allows computing the type I, II and III tests of the fixed effects. The principle of these
tests is the same one as in the case of the linear model. Nevertheless, their calculation differs
slightly. All these tests are based on the following F statistics:
β^′ L′ (L(X ′ V^ −1 X)− L′ )− Lβ^

F =
r
where L is a specific matrix associated with each fixed effect and it differs depending on the
type of test. We have r = rang(L(X ′ V ^ −1 X)− L′ ). A p-value is obtained using the Fisher
distribution with N um.DF and Den.DF degrees of freedom. We have N um.DF =
rank(L) and Den.DF depends on the estimated model. XLSTAT uses:
The contain method if a random effect is selected, we have: Den.DDL = N −

rang(XZ).

The residual method if no random effect is selected, we have: Den .DDL = n −
rang(X).
The Satterthwaite's approximation method in case of unbalanced dataset :

2E
Den .DDL = E−q .
q
vm 2(Dm )2
with E = ∑ I(vm > 2); vm = ′ ;
m=1
vm − 2 gm Agm
′ with respect to
where Dm is the mth diagonal element of D and gm is the gradient of lm Cglm
θ, evaluated at θ^.
Dm is from the spectral decomposition of LCL ^ ′ = P ′ DP , where P is an orthogonal matrix

of eigenvectors and D is a diagonal matrix of eigenvalues, both of dimension q × q . lm is the
mth row of P L.
C = (X ′ V −1 X)− , where ()− is the generalized inverse of the matrix and C corresponds to
the variance/covariance matrix of fixed parameters and θ is a vector of unknow variance
parameters (random and residual parts of mixed model).
Multiple Comparisons Tests (only for repeated measures ANOVA)
As in classical ANOVA, in repeated measures ANOVA multiple comparisons can be performed.

It is aimed at checking whether the various categories of a factor differ significantly or not. For
example, in the case where four treatments are applied to plants, we want to know not only if
the treatments have a significant effect, but also if the treatments have different effects.
these tests assume that the sample is normally distributed. XLSTAT provides the main tests. In
the case of repeated measures ANOVA, standard deviations are obtained using the maximum
likelihood estimates. For more details on the tests, please see the description section of the
ANOVA help.
Dialog box

observations.
General tab:
Quantitative: Activate this option to perform an ANCOVA analysis. Then select the quantitative
explanatory variables in the Excel worksheet. The data selected must be of type numeric. If the
variable header has been selected, check that the "Variable labels" option has been activated.
been activated.
activate this option, the weights will all be taken as 1. Weights must be greater than 0. A weight
of 2 is equivalent to repeating the same observation twice. If a column header has been
selected, check that the "Variable labels" option has been activated.
Regression weights: Activate this option if you want to include weights in the model’s equation.
If you do not activate this option, the weights will be considered as 1. Weights must be greater

than or equal to 0. If a column header has been selected, check that the "Variable labels" option
is activated.
Options tab:
Default value: 95.
Repeated measures: Activate this option if you want to include a repeated factor in your model.
Covariance structure: Choose the covariance structure you want to use for the R matrix.
XLSTAT offers: Autoregressive(1), Compound Symmetry, Toeplitz, Toeplitz(q), Unstructured and
Variance Components. Details on the various options are available in the description section.
Random effect: (only with mixed models): Activate this option if you want to include a random
effect in your model.
Covariance structure: Choose the covariance structure you want to use for the R matrix.
XLSTAT offers: Autoregressive(1), Compound Symmetry, Toeplitz, Toeplitz(q), Unstructured and
Variance Components. Details on the various options are available in the description section.
Satterthwaite's t-tests: Activate this option if you want to compute t-tests for fixed coefficients
Beta using the Satterthwaite formula for denominator degrees of freedom. F-tests concerning
tests of fixed effect will be computed according to this method as well. Mixed models with
unbalanced datasets are automatically computed using the Satterthwaite approximation.
Newton-Raphson's starting values: Choose the method to set initial values to the iterative
Newton-Raphson algorithm. Either use the OLS option to specify ordinary least squares starting
values or MIVQUE0 (Minimum Variance Quadratic Unbiased Estimation). When covariance
structure is basic, MIVQUE0 estimates are the REML estimates. For more complex covariance
structure, MIVQUE0 could be choosen in order to be as close as possible to the population
values so that the optimization routine can converge at reasonable estimates.

Estimation method: choose between REML and ML to estimate your model. Details are
available in the description section.
Missing data tab:
computations.
Outputs tab:
General:
selected.
Goodness of fit statistics: Activate this option to display the table of goodness of fit statistics
for the model.
Covariance parameters: Activate this option to display the table of the covariance parameters.
Null model likelihood ratio test: Activate this option to display the results of the null model
likelihood ratio test.
Fixed effects coefficients: Activate this option to display the table of the fixed effects
coefficients.
Random effects coefficients (only with mixed models): Activate this option to display the table
of the random effects coefficients.
Type III tests of fixed effect: Activate this option to display the results of the type III tests of the
fixed effect.
Type I tests of fixed effect: Activate this option to display the results of the type I tests of the
fixed effect.
Type II tests of fixed effect: Activate this option to display the results of the type II tests of the
fixed effect.
R matrix: Activate this option to display the error covariance matrix R for the first subject.

G matrix (only with mixed models): Activate this option to display the random effects covariance
matrix G.
Residuals:
the observations.
Raw residuals: Activate this option to display the raw residuals in the predictions and
residuals table.
Studentized residuals: Activate this option to display the studentized residuals in the
predictions and residuals table.
Pearson residuals: Activate this option to display the Pearson residuals in the predictions
and residuals table.
Comparisons (only for repeated measures ANOVA):
Multiple comparisons:
Information on the multiple comparison tests is available in the description section.
Use least squares means: Activate this option to compare the means using their least squares
estimators (obtained from the parameters of the model). If this option is not activated, the
means are computed using their estimation based on the data.
Factors and interactions dialog box

Once the first dialog box disappears, a second one appears, to allow you to what type of factor
each factor corresponds. The layout and the aim of the dialog box depends the type of ANOVA
you want to run:
If repeated measures were selected, it is necessary to select the fixed factors (fixed effects), a
repeated factor, and a subject factor.
If random effects have been selected, it is necessary to specify which factors are fixed and
which are random.
If both repeated measures and random effects have been selected, it is necessary to specify
which factors are fixed, which are random, and to define which is the repeated factor and which
is subject factor.

Each factor must be selected only once. Repeated and subject factors must be qualitative.
Results
frequencies.

AIC: the Akaike’s Information Criterion (AIC) is defined by:
AIC = −2l(θ) + 2d
where l is the likelihood function and d equals the number of parameters to be estimated. This
criterion, proposed by Akaike (1973) is derived from the information theory and uses Kullback
and Leibler's measurement (1951). It is a model selection criterion which penalizes models for
which adding new explanatory variables does not supply sufficient information to the model, the
information being measured through the MSE. The aim is to minimize the AIC criterion.
AICC: This criterion derived from the AIC is defined by:
AICC = −2l(θ) + 2dn/(n − d − 1)

SBC = −2l(θ) + d ln(n)

This criterion, proposed by Schwarz (1978) is similar to the AIC and the aim is to minimize it.
CAIC: This criterion (Bodzogan, 1987) is defined by:
CAIC = −2l(θ) + d(ln(n) + 1)

Iterations: This value gives the number of iteration necessary to reach the convergence
of the Newton-Raphson algorithm.
Covariance parameters: This value gives the number of parameters to be estimated in

the covariance matrix V .

Number of fixed effects: This value gives the number of selected fixed effects.
Number of random effects: This value gives the number of selected random effects.
Covariance parameters – Repeated factors: This table displays the covariance parameters
associated to the repeated factor. For each parameter, the corresponding standard error, the Z
statistic, the corresponding probability, as well as the confidence interval are presented.
Covariance parameters – Random factors (only with mixed models): This table displays
covariance parameters associated to the random. For each parameter, the corresponding
standard error, the Z statistic, the corresponding probability, as well as the confidence interval
are presented.
The null model likelihood ratio test table compares the likelihood of the null model and the
likelihood of the selected model. The likelihood ration, the Chi-square statistic and the
corresponding probability are displayed.
The model parameters table displays the estimate of the parameters, the corresponding
The random effects coefficients (only with mixed models) table displays the estimate of the
random effects parameters, the corresponding standard error, the number of degrees of
freedom, the Student’s t, the corresponding probability and confidence interval
If the Type I tests and Type III tests of fixed effects have been requested, the corresponding
tables are displayed.
The table of Type I tests of fixed effects values is used to evaluate the influence of
sequentially adding explanatory variables on the fit of the model, through the Fisher's F or its
corresponding p-value. The lower the probability, the larger the contribution of the variable to the
model (given that all the previously added variables are in the model).
Note: the order in which the variables are selected in the model influences the values obtained.
The table of Type III tests of fixed effects values is used to evaluate the impact of removing an
explanatory variable, all other variables being retained, in terms of Fisher's F and its
corresponding p-value. The lower the probability, the larger the contribution of the variable to the
model, all other variables already being in the model.
Note: unlike Type I tests of fixed effects, the order in which the variables are selected in the
model does hot have any influence on the values obtained.
The predictions and residuals table shows, for each observation, its weight, the observed
value of the dependent variable, the model's prediction, the residuals, the confidence intervals.
Several types of residuals are displayed:
Raw residuals:
ri = yi − x′i β^

Studentized residuals:
ri
ristud =
var(ri )
Pearson’s residuals:
ri
ristud =
var(yi )
If one or more random effects are selected, we have:
Conditional raw residuals:
ricond = ri − zi′ γ^
Studentized conditional residuals:
cond/stud ricond
ri =
var(ricond )
Pearson’s conditional residuals:
ri
ricond/pearson =
var(yi )
If multiple comparison tests have been requested, the corresponding results are then displayed.
Example
A tutorial on repeated measures ANOVA is available on the Addinsoft website:
http://www.xlstat.com/demo-anorep.htm
A tutorial on random component model is available on the Addinsoft website:
http://www.xlstat.com/demo-mixed.htm
References
Akaike H. (1973). Information theory and the extension of the maximum likelihood principle. In:
Second International Symposium on Information Theory. (Eds: V.N. Petrov and F. Csaki).
Bodzogan, H. (1987). Model selection and Akaike’s Information Criterion (AIC)! The General
Theory and its Analytical Extensions. Psychometrika, 52, 345-370.

Reading.
Goodnight, J. H. (1979). A Tutorial on the Sweep Operator, American Statistician, 33, 149–
158.

Hurvich, C. M. and Tsai, C.-L. (1989). Regression and Time Series Model Selection in Small
Samples, Biometrika, 76, 297–307.
Kullback S. and Leibler R. A. (1951). On information and sufficiency. Annals of Mathematical

Statistics, 22, 79-86.
Rao, C. R. (1972). Estimation of Variance and Covariance Components in Linear Models,

Journal of the American Statistical Association, 67, 112–115.
Schwarz, G. (1978). Estimating the Dimension of a Model, Annals of Statistics, 6, 461–464.
Searle, S. R., Casella, G., and McCulloch, C. E. (1992). Variance Components. John Wiley &
Sons, New York.
Wolfinger, R. D. (1993). Covariance Structure Selection in General Mixed Models,

Communications in Statistics, Simulation and Computation, 22(4) , 1079–1106.
Wolfinger, R. D., Tobias, R. D., and Sall, J. (1994). Computing Gaussian Likelihoods and
Their Derivatives for General Linear Mixed Models, SIAM Journal on Scientific Computing,
15(6), 1294–1310.
Elizabeth Eskow and Bobby Schnabel (1991). Algorithm 695: software for a new modified
Cholesky factorization, ACM Trans. Math. Softw, 17, 306-312.
Hrong-Tai Fai, Alex & L. Cornelius, Paul. (1996). Approximate F-tests of multiple degree of
freedom hypotheses in generalized least squares analyses of unbalanced split-plot
experiments, Journal of Statistical Computation and Simulation, 54, 363-378.

MANOVA
Use this model to carry out a MANOVA (Multivariate ANalysis Of VAriance) of two or more
balanced or unbalanced factors. The advanced options enable you to choose the confidence
level and to take account of interactions between the factors. Multivariate tests can be
calculated.
In this section:
Description
Dialog box
Results
Example
References
Description
The MANOVA uses the same conceptual framework as the ANOVA. The main difference comes
from the nature of the dependent variables: instead of one, we can study many of them. With
the MANOVA, explanatory variables are often called factors. Effects of factors are estimated on
a combination of several response variables.
The advantage of the MANOVA as opposed to several simultaneous ANOVA lies in the fact that
it takes into account correlations between response variables which results in a richer use of the
information contained in the data.
The MANOVA tests the presence of significant differences among combinations of levels of
factors on several response variables. MANOVA also enables the simultaneous tests of all
hypotheses tested by an ANOVA and is more likely to detect differences between levels of
factors.
Furthermore, the computation of several ANOVA instead of one MANOVA increases the Type I
error which is the probability to reject wrongly the null hypothesis.
The potential covariation between response variables is not taken into account with several
ANOVA. Instead, the MANOVA is sensitive to both the difference of averages between levels of
factors and the covariation between explanatory variables. And a potential correlation between
response variables is more likely to be detected when these variables are studied together as it
is the case with a MANOVA.
Let’s consider as an illustrative example a two-way MANOVA. The model is written as followed:
yijk = μ + αi + βj + αβij + ϵijk (1)
Modeling data 383 MANOVA

where yijk is the kth observation of the ith level of A and jth level of B, ϵ is the error of the
model.
The hypotheses used in a MANOVA are identical to those used in linear regression: errors ϵ
Durbin Watson test.
Interactions
Balanced and unbalanced MANOVA
We talk of balanced MANOVA when the numbers of categories are equal for all combination of
factors. When the numbers of all categories for one of the combination of factors are not equal,
then the MANOVA is said to be unbalanced. XLSTAT can handle both cases.
Nested effects
not crossed with each machine but rather only runs one machine.
Nested effects are automatically treated in the XLSTAT MANOVA.

Constraints
matrix and possibly to transform the other columns. The strategy taken in XLSTAT is the
following:
a1=0: the parameter for the first category is null. This choice allows us to force the effect of the
Moreover, the number of observations should be equal at least to the sum of the number of
dependent variables and the number of factors and interactions included in the model (+1).
Multivariate tests
One of the main application of the MANOVA is multivariate comparison testing where
parameters for the various categories of a factor are tested to be significantly different or not.
For example, in the case where four treatments are applied to plants, we want to know if
treatments have a significant effect and also if treatments have different effects.
Numerous tests have been proposed to compare means of each category. Most of them rely on
the relationships that exist between the error matrix E and the matrix symbolizing the tested
hypotheses H that is the eigenvalues of the matrix E −1 H . XLSTAT provides the main tests
including:
Wilks Lambda test: the likelihood ratio test statistic also known as Wilks Lambda (1932) is
given by:
m
1
Lambda = ∏
i=1
1 + λi
The null hypothesis is rejected for small values of Lambda, indicating that the error E is small
compared to the total SSCP matrix E + H . This test is the most frequently used.
Hotelling-Lawley’s Trace test:

m
THL = ∑ λi = T race(E −1 H)
i=1
A large H compared to E indicates a larger trace. Hence, the null hypothesis of no effects
i0073 rejected for large values of THL . This test is efficient if all factors have exactly two levels.

Pillai’s Trace test:
m
λi
TP = ∑ = Trace((E + H)−1 H)
i=1
1 + λi
As with Hotelling-Lawley’s trace, the null hypothesis is rejected for large values of Tp , indicating
a large H relative to E . This test is efficient if all samples have the same number of
observations.
Roy’s greatest root test:
λmax = max1≤i≤m λi
The computed p-value for this test is always smaller than from other tests. Roy’s test is a
powerful but not robust test. For this reason, it’s not recommended.
Dialog box
observations.
General tab:
Select the response variable(s) you want to model. If several variables have been selected,
XLSTAT carries out calculations for each of the variables separately. If a column header has

Select the qualitative explanatory variables (the factors) in the Excel worksheet. The selected
data may be of any type, but numerical data will automatically be considered as nominal. If the
Options tab:
Default value: 95.
Wilks: Activate this option if you want to run Wilks Lambda test.
Hotelling-Lawley: Activate this option if you want to run Hotelling- Lawley’s trace test.
Pillai: Activate this option if you want to run Pillai’s trace test.
Roy: Activate this option if you want to run Roy’s greatest root test.
Missing data tab:
Do not allow missing values observations: Activate this option to avoid missing values.

Outputs tab:
selected.
SSCP matrices: Activate this option to display the SSCP matrices for factors and interactions.
Results
frequencies.
SSCP matrices: These tables are displayed to give a general view of the effects of the factors
and interactions between factors.
When a k-way MANOVA is applied and the corresponding option is enabled, the results of the
multivariate tests are displayed. The associated statistics, the degrees of freedom and the p-
values are displayed.
Example
A tutorial on one-way MANOVA is available on the Addinsoft website:
http://www.xlstat.com/demo-mano.htm
References
Barker H. R. & Barker B. M. (1984). Multivariate analysis of variance (MANOVA): a practical
guide to its use in scientific decision-making., University of Alabama Press.
Gentle, J. E., Härdle W. K. & Mori Y. (2012 ). Handbook of computational statistics: concepts
and methods., Springer Science & Business Media.
Hand D ;J. & Taylor C.C. (1987). Multivariate analysis of variance and repeated measures: a
practical approach for behavioural scientists., Chapman & Hall.
Taylor, A. (2011). Multivariate Analyses of variance with manova and GLM.

psy.mq.edu.au/psystat/documents/Multivariate.pdf
Zetterberg, P. (2013). Effects of unbalancedness and heteroscedasticity on two way MANOVA.,

Department of statistics, Stockholm University.

Logistic regression
Use logistic regression to model a binary, ordinal or polytomous variable using quantitative
and/or qualitative explanatory variables.
In this section:
Description
Dialog box
Results
Example
References
Description
Logistic regression is a frequently-used method as it enables binary variables, the sum of binary
variables, polytomous variables (variables with more than two categories) or ordinal variables
(polytomous variables with ordered values) to be modeled. It is frequently used in the medical
domain (whether a patient will get well or not), in sociology (survey analysis), epidemiology and
medicine, in quantitative marketing (whether or not products are purchased following an action)
and in finance for modeling risks (scoring).
The principle of the logistic regression model is to link the occurrence or non-occurrence of an
event to explanatory variables. For example, in the phytosanitary domain, we are seeking to find
out from which dosage of a chemical agent an insect will be neutralized.
Models
Logistic and linear regression belong to the same family of models called GLM (Generalized
Linear Models): in both cases, an event is linked to a linear combination of explanatory
variables.
For linear regression, the dependent variable follows a normal distribution N (µ, s) where µ is a
linear function of the explanatory variables. For logistic regression, the dependent variable, also
called the response variable, follows a Bernoulli distribution for parameter p (p is the mean
probability that an event will occur) when the experiment is repeated once, or a Binomial(n, p)
distribution if the experiment is repeated n times (for example the same dose tried on n insects).
The probability parameter p is here a linear combination of explanatory variables.
The must common functions used to link probability p to the explanatory variables are the
logistic function (we refer to the Logit model) and the standard normal distribution function (the
Probit model). Both these functions are perfectly symmetric and sigmoid: XLSTAT provides two
other functions: the complementary Log-log function is closer to the upper asymptote. The
Gompertz function is on the contrary closer the axis of abscissa.
Modeling data 389 Logistic regression

The analytical expression of the models is as follows:
exp(βX)
Logit: p= 1+exp(βX)
βX 2
1
Probit: p= 2π
∫−∞ exp[ −x2 ]dx
Complementary Log-log: p = 1 − exp[− exp(βX)]
Gompertz: p = exp[−exp(−βX)]
Where βX represents the linear combination of variables (including constants).
The knowledge of the distribution of the event being studied gives the likelihood of the sample.
To estimate the βX parameters of the model (the coefficients of the linear function), we try to
maximize the likelihood function. Contrary to linear regression, an exact analytical solution does
not exist. So an iterative algorithm has to be used. XLSTAT uses a Newton-Raphson algorithm.
The user can change the maximum number of iterations and the convergence threshold if
desired.
Separation problem
In the example above, the treatment variable is used to make a clear distinction between the
positive and negative cases.
Treatment 1 Treatment 2
Response + 121 0
Response - 0 85
In such cases, there is an indeterminacy on one or more parameters for which the variance is
as high as the convergence threshold is low which prevents a confidence interval around the
parameter from being given. To resolve this problem and obtain a stable solution, Firth (1993)
proposed the use of a penalized likelihood function. XLSTAT offers this solution as an option
and uses the results provided by Heinze (2002). If the standard deviation of one of the
parameters is very high compared with the estimate of the parameter, it is recommended to
restart the calculations with the "Firth" option activated.
Confidence interval
In most software, the calculation of confidence intervals for parameters is as for linear
regression assuming that the parameters are normally distributed. XLSTAT also offers the
alternative "profile likelihood " method (Venzon and Moolgavkar, 1988). This method is more
reliable as it does not require the assumption that the parameters are normally distributed.
Being iterative, however, it can slow down the calculations.
The multinomial logit model

The multinomial logit model, that correspond to the case where the dependent variable has
more than two categories, has a different parameterization from the logit model because the
response variable has more than two categories. It focuses on the probability to choose one of
the J categories knowing some explanatory variables.
The analytical expression of the model is as follows:
p(y = j∣xi )
log( ) = αj + βj Xi
p(y = 1∣xi )
where the category 1 is called the reference or control category. All obtained parameters have
to be interpreted relatively to this reference category.
The probability to choose category j is:
exp(αj + βj Xi ))
p(y = j∣Xi ) = J
1 + ∑k=2 exp(αk + βk Xi )
For the reference category, we have:
1
p(y = 1∣xi ) =
1+ ∑Jk=2 exp(αk + βk Xi )
The model is estimated using a maximum likelihood method; the log-likelihood is as follows:
n J
l(α, β) = ∑ ∑ yij log(p(y = j∣xi ))
i=1 j=1
To estimate the α and β parameters of the model (the coefficients of the linear function), we try
to maximize the likelihood function. Contrary to linear regression, an exact analytical solution
does not exist. XLSTAT uses the Newton-Raphson algorithm to iteratively find a solution.
Some results that are displayed for the logistic regression are not applicable in the case of the
multinomial case.
The ordinal logit model
The ordinal logit model, that corresponds to the case where the dependent variable has more
than two categories and where these categories are ordered in a specific way, has a different
parameterization from the logit model. It focuses on the probability to choose one of the J
categories knowing some explanatory variables. It is based on the cumulative probabilities and
the cumulative logit method.
The analytical expression of the model is as follows (when the logit link function is used):
p(y ≤ j∣xi )
log( ) = αj + βYi
p(y > j∣xi )
We can see that there is one intercept for each category and only one set of beta coefficients.
The probability to choose category j or a lower category is:

exp(αj + βXi )
p(y ≤ j∣xi ) =
1 + exp(αj + βXi )
This probability is equal to 1 when j=J. We can obtain the probability to choose category j:
p(y = j∣xi ) = p(y ≤ j∣xi ) − p(y ≤ j − 1∣xi )

The model is estimated using a maximum likelihood method; the log-likelihood is as follows:
n J
f l(α, β) = ∑ ∑ yij log(p(y ≤ j∣xi ) − p(y ≤ j − 1∣xi ))
i=1 j=1
To estimate the p β parameters and the (J-1) a parameters of the model (the coefficients of the
linear function), we try to maximize the likelihood function. Contrary to linear regression, an
exact analytical solution does not exist. XLSTAT uses the Newton-Raphson algorithm to
iteratively find a solution.
The logit and probit link functions are available in XLSTAT.
Some results that are displayed for the logistic regression are not applicable in the case of the
ordinal case.
Marginal effects
The calculation of marginal effects after a binomial logistic regression allows calculating the
influence on the probability of occurrence of the event of interest, of an explanatory variable at a
given point in the space of explanatory variables. XLSTAT provides the value of the marginal
effects at the point corresponding to the means of the explanatory variables. The marginal
effects are mainly of interest when compared to each other. By comparing them, one can
measure the relative impact of each variable at the given point. The impact can be interpreted
as the influence of a small variation. A confidence interval calculated using the Delta method is
displayed. XLSTAT provides these results for both quantitative and qualitative variables,
whether simple factors or interactions. For qualitative variables, the marginal effect indicates the
impact of a change in category (from the first category to the category of interest).
Percentage of well-classified observations and ROC curve
XLSTAT can display the classification table (also called the confusion matrix) used to calculate
the percentage of well-classified observations for a given cutoff point. Typically, for a cutoff value
of 0.5, if the probability is less than 0.5, the observation is considered as being assigned to
class 0, otherwise it is assigned to class 1.
The ROC curve can also be displayed. The ROC curve (Receiver Operating Characteristics )
displays the performance of a model and enables a comparison to be made with other models.
The terms used come from signal detection theory.

the model than a negative event. For an ideal model, AUC=1 and for a random model, AUC =
0.5. A model is usually considered good when the AUC value is greater than 0.7. A well-
discriminating model must have an AUC of between 0.87 and 0.9. A model with an AUC greater
than 0.9 is excellent.
Hosmer-Lemeshow Test
The Hosmer-Lemeshow test is a goodness of fit test for a binary logit model. It uses a statistic
that follows a Chi-square distribution.
The calculation of this statistic is separated into several steps:
The sample is ordered according to the probabilities calculated from the model in a
decreasing way.
The sample is divided into k parts of equal size.

The Hosmer-Lemeshow statistic is calculated using the following formula:
k
O(i) − ni P (i)
SHL = ∑
i=1
ni P (i)(1 − P (i))
with ni being the group size, O(i) the number of times y = 1 in group i and P(i) the mean
probability obtained from the model for group i.
This statistic follows a Chi-squared distribution with k-2 degrees of freedom. XLSTAT uses k=10.
When this statistic is large and the p-value is small, then this shows a lackness of fit of the
model (poor fit).
Dialog box
observations.
General tab:
Dependent variables:
Response variable(s): Select the response variable(s) you want to model. If several variables
Response type: Choose the type of response variable you have selected:

Binary variable: If you select this option, you must select a variable containing exactly
two distinct values. If the variable has value 0 and 1, XLSTAT will see to it that the high
probabilities of the model correspond to category 1 and that the low probabilities
correspond to category 0. If the variable has two values other than 0 or 1 (for example
Yes/No), the lower probabilities correspond to the first category and the higher
probabilities to the second.
Sum of binary variables: If your response variable is a sum of binary variables, it must
be of type numeric and contain the number of positive events (event 1) amongst those
observed. The variable corresponding to the total number of events observed for this
observation (events 1 and 0 combined) must then be selected in the "Observation
weights" field. This case corresponds, for example, to an experiment where a dose D (D is
the explanatory variable) of a medicament is administered to 50 patients (50 is the value
of the observation weights) and where it is observed that 40 get better under the effects of
the dose (40 is the response variable).
Multinomial: if your response variable has more than two categories, a multinomial logit
model is estimated. A new field called "control category" appears. You can select the
reference category.
Ordinal: if your response variable has ordered categories, an ordinal logit model is
estimated. The reference category is the lower category. The type of data has to be
numeric with a limited number of categories.
Explanatory variables:
data selected may be of the numerical type. If the variable header has been selected, check
that the "Variable labels" option has been activated.
been activated.
Method: Choose the logistic regression method to be used:
Classic: Activate this option to calculate a logistic regression on the variables selected in
the previous operations.
PCR: Activate this option to calculate a logistic regression on the principal components
extracted from the selected explanatory variables.
Model: Choose the type of function to use (see description).

Observation weights: This field must be entered if the "sum of binary variables" option has
been chosen. Otherwise, this field is not active. If a column header has been selected, check
Regression weights: Activate this option if you want to weight the influence of observations to
adjust the model. If you do not activate this option, the weights will be considered as 1. Weights
must be greater than or equal to 0. If a column header has been selected, check that the
"Variable labels" option is activated.
Control category: In the multinomial case, you need to choose which category is the control.
Options tab:
be ignored.
Firth’s method: Activate this option to use Firth's penalized likelihood (see description). This
option is only available for binary logit model.
Default value: 95.
Stop conditions:
Iterations: Enter the maximum number of iterations for the Newton-Raphson algorithm.
The calculations are stopped when the maximum number of iterations has been
exceeded. Default value: 100.

Convergence: Enter the maximum value of the evolution of the log of the likelihood from
one iteration to another which, when reached, means that the algorithm is considered to
have converged. Default value: 0.000001.
Options specific to the PCR regression
Options specific to the logistic regression
Model selection: Activate this option if you want to use one of the five selection methods
provided:
Criterion: Choose the criterion from the following list: Likelihood, LR (likelihood ratio),
Score, Wald, Akaike's AIC, Schwarz's SBC.
Note: although XLSTAT uses a very powerful algorithm to reduce the number of calculations
required as much as possible, this method can require a long calculation time. The method is
only available for binary logit model.
complete model.

Validation tab:
model.
then be specified.
Prediction tab:
to data.
Missing data tab:
computations.

Outputs tab:
selected.
Correlations: Activate this option to display the explanatory variables correlation matrix.
for the model.
Hosmer-Lemeshow test: Activate this option to display the results of the Hosmer-Lemeshow
test.
Type III analysis: Activate this option to display the type III analysis of variance table.
Model coefficients: Activate this option to display the table of coefficients for the model.
Optionally, confidence intervals of type "profile likelihood " can be calculated (see description).
Marginal effects: Activate this option if you want the marginal effects at the means to be
displayed.
Equation: Activate this option to display the equation for the model explicitly.
the observations.
Multiple comparisons: This option is only active if qualitative explanatory variables have been
selected. Activate this option to display the results of the comparison tests.
Probability analysis: If only one explanatory variable has been selected, activate this option so
that XLSTAT calculates the value of the explanatory variable corresponding to various
probability levels.
Classification table: Activate this option to display the posterior observation classification table
using a cutoff point to be defined (default value 0.5).
Options specific to the classical PCR logistic regression:
Factor loadings: Activate this option to display the coordinates of the variables (factor loadings
). The coordinates are equal to the correlations between the principal components and the initial
variables for normalized PCA.
Components/Variables correlations: Activate this option to display correlations between the

principal components and the initial variables.

Factor scores: Activate to display the coordinates of the observations (factor scores ) in the
new space created by PCA. The principal components are afterwards used as explanatory
variables in the regression.
Charts tab:

Predictions: Activate this option to display the regression curve.
Confidence intervals: Activate this option to have confidence intervals displayed

on charts (1) and (4).
Options specific to the PCR logistic regression:
components and initial variables.
Vectors: Activate this option to display the input variables in the form of vectors.
new space.
Labels: Activate this option to have observation labels displayed on the biplots. The
Colored labels: Activate this option to show variable and observation labels in the same color
as the corresponding points. If this option is not activated the labels are displayed in black color.


Results
XLSTAT displays a large number tables and charts to help in analyzing and interpreting the
results.
Summary statistics: This table displays descriptive statistics for all the variables selected. For
the quantitative variables, the number of missing values, the number of non-missing values, the
mean and the standard deviation (unbiased) are displayed. For qualitative variables, including
the dependent variable, the categories with their respective frequencies and percentages are
displayed.
Correspondence between the categories of the response variable and the probabilities:
This table shows which categories of the dependent variable have been assigned probabilities 0
and 1. It is only available for binary dependent variables.
Goodness of fit coefficients: This table displays a series of statistics for the independent
model (corresponding to the case where the linear combination of explanatory variables
reduces to a constant) and for the adjusted model.
Observations: The total number of observations taken into account (sum of the weights
of the observations);
Sum of weights: The total number of observations taken into account (sum of the
weights of the observations multiplied by the weights in the regression);
DF: Degrees of freedom;
-2 Log(Like.): The logarithm of the likelihood function associated with the model;
R² (McFadden): Coefficient, like the R²^, between 0 and 1 which measures how well the
model is adjusted. This coefficient is equal to 1 minus the ratio of the likelihood of the
adjusted model to the likelihood of the independent model;
R²(Cox and Snell): Coefficient, like the R²^, between 0 and 1 which measures how well
the model is adjusted. This coefficient is equal to 1 minus the ratio of the likelihood of the

adjusted model to the likelihood of the independent model raised to the power 2/Sw,
where Sw is the sum of weights.
R²(Nagelkerke): Coefficient, like the R²^, between 0 and 1 which measures how well the
model is adjusted. This coefficient is equal to ratio of the R² of Cox and Snell, divided by 1
minus the likelihood of the independent model raised to the power 2/Sw;
AIC: Akaike’s Information Criterion;
SBC: Schwarz’s Bayesian Criterion.
Iterations: Number of iterations before convergence.
Test of the null hypothesis H0: Y=p0: The H0 hypothesis corresponds to the independent
model which gives probability p0 whatever the values of the explanatory variables. We seek to
check if the adjusted model is significantly more powerful than this model. Three tests are
available: the likelihood ratio test (-2 Log(Like.)), the Score test and the Wald test. The three
statistics follow a Chi²^ distribution whose degrees of freedom are shown.
Type III analysis: This table is only useful if there is more than one explanatory variable. Here,
the adjusted model is tested against a test model where the variable in the row of the table in
question has been removed. If the probability Pr > LR is less than a significance threshold which
has been set (typically 0.05), then the contribution of the variable to the adjustment of the model
is significant. Otherwise, it can be removed from the model.
For PCR logistic regression, the first table of the model parameters corresponds to the
parameters of the model which use the principal components which have been selected. This
table is difficult to interpret. For this reason, a transformation is carried out to obtain model
parameters which correspond to the initial variables.
Model parameters:
Binary case: The parameter estimate, corresponding standard deviation, Wald's Chi²^,
the corresponding p-value and the confidence interval are displayed for the constant and
each variable of the model. If the corresponding option has been activated, the "profile
likelihood " intervals are also displayed.
Multinomial case: In the multinomial case, (J-1)*(p+1) parameters are obtained, where J
is the number of categories and p is the number of variables in the model. Thus, for each
explanatory variable and for each category of the response variable (except for the
reference category), the parameter estimate, corresponding standard deviation, Wald's
Chi²^, the corresponding p-value and the confidence interval are displayed. The odds-
ratios with corresponding confidence interval are also displayed.
Ordinal case: In the ordinal case, (J-1)+p parameters are obtained, where J is the
number of categories and p is the number of variables in the model. Thus, for each
explanatory variable and for each category of the response variable, the parameter
estimate, corresponding standard deviation, Wald's Chi²^, the corresponding p-value and
the confidence interval are displayed.

The equation of the model is then displayed to make it easier to read or re-use the model. It is
only displayed for the binary case.
standardized coefficients has value 0 (this can easily be seen on the chart of standardized
The marginal effects at the point corresponding to the means of the explanatory variables are
then displayed. The marginal effects are mainly of interest when compared to each other. By
comparing them, one can measure the relative impact of each variable at the given point. The
impact can be interpreted as the influence of a small variation. A confidence interval calculated
using the Delta method is displayed. XLSTAT provides these results for both quantitative and
qualitative variables, whether simple factors or interactions. For qualitative variables, the
marginal effect indicates the impact of a change in category (from the first category to the
category of interest).
variable, the model's prediction, the same values divided by the weights, the standardized
residuals and a confidence interval. In the ordinal case, the probability associated to each
category is displayed.
This classification table displays the table showing the number of well-classified and miss-
classified observations for both categories. The sensitivity, specificity and the overall percentage
of well-classified observations are also displayed. If a validation sample has been extracted, this
table is also displayed for the validation data.
ROC curve: The ROC curve is used to evaluate the performance of the model by means of the
area under the curve (AUC) and to compare several models together (see the description
Comparison of the categories of the qualitative variables: If one or more explanatory

qualitative variables have been selected, the results of the equality tests for the parameters
taken in pairs from the different qualitative variable categories are displayed.
If only one quantitative variable has been selected, the probability analysis table allows to see
to which value of the explanatory variable corresponds a given probability of success.
Example
Tutorials on how to use logistic regression and the multinomial logit model are available on the
Addinsoft website:
- Logistic regression: http://www.xlstat.com/demo-log.htm
- Multinomial logit model: http://www.xlstat.com/demo-logmult.htm
- Ordinal logit model: http://www.xlstat.com/demo-logord.htm

References
Agresti A. (2002 ). Categorical Data Analysis, 2-nd Edition. John Wiley and Sons, New York.
Firth D (1993). Bias reduction of maximum likelihood estimates. Biometrika, 80, 27-38.
Furnival G. M. and Wilson R.W. Jr. (1974). Regressions by leaps and bounds. Technometrics,
16 (4), 499-511.
Heinze G. and Schemper M. (2002). A solution to the problem of separation in logistic

regression. Statistics in Medicine, 21, 2409-2419.
Hosmer D.W. and Lemeshow S. (2000). Applied Logistic Regression, Second Edition. John
Wiley and Sons, New York.
Lawless J.F. and Singhal K. (1978). Efficient screening of nonnormal regression models.
Tallarida R.J. (2000). Drug Synergism & Dose-Effect Data Analysis, CRC/Chapman & Hall,
Boca Raton.
Venzon, D. J. and Moolgavkar S. H. (1988). A method for computing profile likelihood based
confidence intervals. Applied Statistics, 37, 87-94.

Log-linear regression
Use this tool to fit a log-linear regression model with three possible probability distributions
(Poisson, Gamma, and Exponential).
In this section:
Description
Dialog box
Results
Example
References
Description
The log-linear regression is used to model data by a log-linear combination of the model
parameters and the covariates (qualitative or quantitative). Furthermore, we assume that the
data (response variable) are distributed either according to a Poisson, Gamma or exponential
distribution.
The log-linear regression model
Denote by Y the response variable vector, β the vector of model parameters and X the matrix
of the p covariates. The first column of X is composed by a vector of 1s that deals with the
intercept of the model. The log-linear model is given by:
′
E(Y ∣X) = eβ X
According to the previous equation, we directly obtain:
log[E(Y ∣X)] = β ′ X
Inference of the model parameters
If we assume that the variables Yi are independent from the vector of covariates Xi , the model
parameters can be estimated by maximizing the likelihood. Whatever the probability distribution
(Poisson, Gamma, Exponential), the likelihood function is convex and can be maximized using a
Newton-Raphson algorithm.
Dialog box
Modeling data 405 Log-linear regression

observations.
General tab:
been activated.
Offset: Activate this option if you want to include an offset. This option is only available for the
Poisson distribution.

Distribution: Select the probability distribution (Poisson, Gamma or Exponental).
Regression weights: Activate this option if you want to weight the influence of observations to
adjust the model. If you do not activate this option, the weights will be considered as 1. Weights
must be greater than or equal to 0. If a column header has been selected, check that the
Options tab:
be ignored.
Default value: 95.
Fixed intercept: Activate this option to set the intercept (or constant) of the model to a given
value. Then enter the value in the corresponding field (0 by default).
Stop conditions:

provided:
complete model.
Criterion: Choose the criterion from the following list: Likelihood, LR (likelihood ratio),
Score, Wald, Akaike's AIC, Schwarz's SBC.
Validation tab:
model.
then be specified.
Prediction tab:

to data.
Missing data tab:
computations.
Outputs tab:
selected.
for the model.
the observations.
Overdispersion test: Activate this option to test the overdispersion (only for the Poisson
regression).
Charts tab:

Regression charts: Activate this option to display regression charts.
Confidence intervals: Activate this option to display confidence intervals.
Prediction chart: Activate this option to display the prediction chart.
Confidence intervals: Activate this option to display confidence intervals.
Results
displayed.
and 1. It is only available for binary dependent variables.

Deviance: Value of the deviance criterion for the adjusted model and the independent
model;
Pearson Chi-square : Value of the Pearson Chi-square for the adjusted model and the
independent model;
Nullity test: These results allow checkinging whether fitted model is significantly more powerful
than the independent model. Three tests are available: the likelihood ratio test (-2 Log(Like.)),
the Score test and the Wald test. These three statistics follow a Chi-square distribution which
degrees of freedom are shown.
is significant. Otherwise, it can be removed from the model
Model parameters: For the constant and each variable in the model, the parameter estimate,
its corresponding standard deviation, the Wald's Chi- square and the corresponding p-value and
the confidence interval are displayed in this table.
Example
A tutorial on how to use log-linear regression is available on the Addinsoft website at:
http://www.xlstat.com/demo-LogLinReg.htm
References
Ter Berg P. (1980). On the loglinear Poisson and Gamma model. Astin Bulletin, 11, 35-40.

Quantile regression
Use quantile regression to model a quantitative response variable depending on quantitative or
qualitative explanatory variables. Furthermore, quantile regression makes it possible to look
beyond classical regression or ANCOVA, by extending the analysis limited to expected values
to the entire distribution using quantiles.
In this section:
Description
Dialog box
Results
Example
References
Description
Quantile regression keeps growing in importance and interest since it was introduced by
Koenker and Basset in 1978. The method popularity among the practitioners and also
researchers’ community is without doubt due to its peculiarity to provide them a realistic
framework to perform their studies.
Indeed, by nature, quantile regression enables to work with a wide range of distributions,
without being subject to any restrictions such as normality assumption, thus contrasting with
usual regression.
As a consequence of that flexibility, many fields find great interest in quantile regression
including Economics, Social Sciences, Environments, Biometrics and Behavioral Sciences,
among others.
The main contributions on the subject may be found in the References section.
Model
As in the ANCOVA framework, the dependent variable Y is quantitative while the set of
predictors X can be composed not only with quantitative variables (including interactions
between quantitative variables) but also with factors (qualitative variables, interactions between
qualitative variables and interactions between quantitative and qualitative variables).
Nevertheless, it’s essential to keep in mind that, unlike ANCOVA, no hypotheses on the errors
distribution is required.
Modeling data 412 Quantile regression

Problem
The α -th quantile, α ∈ [0, 1], is defined as the value y s.t. : P (Y = y) = α . Introducing the
cumulative distribution function F , the quantile function Q is its inverse:
Q(α) = F −1 (α) = inf{y : F (y) > α}
The mean μ of the random variable Y can be characterized as the value:
μ = argmin{c : E[(Y − c)2 ]}

(1)
that minimizes the squared sum of deviations.
In the same way, the following assertion on the α -th quantile, qα , holds :
qα = argmin{c : E[ρα (Y − c)]}

(2)
where ρα denotes the function :
ρα = [α − I{y<0} ]y
= [(1 − α)I{y<0} + αI{y>0} ]∣y∣
qα thus minimizes a weighted sum of absolute deviations.
Coming back to our context in which Y is a dependent variable and X a set of explanatory
variables and considering the linear framework, the minimization problem (1) becomes:
β^α = argmin {βα : E [(Y − xTi βα ) ]}

2
In the same manner, (2) turns to :
β^α = argmin {βα : E [ρα (Y − Xβα )]}
where the parameters and the associated estimators depend on α .
Instead of considering the conditional mean of the classical regression problem, the quantile
regression problem consists in estimating conditional quantiles.

Dialog box
observations.
General tab:
been activated.

Quantile(s) :
Selection: Activate this option to work with a quantile selection. Then, select the cells
containing the order α, α ∈ [0, 1], of the α -th quantiles of interest in the Excel worksheet.
Process: Activate this option to get the entire quantile process. The number of calculated
quantiles is specified thanks to an heuristic formula depending (in an increasing way) on the
number of observations and regressors. The resulting quantile orders α are then uniformly
distributed on [0, 1].
Options tab:
Algorithm: 3 algorithms are available to compute the quantile regression coefficients:
Simplex: Select this option to compute the Barrodale and Roberts algorithm based on
simplex methods.
Interior point: Select this option to compute the predictor-corrector Mehrotra algorithm
based on interior point methods.
Smoothing function: Select this option to compute the Clark and Osborne algorithm
based on an approximation of the objective function with a smooth function whose
minimization provides asymptotically the same results than the initial function. This
p
algorithm is very competitive, especially when n > 0.05.
Stop criterion: The selected algorithm stops as soon as one of these events occurs:
End of the algorithm OR
The maximum number of iterations specified in Iterations has been exceeded. Default
value: 100. OR

The evolution of the results from one iteration to another is inferior to the Convergence
value, the algorithm is considered to have converged. Default value: 0.000001.
Confidence Interval (%): Enter the percentage range of the confidence interval to use for the
Default value: 95.
Constraints: When qualitative explanatory variables have been selected, you can choose the
constraints used on these variables:
to 0.
to 0.
A priori error type: Activate this option to precise, if possible, the error. Then, select the type:
homogeneous error (i.i.d.), heterogeneous (i.n.i.d.) or dependent (n.i.i.d.) (for instance
autocorrelated ones). This option will have an impact on the computation of the covariance
matrix of the coefficients and their confidence intervals.
Validation tab:
model.
Random: The observations are randomly selected. The "Number of observations" N

must then be specified.

Prediction tab:
Prediction: activate this option if you want to select data to use them in prediction mode. If
to data.
Quantitative: activate this option to select the quantitative explanatory variables. The first row
Qualitative: activate this option to select the qualitative explanatory variables. The first row
Missing data tab:
computations.
Outputs tab:
selected.
For the quantitative variables, the number of missing values, the number of non-missing values,
the mean and the standard deviation (unbiased) are displayed. For qualitative variables,
including the dependent variable, the categories with their respective frequencies and
percentages are displayed.
Quantile correlations: Activate this option to display the variables quantile correlation matrix.
Covariance matrix: Activate this option to display the covariance matrix of the quantile
regression coefficients.
for the model.

Model significance test: Activate this option to test the significance of the model. More
precisely, the hypothesis of the complete model is tested against the hypothesis of the model
made up of the intercept. 3 tests are available:
LR: Activate this option to compute the Likelihood Ratio test,
LM: Activate this option to compute the Lagrange Multiplier test,
Wald: Activate this option to compute the Wald test.
Model equation: Activate this option to display the model equation.
Predictions and residuals: Activate this option to display the predictions and the residuals for
all the observations.
Computations based on:
Asymptotic distribution: Activate this option to compute the covariance matrix and the
confidence intervals thanks to the theoretical asymptotic distribution of the coefficients.
This computation will take into account the A priori error type in the Options tab if
informed.
Resampling (Bootstrap): Activate this option to compute the empirical covariance matrix
and the confidence intervals thanks to resampling (Bootstrap). Then, inform B = with an
integer value to indicate how many samples will be simulated to compute the estimations.
· Hall and Sheather bandwidth: Activate this option to compute the covariance matrix and the
confidence intervals using Hall and Sheather bandwidth (O(n−1/3 )).
· Bofinger bandwidth: Activate this option to compute the covariance matrix and the
confidence intervals using Bofinger bandwidth (O(n−1/5 )).
Charts tab:
Regression charts: Activate this option to display the regression charts:
Predictions and residuals: Activate this option to display the following charts:
Explanatory variable versus standardized residuals: this chart is displayed only if there is
one explanatory variable and if that variable is quantitative.
Dependent variable versus standardized residuals.
Predictions versus observed values.
Results

If the quantile process is selected in the General tab, then a global table is displayed, summing
up for each computed q-th quantile, the associated coefficients value.
Charts representing the behavior of these coefficients with respect to the value of a are
displayed for a better visualization of the results
If a quantile selection is chosen in the General tab, then the following results are displayed:
frequencies.
Then for each quantile, the following results are displayed:
for the model:

part).
Rα2 : The determination coefficient for the model. This coefficient, whose value is between
0 and 1. Its value is defined by:
SARα
Rα2 = 1 −
SATα
n
∑ ρα (yi − xTi β^α )
i=1
=1− n
∑ ρα (yi − β^0,α )
i=1
where y^α is the α-th empirical quantile of the observations of the dependent variable Y .
RASα is the Residual Absolute Sum of weighted differences
T ASα is the Total Absolute Sum of weighted differences.
The Rα2 is interpreted as the proportion of the variability of the dependent variable explained by
the model. The nearer Ra2 is to 1, the better is the model. The problem with the Rα 2 is that it

2 2
Adjusted Rα : The adjusted determination coefficient for the model. The adjusted Rα can
2
be negative if the Rα is near to zero. Its value is defined by:
W −1
adjustedR2 α = 1 − (1 − Rα2 )
W −p−1
2
The adjusted Rα is a correction to the Rα2 which takes into account the number of variables
used in the model.
M RASα : The Mean Residual Absolute Sum (MRAS) is defined by :

1
M RASα = RASα
W −p
RM RASα : the square Root of the Mean Residual Absolute Sum (RMRAS).
M AP Eα : The Mean Absolute Percentage Error is calculated as follows:

n
100 ∣ yi − yî,α ∣
M AP Eα = ∑ wi ∣∣ ∣
∣
W i=1 ∣ yi ∣
Cpα : Mallows Cp coefficient is defined by :

RASα
Cpα = + 2p − W
^α
σ
where RASα is the Residual Absolute Sum of weighted differences and σ ^ α denotes the
variance estimator of the residuals. The nearer Cp is to p, the less the model is biaised.
AICα : Akaike’s Information Criterion is defined by:
AICα = W ln ( ) + 2p
RASα
W
criterion.
SBCα : Schwarz’s Bayesian Criterion is defined by:
SBCα = W ln ( ) + ln(W )p
RASα
W
minimize it.
P Cα : Amemiya’s Prediction Criterion is defined by :

(1 − Rα2 )(W + p)
P Cα =
W −p
2 to take account of the
This criterion, proposed by Amemiya (1980) is used, like the adjusted Rα
The table of model parameters displays the estimate of the parameters, the corresponding
standard error, as well as the confidence interval.
The model significance table is used to evaluate the explanatory power of the explanatory
variables. The explanatory power is evaluated by comparing the fit of the final model with the fit
of the rudimentary model including only a constant equal to the quantile of the dependent
variable.
variable, the model's prediction, the residuals, the confidence. Two types of confidence interval
are displayed: a confidence interval around the mean (corresponding to the case where the
interval is always greater than the first, the random values being larger. If the validation data
have been selected, they are displayed at the end of the table.
Example
A tutorial on how to run a quantile regression is available on the Addinsoft website at:
http://www.xlstat.com/demo-quantilereg.htm
References
Barrodale I. and Roberts F.D.K. (1974). An improved algorithm for discrete L1 linear
approximation. SIAM Journal on Numerical Analysis 10 , 839-848.
Chen C. (2007). A finite smoothing algorithm for quantile regression. Journal of Computational
and Graphical Statistics, 16 (1), 136-164.

Clark D.I. and Osborne, M.R. (1986). Finite algorithms for Huber’s M-estimator. SIAM J. on
Scientific and Statistical Computing, 7, 72-85.
Davino C., Furno M. and Vistocco D. (2013 ). Quantile Regression: Theory and Applications.
John Wiley & Sons.
Koenker R. (2005). Quantile Regression. Cambridge University Press.
Koenker R. and D’Orey V. (1987). Algorithm AS 229: computing regression quantiles. Journal
of the Royal Statistical Society : Series C (Applied Statistics) 36(3), 383-393.
Koenker R. and Machado J.A.F. (1999). Goodness of Fit and Related Inference Processes for
Quantile Regression.Journal of the American Statistical Association. Vol. 94, n°448,1296-1310.
Mehrotra S. (1992). On the implementation of a primal–dual interior point method. SIAM

Journal on Optimization 2 (4): 575-60.

Cubic splines
This tool allows to fit a cubic spline to using a set of nodes defined by the user.
In this section:
Description
Dialog box
Results
Example
References
Description
A cubic spline is defined as a piecewise function of polynomials of degree 3. Cubic splines are
used in interpolation problems where they are preferred to usual polynomial interpolation
methods, because they allow a compromise between the smoothness of the curve and the
degree of the polynomials.
Cubic splines
A cubic spline S is a piecewise function defined on an interval [a, b] divided into K intervals
[xi−1 , xi ] such that
a = x0 < x1 < … < xK−1 < xK = b
and it is defined by Pi the polynomial of degree 3 on the interval [xi−1 , xi ]. The spline S is
given by:
⎧
⎪
⎪S(t) = P1 (t) if t ∈ [x0 , x1 ]
⎨⋮
⎪
⎪S(t) = P (t) if t ∈ [x
⎩
K K−1 , xK ]
The calculation of the coefficients of the cubic spline involves the derivatives of the polynomials
(for further details see Guillod, 2008).
Dialog box
Modeling data 423 Cubic splines

observations.
General tab:
Y: Select the data corresponding to the ordinates. If the name of the variable is available in the
first position of the data, make sure you activate the "Variable labels" option.
X: Select the data that correspond to the abscissa. If the name of the variable is available in the
first position of the data, make sure you activate the "Variable labels" option.
Optionstab:
Data as nodes: Activate this option to use the data as nodes for the cubic spline.

Number of nodes: Activate this option to select the number of nodes. This nodes are then
equally distributed.
Select the nodes coordinates: If the option is enabled, you have to select the range containing
the coordinates of the nodes.
Prediction tab:
Prediction: Activate this option if you want to select data to use them in prediction mode. If you
to data.
Observations: Select the variables for prediction. The first row must not include variable labels.
Missing data tab:
Outputs tab:
selected.
the observations.
Charts tab:
Spline curve: Activate this option to display the spline curve

Results
Summary statistics: This table displays the descriptive statistics for each element
Coefficients of the cubic spline: for each interval the coefficients of the cubic spline are given
in a table.
Example
An example of the use of cubic splines is available on Addinsoft website:
http://www.xlstat.com/demo-splines.htm
References
Guillod T. (2008). Interpolations, courbes de Bézier et B-splines. Bulletin de la société des
Enseignants Neuchatelois de Sciences, 34.

Nonparametric regression
This tool carries out two types of nonparametric regression: Kernel regression and LOWESS
regression.
In this section:
Description
Dialog box
Results
Example
References
Description
Parametric regression can be used when the hypotheses about the more classical regression
methods cannot be verified or when we are mainly interested in only the predictive quality of the
model and not its structure.
Kernel regression
Kernel regression is a modeling tool which belongs to the family of smoothing methods. Unlike
linear regression which is both used to explain phenomena and for prediction (understanding a
phenomenon to be able to predict it afterwards), Kernel regression is mostly used for prediction.
The structure of the model is variable and complex, the latter working like a filter or black box.
There are many variations of Kernel regression in existence.
As with any modeling method, a learning sample of size nlearn is used to estimate the
parameters of the model. A sample of size nvalid can then be used to evaluate the quality of the
model. Lastly, the model can be applied to a prediction sample of size np red, for which the
values of the dependent variable Y are unknown.
The first characteristic of Kernel Regression is the use of a kernel function, to weigh the
observations of the learning sample, depending on their "distance" from the predicted
observation. The closer the values of the explanatory variables for a given observation of the
learning sample are to the values observed for the observation being predicted, the higher the
weight. Many kernel functions have been suggested. XLSTAT includes the following kernel
functions: Uniform, Triangle, Epanechnikov, Quartic, Triweight, Tricube, Gaussian, and Cosine.
The second characteristic of Kernel regression is the bandwidth associated to each variable. It
is involved in calculating the kernel and the weights of the observations, and differentiates or
rescales the relative weights of the variables while at the same time reducing or augmenting the
impact of observations of the learning sample, depending on how far they are from the
Modeling data 427 Nonparametric regression

observation to predict. The term bandwidth refers to the filtering methods. The lower a given
variable and kernel function, the fewer will be the number of observations to influence the
prediction.
Example: let Y be the dependent variable, and (X1 , X2 , … , Xk ) the k explanatory variables.
For the prediction of yi from observation i (1 ≤ i ≤ nvalid ), given the observation j (1 ≤
j ≤ nlearn ), the weight determined using a Gaussian kernel, with a bandwidth fixed to hl for
each of the Xl variables (l = 1 … k), is given by:
xjl − xil 2
k
exp (− ∑ ( ) )
1
wij =
k k hl
( 2π) ∏ hl l=1
l=1
The third characteristic is the polynomial degree used when fitting the model to the observations
of the learning sample. In the case where the polynomial degree is 0 (constant polynomial), the
Nadaraya-Watson formula is used to compute the ith prediction:
nlearn
∑ wij yj
j=1
yi = nlearn
∑ wij
j=1
For the constant polynomial, the explanatory variables are only taken into account for computing
of the weight of the observations in the learning sample. For higher polynomial degrees
(experience shows that higher orders are not necessary and XLSTAT works with polynomials of
degrees 0 to 2), the variables are used in calculating a polynomial model. Once the model has
been fitted, it is applied to the validation or prediction sample in order to estimate the values of
the dependent variable.
Once the parameters of the model have been estimated, the prediction value is calculated using
the following formulae:
k
1. Degree 1: yi = a0 + ∑ al xlil
l=1
k k k
2. Degree 2: yi = a0 + ∑ al xlil + ∑ ∑ blm xil xim
l=1 l=1 m=1
Notes:
Before we estimate the parameters of the polynomial model, the observations of the
learning sample are previously weighted using the Nadaraya-Watson formula.
For a 1st or 2nd order model, for each observation of the validation and prediction
samples, the polynomial parameters are estimated. This makes Kernel Regression a
numerically intensive method.
Two strategies are suggested in order to restrict the size of the learning sample taken into
account for the estimation of the parameters of the polynomial:

Moving window: to estimate yi , we take into account a fixed number of observations
previously observed. Consequently, with this strategy, the learning sample evolves at
each step.
k nearest neighbours: this method, complementary to the previous, restricts the size of
the learning sample to a given value k .
Details of the kernel functions:
The weight wij computed for observation j , for the estimation of prediction yi , is defined as:
k
K(uijl ) x − xjl
Wij = ∏ where uijl = il
l=1
hl hl
and K is a kernel function. The kernel functions available in XLSTAT are:
Uniform: the kernel function is defined as:

1
K(u) = I
2 ∣u∣≤1
Triangle: the kernel function is defined as:
K(u) = (1 − ∣u∣) I∣u∣≤1

Epanechnikov: the kernel function is defined as:
3
K(u) = (1 − u2 ) I∣u∣≤1
4
Quartic: the kernel function is defined as:
15
K(u) = (1 − u2 )2 I∣u∣≤1
16
Triweight: the kernel function is defined as:
35
K(u) = (1 − u2 )3 I∣u∣≤1
32
Tricube: the kernel function is defined as:
3
K(u) = (1 − ∣u∣3 ) I∣u∣≤1
Gaussian: the kernel function is defined as:
1 − u2
K(u) = e 2
2π
Cosine: the kernel function is defined as:

π π
K(u) = cos ( u) I∣u∣≤1
4 2
LOWESS regression
LOWESS regression (Locally weighted regression and smoothing scatter plots) was introduced
by Cleveland (1979) in order to create smooth curves through scattergrams. New versions have
since been perfected to increase the robustness of the models. LOWESS regression is very
similar to Kernel regression as it is also based on polynomial regression and requires a kernel
function to weight the observations.
The LOWESS algorithm can be described as follows: for each point i to predict:
1 - First, the Euclidean distances d(i, j) between the observations i and j are computed. The
fraction f of the N closest observations to observation i are selected. The weight of the
selected points are selected using the Tricube kernel and the following distance:
d(i, j)
D(i, j)
M axj (d(i, j))
W eight(j) = T ricube (D(i, j))
2 - A regression model is then fitted, and a prediction is computed for observation i.
For the robust LOWESS regression, additional computations are performed:
3 - The weights are computed again using the following distance:
′ ∣r(j)∣
D (i, j) =
6M edianj (∣r(j)∣)
where r(j) is the residual corresponding to observation j after the previous step.
Using the Quartic kernel:
W eight(j) = Quartic (D (i, j))

′
4 - The regression is then fitted again using the new weights.
5 - Steps 3 and 4 are performed a second time. A final prediction is then computed for
observation i.
Notes:
The only input parameters apart from the observations for the method are the f fraction of
nearest individuals (in % in XLSTAT) and the polynomial degree.

Robust LOWESS regression is about three times more time consuming than LOWESS
regression.
Dialog box
observations.
General tab:
data selected must be of type numeric. If the variable header has been selected, check that the
been activated.

Method: Choose the type of nonparametric regression to use (see description).
Polynomial degree: enter the order of the polynomial if the LOWESS regression or a
polynomial method is chosen.
Options tab:
Learning samples:
Moving window: choose this option if you want the size of the learning sample to be
constant. You need to enter the size S of the window. In that case, to estimate Y (i + 1),
the observations i − S − 1 to i will be used, and the first observation XLSTAT will be
able to compute a prediction for, is the S + 1'th observation.
Expanding window: choose this option if you want the size of the learning sample to be
expanding step by step. You need to enter the initial size S of the window. In that case, to
estimate Y (i + 1), observations 1 to i will be used, and the first observation XLSTAT will
be able to compute a prediction for, is the S + 1'th observation.
All: the learning and validation samples are identical. This method has no interest for
prediction, but it is a way to evaluate the method in case of perfect information.
K nearest neighbours:
Rows: the k points retained for the analysis are k points which are the closest to the point
to predict, for a given bandwidth and a given kernel function. k is the value to enter here.
%: the points retained for the analysis are the closest to the point to predict and represent
x% of the total learning sample available, where x is the value to enter.

be ignored.
Kernel: the kernel function that will be used. The possible options are: Uniform, Triangle,
Epanechnikov, Quartic, Triweight, Tricube, Gaussian, Cosine. A description of these functions is
available in the description section.
Bandwidth: XLSTAT allows you to choose a method for automatically computing the
bandwidths (one per variable), or you can fix them. The different options are:
Constant: the bandwidth is constant and equal to the fixed value. Enter the value of the
bandwidth.
Fixed: the bandwidth is defined in a vertical range of cells in an Excel sheet, which you
need to select. The cells must be equal to the number of explanatory variables, and in the
same order as the variables.
Range: the value hl of the bandwidth for each variable Xl is determined by the following
formula:
hl = M ax (xil )i=1,…,nlearn − M in (xil )i=1,…,nlearn
Standard deviation: the value hl of the bandwidth for each explanatory variable is equal
to the standard deviation of the variable computed on the learning sample.
Validation tab:
model.
then be specified.

Prediction tab:
to data.
Missing data tab:
These options are available only for PCR and OLS regression. With PLS regression, the
missing data are automatically handled by the algorithm.
computations.
Outputs tab:
selected.
for the model.
the observations.
Charts tab:

Data and predictions: Activate this option to display the chart of observations and predictions:
As a function of X1: Activate this option to display the observed and predicted
observations as a function of the values of the X1 variable.
As a function of time: Activate this option to select the data giving the date of each
observation to display the results as a function of time.
Residuals: Activate this option to display the residuals as a bar chart.
Results
selected variables. The number of missing values, the number of non-missing values, the mean
qualitative variables, the categories with their respective frequencies and percentages are
displayed.
Correlation matrix: This table displays the correlations between the selected variables.
Goodness of fit coefficients: This table shows the following statistics:
The determination coefficient R2 ;
The sum of squares of the errors (or residuals) of the model (SSE or SSR respectively);
The means of the squares of the errors (or residuals) of the model (MSE or MSR);
The root mean squares of the errors (or residuals) of the model (RMSE or RMSR).
Predictions and residuals: Table giving for each observation the input data, the value
predicted by the model and the residuals.
Charts:
If only one quantitative explanatory variable or temporal variable has been selected ("As a
function of time" option in the "Charts" tab in the dialog box), the first chart shows the data and
the curve for the predictions made by the model. If the "As a function of X1" option has been
selected, the first chart shows the observed data and predictions as a function of the first
explanatory variable selected. The second chart displayed is the bar chart of the residuals.
Example
A tutorial on Kernel regression is available on the Addinsoft website:
http://www.xlstat.com/demo-kernel.htm
References

Cleveland W.S. (1979). Robust locally weighted regression and smoothing scatterplots. J.
Amer. Statist. Assoc., 74, 829-836.
Cleveland W.S. (1994). The Elements of Graphing Data. Hobart Press, Summit, New Jersey.
Härdle W. (1992). Applied Nonparametric Regression. Cambridge University Press, Cambridge.
Nadaraya E.A. (1964). On estimating regression.Theory Probab. Appl., 9, 141-142.
Wand M.P. and Jones M.C. (1995). Kernel Smoothing. Chapman and Hall, New York.
Watson G.S. (1964). Smooth regression analysis. Sankhyâ Ser.A, 26 , 101-116.

Nonlinear regression
Use this tool to fit data to any linear or non-linear function. The method used is least squares.
Either pre-programmed functions or functions added by the user may be used.
In this section:
Description
Dialog box
Results
Example
References
Description
Nonlinear regression is used to model complex phenomena which cannot be handled by linear
models. XLSTAT provides preprogrammed functions from which the user may be able to select
the model which describes the phenomenon to be modeled.
When the model required is not available, the user can define a new model and add it to their
personal library. To improve the speed and reliability of the calculations, it is recommended to
add derivatives of the function for each of the parameters of the model.
In order to calculate these parameters, the Levenberg-Marquardt algorithm is used.
Levenberg-Marquardt algorithm
The Levenberg-Marquardt algorithm is an iterative technique that locates the minimum of a

multivariate function. This technique is recommended for non-linear least squares regression
problems.
Consider the nonlinear model Y = f (X, Θ), where θ is the parameter vector of size px1 , X
is the vector of the explanatory variables, and f is a function of X and Θ. The goal is to find the
least squares Θ′ estimate of Θ such that Θ′ minimizes the function f . We therefore try to
minimize the following function:
m
g(Θ) = ∑ (Yi − f (Θ, Xi ))2 ) ⋅
i=1
The procedure is iterative, starting from an initial parameter, if possible close to the final
solution, and applying the following routine:
Θj+1 = Θj − (J ′ J + λD)−1 J ′ (Y − f (Θ, Xi )),
where J is the Jacobian matrix, and D is a diagonal matrix to adjust the λ damping parameter.
Modeling data 437 Nonlinear regression

When derivatives are not specified, a finite difference approximation is used to estimate them.
Global fitting and shared parameters:
In XLSTAT, you have the possibility to adjust multiple variables at the same time. There are two
ways to do this:
The first one is to have one column for each dependent variable Y.
The second one is to have one column containing all the Y variables to be adjusted and
another column which contains the group indices making it possible to identify each Y.
With this option, there you can choose a set of shared parameters that apply to a set of
curves.
Adding a function to the library of user-defined functions
Syntax:
The parameters of the function must be written as pr1 , pr2 , etc..
The explanatory variables must be represented as X1 , X2 , etc..
Excel functions can be used: Exp(), Sin(), Pi(), Max(), etc.
Example of a function: pr1 * Exp(pr2 + pr3 * X1 + pr4 * X2 )
File containing function definitions:
The library of user functions is held in the file Models.txt in the user directory defined during
installation or by using the options XLSTAT dialog box. The library is built as follows:
Row 1: number of functions defined by user.
Row 2: N1= number of parameters in function 1.
Row 3: function 1 definition.
Rows 4 to (3 + N1): derivatives definition for function 1.
Row 4+N1: N2= number of parameters in function 2.
Row 5+N1: function 2 definition…
When the derivatives have not been supplied by the user, "Unknown" replaces the derivatives of
the function.
You can modify manually the items of this file but you should be cautious not to make an error.
Dialog box

observations.
files .
General tab:
data selected must be of type numeric. If the variable header has been selected, check that the
Groups: Activate this option if you want to include a group variable. This allows you to adjust
simultaneously several variables. Then select the corresponding variable on the Excel sheet. If
the label of the variables has been selected, please check that the "Variable labels" option is
activated.

the weights will all be taken as 1. Weights must be greater than or equal to 0. If the "Variable
labels" option is activated you need to include a header in the selection.
Functions tab:
Built-in function: Activate this option to fit one of the functions available from the list of built-in
functions to the data. Select a function from the list.
Edit: Click this button to display the active built-in function in the "Function: Y=" field. You can
then copy the function to afterwards change it to create a new function or the derivatives of a
new function.
User defined functions: Activate this option to fit one of the functions available from the list of
user-defined functions to the data, or to add a new function.
Delete: Click this button to delete the active function from the list of user-defined functions.
Add: Click this button to add a function to the list of user-defined functions. You must then enter
the function in the "Function: Y=" field, then, if you want and given that it will speed up the
calculations and enable the standard deviations of the parameters to be obtained, you can
select the derivatives of the function for each of the parameters. To do this, activate the
"Derivatives" option, then select the derivatives in an Excel worksheet.
Derivatives: These will speed up the calculations and enable the standard deviations of the
parameters to be obtained.
Details: Click this button to get more information about the selected built-in function.
Note: the description section contains information on defining user functions.
Options tab:
Initial values: Activate this option to give XLSTAT a starting point. Select the cells which
correspond to the initial values of the parameters. The number of rows selected must be the

same as the number of parameters.
Parameters bounds: Activate this option to give XLSTAT a possible region for all the
parameters of the model selected. You must them select a two- column range, the one on the
left being the lower bounds and the one on the right the upper bounds. The number of rows
selected must be the same as the number of parameters.
Parameters labels: Activate this option if you want to specify the names of the parameters.
XLSTAT will display the results using the selected labels instead of using generic labels pr1,
pr2, etc. The number of rows selected must be the same as the number of parameters.
Shared parameters: Activate this option if you want to add shared parameters to the model.
This option is only available if you have added a group variable. The shared parameters will
then have the same parameter value for all the fitted groups.
Stop conditions:
Convergence: Enter the maximum value of the evolution in the Sum of Squares of Errors
(SSE) from one iteration to another which, when reached, means that the algorithm is
Validation tab:
model.
then be specified.
Prediction tab:
to data.

Missing data tab:
computations.
Outputs tab:
selected.
for the model.
Model parameters: Activate this option to display the values of the parameters for the model
after fitting.
Equation of the model: Activate this option to display the equation of the model once fitted.
the observations.
Display charts:
Data and predictions: Activate this option to display the chart of observations and the
curve for the fitted function.
Results
variables selected: the number of observations, the number of missing values, the number of
non-missing values, the mean and the standard deviation (unbiased).
Correlation matrix: This table displays the correlations between the selected variables.

The number of observations;
The degrees of freedom (DF);
The determination coefficient R²^;
The root mean squares of the errors (or residuals) of the model (RMSE or RMSR);
AICC: Akaike’s Information Criterion Corrected;
Model parameters: This table gives the value of each parameter after fitting to the model as
well as the associated standard deviation.
Predictions and residuals: This table gives for each observation the input data, the value
predicted by the model and the residuals. It is followed by the equation of the model.
Charts:
If only one quantitative explanatory variable has been selected, the first chart represents the
data and the curve for the function chosen. The second chart displayed is the bar chart of the
residuals.
Example
Tutorials showing how to run a nonlinear regression are available on the Addinsoft website on
the following pages:
http://www.xlstat.com/demo-nonlin.htm
http://www.xlstat.com/demo-nonlin2.htm
References
Ramsay J.O. and Silverman B.W. (1997). Functional Data Analysis. Springer-Verlag, New
York.
Ramsay J.O. and Silverman B.W. (2002). Applied Functional Data Analysis. Springer-Verlag,
New York.

Two-stage least squares regression
Use this tool to analyze your data with a two-stage least squares regression.
In this section:
Description
Dialog box
Results
Example
References
Description
The two-stage least squares method is used to handle model with endogenous explanatory
variables in a linear regression framework. An endogenous variable is a variable which is
correlated with the error term in the regression model. Using endogenous variable is in
contradiction with the linear regression assumptions. This kind of variable can be encountered
when variable are measured with error.
The general principle of the two-stage least squares approach is to use instrumental variables
uncorrelated with the error term to estimate the model parameters. These instrumental variables
are correlated to the endogenous variables but not with the error term of the model.
Denote by y the quantitative dependent variable, X1 the matrix of p1 endogenous explanatory

variables, X2 the matrix of p2 exogenous explanatory variables (not correlated to the error
term) (p = p1 + p2) and Z the matrix of q instrumental variables. The structural equations of
the model are given by:
y = X1 β1 + X2 β2 + ϵ
{
X1 = Zγ + δ
where β1 and β2 are the parameters respectively associated to X1 and X2 . The variables ϵ
and δ are the disturbances with zero means.
According to the estimation technique developed by Theil (1953a, 1953b), the estimate of the
parameter β = (β1 , β2 ) is given by:
β^ = (X ′ ΩX)−1 X ′ ΩXy
where Ω = Z(Z ′ Z)−1 Z ′ is the projection matrix.

XLSTAT enables you to take into account endogenous, exogenous and instrumental variables.
Endogenous and exogenous variables should be selected as explanatory variables and
Modeling data 444 Two-stage least squares regression

instrumental and exogenous variables should be selected as instrumental variables (exogenous
variables should be selected in both selections).
Dialog box
observations.
General tab:
"Variable labels" option has been activated. Exogenous and endogenous variables should be
selected here.
Z / Instrumental variables:
Quantitative: Select the quantitative instrumental variables in the Excel worksheet. The data

"Variable labels" option has been activated. All the exogenous variables must be selected as
instrumental variables.
Options tab:
Null intercept: Activate this option to set the constant of the model to 0.
Default value: 95.
Validation tab:
model.

then be specified.
Prediction tab:
to data.
X / Explanatory variables: Select the quantitative explanatory variables. The first row must not
include variable labels. Only exogenous and endogenous variables should be selected here.
Missing data tab:
data.
computations.
Outputs tab:

selected.
the observations.
Charts tab:

and (4).
Results
frequencies.


part).
^ 2 = 1 − (1 − R2 ) W − 1
R
W −p−1
in the model.

x
1
M SE = ∗
∑ wi (yi − yî )2
W − p i=1

∑xi=2 [(yi − yî ) − (yi−1 − yî−1 )]2
DW =
∑xi=1 wi (yi − yî )2
SSE
Cp = + 2p∗ − W
^
σ
SSE
AIC = W ln( ) + 2p∗
W
criterion.

SSE
W
(1 − R2 )(W + p∗ )
PC =
W − p∗

standard error, the Student’s t, the corresponding probability, as well as the confidence interval.
variable, the model's prediction, the residuals and the confidence intervals with the fitted
prediction. Two types of confidence interval are displayed: a confidence interval around the
mean (corresponding to the case where the prediction would be made for an infinite number of
the explanatory variables). The second interval is always greater than the first, the random
values being larger. If the validation data have been selected, they are displayed at the end of
the table.
normalized residuals as a function of the explanatory variable. In principle, the residuals should
be distributed randomly around the X-axis. If there is a trend or a shape, this shows a problem
with the model.
Example
A tutorial on the two-stage least square approach is available on the Addinsoft website:
http://www.xlstat.com/demo-sls.htm
References
Akaike H. (1973). Information theory and the extension of the maximum likelihood principle. In:
Second International Symposium on Information Theory. (Eds: V.N. Petrov and F. Csaki).

Theil, H. (1953a). Repeated least square applied to complete equation systems. mimeo,
Central Planning Bureau, The Hague.
Theil, H. (1953b), Estimation and simultaneous correlation in complete equation systems.

Central Planning Bureau, The Hague.

PLS/PCR Regression
Use this module to model and predict the values of one or more dependant quantitative or
qualitative variables using a linear combination of one or more explanatory quantitative and/or
qualitative variables, without facing the constraints of OLS (ordinary least square regression) on
the number of variables versus the number of observations.
In this section:
Description
Dialog box
Results
Example
References
Description
The regression methods available in this module have the common characteristic of generating
models that involve linear combines of explanatory variables. The difference between the three
method lies on the way the correlation structures between the variables are handled.
PCR Regression
PCR (Principal Components Regression) can be divided into three steps: we first run a PCA
(Principal Components Analysis) on the table of the explanatory variables, then we run an OLS
regression on the selected components, then we compute the parameters of the model that
correspond to the input variables.
PCA allows to transform an X table with n observations described by variables into an S table
with n scores described by q components, where q is lower or equal to p and such that (S’S) is
invertible. An additional selection can be applied on the components so that only the r
components that are the most correlated with the Y variable are kept for the OLS regression
step. We then obtain the R table.
The OLS regression is performed on the Y and R tables. In order to circumvent the
interpretation problem with the parameters obtained from the regression, XLSTAT transforms
the results back into the initial space to obtain the parameters and the confidence intervals that
correspond to the input variables.
PLS Regression
Modeling data 453 PLS/PCR Regression

This method is quick, efficient and optimal for a criterion based on covariances. It is
recommended in cases where the number of variables is high, and where it is likely that the
explanatory variables are correlated.
The idea of PLS regression is to create, starting from a table with n observations described by p
variables, a set of h components with h<p. The method used to build the components differs
from PCA, and presents the advantage of handling missing data. The determination of the
number of components to keep is usually based on a criterion that involves a cross- validation.
The user may also set the number of components to use.
Some programs differentiate PLS1 from PLS2. PLS1 corresponds to the case where there is
only one dependent variable. PLS2 corresponds to the case where there are several dependent
variables. The algorithms used by XLSTAT are such that the PLS1 is only a particular case of
PLS2.
In the case of the OLS and PCR methods, if models need to be computed for several
dependent variables, the computation of the models is simply a loop on the columns of the
dependent variables table Y. In the case of PLS regression, the covariance structure of Y also
influences the computations.
The equation of the PLS regression model with h components writes:
Y = Th Ch′ + Eh
= XWk∗ Ch′ + Eh
= XWh (Ph′ Wh )−1 Ch′ + Eh
where Y is the matrix of the dependent variables, X is the matrix of the explanatory variables.
Th , Ch , Wh∗ , Wh and Ph , are the matrices generated by the PLS algorithm, and Eh is the
matrix of the residuals.
The matrix B of the regression coefficients of Y on X , with h components generated by the

PLS regression algorithm is given by:
B = Wh (Ph′ Wh )−1 Ch′

Note: the PLS regression leads to a linear model as the OLS and PCR do.
Notes:
The three methods give the same results if the number of components obtained from the PCA
(in PCR) or from the PLS regression is equal to the number of explanatory variables.
The components obtained from the PLS regression are built so that they explain as well as
possible Y, while the components of the PCR are built to describe X as well as possible.
XLSTAT allows partly compensating this drawback of the PCR by allowing the selection of the
components that are the most correlated with Y.
PLS Discriminant Analysis

PLS regression can be adapted to fit discriminant analysis. The PLS discriminant analysis uses
the PLS algorithm to explain and predict the membership of observations to several classes
using quantitative or qualitative explanatory variables. XLSTAT-PLS uses the PLS2 algorithm
applied on the full disjunctive table obtained from the qualitative dependant variable.
PLS discriminant analysis can be applied in many cases when classical discriminant analysis
cannot be applied. For example, when the number of observations is low and when the number
of explanatory variables is high. When there are missing values, PLS discriminant analysis can
be applied on the data that is available. Finally, as PLS regression, it is adapted when
multicolinearity between explanatory variables is high.
As many models as categories of the dependant variable are obtained. An observation is

associated to the category that has an equation with the highest value.
Let K be the number of categories of the dependant variable Y. For each category a1 , …, aK ,
an equation of the model is obtained:
p
F (yi , ak ) = b0 + ∑ bi xij
j=1
With ak being a category of the dependant qualitative variable, b0 being the intercept of the
model associated to ak , p being the number of explanatory variables and bi being the
coefficients of the same model.
Observation i is associated to class k if:
k ∗ = arg maxk F (yi , ak )

PLS discriminant analysis offers an interesting alternative to classical linear discriminant
analysis.
The output mixes the outputs of the PLS regression with classical discriminant analysis outputs
such as confusion matrix.
Dialog box

observations.
General tab:
Quantitative/ Qual itative: Select the dependent variable(s). The data must be numerical
except in the case of the PLS-DA where they can be nominal and are anyway considered as
categorical. If the "Variable labels" option is activated make sure that the headers of the
variables have also been selected.
variables. Then select the corresponding data. The data must be numerical. If the "Variable
labels" option is activated make sure that the headers of the variables have also been selected.
variables. Then select the corresponding data. Whatever their Excel format, the data are
considered as categorical. If the "Variable labels" option is activated make sure that the headers
of the variables have also been selected.
Method: Choose the regression method you want to use:
PLS-R: Activate this option to compute a Partial Least Squares regression.
PLS-DA: Activate this option to compute a Partial Least Squares Discriminant Analysis.
PCR: Activate this option to compute Principal Components Regression.

Observation weights: Activate this option if you want to weight the observations. If you do not
activate this option, the weights are considered to be equal to 1. The weights must be greater or
equal to 0 and they must be integer values. Setting a case weight to 2 is equivalent to repeating
twice the same observation. If the "Variable labels" option is activated, make sure that the
header of the selection has also been selected.
Regression weights: This option is active only with PCR and OLS regression. Activate this
option if you want to run a weighted least squares regression. If you do not activate this option,
the regression weights are considered to be equal to 1. The weights must be greater or equal to
0. If the "Variable labels" option is activated make sure that the header of the selection has also
been selected.
Options tab:
Common options:
Confidence interval (%): Enter the size in % of the confidence interval that is used for the
various tests, parameters and predictions. Default value: 95.
Center: Activate this option is you want to center the explanatory variables before starting
the calculations.
Reduce: Activate this option is you want to standardize the explanatory variables before
starting the calculations.
Options for PLS regression:
Stop conditions:
Automatic: Activate this option so that XLSTAT automatically determines the number of
components to keep.
Fixed number: Activate this option to set the number of components to take into account
in the model.
Qi² threshold: Activate this option to set the threshold value of the Qi² criterion used to
determine if the contribution of a component is to any dependent variable significant or
not. The default value is 0.0975 which corresponds to 1-0.95².

Qi² threshold (global): Activate this option to set the threshold value of the Qi² criterion
used to determine if the contribution of a component to all dependent variables is
significant or not. The default value is 0.0975 which corresponds to 1-0.95².
Qi² improvement: Activate this option to set the threshold value of the Qi² improvement
criterion used to determine if the contribution of a component is significant or not. The
default value is 0.05 which corresponds to a 5% improvement. This value is computed as
follows:
Q2 (h) − Q2 (h − 1)
Q2 (h) Imp =
Q2 (h − 1)
Minimum Press: Activate this option so that the number of components used in the
model corresponds to the model with the minimum Press (predicted residual error sum of
squares) statistic.
Algorithm: The difference between the two approaches can only be seen if a jackknife option
was selected for cross validation, and if the data are centered or standardized.
Fast: Activate this option to use a faster algorithm. The algorithm avoids recentering or
restandardizing the jackknife training sets.
Precise: Activate this option to use the slower but more precise algorithm. The algorithm
recenters or restandardizes the jackknife training sets.
Cross validation:
None: Activate this option so that XLSTAT does not run use any cross validation. This
leads to faster computations but it does not allow computing the Q² statistics nor the
confidence intervals.
Jackknife (LOO): Choose the jackknife leave one out option to recompute the model after
removing each observation from the training set, one by one. This allows computing the
Q² statistics as well as confidence variables on many statistics of the PLS regression such
as VIPs. This option can be used if there are less than 100 observations to avoid memory
problems.
Jackknife: Choose the general jackknife option to recompute the model after grouping
the observations and recomputing the model after removing each group from the training
set, one by one. This allows computing the Q² statistics as well as confidence variables on
many statistics of the PLS regression such as VIPs. This option can be used if there are
less than 100 groups to avoid memory problems.
Options for PCR regression:
Standardized PCA: Activate this option to run a PCA on the correlation matrix. Inactivate this
option to run a PCA on the covariance matrix (unstandardized PCA).

Filter components: You can activate one of the two following options in order to reduce the
number of components used in the model:
Minimum %: Activate this option and enter the minimum percentage of total variability
that the selected components should represent.
Maximum number: Activate this option to set the maximum number of components to
take into account.
Sort components by: Choose one of the following options to determine "which criterion should
be used to select the components on the basis of the "Minimum %", or of the
"Maximum number":
Correlations with Ys: Activate this option so that the components selection is based on
the sorting down of R² coefficient between the dependent variable Y and the
components. This option is recommended.
Eigenvalues: Activate this option so that the selection of the components is based on the
sorting down of the eigenvalues corresponding to the components.
Fixed intercept: Activate this option to set the intercept (or constant) of the model to a given
value. Then enter the value in the corresponding field (0 by default).
Tolerance: Activate this option to allow the OLS algorithm to automatically remove the variables
that would either be constant or highly correlated with other variables or group of variables
(Minimum and default value is 0.0001. Maximum value allowed is 1). The higher the tolerance,
the more the model tolerates collinearities between the variables.
Validation tab:
model.
then be specified.

Prediction tab:
to data.
Missing data tab:
These options are available only for PCR and OLS regression. With PLS regression, the
missing data are automatically handled by the algorithm.
computations.
Outputs tab:
Options common to all methods:
Descriptive statistics: Activate this option to display the descriptive statistics for all the
selected variables.
Correlations: Activate this option to display the correlation matrix for the quantitative variables
(dependent and explanatory).
Standardized coefficients: Activate this option to display the standardized parameters of the
model (also called beta coefficients).
Equation: activate this option to explicitly display the equation of the model.
Predictions and residuals: Activate this option to display the table of predictions and residuals.

Options for PLS regression:
t, u and u~components: Activate this option to display the tables corresponding to the
components. If this option is not activated the corresponding charts are not displayed.
c, w, w* and p vectors: Activate this option to display the tables corresponding to the vectors
obtained from the PLS algorithm. If this option is not activated the corresponding charts are not
displayed.
VIPs: Activate this option to display the table and the charts of the Variable Importance for the
Projection.
Confidence intervals: Activate this option to compute the confidence intervals of the
standardized coefficients. The computations involve a jackknife method.
Outliers analysis: Activate this option to display the table and the charts of the outliers
analysis.
Options for PLS-DA:
t, u and u~components: Activate this option to display the tables corresponding to the
components. If this option is not activated the corresponding charts are not displayed.
c, w, w* and p vectors: Activate this option to display the tables corresponding to the vectors
obtained from the PLS algorithm. If this option is not activated the corresponding charts are not
displayed.
VIPs: Activate this option to display the table and the charts of the Variable Importance for the
Projection.
Confidence intervals: Activate this option to compute the confidence intervals of the
standardized coefficients. The computations involve a jackknife method.
Outliers analysis: Activate this option to display the table and the charts of the outliers
analysis.
Confusion matrix: Activate this option to display the table showing the numbers of well- and
badly-classified observations for each of the classes.
Options for PCR regression:
Factor loadings: Activate this option to display the factor loadings. The factor loadings are
equal to the correlations between the principal components and the input variables if the PCA is
based on the correlation matrix (standardized PCA).
Correlations Factors/Variables: Activate this option to display the correlations between the
principal component and the input variables.
Factor scores: Activate this option to display the factor scores (coordinates of the observations
in the new space) generated by the PCA. The scores are used in the regression step of the

PCR.
Options for PCR and OLS regression:
Adjusted predictions: Activate this option to compute and display the adjusted predictions in
the predictions and residuals table.
Cook’s D: Activate this option to compute and display the Cook’s distances in the predictions
and residuals table.
Press: Activate this option to compute and display the Press (predicted residual error sum of
squares) statistic.
Charts tab:
Options common to PLS/PCR:
Regression charts: Activate this option to display the regression charts:
Standardized coefficients: Activate this option to display a chart with the standardized
coefficients of the model, and the corresponding confidence intervals.
Predictions and residuals: Activate this option to display the following charts:
(1) Regression line: this chart is displayed only if there is one explanatory variable and if that
variable is quantitative.
(2) Explanatory variable versus standardized residuals: this chart is displayed only if there is
one explanatory variable and if that variable is quantitative.
(4) Predictions versus observed values.
(5) Bar chart of the standardized residuals.
Confidence intervals: Activate this option to display the confidence intervals on charts
(1) and (4).
components and input variables. In the case of PCR, activate this option to display the
correlation circle.
Observations charts: activate this option to display the charts that allow visualizing the
Labels: Activate this option to display the observations labels on the charts. The number

Biplots: Activate this option to display the charts where the input variables and the observations
are simultaneously displayed.
Labels: Activate this option to display the observations labels on the biplots. The number

Results
Descriptive statistics: the tables of descriptive statistics display for all the selected variables a
set of basic statistics. For the dependent variables (colored in blue), and the quantitative
explanatory variables, XLSTAT displays the number of observations, the number of
observations with missing data, the number of observations with no missing data, the mean,
and the unbiased standard deviation. For the qualitative explanatory variables XLSTAT displays
the name and the frequency of the categories.
Correlation matrix: this table is displayed to allow your visualizing the correlations among the
explanatory variables, among the dependent variables and between both groups.
Results of the PLS regression:
The first table displays the model quality indexes. The quality corresponds here to the
cumulated contribution of the components to the indexes:
The Q²cum index measures the global contribution of the h first components to the
predictive quality of the model (and of the sub-models if there are several dependent
variables). The Q²cum(h) index writes:
h
∑qk=1 P RESSkj
Q cum(h) = 1 − ∏ q
2
j=1
∑k=1 SSEk(j−1)
The index involves the P RESS statistic (that requires a cross-validation), and the Sum of
Squares of Errors (SSE) for a model with one less component. The search for the maximum of

the Q2 cum index is equivalent to finding the most stable model.
The R²Ycum index is the sum of the coefficients of determination between the dependent
variables and the h first components. It is therefore a measure of the explanatory power
of the h first components for the dependent variables of the model.
The R²Xcum index is the sum of the coefficients of determination between the
explanatory variables and the h first components. It is therefore a measure of the
explanatory power of the h first components for the explanatory variables of the model.
A bar chart is displayed to allow the visualization of the evolution of the three indexes when the
number of components increases. While the R²Ycum and R²Xcum indexes necessarily increase
with the number of components, this is not the case with Q²cum.
The next table corresponds to the correlation matrix of the explanatory and dependent
variables with the t and u components. A chart displays the correlations with the t components.
The next table displays the w vectors, followed by the w* vectors and the c vectors, that are
directly involved in the model, as it is shown in the "Description" section. If to h=2 corresponds a
valid model, it is shown that the projection of the x vectors on the y vectors on the variables on
the w*/c axes chart, gives a fair idea of the sign and the relative weight of the corresponding
coefficients in the model.
The next table displays the scores of the observations in the space of the t components. The
corresponding chart is displayed. If some observations have been selected for the validation,
they are displayed on the chart.
The next table displays the standardized scores of the observations in the space of the t
components. These scores are equivalent to computing the correlations of each observation
(represented by an indicator variable) with the components. This allows displaying the
observations on the correlations map that follows where the Xs, the Ys and the observations
are simultaneously displayed. An example of an interpretation of this map is available in
Tenenhaus (2003).
The next table corresponds to the scores of the observations in the space of the u and then the
u~ components. The chart based on the u~ is displayed. If some observations have been
selected for the validation, they are displayed on the chart.
The table with the Q² quality indexes allows visualizing how the components contribute to the
explanation of the dependent variables. The table of the cumulated Q² quality indexes allows
measuring the quality that corresponds to a space with an increasing number of dimensions.
The table of the R² and redundancies between the input variables (dependent and
explanatory) and the components t and u~ allow evaluating the explanatory power of the t and
u~. The redundancy between an X table (n rows and p variables) and a c component is the part
of the variance of X explained by c. We define it as the mean of the squares of the correlation
coefficients between the variables and the component:
p
1
Rd(X, c) = ∑ R2 (xj , c)
p j=1

From the redundancies one can deduce the V IP s (Variable Importance for the Projection )
that measure the importance of an explanatory variable for the building of the t components.
The V IP for the jth explanatory variable and the component h is defined by:
h
p
V IPhj = ∑ wij 2 Rd(Y , ti )
∑hi=1 Rd(Y , ti ) i=1
On the VIP charts (one bar chart per component), a border line is plotted to identify the VIPs
that are greater than 0.8 and above: these thresholds suggested by Wold (1995) and Ericksson
(2001) allow identifying the variables that are moderately (0.8 < V IP < 1) or highly influential
(V IP > 1).
The next table displays the outliers analysis. The DModX (distances from each observation to
the model in the space of the X variables) allow identifying the outliers for the explanatory
variables, while the DModY (distances from each observation to the model in the space of the Y
variables) allow identifying the outliers for the dependent variables. On the corresponding charts
the threshold values DCrit are also displayed to help identifying the outliers: the DMod values
that are above the DCrit threshold correspond to outliers. The DCrit are computed using the
threshold values classically used in box plots. The value of the DModX for the i-th observation
writes:
n ∑pj=1 e(X, t)2 ij

DM odXi =
n−h−1 p−h
where the e(X, t)ij (i = 1 … n) are the residuals of the regression of X on the j-th component.
The value of the DModY for the i-th observation writes:
q
∑j=1 e(Y , t)2ij
DM odYi =
q−h
where q is the number of dependent variables and the e(Y , t)ij , (i = 1, … , n) are the
residuals of the regression of Y on the j-th component.
The next table displays the parameters of the models corresponding to the one or more
dependent variables. It is followed by the equation corresponding to each model, if the number
of explanatory variables does not exceed 20.
For each of the dependent variables a series of tables and charts is displayed.
Goodness of fit statistics: this table displays the goodness of fit statistics of the PLS
regression model for each dependent variable. The definition of the statistics is as follows:
The table of the standardized coefficients (also named beta coefficients) allows comparing the
relative weight of the variables in the model. To compute the confidence intervals, in the case of
PLS regression, the classical formulae based on the normality hypotheses used in OLS
regression do not apply. A bootstrap method suggested by Tenenhaus et al. (2004) allows

estimating the confidence intervals. The greater the absolute value of a coefficient, the greater
the weight of the variable in the model. When the confidence interval around the standardized
coefficients includes 0, which can easily be observed on the chart, the weight of the variable in
the model is not significant.
In the predictions and residuals table, the weight, the observed value of the dependent
variable, the corresponding prediction, the residuals and the confidence intervals are displayed
for each observation. Two types of confidence intervals are displayed: an interval around the
mean (it corresponds to the case where the prediction is made for an infinite number of
observations with a give set of values of the explanatory variables) and an interval around an
individual prediction (it corresponds to the case where the prediction is made for only one
observation). The second interval is always wider than the first one, as the uncertainty is of
course higher. If some observations have been selected for the validation, they are displayed in
this table.
The three charts that are displayed afterwards allow visualizing:
the residuals versus the dependent variable,
the distance between the predicted and observed values (for an ideal model the all the
points would be on the bisecting line),
the bar chart of the residuals.
If you have selected data to use in prediction mode, a table displays the predictions on the
new observations and the corresponding confidence intervals.
PLS-DA specific results:
Classification functions: The classification functions can be used to determine which class an
observation is to be assigned to using values taken for the various explanatory variables. These
functions are linear. An observation is assigned to the class with the highest classification
function F().
Prior and posterior classification and scores: This table shows for each observation its
membership class defined by the dependent variable, the membership class as deduced by the
membership probabilities and the classification function score for each category of the
dependant variable.
Confusion matrix for the estimation sample: The confusion matrix is deduced from prior and
posterior classifications together with the overall percentage of well-classified observations.
Results of the PCR regression:
The PCR regression requires a Principal Component Analysis step. The first results concern the
latter.
Eigenvalues: the table of the eigenvalues and the corresponding scree plot are displayed. The
number of eigenvalues displayed is equal to the number of non null eigenvalues. If a
components filtering option has been selected it is applied only before the regression step.

If the corresponding outputs options have been activated, XLSTAT displays the factor loadings
(the coordinates of the input variables in the new space), then the correlations between the
input variables and the components. The correlations are equal to the factor loadings if the
PCA is performed on the correlation matrix. The next table displays the factor scores (the
coordinates of the observations in the new space), and are later used for the regression step. If
some observations have been selected for the validation, they are displayed in this table. A
biplot is displayed if the corresponding option has been activated.
If the filtering option based on the correlations with the dependent variables has been selected,
the components used in the regression step are those that have the greatest determination
coefficients (R²) with the dependent variables. The matrix of the correlation coefficients
between the components and the dependent variables is displayed. The number of
components that are kept depends on the number of eigenvalues and on the selected options
("Minimum %" or "Max components").
If the filtering option based on the eigenvalues has been selected, the components used in the
regression step are those that have the greatest eigenvalues. The number of components that
are kept depends on the number of eigenvalues and on the selected options ("Minimum %" or
"Max components").

part).
n
∑ni=1 wi (yî − yˉi )2 1
R =2
n with ˉ
y = ∑ wi yi
∑i=1 wi (yi − yˉi )2 W i=1
^ 2 = 1 − (1 − R2 ) W − 1
R
W −p−1

in the model.

n
1
M SE = ∗
∑ wi (yi − yî )2
W − p i=1

n
100 yi − yî
M AP E = ∑ wi ∣ ∣
W i=1 yi
∑ni=2 [(yi − yî ) − (yi−1 − yî−1 )]2

DW =
∑ni=1 wi (yi − yî )2
SSE
Cp = + 2p∗ − W
^
σ
SSE
AIC = W ln( ) + 2p∗
W
criterion.

SSE
W

(1 − R2 )(W + p∗ )
PC =
W − p∗
Press RMSE: Press' statistic is only displayed if the corresponding option has been
activated in the dialog box. It is defined by:
n
i=1
where y
P ress
Press RM SE =
W − p∗
Press's RMSE can then be compared to the RMSE. A large difference between the two shows
that the model is sensitive to the presence or absence of certain observations in the model.
The analysis of variance table allows evaluating how much information the explanatory
variables bring to the model. In the case where the intercept of the model is not fixed by the
user, the explanatory power is measured by comparing the fit of the selected model with the fit
of a basic model where the dependent variable equals its mean. When the intercept is fixed to a
given value, the selected model is compared to a basic model where the dependent model
equals the fixed intercept.
In the case of a PCR regression, the first table of model parameters corresponds to the
parameters of the model based on the selected components. This table is not easy to interpret.
For that reason a transformation is performed to obtain the parameters of the model
corresponding to the input variables. The latter table is directly obtained in the case of an OLS
regression. In this table you will find the estimate of the parameters, the corresponding standard
error, the Student’s t, the corresponding probability, as well as the confidence interval.
The equation of the model is then displayed to facilitate the visualization or the reuse of the
model.
The table of the standardized coefficients (also named beta coefficients) allows comparing the
relative weight of the variables in the model. The greater the absolute value of a coefficient, the
greater the weight of the variable in the model. When the confidence interval around the
standardized coefficients includes 0, which can easily be observed on the chart, the weight of
the variable in the model is not significant.
In the predictions and residuals table, the weight, the value of the explanatory variable if there
is only one, the observed value of the dependent variable, the corresponding prediction, the
residuals and the confidence intervals, the adjusted prediction and the Cook’s D, are displayed

for each observation. Two types of confidence intervals are displayed: an interval around the
mean (it corresponds to the case where the prediction is made for an infinite number of
observations with a give set of values of the explanatory variables) and an interval around an
individual prediction (it corresponds to the case where the prediction is made for only one
observation). The second interval is always wider than the first one, as the uncertainty is of
course higher. If some observations have been selected for the validation, they are displayed in
this table.
The charts that follow allow visualizing the results listed above. If there is only one explanatory
variable in the model, and if that variable is quantitative, then the first chart allows visualizing the
observations, the regression line and the confidence intervals around the prediction. The
second chart displays the standardized residuals versus the explanatory variable. The residuals
should be randomly distributed around the abscissa axis. If a trend can be observed, that
means there is a problem with the model.
The three charts that are displayed afterwards allow visualizing respectively the standardized
residuals versus the dependent variable, the distance between the predicted and observed
values (for an ideal model the all the points would be on the bisecting line), and the bar chart of
the standardized residuals. The third chart makes it possible to quickly see if there is an
unexpected number of high residuals: the normality assumption for the residuals is such that
only 5% of the standardized residuals should be out of the ]-2, 2[ interval.
If you have selected data to use in prediction mode, a table displays the predictions on the
new observations and the corresponding confidence intervals.
Examples
A tutorial on how to use PLS regression is available on the Addinsoft website:
http://www.xlstat.com/demo-pls.htm
References
Am emiya T. (1980). Selection of regressors. International Economic Review, 21, 331-354.
Bastien P., Esposito Vinzi V. and Tenenhaus M. (2005). PLS Generalised Regression.
Computational Statistics and Data Analysis, 48 , 17-46.

Reading, MA.
Eriksson L., Johansson E., Kettaneh-Wold N. and Wold S. (2001). Multi- and Megavariate
Data Analysis. Principles and Applications, Umetrics Academy, Umeå.
Kullback S. and Leibler R. A. (1951). On information and sufficiency. Annals of Mathematical


Ooms K. (1996). Identification of potentially causal regressors in PLS models. Dissertation:
International Study Program in Statistics. KUL.
Schwarz G. (1978). Estimating the dimension of a model. Annals of Statistics, 6, 461-464.
Tenenhaus M. (1998). La Régression PLS, Théorie et Pratique. Technip, Paris.
Tenenhaus M., Pagès J., Ambroisine L. and Guinot C. (2005). PLS methodology for studying
relationships between hedonic judgements and product characteristics. Food Quality and
Preference. 16, 4, 315-325.
Wold, S., Martens H. and Wold H. (1983). The Multivariate Calibration Problem in Chemistry
solved by the PLS Method. In: Ruhe A.and Kågström B. (eds.), Proceedings of the Conference
on Matrix Pencils. Springer Verlag, Heidelberg. 286-293.
Wold S. (1995). PLS for multivariate linear modelling. In: van de Waterbeemd H. (ed.), QSAR:
Chemometric Methods in Molecular Design. Vol 2. Wiley-VCH, Weinheim, Germany. 195-218.

Machine learning
Fuzzy k-means clustering
Use Fuzzy k-means clustering to create homogeneous groups of objects (clusters) described by
a set of quantitative variables. If the dataset contains multiple groups with unclear borders (for
exemple, if the groups are too close), it is possible to introduce a coefficient of fuzziness that
allows each observation to be linked to each group with a probability of membership, this is soft
or fuzzy clustering.
In this section :
Description
Dialog box
Example
References
Description
Principle of the k-means method
K-means clustering was introduced by McQueen in 1967. Other similar algorithms had been
developed by Forgy (1965) (moving centers). This algorithm uses group barycenters which are
updated at each iteration. Each partition is caracterized by an objective function Q (or clustering
criterion).The algorithm computes each iteration only if the difference between the two
consecutive Q (dQ = Qi−1 − Qi ) is lower than a threshold defined by the user. The result of
the algorithm strongly depends on the starting point so by multiplying the starting points and the
repetitions, several solutions may be explored. This reduces the probabilities to converge into a
local optimum. The disadvantage of this method is that it does not give a consistent number of
clusters.
K-means algorithm allows to use several dissimilarity indexes, the euclidean distance being the
most used. But in cases were it is needed to reduced scaling effect like in text analysis, some
distances grant better understanding of the structure. This is the case of the cosine dissimilarity
which caracterizes the spherical k-means algorithm.
The spherical k-means is derived from the classical k-means but uses the cosine dissimilarity
between two observations which caracterizes the angular distance without taking account of the
sizes of the observations. This is particularly useful in text mining because two documents with
the same relative amount of words are close regardless the sizes of the documents.
Furthermore, the method allows the algorithm to be very optimized thanks to sparse matrix
structures. This method was introduced by Dhillon in 2001.
Data matrix extracted from textual analysis (Term-Document Matrix) usually contains few
positive values. This type of matrix is called "Sparse Matrix" because of the large amount of
Machine learning 472 Fuzzy k-means clustering

zero values (at least 90% accross all the observations). The structure of these matrix can be
exploited using specific memory container allowing to optimize both memory occupation and
computation speed. XLSTAT uses a specific sparse matrix container called "Row Compressed
Matrix" which only preserves non-zero values and their coordonates.
Principle of the fuzzy k-means method
The fuzzy clustering allows to create clusters with unclear borders either because they are to
close or even overlap each other. This method was introduced in 1973 by Dunn and Bezdek in
1981. It can highlight sub-clusters and even predict an estimation of the right number of clusters
by processing the data with a high number of clusters.
Fuzzy k-means is a generalization of the classical k-means where each observation is

associated to each cluster with a probability μi,j .A starting point is chosen by associating the k
centers to k observations (randomly or not). Then the distances between the observations and
the centers are computed. Next, the membership probability μi,j is computed for each
observation i and each center j , as follows :
1
1 m−1
wi d(Xi ,Cj )
μi,j = 1
1
∑kl=1 wi d(Xi ,Cl )
m−1
Then each center Cj is updated using the membership probability and the fuzzy coefficient m :
N k
∑i=1 ∑j=1 wi μm
i,j Xi
Cj =
∑N k m
i=1 ∑j=1 wi μi,j
The fuzzy coefficient should be higher than 1. The higher the coefficient is, the fuzzier the
borders of the clusters are (WARNING : The fuzzy coefficient has to be carefully chosen. If this
coefficient is too high, the membership probabilities may be equals for all clusters and the
partition is then false). K-means is a specific case of the fuzzy k-means where m = 1 and
μi,j = 1 if j = minj D(Xi , Cj ), else μi,j = 0.
Dissimilarity Index and Clustering Criterion :
Several dissimilarity indeces may be used to reach a solution. XLSTAT offers three distances
detailed by Chuanren Liu, Tianming Huy, Yong Gez and Hui Xiongx :
Cosine Dissimilarity : The cosine dissimilarity is the distance which caracterizes the
spherical k-means and is based on the cosine of the angle between two observations.
The wider the angle, the more the cosine dissimilarity will be close to 1, with 1 being an
angle of 90° meaning no variables are shared between the observations.
AB T
Dcosine (A, B) = 1 − cos(A, B) = 1 −
∣∣A∣∣∣∣B∣∣
In case of textual analysis where the scaling effect have to be small, the cosine dissimilarity is
recommended.
Jaccard Dissimilarity: This distance is based on the extended Jaccard index. The basic
Jaccard index computes the binary intersection domain between two binary vctors over

the binary union between these observations.
A∩B
DJacc (A, B) = 1 − Jacc(A, B) = 1 −
A∪B
The extended jaccard index does the same thing but considers the values of the vectors as
weights. In order to optimize the computation, we base the extended Jaccard index on the
cosine similarity.
cos(A, B)
DJaccExtended (A, B) = 1 − JaccExtended (A, B) = 1 −
∣∣A∣∣2 + ∣∣B∣∣2 − cos(A, B)
Compared to the cosine dissimilarity, the extended Jaccard index has a higher sensitivity
concerning close observations, which is useful for dense datasets with several close clusters.
Comparison between the cosine distance (red) and the extended Jaccard distance (green).
Euclidean distance: The euclidean distance is commonly used in statistical analysis and
produces, in most cases, descent results. But, keep in mind that is due to the optimization
process,concerning sparse data the other two distances are recommended.
The clustering criterion Q (or objective function) is computed depending on the choice of
clustering distance : for the euclidean distance three choices are available (T race(W ),
Determinant(W ), W ilks′ Lambda) while for the Jaccard index we use the T race(W )
and for Cosine dissimilarity it is the sum of distances between each observations and centers
weighted by μ and m. Each criterion is described at later in the document.
In the spherical case :

N k
Q = ∑ ∑ μm
i,j Dcosine (Xi , Cj )
i=1 j=1
The above clustering are described as following:
Trace(W): The W trace is the most traditional criterion. Minimizing the W trace for a
given number of clusters amounts to minimizing the total within-class variance, in other
words minimizing the heterogeneity of the clusters. This criterion is sensitive to effects of
scaling. In order to avoid giving more weight to certain variables than others, the data
must be normalized beforehand. Moreover, this criterion tends to produce clusters of the
same size.
In the hard case :

N k
1
W = ∑ ∑ μi,j (Xi − Cj )(Xi − Cj )T
N i=1 j=1
Then the criterion is :

D
Q = ∑ W (ii, ii)
ii=1
In the soft case, The W matrix is composed on k matrix Fj :
N
1
Fj = ∑ μi,j (Xi − Cj )(Xi − Cj )T
∑N
i=1 μi,j i=1
Then the criterion is :
k k D
Q = ∑ T race(Fj ) = ∑ ∑ Fj (ii, ii)
j=1 j=1 ii=1
Determinant(W): The determinant of W , pooled within covariance matrix, is a criterion

considerably less sensitive to effects of scale than the W trace criterion. Furthermore,
cluster sizes may be less homogeneous than with the trace criterion.
In the soft case, the criterion is :

k
Q=∑ Determinant(Fj )
j=1
Wilks lambda: The results given by minimizing this criterion are identical to that given by
the determinant of W . Wilks’ lambda criterion corresponds to the division of
determinant(W ) by determinant(T ) where T is the total variance matrix. Dividing
by the determinant of T always gives a criterion between 0 and 1.

Dialog box
General tab:
Observations/variables table: Select a table comprising N observations described by P

descriptors. If column headers have been selected, check that the "Variable labels" option has
been activated.
Observation weights: Activate this option if the rows are weighted. If you do not activate this
Variable labels: Activate this option if the first row of the data selections
(Observations/variables table, Variable labels, Observation weights, Observation weights)
contains a label.
Dissimilarity Index: Choose a distance amoung the three available on XLSTAT. The cosine
dissimilarity is recommended in order to analyze textual data. The Jaccard index is
recommended for datasets which require a fine analysis. The Euclidean distance is the most
used distance for k-means and is applied in most cases.
Clustering criterion: Choose a criterion amoung the three available on XLSTAT. T race(W ) is
the within-class sum of square. The Wilks' Lambda allows to have an absolute representation of

the partition. The determinant(W ) is a criterion that is less sensible to scaling effect than
trace(W ).
Onglet Options:
Cluster rows: Activate this option if you want to create clusters of objects in rows described by
descriptors in columns.
Cluster columns: Activate this option if you want to create clusters of objects in columns
described by descriptors in rows.
Standardize :
Center : This option computes the mean of each variable and susbstracts it from each
variables. This option allows the algorithm to take into account the relative statistical
properties of each variables. This transformation will only be applied on variables.
Reduce : This option compute the standard deviation for each variables and divide each
variable by this deviation. This reduce the scale effect of the variables. This
transformation will only be applied on variables.
Type of clustering :
Hard: Choose this option to compute hard k-means algorithm.
Fuzzy: Choose this option to compute fuzzy k-means algorithm. The default coefficient of
fuzziness is 1,05.
Initial Partition : Use these options to choose the way the first partition is chosen, in other
words, the way observations are assigned to clusters in the first iteration of the clustering
algorithm.
Random: Observations are assigned to clusters randomly.
Defined by centers: Select the k centers corresponding to the k clusters. The number of
rows must be equal to the number of clusters and the number of columns equal to the
number of columns in the data table. If the "Column labels" option is activated you need to
include a header in the selection.
Defined by memberships: The observations are affected to the clusters following an

index variable defined by the user (for exemple : 2,2,3,1,4). In this case, select a column
vector containing the same number of rows as the number of observations.
K++: This option allows to define centers according to k-means++ algorithm introduced by
Rafail Ostrovsky, Yuval Rabani, Leonard Schulman and Chaitanya Swamy in 2006. The
first center is chosen randomly among the observations. The next is chosen among the
observations depending on the distance between the observation and the center.The
further the observation is to the center the higher is the probability to be chosen. The k −
2 remaining centers are chosen according to the same method. This method allow to start
with centers chosen evenly in the dataset which generaly increase the quality of the
partition and the speed at which the algorithm reach the solution. But this algorithm take

times to compute and with large and complexe datasets (with a lot of centers), it is
recommended to use K|| algorithm.
K||: This option allows to define centers according K|| or "Scalable K-means" algorithm
introduced by Bahman Bahmani, Benjamin Moseley, Andrea Vattani, Ravi Kumar and
Sergei Vassilvitskii in 2012. It is derived from K++ algorithm and allows to choose the
centers with parallelization. Like K++, The first center is chosen randomly among the
observations, but at each iteration of the algorithm, k/2 observations are chosen
randomly and independantly with the same method as K++. After a number of
runs,depending on the size of the dataset, the X centers obtained are then reclustered
into k centers using K++. This algorithm has the advantage to be much faster than K++
for two reasons : the first step is mainly decreasing the amount of relevant observations to
be proccessed by K++ and the independant choice of the centers for each iteration allows
to do a parallel implementation of the first step.
Number of classes: Enter the number of clusters to be created by the algorithm. You can let
the number of clusters vary between two bounds, except when "Defined by centers" or "Defined
by memberships" are selected.
Number of runs: Enter the number of times you want to run this algorithm. With some
parameters being random, like the selection of initial centers, running the algorithm several
times helps reaching a global solution of the dataset. Using this option, only the best run is kept.
Stop conditions:
Iterations: Enter the maximum number of iterations for the k-means algorithm. The
Default value: 50. If the number of iteration is 0, then the algorithm will run until the
convergence reach the threshold of convergence.
iteration to another, after that, we consider that the algorithm converged. Default value:
0.00001. If the convergence is 0 then the algorithm will run until it reach the maximum
number of iterations.
Missing data tab:
Replace values by 0 : Activate this option to replace all missing values by 0.
Outputs tab:
This tab is split into two parts : global results which concern or summarize the clusterings and
the results by clustering.
Global results
Summary table: Activate this option the display the summary of each clustering. This
include the number of clusters and iterations, the clustering criterion, the within-class and

between-class sum of squares and the mean width of the silhouette.
variables.
Cluster size: Activate this option to display the number of observations for each cluster.
Results by class
Centers: Activate this option to display the cluster coordonates.
Central objects: Activate this option to display the coordinates of the nearest observation
to the centroid for each class.
Cluster Summary: Activate this option to display the caracteristics of each cluster in this
partition
(within-class variance, mean, maximum and minimum distances from the cluster center)
and all the observations in the clusters.
Most present variables: Activate this option to display the most present variables of each
cluster. The default number of words displayed is 10.
Memberships: Activate this option to display the cluster associated with each observation
and the distance between these two.
Membership probabilities: Activate this option to display the membership probabilities

μi,j for each observation (Only available with Fuzzy clustering)
Charts tab:
Evolution of the criterion : If you choose to do the clustering between two numbers of clusters,
XLSTAT displays the criterion for each partiton. The higher the number of cluster and the lower
this criterion will be. If there is no particular structure in the dataset, the criterion will decrease
steadily but if there is a structure inside the dataset, an elbow might appear on the chart at the
right number of clusters.
Profile plot: This chart allows to compare the means of the different clusters that have been
create.
Cluster Size: This chart represent the number of observation of each cluster.
Silhouette: Activate this option to plot the silhouette of the partition. For each observation, a
fitness coefficient between -1 and 1 will be computed, 1 being perfect fit and negative values
being bad partition. All these fitness coefficients form the silhouette of the partition. The fitness
coefficients are computed as follow :
b(i) − a(i)
F it(i) =
max(a(i), b(i)
a(i) being the average distance between the observation i and all other data within the same
cluster and b(i) the lowest average distance between i and all observations in any other cluster
.

Condensed Silhouette: Activate this option to only display a limited amount of fitness
coefficients. This greatly increase the speed of display in case of large datasets. This option will
only be taken into account if the datasets contains more than 500 observations.
Exemple
A tutorial on k-means clustering is available on the Addinsoft website:
http://www.xlstat.com/demo-fuzzyEN.htm
References
MacQueen J. B. (1967). Some Methods for classification and Analysis of Multivariate
Observations, Proceedings of the Fifth Berkeley Symposium on Mathematical Statistics and
Probability, Volume 1: Statistics, 281-297
E.W. Forgy (1965). "Cluster analysis of multivariate data: efficiency versus interpretability of
classifications, Biometrics 21, 3, 768-769
S. Dhillon, Inderjit & S. Modha, Dharmendra. (2000). Concept Decompositions for Large
Sparse Text Data Using Clustering, Machine Learning, 42, 143-175.
C. Bezdek, James. (1981). Pattern Recognition with Fuzzy Objective Function.
Chuanren Liu, Tianming Huy, Yong Gez and Hui Xiongx. (2012). Which Distance Metric is
Right: An Evolutionary K-Means View, SDM
Bahmani, Bahman & Moseley, Benjamin & Vattani, Andrea & Kumar, Ravi & Vassilvitskii,
Sergei. (2012). Scalable K-Means++, Proc. VLDB Endow, 5(2012), 622–633
Rousseeuw, Peter. (1987). Rousseeuw, P.J.. Silhouettes: a Graphical Aid to the Interpretation
and Validation of Cluster Analysis, Journal of Computational and Applied Mathematics, 20, 53-
65

Classification and regression trees
Classification and regression trees are methods that deliver models that meet both explanatory
and predictive goals. Two of the strengths of this method are on the one hand the simple
graphical representation by trees, and on the other hand the compact format of the natural
language rules. We distinguish the following two cases where these modeling techniques
should be used:
Use classification trees to explain and predict the belonging of objects (observations,
individuals) to a class, on the basis of explanatory quantitative and/or qualitative variables.
Use regression tree to build an explanatory and predictive model for a dependent
quantitative variable based on explanatory quantitative and/or qualitative variables.
Note: Sometimes the term segmentation tree or decision tree is employed when talking about
the above mentioned models.
In this section:
Description
Dialog box
Contextual menu for the trees
Results
Example
References
Description
Classification and regression tree analysis was proposed in different ways. AID trees (Automatic
Interaction Detection) have been developed by Morgan and Sonquist (1963). CHAID (CHi-
square Automatic Interaction Detection) was proposed by Kass (1980) and later enriched by
Biggs (Biggs et al, 1991) when he introduced the exhaustive CHAID procedure. The name of
the Classification And Regression Trees (C&RT) methods, comes from the title of the book of
Breiman (1984). The QUEST (QUick, Efficient, Statistical Tree ) method is more recent (Loh and
Shih, 1997).
These explanatory and predictive methods can be deployed when one needs to:
Build a rules-based model to explain a phenomenon recorded through qualitative or

quantitative dependent variables, while identifying the most important explanatory
variables.
Identify groups created by the rules.
Predict the value of the dependent variable for a new observation.
Machine learning 481 Classification and regression trees

CHAID, CART and QUEST
XLSTAT offers the choice between four different methods of classification and regression tree
analysis: CHAID, exhaustive CHAID, C&RT and Quest. In most cases CHAID and exhaustive
CHAID give the best results. In some cases the two other methods can be of interest. CHAID is
the only algorithm implemented in XLSTAT that can lead to non binary tree.
CART
The procedure involves partitioning observations by creating the most homogeneous possible
groups of observations from the perspective of the variable to predict. Several iterations are
necessary : at each iteration we divide the observations into k = 2 classes to explain the
dependent variable. The first division is obtained by choosing the explanatory variable which will
provide the best separation of the observations on the basis of a quality measure. That division
defines subpopulations ("nodes") of the tree. The process is repeated for each subpopulation
until no further separation is possible. We then obtain terminal nodes called "leaves" of the tree.
Each leaf is characterized by a specific path through the tree, which is called a "rule". The set of
rules for all leaves define the model.
Quality measure:
In the case of regression, the dependent variable is quantitative. In order to obtain the
optimal split, we try to minimize at each node the variance of the child nodes. (tL and tR
). The variance of a node t is defined by:
∑ (Yi − y (t))2
Xi ∈t
Where Yi is the value of the dependent variable associated to observation i and where y (t) is
the average of the outputs associated to node t.
In the case of classification, the dependent variable Y is qualitative with J categories.

The quality measure used to split a node are in this case the Gini impurity index, the
information gain (entropy) or Twoing criterion.
For a node t these measures are defined such as:
GIN I : i(t) = 1 − ∑ p2 (j∣t)

J
EN T ROP Y : i(t) = − ∑ p(j∣t) ∗ log [p(j∣t)]

J
[∑ p2 (j∣tL ) − p2 (j∣tR )]
p ∗ pR
T W OIN G : i(t) = L
4 J

with p(j∣t) the probability of having the modality j of Y knowing that we are in the node t, tL
and tR resp. left and right childs nodes, pL et pR the probability for an observation to belong
resp. to the childs nodes left and right.
In the case of a quantitative explanatory variable, all the possible binary partitions are tested, so
we have an infinity of possible tests. Nevertheless, the size n of the learning sample Ln being
fixed, we have at most n distinct values for a quantitative variable, therefore at most n − 1
associated binary questions.
For a qualitative explanatory variable, each grouping in two groups of k modalities is tested (i.e.
2k − 1 possibilities).
After each generation of a new subnode, the stop criteria are checked, and if none of the
conditions are fulfilled, the node will be considered as a parent node, and the process is
iterated.
Stop criteria:
Pure node: The node contains only observations of one category or one value of the
dependent variable.
Variance equals zero: The variance of the dependent variable associated to observations
of a node is null.
No partitioning allows to improve the quality measure.
Maximum tree depth: The level of the node has reached the user defined maximum tree
depth.
Minimum size for a parent-node: The node contains fewer observations than the user
defined minimum size for a parent-node.
Minimum size for a son-node: After splitting this node, there is at least one sub-node
which size is smaller than the user defined minimum size for a child-node.
Complexity parameter (CP): The construction of a tree does not continue unless the
overall impurity is reduced by at least a factor CP. That value must be less than 1.
CHAID and exhaustive CHAID
Both CHAID and exhaustive CHAID algorithms consist of three steps: merging, splitting and
stopping. A tree is grown by repeatedly using these three steps on each node starting from the
root node.
The following algorithm only accepts nominal or ordinal categorical explanatory variables. When
predictors are continuous, they are transformed into ordinal predictors with K ≤ 10 categories
before using the following algorithm.
Processing quantitatives explanatory variables:

Given a quantitative variable X and a1 , a2 , … , aK−1 (in ascending order), an observation xi
de X is mapped into category C(x) as follows:
⎧
⎪ 1 x ≤ a1
C (x) = ⎨ k + 1 ak < x ≤ aK−1
⎪
⎩
K aK−1 < x
If K is the desired number of categories, the break points are computed as follows:
Calculate the rank of x(i) . Observations weights are incorporated when calculating the ranks. If
there are ties, the average rank is used. Denote the rank and the corresponding values in
ascending order as
n
{r(i) , x(i) }i=1 ⋅
For each category k = 0 a (K − 1), Ik = {i : ⌊r(i) ∗ NK+1 ⌋ = k } where ⌊x⌋ is the floor
integer of x. If the group Ik is non empty, ik = max {i :∈ Ik }. The break points are set equal
to the x values corresponding to the ik , excluding the largest.
Merging: For all explanatory variables Xi , the process try to merge similar categories.
Each final category of Xi will result in one child node if Xi is used to split the node. The
merging step also calculates the p-value that is to be used in the splitting step. several
steps are needed:
Chaid :
If Xi has 2 categories, go to step 7.

Else, find the pair of categories of Xi that is most similar. The most similar pair is the pair
whose test statistic gives the largest p-value with respect to the dependent variable Y .
The p-values are compute using the Pearson’s Chi-square test or the maximum likelihood
ratio in classification case (Y qualitative) or by doing an ANOVA F test in regression case
(Y quantitative).
For the pair having the largest p-value (α), if α > αmerge , αmerge being a user-specified
merge threshold, this pair is merged. If it does not, then go to step 6.
(Optional) If the newly formed category consists of more than 2 original categories, then
we find the best binary split within the compound category. Here the best split is the one
which p-value is the smallest (αmin ). Perform this binary split if αmin ≤ αspli−merge ,
αspli−merge being the split threshold defined by the user.
Go to step 2.
(Optional) Any category having too few observations compared to a user-specified

minimum child size is merged with the most similar other category(having largest p-value).
(Optional) The p-values are adjusted by applying Bonferroni adjustments.
Exhaustive CHAID:

In exhaustive CHAID the merging step use an exhaustive research method to merge any similar
pair until only a single pair remain.
1. Set j = 0, we calculate the p-value based on the set of categories of Xi at this time. we
note that Pj , Pj = P0 .
2. We find the allowable pair of categories of X that is, most similar. (pair whose test
statistic gives the largest p-value with respect to the dependent variable Y ).
3. We merge the pair that gives the largest p-value.
4. (Optional) If the new category just formed contains more than 2 original categories, we
search a binary split of this new category that gives the smallest p-value. If this p-value is
larger than the one in forming the category got by merging in the previous step, perform
the binary split on that new category.
5. j = j + 1, we calculate the p-value Pj based on the set of categories of Xi at this time.
6. Repeat 2 to 5 until only two categories remain. Then among all the indices j , we find the
set of categories such that Pj is the smallest.
7. (Optional) Any category having too few observations compared to a user-specified

minimum child size is merged with the most similar other category (having largest p-
value).
8. (Optional) The p-values are adjusted by applying Bonferroni adjustments.
Splitting: Starting with the root node that contains all the objects, the best split variable is
the one for which the p-value (or adjusted p-value) is the lowest. The split is performed if
the p-value is lower than the user defined threshold. Else, we dont split the node.
Stopping: For every newly created sub-node the stop criteria are checked. If none of the
criteria are met, the node is treated as a parent node. The following are the stop criteria:
Pure node: The node contains only objects of one category or one value of the dependent
variable.
depth.
Minimum size for a parent-node: The node contains fewer objects than the user defined
minimum size for a parent-node.
Minimum size for a child-node: After splitting this node, there is at least one sub-node
which size is smaller than the used defined minimum size for a son-node.
QUEST

This method can only be applied to qualitative dependent variables (classification). We carries
out a splitting using two separate sub-steps. First, we look for the best splitting variable among
the explanatory variables; second, the split point for the split variable is calculated:
Selection of the split variable: for a quantitative explanatory variable, an ANOVA F-test
is carried out to compare the mean values of each explanatory variable for the different
categories of the qualitative dependent variable Y . In the case of a qualitative explanatory
variable a Chi-square test is performed for each explanatory variable. We define X ∗ as
the explanatory variable for which the p-values is the smallest. If the p-value
corresponding to X ∗ is smaller than αp , where α is the user defined threshold and p is
the number of explanatory variables, then X ∗ is chosen as the split variable. In the case
where no X ∗ is found, Levene’s F statistic is calculated for all the quantitative explanatory
variables. We define by X ∗∗ the explanatory variable corresponding to the smallest p-
value. If the p-value of X ∗∗ is smaller than p+pX
α
, pX being the number of quantitative
explanatory variables, then X ∗∗ is chosen as the split variable. In the case where no X ∗∗
is found, the node is not split.
Choice of the split point: in the case of a qualitative explanatory variable, the latter
variable is first transformed into a qualitative variable X ′ . The detailed description of the
transformation can be found in Loh and Shih (1997). In the case of quantitative variable,
similar classes of Y are first grouped together by a k-means clustering of the mean
values of Xi until obtaining two groups of classes. Then, a discriminant analysis using a
quadratic model is done on these two groups of classes, in order to determine the optimal
split point for that variable.
Stop conditions: For every newly created sub-node the stop criteria are checked. If none of the
criteria are met, the node is treated in the same way as the root node.
the prior probability distribution for the dependent variable is needed to run the algorithm.
XLSTAT gives you two options to compute it automaticaly : compute the priors using the classes
repartition in the learning sample or assume that all categories of the dependent variable have
the same repartition (equiprobability).
Stop conditions: for every newly created sub-node the stop criteria are checked. If none
of the criteria are met, the node is treated in the same way as the root node.
Pure node: the node does only contain objects of one class or one value of the dependent
variable.
Maximum tree depth: the level of the node has reached the user defined maximum tree
depth.
Minimal parent node size: the node contains fewer objects than the user defined minimal
parent node size.
Minimal child node size: after splitting this node, a sub node would exist that size would
be smaller than the used defined minimal son node size.

Classification table and ROC curve
Among the numerous results provided, XLSTAT can display the classification table (also called
confusion matrix) used to calculate the percentage of well- classified observations. When only
two classes are present in the dependent variable, the ROC curve may also be displayed.
The ROC curve (Receiver Operating Characteristics ) displays the performance of a model and
enables a comparison to be made with other models. The terms used come from signal
detection theory.
the model than a negative event. For an ideal model, AUC=1 and for a random model, AUC =
0.5. A model is usually considered good when the AUC value is greater than 0.7. A well-
discriminating model must have an AUC of between 0.87 and 0.9. A model with an AUC greater
than 0.9 is excellent.

Classification and regression trees apply to quantitative and qualitative dependent variables. In
the case of a Discriminant analysis or logistic regression, only qualitative dependent variables
can be used. In the case of a qualitative depending variable with only two categories, the user
will be able to compare the performances of both methods by using ROC curves.
Lastly, it is suggested to validate the model using a validation sample wherever possible.
XLSTAT has several options for automatically generating a validation sample.
Dialog box
observations.
General tab:
Y / Dependent variables: select the dependent variable you want to model. If a column header
Response type: confirm the type of dependent variable you have selected:
Quantitative: choose this option if the selected dependent variable is quantitative.
Qualitative: choose this option if the selected dependent variable is qualitative.

Quantitative: activate this option if you want to include one or more quantitative explanatory
data selected may be of the numerical type. If a variable header has been selected, check that
Qualitative: activate this option if you want to include one or more qualitative explanatory
been activated.
Observation weights: activate this option if the observations are weighted. If you do not
activate this option, the weights will all be considered as 1. Weights must be greater than or
equal to 0. If a column header has been selected, check that the "Variable labels" option has
been activated.
Range: activate this option if you want to display the results starting from a cell in an existing
Sheet: activate this option to display the results in a new worksheet of the active workbook.
Workbook: activate this option to display the results in a new workbook.
Variable labels: activate this option if the first row of the data selections (dependent and
Observation labels: activate this option if observations labels are available. Then select the
by XLSTAT (Obs1, Obs2, …).
Method: choose the method to be used. CHAID, exhaustive CHAID, C&RT and Quest are
possible choices. In the case of Quest, the "Response type" is automatically changed to
qualitative.
Measure: in the case of the CHAID or exhaustive CHAID methods with a qualitative response
type, the user can choose between the Pearson’s Chi-square and the likelihood ratio measures.
In the case of the CART method together with a qualitative response type, the user can choose
between the Gini, information gain and Twoing measures.
Options tab:
Minimum node size:
Minimum parent size: enter the minimum number of objects that a node must contain to
be split.

Minimum son size: enter the minimum number of objects that every newly created node
must contain after a possible split in order to allow the splitting.
Maximum tree depth: enter the maximum tree depth.
Significance level (%): enter the significance level. This value is compared to the p-values of
the F and Chi-square tests. p-values smaller than this value authorize a split. This option is not
active for the CART method.
Complexity parameter: enter the value of the complexity parameter (CP).
CHAID options: these options are only active with the CHAID methods.
Merge threshold: enter the value of the merge significance threshold. Significance values
smaller than this value lead to merge two subgroups of categories. The categories of a
qualitative explanatory variable may be merged to simplify the computations and the
visualization of results.
Authorize redivision: activate this option if you want to allow that previously merged
categories are split again.
Split threshold: enter the value of the split significance threshold. P-values lower than
this value lead to split the categories or group of categories into two subgroups of
categories.
Bonferroni correction: activate this option if you want to use a Bonferroni correction
during the computation of the p-value of merged categories.
Number of intervals: this option is only active if quantitative explanatory variables have
been selected. You can choose the maximum number of intervals generated during the
discretization of the quantitative explanatory . The maximum value is 10.
Classes weight correction: if the number of observations for the various classes for the
dependent variables are not uniform, there is a risk of penalizing classes with a low number of
observations in establishing the model. To get over this problem, XLSTAT has two options:
Automatic: correction is automatic. Artificial weights are assigned to the observations in

order to obtain classes with an identical sum of weights.
Corrective weights: you can select the weights to be assigned to each observation.
Prior probabilities Type(QUEST only): choose the prior probabilities type you want to include
in the tree building process.
Validation tab:
Validation: activate this option if you want to use a sub-sample of the data to validate the
model.
Validation set: choose one of the following options to define how to obtain the observations

Random: the observations are randomly selected. The "Number of observations" N must
then be specified.
N last rows: the N last observations are selected for the validation. The "Number of
N first rows: the N first observations are selected for the validation. The "Number of
Group variable: if you choose this option, you need to select a binary variable with only
Prediction tab:
Prediction: Activate this option if you want to select data to use them in prediction mode. If this
option is activated, you need to make sure that the prediction dataset is structured as the
learning dataset: same variables with the same order in the selections. If variable labels option
is active for the learning data, the first row of the selections listed below must correspond to the
variable labels.
Quantitative: Activate this option to select the quantitative explanatory variables.
Qualitative: Activate this option to select the qualitative explanatory variables.
generated by XLSTAT (PredObs1, PredObs2, …).
Missing data tab:
Do not accept missing data: activate this option so that XLSTAT does not continue
Remove observations: activate this option to remove the observations with missing data.
Estimate missing data: activate this option to estimate missing data before starting the
computations.
Mean or mode: activate this option to estimate missing data by using the mean
Nearest neighbour: activate this option to estimate the missing data of an observation by
Outputs tab:
Descriptive statistics: activate this option to display descriptive statistics for the variables
selected.

Correlations: activate this option to display the correlation matrix.
Tree structure: activate this option to display a table of the nodes, and information on the
number of objects, the p-value of the split, the parent node and the child nodes.
Node frequencies: activate this option to display the absolute and relative frequencies of the
different nodes.
Rules: this table displays the rules in natural language, only for the dominant categories of each
node.
Results by object: activate this option to display for each observation, the observed category,
the predicted category, and, in the case of a qualitative dependent variable, the probabilities
corresponding to the various categories of the dependent variable.
Confusion matrix: activate this option to display the table showing the numbers of well and
badly classified observations for each of the categories.
Charts tab:
Tree chart: activate this option to display the classification and regression tree graphical.
Pruning can be done by the help of the context menu of the tree chart.
Bar charts: choose this option so that on the tree, the relative frequencies of the
categories are displayed using a bar chart.
Frequencies: activate this option to display the frequencies on the bar charts
%: activate this option to display the % (of the total population) on the bar charts.
Pie charts: Choose this option so that on the tree, the relative frequencies of the
categories are displayed using a pie chart.
Contextual menu for the trees (only on excel 2003):
When you click on a node on a classification tree, and then do a right click on the mouse, a
contextual menu is displayed with the following commands:
Show the entire tree: select this option to display the entire tree and to undo previous pruning
actions.
Hide the subtree: select this option to hide all the nodes below the selected node. Hidden parts
of the tree are indicated by a red rectangle of the corresponding parent node.
Show the subtree: select this option to show all the nodes below the selected node.
Set the pruning level: select this option to change the maximum tree depth.
Reset this Menu: select this option to deactivate the context menu of the tree chart and to
activate the standard menu of Excel.
Results

qualitative variables the categories with their respective frequencies and percentages are
displayed.
Correlation matrix: this table displays the correlations between the explanatory variables.
Tree structure: this table displays the nodes and information on the number of objects, the
significance level of the split, and the two first child nodes. In the case of a qualitative
dependent variable the predicted category is displayed. In the case of a quantitative dependent
variable the expected value of the node is displayed.
Split level chart: this chart shows the significance level of the split variables for the internal
nodes of the tree.
Tree chart: a legend is first displayed so that you can identify which color corresponds to which
category (qualitative dependent variable). The graphical visualization of the tree allows to
quickly see how it has been iteratively built, in order to obtain rules that are as pure as possible,
which means that the leaves of the tree should ideally correspond to only one category.
Every node is displayed as a bar chart or a pie chart. For the pie chars, the inner circle of the
pie corresponds to the relative frequencies of the categories (or intervals) to which the objects
contained in the node correspond. The outer ring shows the relative frequencies of the
categories of the objects contained in the parent node.
The node identifier, the number of objects, their relative frequency, and the purity (if the
dependent variable is qualitative), or the predicted value (if the dependent variable is
quantitative) are displayed beside each node. Between a parent and a child node, the split
variable is displayed with a grey background. Arrows point from this split variable to the son
nodes. The values (categories in the case of a qualitative explanatory variable) corresponding
to each son node are displayed in the top left box displayed next to the son node.
Pruning can be done using the contextual menu of the tree chart. Select a node of the chart and
click on the right button of the mouse to activate the context menu. The available options are
described in the contextual menu section.
Node frequencies: This table displays the frequencies of the categories of the dependent
variable.
Rules: The rules are displayed in natural language for the dominant categories of each node. If
the option "all categories" is checked in the dialog box, then the rules for all categories and
every node are displayed.
Results by object: This table displays for each observation, the observed category, the
predicted category, and, in the case of a qualitative dependent variable, the probabilities
corresponding to the various categories of the dependent variable.
Confusion matrix(classification only): This table displays the numbers of well- and badly-
classified observations for each of the categories (see the description section for more details).
Example

A tutorial on how to use classification and regression trees is available on the Addinsoft website:
http://www.xlstat.com/demo-dtr.htm
References
Bigss D., Ville B. and Suen E. (1991). A method of choosing multiway partitions for
classification and decision trees. Journal of Applied Statistics, 18(1), 49-62.
Goodman L. A. (1979). Simple models for the analysis of association in cross-classifications

having ordered categories. Journal of the American Statistical Association, 74, 537-552.
Kass G. V. (1980). An exploratory technique for investigating large quantities of categorical

data. Applied Statistics, 20(2), 119-127.
Breiman L., Friedman J.H., Olshen R., and Stone C.J. (1984). Classification and Regression
Tree Wadsworth & Brooks/Cole Advanced Books & Software, Pacific California.
Lim T. S., Loh W. Y. and Shih Y. S. (2000). A comparison of prediction accuracy, complexity,
and training time of thirty-three old and new classification algorithms. Machine Learning, 40(3),
203-228.
Loh W. Y. and Shih Y. S., (1997). Split selection methods for classification trees. Statistica
Sinica, 7, 815-840.
Morgan J.N. and Sonquist J.A. (1963). Problems in the analysis of survey data and a
proposal. Journal of the American Statistical Association, 58, 415-434.
Rakotomalala R. (1997). Graphes d’Induction, PhD Thesis, Université Claude Bernard Lyon 1.
Rakotomalala R. (2005). TANAGRA: Une plate-forme d’expérimentation pour la fouille de

données. Revue MODULAD, 32, 70-85.
Bouroche J. and Tenenhaus M. (1970). Quelques méthodes de segmentation, RAIRO, 42, 29-
42.

K Nearest Neighbors
Use this tool to predict the value or the category to which belongs an observation described by
a set of variables (or predictors), based on the categories or mean value of its k nearest
neighbors, which are k observations for which the category or value is known and which are
described by the same set of variables.
In this section:
Description
Dialog box
Results
Example
References
Description
The K Nearest Neighbors (KNN) method aims to categorize observations of a prediction set
whose class is unknown given their respective distances to points in a learning set (i.e. whose
class is known a priori).
A simple version of KNN is an intuitive supervised classification approach, it can be regarded as

an extension of the nearest neighbor method (NN method is a special case of KNN where k =
1).
The KNN classification approach assumes that each example in the learning set is a random
vector in Rn . Each point is described as x = {a1 (x), a2 (x), … , an (x)} where ar (x)
denotes the value of the r-th attribute. ar (x) can be either a quantitative or a qualitative
variable.
To determine the class of the query point xq , each of the k nearest points x1 , … , xk to xq
proceed to voting. The class of xq corresponds to the majority class.
The following algorithm describes the basic KNN method:
Given a set L of size N of pre-classified samples (examples in a learning set):
L = {(x1 , f (x1 )), ..(x2 , f (x2 )), ..(xN , f (xN )}
Where f (xi ) is a real value function which denotes the class of xi
f (xi ) ∈ V where V = {v1 , v2 , … , vs }
Machine learning 495 K Nearest Neighbors

Given a query point or a sample to be classified xq , let x1 , x2 , … , xk be the nearest pre-
classified points with a specific distance function to xq , we have:
K
f (xq ) = argmaxv∈V (∑ δ(vi , f (xi )))
i=1
1 if a = b
Where δ(a, b) ={
0 if a = b
Origins
Nearest neighbor rules have traditionally been used in survey pattern recognition (Nilsson,
1965).
This method has also been used in several areas such as:
Bioinformatics
Image processing
Computer vision
Pattern recognition (such as handwritten character recognition)
GIS (Geographical Information System): finding the closest cities to given positions.
Generally, in learning systems, when the problem involves finding the nearest point or the
k nearest points to a given query point.
Quantifying the similarity / dissimilarity between the query point and points in the
Learning set:
The measure of dissimilarity between a given query point and the learning set is computed
using a distance function. We recall that a distance function d on a set X d : X → R needs to
satisfy the metric conditions:
d(x, y) = d(y, x). Symmetry property.
d(x, y) ≥ 0. Non-negativity property.
d(x, y) = 0 ⇔ x = y . Coincidence axiom.
d(x, y) = d(x, z) + d(z, y). Triangular inequality.
Asymptotic result regarding the convergence of the basic KNN

The result established by Cover and Hart (1966) guarantees the existence of the k nearest
neighbors. Let x and x1 , … , xN be independent identically distributed random variables
taking values in a separable metric space X . Let x′n denote the nearest neighbor to x from the
set {x1 , … , xN }.
Then x′n → x with probability one (Cover and Hart 1966).
Complexity Of the basic KNN Method
In order to find the K nearest neighbors to a given query point, the algorithm needs to compute
all the distances separating the query point to each point in the learning set. As a result, the
algorithm computes N distances where N is the number of the points in the learning set.
Finding the K nearest neighbors requires sorting these N distances. Consequently, the real
bottleneck in the basic KNN algorithm resides in the sorting step. Therefore, the complexity of
the basic KNN is in the order of N log(N ).
Quantitative metrics (distances):
Each point is considered as a quantitative vector whose components are quantitative random
variables.
Many quantitative distances can be used such as:

n
Euclidean: d(x, y) = ∑ (xi − yi )2
i=1
n
Minkowski: d(x, y) = ∑ ∣xi − yi ∣q
i=1
n
Manhattan: d(x, y) = ∑ ∣xi − yi ∣
i=1
Tchebychev: d(x, y) = maxi=1.n (∣xi − yi ∣)

n
∣xi −yi ∣
Canberra: d(x, y) =∑ ∣xi ∣+∣yi ∣
i=1
Qualitative distances:
Each point is regarded as a vector whose components are all qualitative variables. When
dealing with qualitative vectors, quantitative distances cannot be used. Therefore, several
qualitative distances have been introduced:
The Overlap Metric OM

The Overlap Metric can be considered as basic qualitative distance:
Two vectors x and y are closer if their attributes are similar (their attributes take the same
category/value). The distance between two vectors x and y can be defined as:
N
d(x, y) = ∑ δ(ai (x), ai (y))
i=1
Where ai (x) and ai (y) correspond to the i-th attributes of the vectors x and y .
The Value difference distance (VDM)
VDM was introduced by Graig Stanfil and David Waltz (1986). In VDM, two attributes are closer
if they have the same classification class. The VDM distance between vectors x and y is given
by:
C
N 1 : vdmnormalizeda (x, y) = ∑ ∣P (c∣ai (x)) − P (c∣ai (y))∣
q
c=1
Where: - C is the total number of classes.
P (c∣ai (x)): Provided ai (x), the probability that ai (x) is classified into c.
P (c∣ai (y)): Provided ai (y), the probability that ai (y) is classified into c.
q generally equals 1 or 2.
P (c∣ai (x)) and P (c∣ai (y)) are computed as follows:

N (ai , x, c)
P (c∣ai (x)) =
N (ai , x)
N (ai , y, c)
P (c∣ai (y)) =
N (ai , y)
Where:
N (ai , x, c): number of instances of x for ai in c.
N (ai , x): number of instances of x in the data set.
N (ai , y, c): number of instances of y for ai in c.
N (ai , y): number of instances of y in the data set.
Remark: Although defined for nominal attributes, the VDM distance can also be used to
evaluate the distance between numeric attributes.

Computing similarity using kernels or kernel trick
Kernels can be regarded as a generalization of distance measures. They can be represented

using a Hilbert space (Scholkopf 2001).
The complexity behind the computation of kernels is almost as similar as, but sometimes slightly
higher than the computation involved in quantitative metrics.
Gaussian Kernel:
∥x − y∥
k(x, y) = exp(− )
2δ 2
Laplacian Kernel:
∥x − y∥
k(x, y) = exp(− )
δ
Logarithmic Kernel:
k(x, y) = − log(∥x − y∥d + 1)
Power kernel:
k(x, y) = −∥x − y∥d

Sigmoid kernel:
k(x, y) = tanh(αxT y + c)
xT y is a dot product
Linear kernel
k(x, y) = αxT y + c
xT y is a dot product
Where x, y are two vectors in Rn ; δ and d are scalars in R.
Dialog box

observations.
General tab:
Training set
Y / qualitative variables:
Qualitative: Select the response (or dependent) variable(s) you want to model. These variables
must be qualitative. If several variables have been selected, XLSTAT carries out calculations for
each variable separately. If a column header has been selected, make sure that the "Variable
X / explanatory variables (training set):
Quantitative: Select the quantitative explanatory variables from learning set in the Excel
worksheet. The data selected must be of type numeric. If the variable header has been
Qualitative: Select the qualitative explanatory variables from the learning set in the Excel
Prediction set:
Select the quantitative / qualitative explanatory variable data you want to use to do predictions
using KNN classification. The number of variables must be equal to the number of explanatory
variables in the training set.

has been selected, check that the " Variable labels" option is activated.
Number of neighbors: Select the number of neighbors used during the KNN classification
process.
Options tab:
Model: Distance or Kernel:
Select the way to compute the similarity between the prediction set and the learning set. The
input parameter can be set to either metrics or kernels.
Depending on the nature of the variables of the input set, either qualitative or quantitative
distances can be selected:
Quantitative distances:
Euclidean
Minkowski
Manhattan
Tchebychev
Canberra
Qualitative distances:
Overlap distance

Value difference metric
The Kernel option enables the use of kernel functions to compute the similarity between query
points and points in the learning set:
Gaussian kernel
Laplacian kernel
Spherical kernel
Linear kernel
Power kernel
In the case of the kernels option, computations are slightly longer due to the projection of points
into a higher dimensional space.
Breaking ties:
The majority voting procedure leads to the election of the query point classes. Sometimes, more
than one points win the majority. This leads to a tie.
There are several ways to break ties for a given query point depending on the KNN
implementation. You can break ties by selecting the options below.
Random breaker: chooses the class corresponding to a random point drawn from the set
of equidistant points.
Smallest Index: uses the class corresponding to the first point encountered in the set of
equidistant points.
Weighted vote: Setting the weighted vote option allows you to choose the inverse distance or
the squared inverse distance as a weight for each vote of the nearest neighbors.
Observations to track: Activate this option if you want to explore which are the k nearest
neighbors for all or a subset of the observations of the prediction set.
Validation tab:
This tab allows you to quantify the quality of the KNN classifier. The validation technique used to
check the consistency of the classification model is the K-fold cross validation technique. Data is
partitioned into k equally sub samples of equal size. Among the k subsamples, a single

subsample is retained as the validation data to test the model, and the remaining k - 1
subsamples are used as training data. k can be specified in the number of folds field.
Missing data tab:
Outputs tab:
samples before and after imputation.
Results by object: Activate this option to display a table giving the class each object
(observation) is assigned to in the initial object order.
Results
Example
A tutorial on how to use K nearest neighbors is available on the Addinsoft website:
http://www.xlstat.com/demo-knn.htm
References
Batista G. and Silva D. F. (2009). How k-Nearest Neighbor Parameters Affect its
Performance?. Simposio Argentino de Inteligencia Artificial (ASAI 2009), 95-106.
Cover T.M. and Hart P.E. (1967 ). Nearest Neighbor pattern classification. IEEE Transactions
on Information Theory, 13 (1):21-27.
Hechenbichler K. Schliep K. (2004). Weighted k-Nearest-Neighbor Techniques and Ordinal

Classification. Sonderforschungsbereich 386, Paper 399.
Nilsson N (1965). Learning Machines. McGraw-Hill, New York.
Scholkopf B. (2001). The kernel trick distances. Advances in neural information processing
systems. Microsoft Research, Redmond.
Sebestyen G. (1967). Decision-Making Processes in Pattern Recognition. Macmillan.

Stanfil G. and Walttz D. (1986). Towards memory based reasoning. Communications of the
ACM - Special issue on parallelism, 29 (12), 1213-1228.
Wilson D. R. (1972). Asymptotic Properties of Nearest Neighbor, Rules Using Edited Data.
IEEE Trans. On Systems Man and Cybernetics, 2 (3), 408-421.
Wilson D. R. and Martinez T. R. (1997). Improved Heterogeneous Distance Functions. Journal

of Artificial Intelligence Research, 6, 1-34.

Naive Bayes classifier
Use this method to predict the category to which belongs an observation described by a set of
quantitative and qualitative variables (predictors).
In this section:
Description
Dialog box
Results
Example
References
Description
The Naive Bayes classifier is a supervised machine learning algorithm that allows you to
classify a set of observations according to a set of rules determined by the algorithm itself. This
classifier has first to be trained on a training dataset that shows which class is expected for a set
of inputs. During the training phase, the algorithm elaborates the classification rules on this
training dataset that will be used in the prediction phase to classify the observations of the
prediction dataset. Naive Bayes implies that classes of the training dataset are known and
should be provided hence the supervised aspect of the technique.
Historically, the Naive Bayes classifier has been used in document classification and spam
filtering. As of today, it is a renowned classifier that can find applications in numerous areas. It
has the advantage of requiring a limited amount of training to estimate the necessary
parameters and it can be extremely fast compared to some other techniques. Finally, in spite of
its strong simplifying assumption of independence between variables (see description below),
the naive Bayes classifier performs quite well in many real-world situations which makes it an
algorithm of choice among the supervised Machine Learning methods.
At the root of the Naive Bayes classifier is the Bayes’ theorem with the "naive" assumption of
independence between all pairs of variables/features. Given a class variable y and a set of
independent variables x1 , … , xn , the Bayes’ theorem states that:
P (y)P (x1 , … , xn ∣y)

P (y∣x1 , … , xn ) = ⋅
P (x1 , … , xn )
From the naive independence assumption, the following relationship can be derived:
P (xi ∣y, x1 , … , xi−1 , xi+1 , … , xn ) = P (xi ∣y)⋅
For all i, this relationship leads to:
Machine learning 505 Naive Bayes classifier

n
P (y) ∏ P (xi ∣y)
i=1
P (y∣x1 , … , xn ) = ⋅
P (x1 , … , xn )
Since P (x1 , … , xn ) is constant given the input, it is regarded as a normalization constant.
Thus, we can use the following classification rule:
n
P (y∣x1 , … , xn ) ∝ P (y) ∏ P (xi ∣y),
i=1
and
n
y^ = max (P (y) ∏ P (xi ∣y)) ⋅
y
i=1
We can use a Maximum A Posteriori (MAP) estimation to estimate P (y) and P (xi ∣y). Where
P (y) is the relative frequency of class y in the training set. Several Naive Bayes classifiers
might be considered depending on the assumptions made regarding the distribution of P (xi ∣y)
.
P (xi ∣y) can be assumed to follow a normal distribution, in which case it has the following
expression:
1 (xi − μy )2
P (xi ∣y) = exp (− )
2πσ 2 2σy2
It can also be assumed to follow a Bernoulli distribution or any of the following parametric
distributions available in the XLSTAT software: Log- Normal, Gamma, exponential, logistic,
Poisson, binomial, uniform. In any of this cases, the distribution parameters are estimated using
the moment method.
If the distribution is not known or if you are using qualitative data, XLSTAT offers the possibility
to estimate an empirical distribution from the ratio of the given observation to the total number of
observation for a given class y .
If an empirical distribution is used, it might be desirable to use a Laplace smoothing in order to

avoid the null probability. This might come in handy, for instance, if a qualitative variable from
the prediction data set takes a value that hasn’t been met in the training phase of the algorithm.
The corresponding conditional probability P (xi ∣y) would then be equal to 0 for every class Yi
of y , leading to the meaningless classification of the observation. In such a case, the Laplace
smoothing would have the virtuous property to assign a low, but not null, conditional probability
P (xi ∣y) to the corresponding variable. Allowing the remaining variables to be considered
nonetheless to affect a class to the observation.
Dialog box

observations.
General tab:
Training set
Qualitative: Select the response variable(s) you want to model. These variables must be
qualitative. If several variables have been selected, XLSTAT carries out calculations for each
variable separately. If a column header has been selected, check that the "Variable labels"
X / explanatory variables (training set):
Quantitative: Select the quantitative explanatory variables from learning set in the Excel
worksheet. The data selected must be of type numeric. If the variable header has been
Qualitative: Select the qualitative explanatory variables from the learning set in the Excel
Prediction set:
Select the quantitative / qualitative explanatory variable data you want to use to do predictions
using KNN classification. The number of variables must be equal to the number of explanatory
variables in the training set.

Options tab:
Same parametric/Empirical Distribution for all quantitative variables: this option allows you
to choose the same parametric/empirical distribution for all quantitative variables.
Select a specific distribution for each quantitative variable: this option allows you to select
for each quantitative variable a specific parametric distribution or to consider it as an empirical
distribution.
The parametric distribution can be selected from the following set of distributions: Normal, log-
Normal, Gamma, exponential, logistic, Poisson, Binomial, Bernoulli, Uniform.
The qualitative variables are implicitly drawn from independent empirical distributions.
The parameters of the selected parametric distributions are estimated using the moment
method.
Breaking ties:
Prediction using the naive Bayes approach can end up in a case where some classes have the
same probability P (y). There are several ways to break ties for a given prediction. The
following options are available:
Random breaker: chooses a random class in the set of classes having the same P (y).
Smallest Index: chooses the first class encountered in the set of classes having the
same P (y).
Laplace smoothing parameter:
The Laplace smoothing prevents from getting probabilities equal to zero or one.

The Laplace smoothing parameter θ is a positive real number added to the computation of the
probability mass function P (Xn = k) as follows:
nk + θ
P (Xn = k) = ,
∑k nk + θ∣V ∣
where Xn is either a qualitative or a discrete quantitative variable.
The support of Xn : V is considered to be finite; the size of V is ∣V ∣.
Validation tab:
The validation technique used to check the consistency of the Naive Bayes classification model
is the K-fold cross validation technique. Data is partitioned into k subsamples of equal size.
Among the k subsamples, a single subsample is retained as the validation data to test the
model, and the remaining k − 1 subsamples are used as training data. k can be specified in
the number of folds field.
Missing data tab:
computations.
Nearest Neighbor: Activate this option to estimate the missing data of an observation by
searching for the nearest neighbor of the observation.
Outputs tab:
selected.
Results by object: Activate this option to display a table giving the class each object
(observation) is assigned to in the initial object order.
Posterior probabilities of each class: Activate this option to display the table which
summarizes the posterior probabilities corresponding to each class P (Y = y) for all predicted
observations.

Confusion matrix: Activate this option to display the confusion matrix. The confusion matrix
contains information about observed and predicted classifications done by a classification
system. Performance of such systems is commonly evaluated using the data in the matrix.
Diagonal values correspond to correct predictions. The higher the sum of the diagonal values
according to the total the better the classifier.
Accuracy of the model: Activate this option to display model accuracy, which is the proportion
of correct predictions.
Results
Results corresponding to the descriptive statistics of the learning set:
The number of observations corresponding to each variable in the learning set, its mean (in
case of quantitative variable or modes in case of qualitative variable) and its standard deviation.
Results corresponding to the parameters involved in the classification process:
The kind of probability distribution is reported.
The qualitative variables are considered to follow implicitly an empirical distribution.
The nature of the a priori distribution of the classes (uniform, not uniform) is also reported.
Results regarding the classifier
In order to evaluate and to score the naive Bayes classifier, a simple confusion matrix computed
using the leave one out method as well as an accuracy index are displayed.
Results regarding the validation method
The error rate of the naive Bayes model obtained using the K folded-cross validation is reported.
The number of folds is also reported to the user.
The cross validation results enables the selection of the adequate model parameters.
Result corresponding to the predicted classes
The predicted classes obtained using the naive Bayes classifier are displayed. In addition to the
predicted classes, the a posteriori probabilities used to predict each observation are also
reported.
Example
A tutorial on how to use the naive Bayes classifier is available on the Addinsoft website:

http://www.xlstat.com/demo-naive.htm
References
Abu Mustapha Y. S., MagDon-Ismail M., Lin H.-T. (2012). Learning From Data. AMLBook.
Mohri M., Rostamizadeh A., Talwalker A. (2012). Foundations of Machine Learning. MIT
Press; Cambridge (Mass.).
Zhang H. (2004). The optimality of Naive Bayes. Proc. FLAIRS.

Support Vector Machine
Use this method to perform a binary classification on a set of observations described by
qualitative and/or quantitative variables (predictors).
In this section:
Description
Dialog box
Results
Example
References
Description
The Support Vector Machine (SVM) was invented by Vapnik and Chervonenkis in 1964 in the
context of the statistical learning theory (Vapnik and Chervonenkis, 1964). It was not until the
mid-90s that an algorithm implementation of the SVM was proposed with the introduction of the
kernel trick (Boser, B., Guyon, I., & Vapnik, V., 1992) and the generalization to the non
separable case (Cortes, C. & Vapnik V. 1995). Since then, the SVM has known numerous
developments and gained popularity in various areas such as Machine Learning, optimization,
neural networks or functional analysis. It is one of the most successful learning algorithm. Its
ability to compute a complex model at the price of a simple one made it a key component to the
Machine Learning domain where it has become famous in applications such as text or image
recognition.
The SVM aims to find a separation between two classes of objects with the idea that the larger
the separation, the more reliable the classification. In its simplest form, the linear and separable
case, the algorithm will select a hyperplane that separates the set of observations into two
distinct classes in a way that maximizes the distance between the hyperplane and the closest
observation of the training set.
Suppose the optimal separating hyperplane P0 is known. P0 is given by the following equation:
P0 : xT .w − b = 0
Where xT is the set of predictors of the observation, W the normal vector to the hyperplane, b
the origin of the hyperplane.
As the training dataset is assumed to be separable, we can identify two hyperplanes, namely P+
and P-, parallel the separation hyperplane such that:
P+ : xT .w − b = 1
P− : xT .w − b = −1
Machine learning 512 Support Vector Machine

Where yi = ±1 denotes the two possible outcomes of the output class. The distance between
2
P+ and P− , ∥w∥ , is called the margin. This is the parameter we wish to maximize during our
optimization in order to ensure the largest possible margin.
We can then rephrase our optimization problem as:
minw,b ∥w∥
subject to:
yi (xTi .w − b) ≥ 1, i = 1, … N
The w and b resulting from this minimization define our classifier. It is worth noting that only
points lying near the boundary define the hyperplane. Those observations are called the support
vectors and are of special interest as they define the classifier. On the contrary, observations
well inside their class boundary only have a marginal impact, this might be a useful property in
situations where some outliers are present in the training dataset.
In the case where classes overlap, data are no longer separable and some points must be
allowed on the wrong side of the margin. A slack variable ϵi must be introduced to account for
the amount by which the prediction falls on the wrong side. Our optimization problem becomes:
minw,b ∥w∥
subject to:
⎧yi (xTi .w − b)) ≥ 1 − ϵi , ∀i

⎨
⎩ϵi ≥ 0, ∑ ϵi ≤ K
Misclassification occurs when ϵi > 1 and the total amount of misclassification, ∑ ϵi , is

bounded by the constant K . In terms of computation, it is more convenient to rephrase the
above expression as the equivalent form that follows:
N
1
minw,b ∥w∥2 + C ∑ ϵi
2 i=1
subject to::
y1 (xTi .w − b) ≥ 1 − ϵi , ∀i
{
ϵi ≥ 0
Where the regularization parameter C is introduced as a replacement of K . Intuitively, this

regularization parameter reflects how important misclassification is. A large C means that we
want to limit misclassification at the price of a narrower margin. The extreme case being the
separable case where C = ∞. A smaller C means that relatively more misclassifications are
authorized with the benefit of a larger margin.

On a computational aspect, the above optimization problem has a quadratic form with linear
inequality constraints. It can then be solved using the method of Lagrange multipliers.
The Lagrange primal function is:

N N N
1
Lp = ∥w∥2 + C ∑ ϵi − ∑ ∝i [yi (xTi w + b) − (1 − ϵi )] − ∑ μi ϵi
2 i=1 i=1 i=1
Which is minimized with respect to wi , b and ϵi .
Setting the respective derivatives to zero gives:

N
w = ∑ ∝i yi xi
i=1
0 =∝i yi
∝i = C − μi
And the positive constraints ∝i , μi , ϵi ≥ 0, ∀i.

The wolf dual objective function to be maximized is:
N N N
1
LD = ∑ ∝i − ∑ ∑ ∝i ∝i′ yi yi′ xTi xi′
i=1
2 i=1 i′ =1
subject to:
⎧
⎪
⎪ N
0 ≤∝i ≤ C
⎨
⎪
⎪
⎩
∑ ∝i yi = 0
i=1
The Karush-Kuhn-Tucker (KKT) conditions include the following additional constraints:
⎧
⎪
T
∝ i [yi (x w + b) − (1 − ϵi )] = 0
⎨μi ϵi = 0
⎪y (xT w + b) − (1 − ϵ ) ≥ 0
⎩
i i
for i = 1, … N .
In this nonseparable case, support vectors are identified as the observations for which ∝i > 0.
Those lying exactly on the border have 0 <∝i < c while for the reminders ∝i = C .
The SVM classifier can now be extended to non-linear classification by using kernel function.
This method known as the kernel trick is similar to the one used in logistic regression where the
linear method is made more flexible by enlarging the input feature space. In SVM, the usage of

kernels allows the feature space to get very large. More complicated structures can then be
detected. XLSTAT proposes 3 kernels in addition to the linear approach:
- Power kernel: K(xi , x′i ) = (xTi x′i + coef f icient)degree

′ 2
- Radial Basis Function (RBF) kernel: K(xi , x′i ) = e−γ∥xi −xi ∥
- Sigmoid kernel: K(xi , xi′ ) = tanh(γ ⋅ (xTi x′i + coef f icient))

Once the basis function is chosen, the procedure remains identical to the one described above.
The optimization problem discussed above is solved using the Sequential Minimal Optimization
(SMO) as proposed by John Platt (Platt J., 1998). This algorithm breaks the problem into
smaller sub-problems that can be solved analytically. The computation burden is dramatically
reduced and the SVM classifier becomes an extremely powerful classifier for a very limited
computational cost.
Because SVM can only resolve binary problems, different methods have been developed to
solve multi-class problems. They all use the same principle: transform the multi-class problem in
several binary problems. XLSTAT proposes two different methods to solve multi-class problem.
The first available method in XLSTAT is called One versus all. Let K denote the number of
classes and ωi denote the ith class (withi ∈ {1, … , K}). The ith classifier output function fi
is trained taking the examples from ωi as positive and the examples from all other classes as
negative. For a new example x, the class with the largest value of fi (x) is assigned.
The second available method in XLSTAT is called "One versus one with max-wins strategy". A
binary classifier is created for every pair of distinct classes. Consequently, K(K − 1)/2 binary
classifiers are constructed. The binary classifier Cij is trained taking the examples from ωi as
positive and the examples from ωj as negative. For a new example x, if classifier Cij classifies
x in class ωi , then the vote for class ωi is added by one. Otherwise, the vote for class ωj is
increased by one. After each of the K(K − 1)/2 binary classifiers vote, the class with the
largest number of votes is assigned to x. If a tie occurs, the class of x is designated randomly.
Dialog box

observations.
General tab:
Response variable: Select the response variable you want to model. If a column header
has been selected, check that the "Variable labels" option has been activated. You must
select a variable containing exactly two distinct values if the response type is binary. The
positive categories or classes correspond to the first category met in the dataset and the
negative classes to the second.
Response type: Select the type of response you have: binary, one versus one or one
versus all. The two latter response types correspond to a multi-class SVM (see
Description section).
been activated.

Options tab:
SMO parameters: this option allows you to tune the optimization algorithm to your specific
needs. There are 3 tunable parameters:
C: this is the regularization parameter (see the description for more details);
Epsilon: this is a machine dependent accuracy parameter, its default value is 1x10^-12;
Tolerance: this value define the tolerance when comparing 2 values during the optimization.
This parameter can be used to speed up computations.
Preprocessing: this option allows you to select the way the explanatory data are rescaled.
There are 3 options available:
Rescaling: quantitative explanatory variables are rescaled between 0 and 1 using the observed
minimum and maximum for each variable;
Standardisation: both qualitative and quantitative explanatory variables are standardized using
the sample mean and variance for each variable;
None: no transformation is applied.
Kernel: this option allows you to select kernel you wish to apply to your dataset to extend the
feature space. There are 4 kernels available:
Linear kernel: this is the basic linear dot product;
Power kernel: this kernel is detailed in the description. If you select this kernel, you have to
enter the coefficient and gamma parameters;
RBF kernel: this the Radial Basis Function as detailed in the description. If you select this
kernel, you have to enter the gamma parameter;
Sigmoid kernel: this kernel is detailed in the description. If you select this kernel, you have to
enter the coefficient and gamma parameters;
Validation tab:
model.

then be specified.
Prediction tab:
estimation dataset: same variables with the same order in the selections.
should include variable labels if the Variable labels option is activated on this page.
should include variable labels if the Variable labels option is activated on this page
Missing data tab:
Outputs tab:
selected for each of the activated dataset (training, validation, prediction).
Classifier description: Activate this option to display a summary of the optimized SVM
classifier.
List of support vectors: Activate this option to display the complete list of support vectors and
their associated coefficient alpha as presented in the description.
Confusion matrix: Activate this option to display confusion matrices for the classification of the
training data set and the validation dataset (if activated).

Performance metrics: Activate this option to display performance indicators for the
classification of the training data set and the validation dataset (if activated).
Results by object: Activate this option to display the classification results for each observation
of the training data set, the validation dataset and the prediction dataset (if activated).
Results
Results regarding the classifier
A summary description of the optimized classifier is displayed. The positive and negative
classes are indicated as well as the training sample size and both optimized parameters the
bias b and the number of support vectors.
Results regarding the list of support vectors
A table containing the value of the class, the optimized value of alpha and the rescaled
explanatory variables as they were used during the optimization is displayed for each identified
support vector.
Results regarding the confusion matrices
The confusion matrix is deduced from prior and posterior classifications together with the overall
percentage of well-classified observations.
Results regarding the performance metrics
There are 9 classification metrics displayed if this option is active:
Accuracy, Precision, Recall, F-score, Specificity, FPR, Prevalence, Cohen's kappa, NER.
Indicators in the first column correspond to the training sample and those in the second column
to the validation sample (if activated).
Result corresponding to the predicted classes
The predicted classes obtained using the SVM classifier are displayed for the training, validation
and prediction dataset (if activated).
Example
A tutorial on how to use the Support Vector Machine is available on the Addinsoft website:
http://www.xlstat.com/demo-SVM.htm
References

Vapnik, V. & Chervonenkis, A., (1964). A note on one class of perceptrons. Automation and
Remote Control, 25.
Boser, B., Guyon, I. , & Vapnik, V. (1992). A training algorithm for optimal margin classifiers. In
Proceedings of the Fifth Annual Workshop of Computational Learning Theory, 5, 144-152,
Pittsburgh, ACM.
Cortes, C. & Vapnik V. (1995). Support-Vector Networks. Machine Learning, 20, 273-297.
Platt, J. (1998). Sequential Minimal Optimization: A fast algorithm for training support vector
machines, Microsoft Research Technical Report MSR- TR-98-14.

Classification and regression random forests
Use this method to fit a classification or a regression model on a sample described by
qualitative and / or quantitative variables. The method efficiently handles large datasets with a
large number of variables.
Classification (qualitative response variable): the model allows to predict the belonging
of observations to a class, on the basis of explanatory quantitative and / or qualitative
variables.
Regression (continuous response variable): the model allows to build a predictive model
for a quantitative response variable based on explanatory quantitative and / or qualitative
variables.
In this section:
Description
Dialog box
Results
Example
References
Description
Random forests are methods that provide predictive models for classification and regression.
The method implements binary decision trees, in particular CART trees proposed by Breiman et
al. (1984).
The main weakness of CART is its instability which has been studied by Breiman (1994). The
remedy, innovative and profoundly statistical, is to exploit the natural variability of the estimation
methods by combining two fundamental mechanisms: random perturbation of the trees and
combination of a set of trees, rather than selection of a single one of them.
The general idea behind the random forests method is that instead of trying to get a unique
optimal tree, we generate several predictors, and then combine their respective predictions.
Two variants are implemented in XLSTAT. Bagging for "Bootstrap aggregating" proposed by
Breiman (1996), and Random Input introduced by Breiman in (2001).
The general principle of the method is to aggregate a collection of predictors (here CART trees),
to obtain a more efficient final predictor.
CART Tree
Machine learning 521 Classification and regression random forests

The procedure involves partitioning observations by creating the most homogeneous possible
groups of observations from the perspective of the variable to predict. Several iterations are
necessary : at each iteration we divide the observations into k = 2 classes to explain the
response variable. The first division is obtained by choosing the explanatory variable which will
provide the best separation of the observations on the basis of a quality measure. That division
defines subpopulations ("nodes") of the tree. The process is repeated for each subpopulation
until no further separation is possible. We then obtain terminal nodes called "leaves" of the tree.
Each leaf is characterized by a specific path through the tree, which is called a "rule". The set of
rules for all leaves define the model.
Quality measure:
In the case of regression, the response variable is quantitative. In order to obtain the
optimal split, we try to minimize at each node the variance of the child nodes tL and tR .
The variance of a node t is defined by:
∑ (Yi − y (t))2
Xi ∈t
Where Yi is the value of the response variable associated to observation i and where y (t) is
the average of the outputs associated to node t.
In the case of classification, the response variable Y is qualitative with J categories. The
quality measure used for the split in this case is the Gini impurity index. The Gini impurity
index of a node t is defined by:
i(t) = 1 − ∑ p2 (j∣t)
J
with p(j∣t) the probability of having the modality j of Y knowing that we are in the nodet.
In the case of a quantitative explanatory variable, all the possible binary partitions are tested, so
we have an infinity of possible tests. Nevertheless, the size n of the learning sample Ln being
fixed, we have at most n distinct values for a quantitative variable, therefore at most n − 1
associated binary questions.
For a qualitative explanatory variable, each grouping in two groups of k modalities is tested (i.e.
2k − 1 possibilities).
After each generation of a new subnode, the stop criteria are checked, and if none of the
conditions are fulfilled, the node will be considered as an initial node, and the process is
iterated.
Stop criteria:

Pure node: The node contains only observations of one category or one value of the
response variable.
Variance equals zero: The variance of the response variable associated to observations of
a node is null.
No partitioning allows to improve the quality measure.
depth.
Minimum size for a parent-node: The node contains fewer observations than the user
defined minimum size for a parent-node.
Minimum size for a son-node: After splitting this node, there is at least one sub-node
which size is smaller than the user defined minimum size for a child-node.
Max nodes: The maximum number of terminal nodes has reached the limit set by the
user.
Bagging
The idea here is the following: build CART trees from different bootstrap samples, modify the
predictions, and so build a varied collection of predictors. The aggregation step allows then to
obtain a robust and more efficient predictor.
Construction:
We build q samples L1n , … , Lqn by random sampling of n observations among n or

sampling of k observations out of n, with k being defined by the user and is strictly lower
than n. q corresponds to the number of trees requested by the user.
For l = 1, … , q , we build a CART tree gl from the sample Lln
We aggregate the predictions of trees g1 , … , gq by:

q
majority vote in classification: g(X) = maxj∈1…J ∑ Igl (x)=j , j being the class
l=1
predicted by the tree gl for any observation x.
Average of the individual predictions of trees in regression: 1q ∑ql=1 gl (x), gl (x) being
the value predicted by tree gl for any x ∈ X
Random Input
The Random Input variant is an important modification of the bagging. Its objective is to
increase the independent between the models (trees), in order to obtain a final model with
better performance. The fundamental difference, here, is that for each sample Lqn the trees are

not built based on the classical approach of CART but on a different one as follows: to split a
node, we randomly select a number m of variables (m ≤ P , P being the number of
explanatory variables), and then look for the best split point according to the m selected
variables. The variable selection at each node, is done uniformly and without replacement (each
variable has a probability 1/P of being chosen).
OOB error measurement:
Let Lln be a sample. For each observation (Xi , Yi ), i = 1, ..., n of the learning set, if Lln does
not contains (Xi , Yi ) we say that the latter is "Out-Of-Bag" (OOB) for that sample.
We will call OOB sample, the sample made up of all the Out-Of-Bag observations for Lln
The calculation of OOB error is as follows:
For each observation(Xi , Yi ), i = 1, ..., n of the learning set Ln :
1. Select the sample Lln for which (Xi , Yi ) is OOB;
2. Predict the value taken by this observation with all the trees built on these samples;
^ of Y ;
3. Aggregate the predictions of these trees to make the final predictionY
4. The error is then calculated:
5. Mean square error in regression:

n
1
∑(Y^ i − Yi )2
n i=1
Proportion of observations misclassified in classification:

n
1
∑I ^
n i=1 (Yi =Yi )
Dialog box

observations.
General tab:
Response variable: select the dependent variable(s) you want to model. If a column header
Response type: confirm the type of response variable you have selected:
Quantitative: Activate this option if the selected dependent variables are quantitative.
Qualitative: Activate this option if the selected dependent variables are qualitative.
data selected must be of the numerical type. If a variable header has been selected, check that
been activated.
Variable labels: Activate this option if the first row of the data selections (response and

Options tab:
Forest parameters
Sampling: Select the sampling method.
Random without replacement: Observations are chosen randomly and may occur only
once in the sample.
Random with replacement: Observations are chosen randomly and may occur several
times in the sample.
Method: Choose the forest type
Bagging
Random Input
Sample size: Enter the size k of the sample to generate for the trees construction.
Number of trees: Enter the desired number of trees q in the forest.
Stop conditions:
Construction time (in seconds): Enter the maximum time allowed for the construction of all
trees in the forest. Past that time, if the desired number of trees in the forest could not be built,
the algorithm stops and returns the results obtained using the trees built until then.
Convergence: Activate this option to check the convergence of the algorithm every X trees (X
defined by the user). Once 100 trees are built, we check the OOB error every X trees, and if if
has changed by more than ±3%, the algorithms stops.
Tree parameters:
Minimum parent size: Enter the minimum number of observations that a node must
contain to be split.
Minimum child size: Enter the minimum number of observations that every newly
created node must contain after a possible split in order to allow the splitting.
Maximum depth: Enter the maximum trees depth.
Max nodes: Activate this option to set the maximum number of terminal nodes a tree can
have.
Mtry: Number of variables m ≤ P to randomly choose at each node. Note that when
m = P we are in the case of bagging.
Complexity parameter (classification only): Enter the value of the complexity parameter
(CP). The construction of a tree does not continue unless the overall impurity is reduced

by at least a factor CP. That value must be less than 1.
Missing datatab:
computations.
Prediction tab:
Prediction: Activate this option if you want to select data to use them in prediction mode. If this
option is activated, you need to make sure that the prediction dataset is structured as the
learning dataset: same variables with the same order in the selections. If variable labels option
is active for the learning data, the first row of the selections listed below must correspond to the
variable labels.
Quantitative: Activate this option to select the quantitative explanatory variables.
Qualitative: Activate this option to select the qualitative explanatory variables.
Outputs tab:
selected.
OOB error: Activate this option to display the Out-Of-Bag error of the forest.
OOB predictions: Activate this option to display the vector of Out-Of-Bag predictions.
OOB predictions details: Activate this option to display OOB predictions details
OOB times: Activate this option to display for each observation of the learning sample the
number of times it was OOB.
Confusion matrix (classification only): Activate this option to display the table showing the
number of well- and badly-classified observations for each of the categories.

OOB error evolution: Activate this option to display the table showing the evolution of the OOB
error according to the number of trees.
Variable importance: Activate this option to display the variable importance measures
Normalize: Activate this option to normalize the importance measures.
Standard deviation: Activate this option to display for each variable the standard
deviation of its importance measure.
Charts tab:
OOB error evolution: Activate this option to display the chart showing the evolution of the OOB
error according to the number of trees.
Variable importance: Activate this option to display the chart showing the variable importance
measures
Results
OOB error:
Regression: Mean square error (based on Out-Of-Bag data).
Classification: Classification error rate (based on Out-Of-Bag data).
OOB predictions: Value or class predicted for each observation of the training set when the
latter is Out-Of-Bag.
Results associated to the predictions: Predicted classes or values obtained using the
predictive model build on learning data are displayed for the prediction sample.
OOB predictions details:
Regression: Table summarizing for each observation the predictions made by all the
trees in the forest.

Classification: Table with one row for each observation of the learning set and one
column for each category of the response variable. It contains for each observation the
probability that it has to belong to the different category of the response variable (based
on the Out-Of-Bag data).
OOB times: Number of times observations are ‘out-of-bag’ (and thus used in computing OOB
error estimate)
Confusion matrix (classification only): The confusion matrix contains information about the
classifications observed and predicted by the algorithm (predictions based on « Out-Of-Bag »
data). The performance of the algorithm can be evaluated using this confusion matrix. The
diagonal contains the correct predictions. The higher the sum of the elements of the diagonal is,
the better the classifier is.
OOB error evolution:
Regression: Table of mean square errors (sum of squared residuals divided by n).
Classification: Table of error rates of the prediction on the input data.
The i-th element being the OOB error for all trees up to the i-th.
Variable importance:
The importance measure for a given variable is the mean error increase of a tree when the
observed values of this variable are randomly exchanged in the OOB samples.
For each tree, the prediction error on the out-of-bag data is computed. Then the same is done
after permuting each explanatory variable. The difference between the two is then averaged
over all trees, and according to the choice of the user, normalized or not by the standard
deviation of the differences.
If the standard deviation of the differences is equal to 0 for a variable, the division is not done.
In classification, in addition to the impact of permutations on the overall error of the forest, we
also measure the impact on each of the modalities of the response variable.
Example
Tutorials on how to use Classification and regression random forest are available on the
Addinsoft website:
http://www.xlstat.com/demo-rf.htm
http://www.xlstat.com/demo-rf2.htm
References

Breiman L., Friedman J., Olshen R. and Stone C .(1984). Classification And Regression
Trees, Wadsworth.
Breiman L. (1996). Bagging predictors. Machine Learning, 24, 123-140.
Hastie T. , Tibshirani R. and Friedman J. (2009). The Elments of Statistical Learning.

Springer, Berlin.
Breiman L. (2001) Random forests.

https://www.stat.berkeley.edu/~breiman/randomforest2001.pdf

Association rules
Use this tool to discover association rules for a set of items or objects.
In this section:
Description
Dialog box
Results
Example
References
Description
In 1994, Rakesh Agrawal and Ramakrishnan Sikrant have proposed the Apriori algorithm to
identify associations between items in the form of rules. This algorithm is used when the volume
of data to be analyzed is important. As the number of items can be several tens of thousands,
combinatorics are such that all the rules can not be studied. It is therefore necessary to limit the
search for rules to the most important ones. The quality measurements are probabilistic values
??which limit the combinatorial explosion during the two phases of the algorithm, and allow the
sorting of the results.
Definition
Items: Depending on the application field, they can be products, objects, patients, events.
Transaction: Identified with a unique identifier, it is a set of items with a minimum of one item.
Items can belong to several transactions.
Itemset: A group of items. Itemsets can be found in one or more transactions.
Support: The probability to find item or itemset X in a transaction. Estimated by the number of
times an item or itemset is found across all the available transactions. This value lies between 0
and 1.
Rule: A rule defines a relationship between two itemsets X and Y that have no items in
common. X->Y means that if we have X in a transaction, then we can have Y in the same
transaction.
Support of a rule: The probability to find items or itemsets X and Y in a transaction. Estimated
by the number of times both items or itemsets are found across all the available transactions.
This value lies between 0 and 1.
Machine learning 531 Association rules

Confidence of a rule: The probability to find item or itemset Y in a transaction, knowing item or
itemset X is in the transaction. Estimated by the observed corresponding frequency (number of
times X and Y are found across all transactions divided by the number of times X is found). This
value lies between 0 and 1.
Lift of a rule: The lift of a rule, which is symmetric (Lift(X->Y)=Lift(Y->X)), is the support of the
itemset grouping X and Y, divided by the support of X and the support of Y. This value can be
any positive real. A lift greater than 1 implies a positive effect of X on Y (or Y on X) and
therefore the significance of the rule. A value of 1 means there is no effect and it is as if the
items or itemsets are independent. A lift lower than 1, means there is a negative effect of X on Y
or reciprocally. As if they were excluding each other.
Let I = i1 , … , im be a set of items. Let T = t1 , … , tn be a set of transactions, such that ti

is a subset of I.
An association rule R is writen in the following way:
R : X → Y , X ∈ T , Y ∈ T , X ∩ Y = ∅⋅
The support for a subset of I is given by:
support(X) = P r(X)⋅
The confidence of a rule (R: X ? Y) is given by:
conf idence(R) = P r(Y ∣X)⋅

The lift of a rule (R: X ? Y) is given by:
support(X ∪ Y )
lift(R) = ⋅
support(X)support(Y )
Apriori algorithm
This algorithm involves two steps:
1. Generation of subsets of I with a support greater than a minimum support.
2. Generation of association rules from the subsets of I whose confidence is greater than a fixed
minimum confidence.
Hierarchies and multilevel approach
XLSTAT proposes to take into account a hierarchy for grouping the items and study the existing
rules at different levels. The proposed method can generate association rules for which the
causes or consequences belong either to the same level of the hierarchy or to two different
levels.

To simplify the reading of the results, Han and Fu (1999) propose two indexes alpha and beta
between 0 and 1, to eliminate redundant and unnecessary rules.
A rule is said to be redundant if it is derived from a rule that is covering it hierarchically: the rule
R such that A1 , ..., An → B1 , ..., Bm is redundant if there is a rule R′ such that
′ ′ ′ ′ ′ ′
A1 , ...An → B1 , ..., Bm with each Ai and Bi (i = 1...n) that are either the same or the
parent of an element of A.
R is said to be redundant if its confidence Conf (R) lies in the interval
[exp(Conf (R)) − α, exp(Conf (R)) + α]

with
support(B1) support(Bm)
exp(Conf (R)) = ′
∗ ... ∗ ∗ phi(R′ )⋅
support(B 1) support(B ′ m)
A rule is said to be useless if it does not provide more information than a rule with the same
′
consequence and with fewer items as antecedents: Let R be the rule (A, B -> C), and R the
′
rule (A -> C). R is considered useless if its confidence Conf(R) is in the interval [Conf (R ) −
′
β, Conf (R ) + β].
Dialog box
observations.
General tab:

Items: Select a table of items and specify the data format. If column headers were selected,
please check the option "Labels included" is activated. The available data formats are:
Transactional: Choose this format if your data is in two columns, one indicating the
transaction (to be selected in the Transactions field), the other item. Typically with this
format, there is a column with the transaction IDs, with for each transaction, as many rows
as there are items in the transaction, and a column indicating the items. The transactions
can be in the first column and selected in this field.
List: Choose this format if your data include one line per transaction while columns
contain the names of the items corresponding to the transaction. The number of items per
transaction may vary from one line to another. The number of columns in the selection
corresponds to the maximum number of items per transaction.
Transactions/Variables: Choose this format if your data correspond to one line per
transaction and to one column per variable. This format is such that all transactions have
the same number of items, which is the number of variables, and that items from a given
variable cannot be present in the same transaction.
Contingency table: Choose this format if your data include one row per transaction and a
column per item, with null values ??if the item is not present and a number greater than 1
if it is present.
You also have the option to select the data in a flat file by clicking the [...] button.
Transactions: Select a column with the transaction IDs for each item. This selection is required
if the selected format is "Transactional" and if the array of items has only one column. If the
items table has two columns, the first column is considered as corresponding to the transaction.
Target items / Target variables: Activate this option to define one or more items that you want
to appear on the right side (the consequence) rules. If the data format is Transactional or List,
you can select a list of items that must be in the right part (consequence) of the rules to be
generated. If the data format is Transactions/Variables you need to select the variable that will
be considered as target. All the rules will have in the right part (consequence) a category of the
selected variable. If the data format is Contingency table you can select one or more colums
that will be used to identify the target items.
Labels included: Activate this option if the first row of the selected data contains a header.

Minimum support: Enter the value of the minimum support (between 0 and 1) so that only
rules containing subsets with a support greater than that value are generated.
Minimum confidence: Enter the value of the minimum confidence (between 0 and 1) so that
only rules with a confidence greater than that value are generated.
Minimum number of antecedents: Enter the minimum number of antecedents for the rules to
generate.
Options tab:
Sort: Select the criterion used to sort the results (confidence, support, lift or nothing).
Multilevel tab:
Use hierarchical information: Activate this option if you want to select and use hierarchical
information.
Hierarchy: Select a hierarchical table describing the hierarchy of items and the groups that
include them. An item can only belong to a group of higher order. You have the option to select
the data from a flat file.
Support for each level: select a table of values ??to assign a different support for each
hierarchical level.
Cross-level analysis: Choose this option if you want to generate the rules regardless of their
level.
Alpha (redundant rules): Select a value between 0 and 1 to remove redundant rules. Leave 0
if you do not want to use this option.
Beta (useless rules): Select a value between 0 and 1 to remove unnecessary rules. Let 0 if
you do not want to use this option.
Outputs tab:
Influence matrix: Activate this option to display the influence matrix calculated from the
confidence of the association rules.
Matrix of items: Activate this option to display a table showing the relative importance of
combinations of items.
Charts tab:
Influence chart: Select this option to display a 2D graph showing the relative importance of
various combinations obtained by the rules of association.

Items charts: This chart represents the relative importance combinations of items.
Results
Association rules: This table displays the association rules obtained by the Apriori algorithm as
well as different values for each rule.
Matrix of influence: This table is the crosstab between the antecedents and consequences of
rules, with as value, the criterion chosen for sorting the rules (confidence, support, or lift) in the
Options tab
Influence chart: représentation 2D montrant de l’importance relative des règles d’associations.
Items matrix: This chart allows you to view the relative importance of combinations of items.
This symmetric table shows the average confidence for each combination of items (row /
column and column / row). It is therefore an indicator of the strength of link between the items. It
is then used to make a Multidimensional scaling (MDS) to obtain the Items chart which is a
graphical representation of the table.
Example
A tutorial on association rules is available on the Addinsoft website:
http://www.xlstat.com/demo-assocrules.htm
References
Agrawal R. and Srikant R. (1994). Fast algorithms for mining association rules in large
databases. In proceedings of the 20th international conference on Very Large Data Bases
(VLDB'94), 487-499.
Gautam P. and Shukla R. (2012). An efficient algorithm for mining multilevel, association rule
based on pincer search. Computer Application. CoRR. MANIT ,Bhopal, M.P. 462032, India.
Han J. and Fu Y. (1999). Mining multiple-level association rules in large databases. IEEE
Transactions on Knowledge and Data Engineering archive, 11(5), 798-805.
Mannila H. , Toivonen H. and Inkeri Verkamo A. (1997). Discovering frequent episodes in

event sequences. Data Mining and Knowledge Discovery, (1) 3, 259-289.

Correlation/Association tests
Correlation tests
Use this tool to compute different kinds of correlation coefficients, between two or more
variables, and to determine if the correlations are significant or not. We propose Pearson,
Spearman, Kendall and polychoric correlation coefficients. Several visualizations of the
correlation matrices are proposed.
In this section:
Description
Dialog box
Results
Example
References
Description
Four correlation coefficients are proposed to compute the correlation between a set of
quantitative variables, whether continuous, discrete or ordinal.
Pearson correlation coefficient: This coefficient corresponds to the classical linear correlation
coefficient. This coefficient is well suited for continuous data. Its value ranges from -1 to 1, and it
measures the degree of linear correlation between two variables. Note: the squared Pearson
correlation coefficient gives an idea of how much of the variability of a variable is explained by
the other variable. The p-values that are computed for each coefficient allow testing the null
hypothesis that the coefficients are not significantly different from 0. However, these results
should be interpreted with caution, as if two variables are independent, their correlation
coefficient is zero, but the reciprocal is not true.
Spearman correlation coefficient (rho): This coefficient is based on the ranks of the
observations and not on their value. As for the Pearson correlation, one can interpret this
coefficient in terms of explained variability, but here we mean the variability of the ranks.
Kendall correlation coefficient (tau): As for the Spearman coefficient, it is based on ranks.
However, this coefficient is conceptually very different. It can be interpreted in terms of
probability: it is the difference between the probabilities that the variables vary in the same
direction and the probabilities that the variables vary in the opposite direction. When the number
of observations is lower than 50 and when there are no ties, XLSTAT gives the exact p-value. If
not, an approximation is used. The latter is known as being reliable when there are more than 8
observations.
Correlation/Association tests 537 Correlation tests

Polychoric correlation coefficient: This coefficient characterizes the relation between two
ordinal variables. It is frequently used to analyze survey data with ordinal responses. Under the
assumption that the ordinal variables are derived from the discretization of two unobserved
quantitative random variables with a normal distribution, the polychoric correlation coefficient
aims to measure the relation between those two unobserved quantitative variables.
Dialog box
observations.
General tab:
Observations/variables table: Select a table comprising N observations described by P

variables. If column headers have been selected, check that the "Variable labels" option has
been activated. For Pearson, Spearman and Kendall, variables must be quantitative, for
polychoric variables muste be qualitative ordinal.
Order of categories (only for polychoric correlation):You can select a table that contains the
sorted categories for each ordinal variables. This table must have the same number of columns
than the observations/variables table. If you do not select this table, the categories are sorted by
lexicographical order.
Type of correlation: Choose the type of correlation to use for the computations (see the

Subsamples: Check this option to select a column showing the names or indexes of the
subsamples for each of the observations. All computations are then performed subsample by
subsample.
Significance level (%): Enter the significance level for the test of on the correlations (default
value: 5%).
Missing data tab:
starts.
Outputs tab:
variables.
Correlations: Activate this option to display the correlation matrix that corresponds to the
correlation type selected in the "General" tab.

p-values: Activate this option to display the p-values that correspond to each correlation
coefficient. If this option is activated, the correlations that are significant at the selected
significance level will be displayed in bold in the correlation matrix.
Coefficients of determination (R2): Activate this option to display the coefficients of

determination. These correspond to squared correlations coefficients. When the using the
Pearson correlation coefficient, the coefficients of determination are equal to the R² of the
regression of one variable by the other.
Filter variables on R2: This option allows to filter the display of variables. Different filtering
options are available:
R2 > (resp. R2 <): This option allows to display only variables with at least one
determination coefficient (R2) greater (resp. lower) than a given threshold chosen by the
user. The threshold must be between 0 and 1.
p var with highest (resp.lowest) Sum(R2): This option allows to display only the p
variables (with p chosen by the user) for which the sum of R2 with other variables is the
highest (resp. lowest).
Sort the variables with R2: Activate this option if you want to sort and group variables that are
highly correlated. Two sorting method are available:
BEA Method: The BEA (Bond Energy Algorithm) method, initially developed by
McCormick (1972), apply a permutation on rows and columns of a square matrix in a way
that columns having similar values on rows are close to each other.
FPC Method: The FPC (First Principal Component) method involves doing a PCA on the
matrix of coefficients of determination (R2). Then variables are reorganized in such a way
that they are sorted in ascending order of their correlations with the first principal
component of the PCA.
Charts tab:
The "blue-red " option allows to represent low correlations with cool colors (blue is used
for the correlations that are close to -1) and the high correlations are with warm colors
The "Black and white " option allows to either display in black the positive correlations
and in white the negative correlations (the diagonal of 1s is display in grey color), or to
display in black the significant correlations, and in white the correlations that are not
significantly different from 0.

Scatter plots: Activate this option to display the scatter plots for all two by two combinations of
variables.
Matrix of plots: Check this option to display all possible combinations of variables in pairs
in the form of a two-entry table with the various variables displayed in rows and in
columns.
Histograms: Activate this option so that XLSTAT displays a histogram when the X and Y
variables are identical.
Q-Q plots: Activate this option so that XLSTAT displays a Q-Q plot when the X and Y
ellipses correspond to a confidence interval you can choose for a bivariate normal
distribution with the same means and the same covariance matrix as the variables
represented in abscissa and ordinates.
Image tab:
Image: If you choose to display the correlation matrix and/or the coefficients of determination
matrix in the result sheet, you can activate this option to display the matrices as images. If a
sorting and/or a filtering method have been applied, the images will take them into account. This
option can be very useful when correlation matrices contain a high number of variables in order
to see quickly which variables have the same structure. The following options are available for
the produced images:
Variable labels: This option allows to display the variable labels on the top of the image.
Grid:This option allows to display a grid between each cell in order to visually separate
variables on the image.
Legend: This option allows to display a legend which indicate at which value correspond
each color on the image.
Results
The correlation matrix and the table of the p-values are displayed. The correlation maps allow to
identify potential structures in the matrix, of to quickly identify interesting correlations.
Example
A tutorial on how to compute a Spearman correlation coefficient and the corresponding
significance test is available on the Addinsoft website:
http://www.xlstat.com/demo-corrsp.htm
References

Best D. J. and Roberts D. E. (1975). Algorithm AS 89: The upper tail probabilities of
Spearman's rho. Applied Statistics, 24, 377–379.
Best D.J. and Gipps P.G. (1974). Algorithm AS 71, Upper tail probabilities of Kendall's tau.
Applied Statistics, 23, 98-100.
Hollander M. and Wolfe D. A. (1973). Nonparametric Statistical Inference. John Wiley & Sons,
New York.
Kendall M. (1955). Rank Correlation Methods, Second Edition. Charles Griffin and Company,
London.
Lehmann E.L (1975). Nonparametrics: Statistical Methods Based on Ranks. Holden-Day, San
Francisco.
McCormick and William T. (1972). Problem decomposition and data reorganization by a

Clustering technique. Operation Research. 20(5), 993-1009.
Martinson E. O. and Hamdan M. A. (1975). Algorithm AS 87: Calculation of the polychoric

estimate of correlation in contingency tables. Journal of the Royal Statistical Society (Applied
Statistics), 24(2), 272-278.

RV Coefficient
Use this tool to compute the similarity between two matrices of quantitative variables recorded
from the same observations or two configurations resulting from multivariate analyses for the
same set of observations..
In this section:
Description
Dialog box
Results
Example
References
Description
This tool allows computing the RV coefficient between two matrices of quantitative variables
recorded from the same observations. The RV coefficient is defined as (Robert and Escoufier,
1976; Schlich, 1996):
trace(Wi , Wj )
RV (Wi , Wj ) =
trace(Wi , Wi )trace(Wj , Wj )
where
trace(Wi , Wj ) = ∑ wlm
i j
wlm
l,m
is a generalized covariance coefficient between matrices Wi and Wj , and
trace(Wi , Wi ) = ∑[wlm
i 2
]
l,m
i
is a generalized variance of matrix Wi and wl,m is the (l,m) element of matrix Wi .
The RV coefficient is a generalization of the squared Pearson correlation coefficient. The RV

coeffcient is between 0 and 1. The closer to 1 the RV , the more similar the two matrices Wi
and Wj .
XLSTAT offers the possibility:
to compute the RV coefficient between two matrices, including all variables form both
matrices;
Correlation/Association tests 543 RV Coefficient

to choose the k first variables from both matrices and compute the RV coefficient
between the two resulting matrices.
XLSTAT allows testing if the obtained RV coefficient is significantly different from 0 or not.
Two methods to compute the p-value are proposed by XLSTAT. The user can choose between
a p-value computed using on an approximation of the exact distribution of the RV statistic with
the Pearson type III approximation (Kazi-Aoual et al., 1995), and a p-value computed using
Monte Carlo resamplings.
Note: the XLSTAT_RVcoefficient spreadsheet function can be used to compute the RV

coefficient between two matrices of quantitative variables.
Dialog box
observations.
General tab:
Matrix A: Select the data that correspond to N observations described by P quantitative

variables. If a column header has been selected, check that the "Column labels" option is
activated.
Matrix B: Select the data that correspond to N observations described by Q quantitative

variables. If a column header has been selected for Matrix B, a column header should be
slected for matrix B.

Column labels: Activate this option if the first row of the data selections (variables,
observations labels) includes a header.
the selection.
Options tab:
Selected variables:
All: Choose this option to compute the RV coefficient between Matrix A and Matrix B using all
variables from both matrices.
User defined: Choose this option to compute the RV coefficient between sub-matrices of Matrix
A and Matrix B with the same number of variables. Then, enter the number of variables to be
selected. For example to compute the RV coefficient on the first two variables (or the first two
dimensions when comparing results from multidimensional analysis), enter 2 for both From and
To. To compute RV coefficients for a series of number of variables, enter a for From and b for
To where a<b. For example, to compute, RV coefficients for the first 2, 3 and 4 variables, enter
2 for From and 4 for To.
p-value computation:
Extrapolation: Choose this option to use an approximation of the exact distribution of the RV
statistic with the Pearson type III approximation to compute the p-value associated with the RV
coefficient.
permutation: Choose this option to calculate the p-value based on Monte Carlo permutations,
and select the number of random permutations to perform or the maximum time to spend.
Missing data tab:
Outputs tab:

RV coefficients: Activate this option to display the RV coefficient(s), standardized RV
coefficient(s), and mean(s) and variance(s) of the RV coefficient distribution.
Adjusted RV coefficients: Activate this option to display the adjusted RV coefficient(s).
p-value: Activate this option to display the p-value(s) associated with the RV coefficient(s).
Charts tab:
Chart of RV coefficients: Activate this option to display a bar chart of the RV coefficient(s)
(with colors corresponding to the significance of the associated p-value(s) if the option p-value
has been selected).
Results
RV coefficients: A table including the RV coefficient(s), standardized RV coefficient(s), and
mean(s) and variance(s) of the RV coefficient distribution; and the adjusted RV coefficient(s)
and p-value(s) if requested by the user.
Bar chart: A bar chart showing the RV coefficient(s) (with color codes to show significance of
the associated p-value(s) if requested).
Example
An example showing how to compute the RV coeffcient is available on the Addinsoft web site.
To download this data, go to:
http://www.xlstat.com/demo-rv.htm
References
Kazi-Aoual F., Hitier S., Sabatier R. and Lebreton J.-D. (1995). Refined approximations to
permutations tests for multivariate inference. Computational Statistics and Data Analysis, 20,
643–656.
Robert P. and Escoufier Y. (1976). A unifying tool for linear multivariate statistical methods: the
RV-coefficient. Applied Statistics, 25, 257–265.
Schlich P. (1996). Defining and validating assossor compromises about product distances and
attribute correlations. In T, Næs, & E. Risvik (Eds.), Multivariate analysis of data in sensory
sciences. New York: Elsevier.

Tests on contingency tables (chi-square, ...)
Use this tool to study the association between the rows and the columns of a contingency table,
and to test the independence between the rows and the columns.
Note: to build a contingency table from two qualitative variables you can use the "Build a
contingency table" feature of XLSTAT.
In this section:
Description
Dialog box
Results
References
Description
Many association measures and several tests have been proposed to evaluate the relationship
between the R rows and the C columns of a contingency table.
Some association measures have been specifically developed for the 2 × 2 tables. Others can
only be used with ordinal variables.
XLSTAT always displays all the measures. However, measures that concern ordinal variables
should only be interpreted if the variables are ordinal and sorted in increasing order in the
contingency table.
Tests of independence between the rows and the columns of a contingency table
The Pearson chi-square statistic allows to test the independence between the rows and
the columns of the table, by measuring to which extent the observed table is far (in the
chi-square sense) from the expected table computed using the same marginal sums. The
statistic writes:
(nij − fij )2
R C R C C R
ni. n.j
χ2P = ∑∑ , with fij = , n = ∑ ∑ nij , ni. = ∑ nij , n.j = ∑
i=1 j=1
fij n i=1 j=1 j=1 i=
One shows that this statistic follows a Chi-square distribution with (R − 1)(C − 1) degrees of
freedom. However, this result is asymptotical and, before using the test, it is recommended to
make sure that:
That n is greater or equal to 20;
That no marginal sum (ni. ou n.j ) is less than 5;
Correlation/Association tests 547 Tests on contingency tables (chi-square, ...)

That at least 80% of the expected values (fij ) is above 5.
In the case where R = 2 and C = 2, a continuity correction has been suggested by

Yates (1934). The modified statistic writes:
2 2 2
(∣nij − fij ∣ − 0.5)
χ2Y = ∑∑
i=1 j=1
fij
A test based on the likelihood ratio and on the Wilks’ G2 statistic has been developed as
an alternative to the Pearson chi-square test. It consists in comparing the likelihood of the
observed table to the likelihood of the expected table defined as for the Pearson chi-
square test. G2 is defined by:
R C
G = 2 ∑ ∑ nij log(nij /fij )
2
i=1 j=1
As for the Pearson statistic, G2 follows asymptotically a Chi-square distribution with (R −

1)(C − 1) degrees of freedom.
The Fisher’s exact test allows to compute the probability that a table showing a stronger
association between the rows and the columns would be observed, the marginal sums
being fixed, and under the null hypothesis of independence between rows and columns.
In the case of a 2 × 2 table, the independence is measured through the odds ratio (see
below for further details) given by θ = (n11 n22 )/(n12 n21 ). The independence is
corresponds to the case where θ = 1. There are three possible alternative hypotheses:
the two-sided test corresponds to θ =  1, the lower one-sided test to θ < 1 and the upper
one-sided test to θ > 1.
XLSTAT allows to compute the Fisher’s exact two-sided test when R = 2 and C = 2. The
computing method is based on the network algorithm developed by Mehta (1986) and Clarkson
(1993). It may fail in some cases. The user is prompted when this happens.
Monte Carlotest: A nonparametric test based on simulations has been developed to test
the independence between rows and columns. A number of Monte Carlo simulations
defined by the user are performed in order to generate contingency tables that have the
same marginal sums as the observed table. The chi-square statistic is computed for each
of the simulated tables. The p-value is then determined by suing the distribution obtained
from the simulations.
Association measures (1)
A first series of association coefficients between the rows and the columns of a contingency
table is proposed:
The Pearson’s Phi coefficient allows to measure the association between the rows and
the columns of an R × C table. In the case of a 2 × 2 table, its value ranges from -1 to 1
and writes:

n11 n22 − n12 n21
ϕP =
n1. n2. n.1 n.2
When R > 2 and/or C > 2, it ranges between 0 and the minimum of the square roots of R −
1 and C − 1. In that case, the Pearson’s Phi writes:
ϕp = χ2P /n
Contingency coefficient: This coefficient, also derived from the Pearson’s chi-square
statistic, writes:
C= χ2P /(χ2P + n)
Cramer’s V: This coefficient is also derived from the Pearson chi-square statistic. In the
case of 2 × 2 table, its value has the [-1; 1] range. It writes:
V = ϕp
When R > 2 and/or C >2, it ranges between 0 and 1 and its value is given by:
χ2P /n
V =
min(R − 1, C − 1)
The closer V is to 0, the more the rows and the columns are independent.
Tschuprow’s T: This coefficient is also derived from the Pearson chi-square statistic. Its
value ranges from 0 to 1 and is given by:
χ2P /n
T =
(R − 1, C − 1)
The closer T is to 0, the more the rows and the columns are independent.
Goodman and Kruskal tau (R/C) and (C/R): This coefficient, unlike the Pearson
coefficient is asymmetric. It allows to measure the degree of dependence of the rows on
the columns (R/C) or vice versa (C/R).
Cohen’s kappa: This coefficient is computed on RxR tables. It is useful in the case of
paired qualitative samples. For example, we ask the same question to the same
individuals at two different times. The results are summarized in a contingency table. The
Cohen’s kappa, which value ranges from 0 to 1, allows to measure to which extent the
answer are identical. The close the kappa is to 1, the higher the association between the
two variables.
Yule’s Q: This coefficient is used on 2x2 tables only. It is computed using the product of
the concordant data (n11 n22 ) and the product of the discordant data (n12 n21 ). It ranges
from -1 to 1. A negative value corresponds to a discordance between the two variables, a
value close to 0 corresponds to the independence, and a value close to 1 to the

concordance. The Yule’s Q is equal to the Goodman and Kruskal Gamma when the latter
is computed on a 2 × 2 table.
Yule’s Y: This coefficient is used on 2 × 2 tables only. It is similar to the Yule’s Q and
ranges from -1 to 1.
Association measures (2)
A second series of association coefficients between the rows and the columns of a contingency
table is proposed. Confidence ranges around the estimated values are available. As the
confidence ranges are computed using asymptotical results, their reliability increased with the
number of the data.
Goodman and Kruskal Gamma: This coefficient allows to measure on a -1 to 1 scale the
degree of concordance between two ordinal variables.
Kendall’s tau: This coefficient, also referred to as tau-b, allows to measure on a -1 to 1

scale the degree of concordance between two ordinal variables. Unlike the Gamma
coefficient, the Kendall’s tau allows to take ties into account.
Stuart’s tau: This coefficient, also referred to as tau-c, allows to measure on a -1 to 1

scale the degree of concordance between two ordinal variables. As the Kendall’s tau, the
tau-c allows to take ties into account. In addition, it allows to adjust for the size of the
table.
Somers’ D (R/C) and (C/R): This coefficient is an asymmetrical alternative to the

Kendall’s tau. In the (R/C) case, the rows are assumed to depend on the columns and
reciprocally in the (C/R) case; the correction for ties applies only to the "explanatory"
variable.
Theil’s U (R/C) and (C/R): The asymmetric coefficient U of uncertainty of Theil (R/C)
allows to measure the proportion of uncertainty of the row variable that is explained by the
column variable, and reciprocally in the C/R case. These coefficients range from 0 to 1.
The symmetric version of the coefficient that ranges from 0 to 1 is computed using the two
asymmetric (R/C) and (C/R) coefficients.
Odds ratio and Log(Odds ratio): The odds ratio is given in the case of 2 × 2 by θ =
(n11 n22 )/(n12 n21 ). θ varies from 0 to infinity. θ can be interpreted as the increase in
chances of being in column 1, when being in row 1 compared to when being in row 2. The
case θ = 1 corresponds to no advantage. When θ > 1, the probability is θ times higher
for row 1 than for row 2. We compute the logarithm of the odds because its variance is
easier to compute, and because it is symmetric around 0, which allows to obtain a
confidence interval. The confidence of the odds ration itself is computed by taking the
exponential of the confidence interval on the log(odds ratio).
Dialog box

observations.
General tab:
Contingenc y table: If the data format selected is "contingency table", select the data that
correspond to the contingency table. If row and column labels are included, make sure that the
"Labels included" option is checked.
Row variable(s): If the data format selected is "contingency table", select the data that
correspond to the variable(s) that will be used to construct the rows of the contingency table(s).
Column variable(s): If the data format selected is "contingency table", select the data that
correspond to the variable(s) that will be used to construct the columns of the contingency
table(s).
Contingency table: Activate this option if your data are correspond to a contingency
table.
Qualitative variables: Activate this option if your data are available as two qualitative
variables to be used to create a contingency table.

Labels included: Activate this option if the row and column labels of the contingency table are
selected.
Variable labels: Activate this option if the first row of the data selections (data and observations
labels) includes a header.
Options tab:
Likelihood ratio test: Activate this option to perform the Wilks G2 likelihood ratio test.
Monte Carlo method: Activate this option to compute the p-value using Monte Carlo
simulations.
Fisher’s exact test: Activate this option to compute the Fisher’s exact test. In the case of a
2 × 2 table, you can choose the alternative hypothesis. In the other cases, the two-sided is
automatically used (see the description section for more details).
Missing data tab:
equivalent to 0.
ni. n.j
E(nij ) =
n
Outputs tab:
frequencies.

exact test of on a 2x2 table having the same total frequency as the complete table, and the
Association coefficients: Activate this option pour display the various association coefficients.
displayed.
each row.
of each column.
Charts tab:
Results
The results that are displayed correspond to the various statistics, tests and association
coefficients described in the description section.
References
Agresti A. (1990). Categorical data analysis. John Wiley & Sons, New York.
Agresti A. (1992). A survey of exact inference for contingency tables. Statistical Science, 7 (1),
131-177.

Everitt B. S. (1992). The Analysis of Contingency Tables, Second Edition. Chapman & Hall,
New York.
Mehta C.R. and Patel N.R. (1986). Algorithm 643. FEXACT: A Fortran subroutine for Fisher's
exact test on unordered r*c contingency tables. ACM Transactions on Mathematical Software,
12, 154-161.
Clarkson D.B., Fan Y. and Joe H. (1993). A remark on algorithm 643: FEXACT: An algorithm
for performing Fisher's exact test in r x c contingency tables. ACM Transactions on
Mathematical Software, 19, 484-488.
Fleiss J.L. (1981). Statistical Methods for Rates and Proportions, Second Edition. John Wiley &
Sons, New York.
Biological Research, Third edition. Freeman, New York.
Theil H. (1972). Statistical Decomposition Analysis. North-Holland Publishing Company,

Amsterdam.
Yates F. (1934). Contingency tables involving small numbers and the Chi- square test. Journal
of the Royal Statistical Society, Suppl.1, 217-235.

Cochran-Armitage trend test
Use this tool to test if a series of proportions, possibly computed from a contingency table, can
be considered as varying linearly with an ordinal or continuous variable.
In this section:
Description
Dialog box
Results
Example
References
Description
The Cochran-Armitage test allows to test if a series of proportions, can be considered as
varying linearly with an ordinal or continuous score variable.
If X is the score variable, the statistic that is computed to test for the linearity is given by:
r
∑ri=1 ni1 (Xi − X )
z= avec s = ∑ ni+ (Xi − X )2
2
p+1 (1 − p+1 )s2 i=1
Note: if X is an ordinal variable, the minimum value of X has no influence on the value of z .
In the case of the two-tailed (or two-sided) test, the null (H0 ) and alternative (Ha ) hypotheses
are:
H0 : z = 0
Ha : z =
 0
Note: z is asymptotically distributed as a standard Normal variable. Some statistical programs

use z 2 to test the linearity. z 2 follows a χ2 distribution with one degree of freedom.
In the one-tailed case, you need to distinguish the left-tailed (or lower- tailed or lower one-sided)
test and the right-tailed (or upper-tailed or upper one-sided) test. In the left-tailed test, the
following hypotheses are used:
H0 : z = 0
Ha : z < 0
Correlation/Association tests 555 Cochran-Armitage trend test

If Ha is chosen, one concludes that the proportions decrease when the score variable
increases.
In the right-tailed test, the following hypotheses are used:
H0 : z = 0
Ha : z > 0
If Ha is chosen, one concludes that the proportions increase when the score variable
increases.
Dialog box
down (column mode), XLSTAT considers that rows correspond to observations and columns to
variables. If the arrow points to the right (row mode), XLSTAT considers that rows correspond to
variables and columns to observations.
General tab:
Contingency table: Select a contingency table. If the column labels of the table have been
selected, make sure the "Column labels" option is checked.
Proportions: Select the column (or row if in row mode) that contains the proportions. If a
column has been selected, make sure the "Column labels" option is checked.
Sample sizes: If you selected proportions, you must select the corresponding sample sizes. If a
column has been selected, make sure the "Column labels" option is checked.

Row labels: Activate this option to select the labels of the rows.
Data format:
Contingency table: Activate this option I your data are contained in a contingency table.
Proportions: Activate this option if your data are available as proportions and sample
sizes.
Column labels: Activate this option if column headers have been selected within the selections.
Scores: You can choose between ordinal scores (1, 2, 3, ...) or user defined scores.
Ordinal: Activate this option to use ordinal scores.
User defined: Activate this option to select the scores. If a column has been selected,
make sure the "Column labels" option is checked.
Options tab:
description).
Asymptotic p-value: Activate this option to compute the p-value based on the asymptotic
distribution of the z statistic.
simulations. Enter the number of simulations to perform.
Missing data tab:

Outputs tab:
Descriptive statistics: Activate this option to display the descriptive statistics.
Charts tab:
Proportions: Activate this option to display a scatter plot with the scores as abscissa and the
proportions as ordinates.
Results
The results include a summary table with the input data, a chart showing the proportions as a
function of the scores. The next results correspond to the test itself, and its interpretation.
Example
An example showing how to run a Cochran Armitage trend test is displayed on the Addinsoft
website:
http://www.xlstat.com/demo-cochran.htm
References
Agresti A. (1990). Categorical Data Analysis. John Wiley and Sons, New York.
Armitage P. (1955). Tests for linear trends in proportions and frequencies. Biometrics ; 11, 375-
386.
Cochran W.G. (1954). Some methods for strengthening the common Chi-square tests,
Snedecor G.W. and Cochran W.G. (1989). Statistical Methods, 8th Edition. Iowa State
University Press, Ames.

Mantel test
Use this test to compute the linear correlation between two proximity matrices (simple Mantel
test), or to compute the linear correlation between two matrices knowing their correlation with a
third matrix (partial Mantel test).
In this section:
Description
Dialog box
Results
Example
References
Description
Mantel (1967) proposed a first statistic to measure the correlation between two proximity
(similarity or dissimilarity) and symmetric A and B matrices of size n:
n−1 n
z(AB) = ∑ ∑ aij bij
i=1 j=i+1
The standardized Mantel statistic, easier to use because it varies between -1 and 1, is the
Pearson correlation coefficient between the two matrices:
bij − ˉb
n−1 n
1 aij − a
ˉ
r(AB) = ∑ ∑ ( )( )
n(n − 1)/2 − 1 i=1 j=i+1 sa sb
Notes:
In the case where the similarities or dissimilarities would be ordinal, one can use the Spearman
or Kendall correlation coefficients.
In the case where the matrices are not symmetric, the computations are possible.
While it is not a problem to compute the correlation coefficient between two sets of proximity
coefficients, testing their significance can not be done using the usual approach that is used to
test correlations: to use the latter tests, one needs to assume the independence of the data,
which is not the case here. A permutation test has been proposed to determine if the correlation
coefficient can be considered as showing a significant correlation between the matrices or not.
Correlation/Association tests 559 Mantel test

In the case of the two-tailed (or two-sided) test, the null (H0) and alternative (Ha) hypotheses
are:
H0 : r(AB) =0
Ha : r(AB)  0
=
H0 : r(AB) =0
Ha : r(AB) <0
H0 : r(AB) =0
Ha : r(AB) >0
The Mantel test consists of computing the correlation coefficient that would be obtained after
permuting the rows and columns of one of the matrices. The p-value is calculated using the
distribution of the r (AB) coefficients obtained from S permutations. In the case where n, the
number of rows and columns of the matrices, is lower than 10, all the possible permutations can
easily be computed. If n is greater than 10, one needs to randomly generate a set of S
permutations in order to estimated the distribution of r (AB).
A Mantel test for more than two matrices has been proposed (Smouse et al., 1986): when we
have three proximity matrices A, B and C, the partial Mantel statistic r(AB.C) for the A and B
matrices knowing the C matrix is computed as a partial correlation coefficient. In order to
determine if the coefficient is significantly different from 0, a p-value is computed using random
permutations as described by Smouse et al (1986).
Dialog box

observations.
General tab:
Matrix A: Select the first proximity matrix. If the row and column labels are included, make sure
the "labels included" option is checked.
Matrix B: Select the second proximity matrix. If the row and column labels are included, make
sure the "labels included" option is checked.
Matrix C: Activate this option if you want to compute the partial Mantel test. Then select the
third proximity matrix. If the row and column labels are included, make sure the "labels included"
option is checked.
Labels included: Activate this option if the row and column labels have been selected.
Options tab:
description).
Exact p-values: Activate this option so that XLSTAT tries to compute all the possible
permutations when possible, to obtain an exact distribution of the Mantel statistic.

Number of permutations: Enter the number of permutations to perform in the case where it is
not possible to generate all the possible permutations.
Type of correlation: Select the type of correlation to use to compute the standardized Mantel
statistic.
Missing data tab:
Charts tab:
Scatter plot: Activate this option to display a scatter plot using the values of matrix A on the X
axis and the values of the matrix B on the Y axis.
Histogram: Activate this option to display the histogram computed from the distribution of r(AB)
based on the permutations.
Results
The displayed results correspond to the standardized Mantel statistic, to the corresponding p-
value for the selected alternative hypothesis. A first level interpretation of the test is provided.
The histogram of the r(AB) distribution is displayed if the corresponding option has been
checked. The observed value of r(AB) is displayed on the histogram.
Example
An example showing how to use the Mantel test is displayed on the Addinsoft website:
http://www.xlstat.com/demo-mantel.htm
References
Amsterdam.
Mantel N. (1967). A technique of disease clustering and a generalized regression approach.

Cancer Research, 27, 209-220.
Smouse P.E., Long J.C. and Sokal R.R. (1986). Multiple regression and correlation extension
of the Mantel test of matrix correspondence. Systematic Zoology, 35, 627-632.
Biological Research. Third Edition. Freeman, New York.

Parametric tests
One-sample t and z tests
Use this tool to compare the mean of a normally-distributed sample with a given value.
In this section:
Description
Dialog box
Results
Example
References
Description
Let the average of a sample be represented by ^ . To compare this mean with a reference value
μ
μ0 , two parametric tests are possible:
Student's t test if the true variance of the population from which the sample has been
extracted is not known; the variance of sample s2 is used as variance estimator.
The z test if the true variance σ 2 of the population is known.
These two tests are said to be parametric as their use requires the assumption that the samples
are distributed normally. Moreover, it also assumed that the observations are independent and
identically distributed. The normality of the distribution can be tested beforehand using the
normality tests.
Three types of test are possible depending on the alternative hypothesis chosen:
H0: ^ = μ0
μ
Ha: ^ = μ0
μ
H0: ^ = μ0
μ
Parametric tests 563 One-sample t and z tests

Ha: ^ < μ0
μ
H0: ^ = μ0
μ
Ha: ^ > μ0
μ
Dialog box
observations.
General tab:
Data format: choose the data format.
One column/row per sample: Activate this option for XLSTAT to consider that each
column (column mode) or row (row mode) corresponds to a sample. You can then test the
hypothesis on several samples at the same time.
One sample: Activate this for XLSTAT to consider that all the selected values, whatever
the number of rows or columns belong to the same sample.

Column/row labels: Activate this option if the first row (column mode) or first column (rows
mode) of the selected data contain labels.
z Test: Activate this option to carry out a z test.
Student's t Test: Activate this option to carry out Student's t test.
Options tab:
description).
Theoretical mean: Enter the value of the theoretical mean with which the mean of the sample
is to be compared.
Significance level (%): Enter the significance level for the tests (default value: 5%).
Where a z test has been requested, the population variance value must be entered.
Variance for the z test:
Estimated using samples: Activate this option for XLSTAT to estimate the variance of
the population from the sample data. This should, in principle, lead to a t test, but this
option is offered for teaching purposes only.
User defined: enter the value of the known variance of the population.
Missing data tab:
Outputs tab:

samples.
Results
The results displayed by XLSTAT relate to the various statistics of the tests selected and the
interpretation arising from these.
Example

References
Sincich T. (1996). Business Statistics by Example, 5th Edition. Prentice- Hall, Upper Saddle
River.
Parametric tests 567 References

Two-sample t and z tests
Use this tool to compare the means of two normally distributed independent or paired samples.
In this section:
Description
Dialog box
Results
Example
References
Description
Parametric t and z tests are used to compare the means of two samples. The calculation
method differs according to the nature of the samples. A distinction is made between
independent samples (for example a comparison of annual sales by shop between two regions
for a chain of supermarkets), or paired samples (for example if comparing the annual sales
within the same region over two years).
The t and z tests are known as parametric because the assumption is made that the samples
are normally distributed. This hypothesis could be tested using normality tests.
Comparison of the means of two independent samples
Take a sample S1 comprising n1 observations, of mean μ^1 and variance s21 . Take a second
sample S2 , independent of S1 comprising n2 observations, of mean μ^2 and variance s22 . Let D
be the assumed difference between the means (D is 0 when equality is assumed).
As for the z and t tests on a sample, we use:
Student's t test if the true variance of the populations from which the samples are
extracted is not known;
The z test if the true variance σ 2 of the population is known.
Student's t Test
The use of Student's t test requires a decision to be taken beforehand on whether variances of
the samples are to be considered equal or not. XLSTAT gives the option of using Fisher's F test
to test the hypothesis of equality of the variances and to use the result of the test in the
subsequent calculations.
Parametric tests 568 Two-sample t and z tests

If we consider that the two samples have the same variance, the common variance is estimated
by:
s2 = [(n1 − 1)s21 + (n2 − 1)s22 ]/(n1 + n2 − 2)

The test statistic is therefore given by:
(μ^1 − μ^2 − D)
t=
s 1/n1 + 1/n2
The t statistic follows a Student distribution with n1 + n2 − 2 degrees of freedom.

If we consider that the variances are different, the statistic is given by:
(μ^1 − μ^2 − D)
t=
s21 /n1 + s22 /n2
A change in the number of degrees of freedom was proposed by Satterthwaite:
(s21 /n1 + s22 /n2 )2

df = (s21 /n1 )2 (s22 /n2 )2
n1 −1 + n2 −1
Note: when n1 = n2 , we simply have df = 2(n1 − 1).

Cochran and Cox (1950) proposed an approximation to determine the p-value. It is given as an
option in XLSTAT.
z-Test
For the z-test, the variance s2 of the population is presumed to be known. The user can enter
this value or estimate it from the data (this is offered for teaching purposes only). The test
statistic is given by:
(μ^1 − μ^2 − D)
z=
σ 1/n1 + 1/n2
The z statistic follows a normal distribution.
Comparison of the means of two paired samples
If two samples are paired, they have to be of the same size. Where values are missing from
certain observations, either the observation is removed from both samples or the missing values
are estimated.
We study the mean of the calculated differences for the n observations. If d is the mean of the
differences, s² the variance of the differences and D the supposed difference, the statistic of the
t test is given by:

(d − D)
t=
s/ n
The t statistic follows a Student distribution with n-1 degrees of freedom.
For the z test, the statistic is as follows where σ 2 is the variance
(d − D)
z=
σ/ n
The z statistic follows a normal distribution.
Alternative hypotheses
H0 : μ^1 − μ^2 = D
Ha : μ^1 − μ^2 = D
In the left -tailed test, the following hypotheses are used:
H0 : μ^1 − μ^2 = D
Ha : μ^1 − μ^2 < D

H0 : μ^1 − μ^2 = D
Ha : μ^1 − μ^2 > D
Dialog box

observations.
General tab:
Data / Sample 1: If the format of the selected data is "one column per variable", select the data
for the various samples in the Excel worksheet. If the format of the selected data is "one column
per sample" or "paired samples", select a column of data corresponding to the first sample.
Sample identifiers / Sample 2: If the format of the selected data is "one column per variable",
select the data identifying the two samples to which the selected data values correspond. If the
format of the selected data is "one column per sample" or "paired samples", select a column of
data corresponding to the second sample.
One column/row per sample: Activate this option to select one column (or row in row
mode) per sample.
One column/row per variable: Activate this option for XLSTAT to carry out as many tests
as there are columns/rows, given that each column/row must contain the same number of
rows/columns and that a sample identifier which enables each observation to be assigned
to a sample must also be selected.
Paired samples: Activate this option to carry out tests on paired samples. You must then
select a column (or row in row mode) per sample, all the time ensuring that the samples
are of the same size.
Weights: This option is only available if the data format is "One column/row per variable " or if
the data re paired Check this option if the observations are weighted. If you do not check this
column header has been selected, check that the "Column/rw labels" option is activated.

z-test: Activate this option to carry out a z test.
Student's t test: Activate this option to carry out Student's t test.
Options tab:
Alternative hypotheses: Choose the alternative hypothesis to be used for the test (see
description).
Hypothesized difference (D): Enter the value of the supposed difference between the
samples.
Two methods are available to compute the p-value. Choose among the asymptotic or Monte
Carlo methods. In the case of the Monte Carlo method you can set the maximum time you want
to spend computing the p-value.
Where a z test has been requested, the value of the known variance of the populations, or, for a
test on paired samples, the variance of the difference must be entered.
Variances for the z test:
Estimated using samples: Activate this option for XLSTAT to estimate the variance of the
population from the sample data. This should, in principle, lead to a t test, but this option is
offered for teaching purposes only.
User defined: Enter the values of the known variances of the populations.
Sample variances for the t-test:
Assume equality: Activate this option to consider that the variances of the samples are equal.
Cochran-Cox: Activate this option to calculate the p-value by using the Cochran and Cox
method where the variances are assumed to be unequal.
Use an F test: Activate this option to use Fisher's F test to determine whether the variances of
both samples can be considered to be equal or not.

Missing data tab:
Outputs tab:
samples.
Confidence interval: Activate this option to display the confidence interval on fhe difference
between the means.
Detailed results: If the tests are carried out for several variables, activate this option so that the
detailed results for each test are displayed.
Summary of comparisons: If the tests are carried out for several variables, activate this option
so that the summary table of all comparisons is displayed.
Charts tab:
Dominance diagram: Activate this option to display a dominance diagram in order to make a
visual comparison of the samples.
Distributions: Activate this option to display the distribution of the decision variable.
Results
The dominance diagram enables a visual comparison of the samples to be made. The first
sample is represented on the x-axis and the second on the y-axis. To build this diagram, the
data from the samples is sorted first of all. When an observation in the second sample is greater
than an observation in the first sample, a "+" is displayed. When an observation in the second
sample is less than an observation in the first sample, a "-" is displayed. In the case of a tie, a
"o" is displayed.
Example
An example showing how to run a two sample Student’s t test is available at:
http://www.xlstat.com/demo-ttest.htm

References
Cochran W.G. and Cox G.M. (1950). Experimental Designs. John Wiley & Sons, New York.
Satterthwaite F.W. (1946). An approximate distribution of estimates of variance components.

Biometrics Bulletin, 2, 110 -114.
River.

Comparison of the means of k samples
If you want to compare the means of k samples, you have to use the ANOVA tool that allows to
run many post hoc comparison tests.
Parametric tests 575 Comparison of the means of k samples

One sample variance test
Use this tool to compare the variance of a normally-distributed sample with a given value.
In this section:
Description
Dialog box
Results
Example
References
Description
Let us consider a samle of n independent normally distributed observations. One shows that the
sample variance, s² follows a Chi-squared distribution with n − 1 degrees of freedom.
σ2 2
s2 ∼ χ
n − 1 n−1
where σ 2 is the theoretical sample variance. This allows us to compute a confidence interval
around the variance.
To compare this variance to a reference value σ02 , a parametric test is proposed. It is based on
the following statistic:
s2
χ20 = (n − 1) 2
σ0
which follows a Chi-squared distribution with n − 1 degrees of freedom.
This test is said to be parametric as its use requires the assumption that the samples are
distributed normally. Moreover, it also assumed that the observations are independent and
identically distributed. The normality of the distribution can be tested beforehand using a
normality test.
H0 : s2 = σ02
Ha : s2 = σ02
Parametric tests 576 One sample variance test

H0 : s2 = σ02
Ha : s2 < σ02
H0 : s2 = σ02
Ha : s2 > σ02
Dialog box
observations.
General tab:
One column/row per sample: Activate this option for XLSTAT to consider that each
column (column mode) or row (row mode) corresponds to a sample. You can then test the
hypothesis on several samples at the same time.

Options tab:
description).
Theoretical variance: Enter the value of the theoretical mean with which the mean of the
sample is to be compared.
Missing data tab:
Outputs tab:
samples.
Confidence interval: Activate this option to display the confidence intervals.
Charts tab:
Results

The results displayed by XLSTAT relate to the confidence interval around the variance and to
the test comparing the observed variance to the theoretical variance.
Example
An example showing how to run a one sample variance test is available at:
http://www.xlstat.com/demo-variance.htm

References
Cochran W. G. (1934). The distribution of quadratic forms in a normal system, with applications
to the analysis of covariance. Mathematical Proceedings of the Cambridge Philosophical
Society, 30(2), 178-191.
Montgomery D. C. and Runger G. C. (2002). Applied Statistics and Probability for Engineers
(3rd edition). John Wiley & Sons, Inc.

Two-sample comparison of variances
Use this tool to compare the variances of two samples.
In this section:
Description
Dialog box
Results
Example
References
Description
Three parametric tests are offered for the comparison of the variances of two samples. Take a
sample S1 comprising n1 observations with variance s21 . Take a second sample S2 comprising
n2 observations with variance s1 22. XLSTAT offers three tests for comparing the variances of
the two samples.
Fisher's F test
Let R be the assumed ratio of the variances (R is 1 when equality is assumed).
The test statistic F is given by:
s21
F =
Rs22
This statistic follows a Fisher distribution with (n1 − 1) and (n2 − 1) degrees of freedom if both
samples follow a normal distribution.
H0: s21 = s22 R
Ha: s21 = s22 R

In the left-tailed test, the following hypotheses are used:
H0: s21 = s22 R
Parametric tests 581 Two-sample comparison of variances

Ha: s21 < s22 R
H0: s21 = s22 R
Ha: s21 > s22 R
Levene's test
Levene's test can be used to compare two or more variances. It is a two-tailed test for which the
null and alternative hypotheses are given by the following for the case where two variances are
being compared:
H0: s21 = s22
Ha: s21 = s22

The statistic from this test is more complex than that from the Fisher test and involves absolute
deviations at the mean (original article by Levene, 1960) or at the median (Brown and Forsythe,
1974). The use of the mean is recommended for symmetrical distributions with averagely thick
tails. The use of the median is recommended for asymmetric distributions.
The Levene statistic follows a Fisher’s F distribution with 1 and n1 + n2 − 2 degrees of

freedom.
Bartlett’s homogeneity of variances test
Bartlett's test can be used to compare two or more variances. This test is sensitive to the
normality of the data. In other words, if the hypothesis of normality of the data seems fragile, it is
better to use Levene's or Fisher's test. On the other hand, Bartlett's test is more powerful if the
This also is a two-tailed test which can be used with two or more variances. Where two
variances are compared, the hypotheses are:
H0: s21 = s22
Ha: s21 = s22

Bartlett's statistic follows a Chi-square distribution with one degree of freedom.
Dialog box

observations.
General tab:
per sample", select a column of data corresponding to the first sample.
format of the selected data is "one column per sample", select a column of data corresponding
to the second sample.
mode) per sample.
Fisher's F test: Activate this option to use Fisher's F test (see description).
Levene's test: Activate this option to use Levene's test (see description).

Mean: Activate this option to use Levene's test based on the mean.
Median: Activate this option to use Levene's test based on the median.
Bartlett's test: Activate this option to use Bartlett's test (see description).
Options tab:
description).
Hypothesized ratio (R): Enter the value of the supposed ratio between the variances of the
samples.
Missing data tab:
Outputs tab:
samples.
Confidence interval: Activate this option to display the confidence intervals.
Charts tab:
Results

Example
An example showing how to run a Fisher’s test do compare the variances of two samples is
available at:
http://www.xlstat.com/demo-ftest.htm
References
Brown M. B. and Forsythe A. B. (1974). Robust tests for the equality of variances. Journal of
the American Statistical Association, 69, 364-367.
Levene H. (1960). In Contributions to Probability and Statistics: Essays in Honor of Harold

Hotelling, I. Olkin et al. Editors. Stanford University Press, 278-292.
Sokal R.R. & Rohlf F.J. (1995). Biometry. The Principles and Practice of Statistics in Biological
Research. Third Edition. Freeman, New York.

k-sample comparison of variances
Use this tool to compare the variances of k samples.
In this section:
Description
Dialog box
Results
Example
References
Description
Two parametric tests are offered for the comparison of the variances of k samples (k = 2).
Take k samples S1 , S2 , … , Sk , comprising n21 = n22 = … = n2k observations with variances
s21 = s22 = … = s2k .
Levene's test
Levene's test can be used to compare two or more variances. This is a two-tailed test for which
the null and alternative hypotheses are:
H0 : s21 = s22 = … = s2k
Ha: There is at least one pair (i, j) such that s2i = s2j
The statistic from this test involves absolute deviations at the mean (original article by Levene,
1960) or at the median (Brown and Forsythe, 1974). The use of the mean is recommended for
symmetrical distributions with averagely thick tails. The use of the median is recommended for
asymmetric distributions.
The Levene statistic follows a Fisher distribution with k − 1 and n1 + n2 − 2 degrees of

freedom.
Bartlett’s homogeneity of variances test
Bartlett's test can be used to compare two or more variances. This test is sensitive to the
normality of the data. In other words, if the hypothesis of normality of the data seems fragile, it is
better to use Levene's or Fisher's test. On the other hand, Bartlett's test is more powerful if the
Parametric tests 586 k-sample comparison of variances

This also is a two-tailed test which can be used with two or more variances. Where two
variances are compared, the hypotheses are:
H0 : s21 = s22 = … = s2k
Ha: There is at least one pair (i, j) such that s2i = s2j
Bartlett's statistic follows a Chi-squared distribution with k − 1 degrees of freedom.
Dialog box
observations.
General tab:
select the data identifying the k samples to which the selected data values correspond. If the

mode) per sample.
Levene's test: Activate this option to use Levene's test (see description).
Mean: Activate this option to use Levene's test based on the mean.
Median: Activate this option to use Levene's test based on the median.
Bartlett's test: Activate this option to use Bartlett's test (see description).
Options tab:
Missing data tab:
Outputs tab:

samples.
Results
Example
References
Brown M. B. and Forsythe A. B. (1974). Robust tests for the equality of variances. Journal of
the American Statistical Association, 69, 364-367.
Levene H. (1960). In Contributions to Probability and Statistics: Essays in Honor of Harold

Hotelling, I. Olkin et al. Editors. Stanford University Press, 278-292.

Multidimensional tests (Mahalanobis, ...)
Use this tool to compare two or more samples simultaneously on several variables.
In this section:
Description
Dialog box
Results
Example
References
Description
The tests implemented in this tool are used to compare samples described by several variables.
For example, instead of comparing the average of two samples as with the Student t test, we
compare here simultaneously for the same samples averages measured for several variables.
Compared to a procedure that would involve as many Student t tests as there are variables, the
method proposed here has the advantage of using the structure of covariance of the variables
and of obtaining an overall conclusion. It may be that two samples are different for a variable
with a Student t test, but that overall it is impossible to reject the hypothesis that they are similar.
Mahalanobis distance
The Mahalanobis distance, from the name if the Indian statistician Prasanta Chandra
Mahalanobis (1893-1972), allows computing the distance between two points in a p-
dimensional space, while taking into account the covariance structure across the p dimensions.
The square of the Mahalanobis distance writes:
d2M = (x1 − x2 )′ Σ−1 (x1 − x2 )
In other words, it is the transposed of the vector of the difference of coordinates for p
dimensions between the two points, multiplied by the inverse of the covariance matrix multiplied
by the vector of differences. The Euclidean distance corresponds to the Mahalanobis distance
where the covariance matrix is the identity matrix, which means that the variables are
standardized and independent.
The Mahalanobis distance can be used to compare two groups (or samples) because the
Hotelling T 2 statistic defined by:
n1 n2 2
T2 = d
n1 + n2 M
Parametric tests 590 Multidimensional tests (Mahalanobis, ...)

follows a Hotelling distribution, if the samples are normally distributed for all variables. The F
statistic that is used for the comparison test where the null hypothesis H0 is that the means of
the two samples are equal, is defined by:
n1 + n2 − (p + 1) 2
F = T
(n1 + n2 − 2)p
This statistic follows a Fisher’s F distribution with p and n1 + n2 − p − 1 degrees of freedom
if the samples are normally distributed for all the variables.
Note: This test can only be used if we assume that the samples are normally distributed and
have identical covariance matrices. The second hypothesis can be tested with the Box or
Kullback tests available in this tool.
If we want to compare more than two samples, the test based on the Mahalanobis distance can
be used to identify possible sources of the difference observed at the global level. It is then
recommended to use the Bonferroni correction for the alpha significance level. For k samples,
we use the following significance level should be used:
2α
α∗ =
k(k − 1)
Wilks’ lambda
The Wilks’ lambda statistic follows the three parameters Wilks’ distribution defined by:
∣A∣
Λ(p, m, n) =
∣A + B∣
where A and B are two semi-defined positive matrices that respectively follow Wishart
Wp (I, m) and Wp (I, n) distributions, where I is the identity matrix.
When we want to compare the means of p variables for k independent groups (or samples or
classes), testing as null hypothesis H0 that the p averages are equal, if we assume that the
covariance matrices are the same for the k groups, is equivalent to calculate the following
statistic:
∣W ∣
Λ(p, n − k, k − 1) =
∣W + B∣
where
- W is the pooled within-group covariance matrix,
- B is the pooled between-groups covariance matrix,
- n is the total number of observations.

The distribution of the Wilks lambda is complex, so we use instead the Rao’s F statistic given
by:
(1 − Λ1/s ) m2
F =
Λ1/s m1
with
2
(k−1) −42
s = pp2 +(k−1) 2 −5
m1 = p(k − 1)
m1 = s[n − (p + k + 2)/2] − p(k − 1)/2 + 1
One can show that if the sample size is large, then F follows a Fisher’s F distribution with m1
and m2 degrees of freedom. When p ≤ 2 or k = 2, the F statistic is exactly distributed as
F (m1, m2).
Notes:
This test can only be used if we assume that the p variables are normally distributed and
have identical covariance matrices.
The second hypothesis that covariances matrices are the same for the k groups can be
tested with the Box or Kullback tests available in this tool.
Testing the equality of the within-groups covariance matrices
Box test: The Box test is used to test the assumption of equality for intra-class covariance
matrices. Two approximations are available, one based on the Chi-square distribution, and the
other on the Fisher distribution.
Kullback’s test: The Kullback’s test is used to test the assumption of equality for intra-class
covariance matrices. The statistic calculated is approximately distributed according to a Chi-
square distribution.
Dialog box

observations.
General tab:

activated.
which each observation belongs.
Weights: Activate this option if the observations are weighted. Weights must be greater than or
equal to 0. If a column header has been selected, check that the "Column labels" option is
activated.
Options tab:
Wilks’ Lambda test: Activate this option to compute the Wilks’ lambda test.
Mahalanobis test: Activate this option to compute the Mahalanobis distances as well as the
corresponding F statistics and p-values.
Bonferroni correction: Activate this option if you want to use a Bonferroni correction
during the computation of the p-values corresponding to the Mahalanobis distances.
Box test: Activate this option to compute the Box test using the two available approximations.
Kullback’s test: Activate this option to compute the Kullback’s test.

Missing data tab:
Outputs tab:
variables.
Covariance matrices: Activate this option to display the inter-class, intra-class, intra-class total,
and total covariance matrices.
Results
The results displayed by XLSTAT correspond to the various tests that have been selected.
Example
An example showing how to compare multidimensional samples is available on the
Addinsoft website:
http://www.xlstat.com/demo-maha.htm
References
Amsterdam.

z-test for one proportion
Use this test to compare a proportion calculated from a sample with a given proportion.
In this section:
Description
Dialog box
Results
Example
References
Description
Let n be the number of observations verifying a certain property among a sample of size N .
The proportion of the sample verifying the property is defined by p = n/N . Let p0 be a known
proportion with which we wish to compare p. Let D be the assumed difference (exact, minimum
or maximum) between the two proportions p and p0 . D is usually 0.
The two-tailed (or two-sided) test corresponds to testing the difference between p − p0 and D,
using the null (H0) and alternative (Ha) hypotheses shown below:
H0: p − p0 =D
Ha: p − p0 = D
test and the right-tailed (or right-sided or upper one-sided) test. In the left-tailed test, the
H0: p − p0 =D
Ha: p − p0 <D
In the right-tailed test the following hypotheses are used:
H0: p − p0 =D
Ha: p − p0 >D
This z-test is based on the following assumptions:
The observations are mutually independent,
Parametric tests 595 z-test for one proportion

The probability p of having the property in question is identical for all observations,
The number of observations is large enough, and the proportions are neither too close to
0 nor to 1.
Note: to determine whether N is sufficiently large one should make sure that:
0 < p − 2 p(1 − p)/N

{
p + 2 p(1 − p)/N < 1
z statistic
One can find several ways to compute the z statistic in the statistical literature. The most used
version is:
p − p0 − D
z=
σ
The large sample approximation leads to the following estimate for its standard deviation s :
p(1 − p)
σ^2 (z) =
N
However if one think that proportion we are comparing our sample proportion with might be a
better estimate, one can use.
p0 (1 − p0 )
σ^2 (π) =
N
This version of the statistic should not be used when D is not null.
The z statistic is asymptotically normally distributed. The larger N , the better the approximation.
The p-value is computed using the normal approximation.
Confidence intervals
Several methods exist to compute confidence intervals on a proportion. XLSTAT offers the
choice between four different versions: Wald, Wilson score, Clopper-Pearson, Agresti Coull.
Dialog box

General tab:
Frequency / Proportion: Enter the number of observations n for which the property is observed
(see description), or the corresponding proportion (see "data format" below).
Sample size: Enter the number of observations in the sample.
Test proportion: Enter the value of the test proportion with which the proportion observed is to
be compared.
Data format: Choose here if you would prefer to enter the value of the number of
observations for which the property is observed, or the proportion observed.
z-Test: Activate this option to use a z-test.
Options tab:
Alternativehypotheses: Choose the alternative hypothesis to be used for the test (see
description).
proportions.
Variance: Select the method used to estimate the variance of the proportion (used only for the
confidence interval with the Wald interval).

Sample: Activate this option to compute the variance using the proportion obtained for the
sample.
Test proportion: Activate this option to compute the variance using the test proportion
and the size of the sample.
Confidence interval: Select the method used to compute the confidence interval (Wald, Wilson
score, Clopper-Pearson, Agresti Coull).
Results
Example
An example showing how to compare proportions is available on the Addinsoft website:
http://www.xlstat.com/demo-prop.htm

References
Agresti A., and Coull B.A. (1998). Approximate is better than "exact" for interval estimation of
binomial proportions. The American Statistician, 52, 119-126.
Clopper C.J. and Pearson E.S. (1934). The use of confidence or fiducial limits illustrated in the
case of the binomial. Biometrika, 26, 404-413.
Fleiss J.L. (1981). Statistical Methods for Rates and Proportions. John Wiley & Sons, New
York.
River.
Sokal R.R. & Rohlf F.J. (1995). Biometry. The Principles and Practice of Statistics in Biological
Research. Third Edition. Freeman, New York.
Wilson, E.B. (1927). Probable inference, the law of succession, and statistical inference.
Journal of the American Statistical Association, 22, 209-212.
Wald, A., & Wolfowitz, J. (1939). Confidence limits for continuous distribution functions. The
Annals of Mathematical Statistics, 10, 105-118.

z-test for two proportions
Use this tool to compare two proportions calculated for two samples.
In this section:
Description
Dialog box
Results
Example
References
Description
Let n1 be the number of observations verifying a certain property for sample S1 of size N1 , and
n2 the number of observations verifying the same property for sample S2 of size N 2. The
proportion of sample S1 verifying the property is defined by p1 = n1 /N1 , and the proportion
for S2 is defined by p2 = n2 /N2 . Let D be the assumed difference (exact, minimum or
maximum) between the two proportions p1 and p2 . D is usually 0.
The two-tailed (or two-sided) test corresponds to testing the difference between p1 − p2 and D
, using the null (H0) and alternative (Ha) hypotheses shown below:
H0: p1 − p2 = D
Ha: p1 − p2 = D
test and the right-tailed (or right-sided or upper one-sided) test. In the left-tailed test, the
H0: p1 − p2 = D
Ha: p1 − p2 <> D
In the right-tailed test the following hypotheses are used:
H0: p1 − p2 = D
Ha: p1 − p2 > D
This test is based on the following assumptions:
the observations are mutually independent,
Parametric tests 600 z-test for two proportions

the probability p1 of having the property in question is identical for all observations in
sample S1 ,
the probability p2 of having the property in question is identical for all observations in
sample S2 ,
the number of observations N1 and N2 are large enough, and the proportions are neither
too close to 0 nor to 1.
Note: to determine whether N1 and N2 are sufficiently large one should make sure that:
0 < p1 − 2 p1 (1 − p1 )/N1
{
p1 + 2 p1 (1 − p1 )/N1 < 1
and
0 < p2 − 2 p2 (1 − p2 )/N2
{
p2 + 2 p2 (1 − p2 )/N2 < 1
Dialog box
General tab:
Frequency 1 / Proportion 1: Enter the number of observations n1 for which the property is
observed (see description), or the corresponding proportion (see "data format" below).
Sample size 1: Enter the number of observations in sample 1.
Frequency 2 / Proportion 2: Enter the number of observations n2 for which the property is
observed (see description), or the corresponding proportion (see "data format" below).

Sample size 2: Enter the number of observations in sample 2.
Data format: Choose here if you would prefer to enter the values of the number of
observations for which the property is observed, or the proportions observed.
z-Test: Activate this option to use a z-test.
simulations. Enter the number of simulations to perform.
Options tab:
Alternativehypotheses: Choose the alternative hypothesis to be used for the test (see
description).
proportions.
Variance: Select the method used to estimate the variance of the difference between the
proportions.
p1q1/n1+p2q2/n2: Activate this option to compute the variance using this formula.
pq(1/n1+1/n2): Activate this option to compute the variance using this formula.
Results
Example
An example showing how to compare two proportions is available on the Addinsoft website:
http://www.xlstat.com/demo-prop2.htm

References
Fleiss J.L. (1981). Statistical Methods for Rates and Proportions. John Wiley & Sons, New
York.
River.

Comparison of k proportions
Use this tool to compare k proportions, and to determine if they can be considered as equal, or
if at least one pair of proportions shows a significant difference.
In this section:
Description
Dialog box
Results
Example
References
Description
XLSTAT offers three different approaches to compare proportions and to determine whether
they can be considered as equal (null hypothesis H0) or if at least two proportions are
significantly different (alternative hypothesis Ha):
Chi-square test: This test is identical to that used for the contingency tables;
Monte Carlo method: The Monte Carlo method is used to calculate a distribution of the Chi-
square distance based on simulations with the constraint of complying with the total number of
observations for the k groups. This results in an empirical distribution which gives a more
reliable critical value (on condition that the number of simulations is large) than that given by the
Chi-square theoretical distribution which corresponds to the asymptotic case.
Marascuilo procedure: It is advised to use the Marascuilo procedure only if the Chi-square test
or the equivalent test based on Monte Carlo simulations reject H0. The Marascuilo procedure
compares all pairs of proportions, which enables the proportions possibly responsible for
rejecting H0 to be identified.
Dialog box
Parametric tests 604 Comparison of k proportions

Frequencies / Proportions: Select the data in the Excel worksheet.
Sample sizes: Select the data corresponding to the sizes of the samples.
Sample labels: Activate this option if sample labels are available. Then select the
the selection. If this option is not activated, the row labels are automatically generated by
XLSTAT (Sample1, Sample2 …).
Data format: Choose here if you would prefer to enter the value of the number of
observations for which the property is observed, or the proportions observed.
Column labels: Activate this option if the first line of the data selected (frequencies/proportions,
sample size and sample labels) contain a label.
Chi-square test: Activate this option to use the Chi-square test.
Monte Carlo method: Activate this option to use the simulation method and enter the number
of simulations.
Marascuilo procedure: Activate this option to use the Marascuilo procedure.
Significance level (%): Enter the significance level for the three tests (default value: 5%).
Results
The results of the Chi-square test are displayed first if the corresponding option has been
activated. For the Chi-square test and the Monte Carlo method, the p-value is compared with
the significance level in order to validate the null hypothesis.
The results obtained from Monte Carlo simulations are all the more close to the Chi-square
results the higher the total number of observations and number of simulations. The difference
relates to the critical value and the p-value.

The Marascuilo procedure identifies which proportions are responsible for rejecting the null
hypothesis. It is possible to identify which pairs of proportions are significantly different by
looking at the results in the "Significant" column.
Note: it might be that the Marascuilo procedure does not identify significant differences among
the pairs of proportions, while the Chi-square test rejects the null hypothesis. In general, this
happens when the two proportions are significantly different as identified by the Marascuilo
procedure. More in- depth analysis might be necessary before making a decision.
Example
An example showing how to compare k proportions is available on the Addinsoft website:
http://www.xlstat.com/demo-kprop.htm

References
Agresti A. (1990). Categorical Data Analysis. John Wiley & Sons, New York.
Marascuilo L. A. and Serlin R. C. (1988). Statistical Methods for the Social and Behavioral
Sciences. Freeman, New York.

Multinomial goodness of fit test
Use this tool to check whether the observed frequencies of the values (categories) of a
qualitative variable correspond to the expected frequencies or proportions.
In this section:
Description
Dialog box
Results
Example
References
Description
The multinomial goodness of fit test allows verifying whether the distribution of a sample
corresponding to a qualitative variable (or discretized quantitative variable) is consistent with
what is expected. The test is based on the multinomial distribution which is the extension of the
binomial distribution when there are more than two possible outcomes.
Let k be the number of possible values (categories) for variable X . We write p1 , p2 , … , pk the
probabilities (or densities) corresponding to each value.
Let n1 , n2 , … , nk be the frequencies of each value for a sample.
The null hypothesis of the test writes:
H0: The distribution of the values in the sample is consistent with what is expected,
meaning the distribution of the sample is not different from the distribution of X .
The alternative hypothesis of the test writes:
Ha: The distribution of the values in the sample is not consistent with what is expected,
meaning the distribution of the sample is different from the distribution of X .
Several methods and statistics have been proposed for this test. XLSTAT offers the following
two possibilities:
1. Chi-square test:
We compute the following statistic:
Parametric tests 608 Multinomial goodness of fit test

k
(ni − N pi )2
χ =∑
2
i=1
N pi
This statistic is asymptotically distributed as Chi-square with k − 1degrees of freedom.
2. Monte Carlo test:
This version of the test overcomes some heavy calculations of the exact method based on the
multinomial distribution, and avoids the approximation by the Chi-square distribution that may
be of poor quality with small samples. This test consists of a random resampling of N
observations in a distribution having the expected properties. For each resampling, we compute
the χ2 statistic, then once the resampling process is finished, we evaluate how many times the
value observed on the sample is exceeded, from what we deduce the p-value.
Dialog box
Frequencies: Select the data corresponding to the observed frequencies in the Excel
worksheet.
Expected frequencies / Expected proportions: Select the data corresponding to the expected
frequencies or to the expected proportions. If you select expected frequencies, they must sum
to the same value as the sum of the observed frequencies.
Data format: Choose here if you would prefer to select expected frequencies or expected
proportions.

Column labels: Activate this option if the first line of the data selected (frequencies/proportions,
sample size and sample labels) contain a label.
Chi-square test: Activate this option to use the Chi-square test.
Monte Carlo method: Activate this option to use the simulation method and enter the number
of simulations.
Significance level (%): Enter the significance level for the two tests (default value: 5%).
Results
The results of the Chi-square test are displayed first if the corresponding option has been
activated. For the Chi-square test and the Monte Carlo method, the p-value is compared with
the significance level in order to validate the null hypothesis.
The results obtained from Monte Carlo simulations are all the more close to the Chi-square
results the higher the total number of observations and number of simulations. The difference
relates to the critical value and the p-value.
For the Monte Carlo test, a confidence interval on the p-value is displayed.
Example
An example showing how to run a multinomial goodness of fit test is available on the
Addinsoft website:
http://www.xlstat.com/demo-goodness.htm
References
Read T.R.C. and Cressie N.A.C. (1988). Goodness-of-Fit Statistics for Discrete Multivariate
Data. Springer-Verlag, New York.

Equivalence test (TOST)
Use this tool to test the equivalence of the two normally distributed independent samples.
In this section:
Description
Dialog box
Results
Example
References
Description
Unlike classical hypothesis testing, equivalence tests are used to validate the fact that a
difference is in a given interval.
This type of test is used primarily to validate bioequivalence. When we want to show the
equivalence of two drugs, classical hypothesis testing does not apply, we will use equivalence
testing which will validate the equivalence between the two drugs.
In a classical hypothesis test, we try to reject the null hypothesis of equality. As part of an
equivalence test, we try to validate the equivalence between two samples. The TOST (two one-
sided test) is a test of equivalence that is based on the classical t test used to test the
hypothesis of equality between two means.
So we will have two samples, a theoretical difference between the means as well as a range
within which we can say that the sample means are equivalent.
The test is known as parametric because the assumption is made that the samples are normally
distributed. This hypothesis could be tested using normality tests.
The TOST test uses Student's test to check the equivalence between the means of two
samples. A detailed description of such tests can be found in the chapter dedicated to t tests.
XLSTAT offers two equivalent methods to test equivalence using the TOST test.
- Using the 100 * (1-2 * alpha)% confidence interval around the mean. By comparing this
interval to the user-defined interval of equivalence, we can conclude the equivalence or non
equivalence. Thus, if the confidence interval is within the interval defined by the user, we
conclude the equivalence between the two samples. If one of the bounds of the confidence
interval is outside the interval defined by the user, then the two samples are not equivalent.
- Using two one-sided tests, one on the right and one on the left. We apply a right one-sided t-
test on the lower bound of the interval defined by the user and a left one-sided t-test on the
Parametric tests 611 Equivalence test (TOST)

upper bound of the interval defined by the user. We obtain p-values for both tests. We take the
greatest of these p-values as p-value of the equivalence test.
These two tests are similar and should give similar results. They were introduced by
Schuirman's (1987).
Dialog box
observations.
General tab:
Sample 1: Select a column of data corresponding to the first sample.
Sample 2: Select a column of data corresponding to the second sample.

Options tab:
samples.
Lower bound: Enter the value of the supposed lower bound for equivalence testing.
Upper bound: Enter the value of the supposed upper bound for equivalence testing.
Weights: This option is only available if the data format is "One column/row per variable " or if
the data re paired Check this option if the observations are weighted. If you do not check this
column header has been selected, check that the "Column/rw labels" option is activated.
Sample variances for the t-test:
Assume equality: Activate this option to consider that the variances of the samples are equal.
Cochran-Cox: Activate this option to calculate the p-value by using the Cochran and Cox
method where the variances are assumed to be unequal.
Use an F test: Activate this option to use Fisher's F test to determine whether the variances of
both samples can be considered to be equal or not.
Missing data tab:
Outputs tab:
samples.
Results
The first table displays the descriptive statistics associated with the two samples.
The following table of results can be used to validate the hypothesis of equivalence for two
means. If the confidence interval around the difference with a confidence level of (1-2
*alpha)*100% is included in the interval defined by the user in the dialog box, then the samples

are equivalent. You have to check if the four values in this table are ordered increasingly. The
last line gives an interpretation (equivalence or non equivalence).
The following table allows you to view two one-sided tests based on the bounds defined by the
user. The p-value for the test of equivalence is the largest p-value obtained with the one-sided t
tests.
Example
An example showing how to run an equivalence test for two samples is available at:
http://www.xlstat.com/demo-tost.htm
References
Satterthwaite F.W. (1946). An approximate distribution of estimates of variance components.
Biometrics Bulletin, 2, 110 -114.
Schuirmann, D.J. (1987). A comparison of the two one-sided tests procedure and the power
approach for assessing the equivalence of average bioavailability. Journal of Pharmacokinetics
and Biopharmaceutics, 15, 657–680.

Nonparametric tests
Comparison of two distributions (Kolmogorov-
Smirnov)
Use this tool to compare the distributions of two samples and to determine whether they can be
considered identical.
In this section:
Description
Dialog box
Results
Example
References
Description
The Kolmogorov-Smirnov test compares two distributions. This test is used for distribution fitting
tests for comparing an empirical distribution determined from a sample with a known
distribution. It can also be used for comparing two empirical distributions.
Note: this test enables the similarity of the distributions to be tested at the same time as their
shape and position.
Take a sample S1 comprising n1 observations, with F1 the corresponding empirical cumulative

distribution function. Take a second sample S2 comprising n2 observations, with F2 the
corresponding empirical cumulative distribution function.
The null hypothesis of the Kolmogorov-Smirnov test is defined by:
H0: F1 (x) = F2 (x)

The Kolmogorov statistic is given by:
D1 = supx ∣F1 (x) − F2 (x)∣
D1 is the maximum absolute difference between the two empirical distributions. Its value
therefore lies between 0 (distributions perfectly identical) and 1 (separations perfectly
separated). The alternative hypothesis associated with this statistic is:
Ha: F1 (x) = F2 (x)

Nonparametric tests 615 Smirnov)
The Smirnov statistics are defined by:
D2 = supx {F1 (x) − F2 (x)}
D3 = supx {F2 (x) − F1 (x)}
The alternative hypothesis associated with D2 is:
Ha: F1 (x) < F2 (x)
The alternative hypothesis associated with D3 is:
Ha: F1 (x) > F2 (x)
Nikoforov (1994) proposed an exact test method for the Kolmogorov-Smirnov on two samples.
This method is used by XLSTAT for the three alternative hypotheses. XLSTAT also enables the
supposed difference D between the distributions to be introduced. The value must be between
0 and 1.
Dialog box
observations.
General tab:

mode) per sample.
Column/Row labels: Activate this option if the first row (column mode) or first column (rows
Kolmogorov-Smirnov test: Activate this option to run the Kolmogorov-Smirnov test (see
description).
Options tab:
description).
Hypothesized difference (D): Enter the value of the maximum supposed difference between
the empirical distribution functions of the samples. The value must be between 0 and 1.
Missing data tab:

Outputs tab:
samples.
Charts tab:
Cumulative histograms: Activate this option to display the chart showing the empirical
distribution functions for the samples.
Results
References
Abramowitz M. and Stegun I.A. (1972). Handbook of Mathematical Functions. Dover
Publications, New York.
Durbin J. (1973). Distribution Theory for Tests Based on the Sample Distribution Function.
SIAM, Philadelphia.
Kolmogorov A. (1941). Confidence limits for an unknown distribution function. Ann. Math. Stat.
12, 461–463.
Nikiforov A.M. (1994). Algorithm AS 288: Exact two-sample Smirnov test for arbitrary
distributions. Applied.statistics, 43(1), 265-270.
Smirnov N. V. (1939). On the estimation of the discrepancy between empirical curves of

distribution for two independent samples. Bulletin Moscow University, 2, 3-14.
Example

Median test (Mood test)
Use this tool to test if k independent samples have the same median.
In this section:
Description
Dialog box
Results
Example
References
Description
Proposed in 1950, the Mood test -also called median test- allows the median equality between k
independent samples to be test. This test is based on a nonparametric procedure – thus not
making any assumption on the distribution of the measurements- and can be considered as a
special case of the Pearson Khi² test.
Mood test
Assume that Mi is the median of the i-th sample. The null hypothesis H0 and the alternative Ha
associated to the Mood test are:
H0 : M1 = M2 = … = Mk
Ha : There is at least one pair (i,j) such as Mi =

 Mj
The U statistic of the Mood test is obtained via the following contingency table (2 x k):
Sample 1 2 … k Total
>Median O11 O12 … O1k a
≤Median O21 O22 … O2k b
Total n1 n2 … nk N
If a large number of ties with the median is detected, XLSTAT will automatically count
observations equal to the median with those above so that the following statitic remains
computable.
We have,
Nonparametric tests 619 Median test (Mood test)

ni a
N2 (O1i − N )
U= ab ∑ki=1 ni ,
where N , n, a, b, and O are defined in the contingency table.
This statistic has the property to be asymptotically distributed according to a Khi² distribution at
a k-1 degree of freedom. When the number of samples k is 2, Yates (1934) proposed a
continuity correction for U. Denote by UY this statistic.
N (∣O11 O22 − O12 O21 ∣ − N /2)2

UY =
n1 n2 ab
Computation of the p-values
To compute the p-values corresponding to the various statistics, XLSTAT offers several
alternatives:
Asymptotic method: The p-value is obtained using the asymptotic approximation of the
distribution of the U . The reliability of the approximation depends on the number of
observations.
Monte Carlo method: The computation of the p-value is based on random resamplings.
The user must set the number of resamplings. A confidence interval on the p-value is
provided. The more resamplings are performed, the better the estimation of the p-value.
Exact method: If the number of samples is 2, the probability to obtain any contingency
table setting is determined by the hypergeometric distribution. This approach is often
employed when the samples size are small, i.e. when the Khi² approximation is not
suitable.
In order to avoid freezing Excel because of too long computations, it is possible with the two
latter methods to set the maximum time that should be spent computing the p-value.
Multiple pairwise comparisons
If the p-value is such that the H0 hypothesis has to be rejected, then at least one variable has a
different median from the others. To identify which variables are responsible for rejecting H0, a
multiple comparison procedure can be used.
Dialog box

General tab:
Observations/ Variables table: Select a table where each row (or column if in column mode)
corresponds to an observation, and each column (or row in row mode) corresponds to a
variable. If headers have been selected with the data, make sure the "Column labels" option is
checked.
Column labels: Activate this option if headers have been selected with the input data.
Multiple pairwise comparisons: Activate this option to compute multiple pairwise

comparisons.
Options tab:
To compute the p-value, you can either choose the asymptotical approximation method, the
exact approach or the Monte Carlo resamplings based method (see the description section). In
the latter case, you can set the number of resamplings you want to make, and the maximum
time you want XLSTAT to spend on making the resamplings.
In some cases, instead of calculating the classical U statistic of the Mood test, the correction for
continuity proposed by Yates (see the description section) can be taken into account.

Outputs tab:
Descriptive statistics: Activate this option to compute and display the statistics that correspond
to each variable.
Results
Descriptive statistics: This table displays the descriptive statistics that correspond to the k
samples.
Mood test: The results that correspond to the Mood test are then displayed, followed by a short
interpretation of the test. Results of multiple comparisons are then displayed to identify the
variables responsible for rejecting the null hypothesis, if it has been rejected.
Example
An example showing how to run a Mood test is available on the Addinsoft website:
http://www.xlstat.com/demo-mood.htm
References
Conover W.J. (1999). Practical Nonparametric Statistics, 3rd edition, Wiley.
Yates F. (1934). Contingency table involving small numbers and the χ2 test. Journal of the
Royal Statistical Society, 1(2), 217-235

One sample Wilcoxon Signed-Rank test
Use this tool to test the null hypothesis that the location parameter (median) of a sample is
equal to a given value.
In this section:
Description
Dialog box
Results
Example
References
Description
This test is the non parametric version of the one sample t test. It is based on ranks and
because of that, the location parameter is not here the mean but the median. You should use
this test as soon as you have doubts that the normality assumption necessary to apply the t test
does not hold. This test allows to test the null hypothesis that the sample median is equal to a
given value provided by the user.
If m is assumed to be the median of the sample, there are three possible alternative hypotheses
to the null hypothesis:
H0 : Sample median = m
Ha : Sample median =
 m
Ha : Sample median < m

Ha : Sample median > m
Wilcoxon signed-rank test
Nonparametric tests 623 One sample Wilcoxon Signed-Rank test

Wilcoxon proposed a test which takes into account the size of the difference within pairs. This
test is called the Wilcoxon signed rank test, as the sign of the differences is also involved.
For each observation in the sample (X1 , X2 , … , Xn ), we compute its difference with a given
median m. The differences are then ordered and the corresponding ranks are computed, and
then signed depending on whether they correspond to positive or negative differences. Let
S1 , S2 , … , Sp be the positive signed ranks.
The statistic used to test whether the sample median is equal to m is:
p
Vs = ∑ Si
i=1
The expectation and the variance of Vs are:
n(n + 1)
E(Vs ) =
4
and
n(n + 1)(2n + 1)
V (Vs ) =
24
Where they might be ties among the differences, or null differences for certain pairs, we have:
n(n + 1) − d0 (d0 + 1)
E(Vs ) =
4
3
[n(n + 1)(2n + 1) − d0 (d0 + 1)(2d0 + 1)] ∑nd
i=1 (di − di )
V (Vs ) = −
24 48
where d0 is the number of null differences, nd the number of distinct differences, and di the
number of values corresponding to the i'th distinct difference value (it is the same as
considering that the di 's are the number of ties for the i'th distinct difference value).
Where there are no null differences or ties among the differences, if n ≤ 100, XLSTAT
calculates an exact p-value (Lehmann, 1975). Where there are ties, a normal approximation is
used. We have:
P (Vs ≤ ν) ≈ Φ ( )
ν − E(Vs ) + c
V (Vs )
where f is the distribution function for the standardized normal distribution, and c is a continuity
correction used to increase the quality of the approximation (c is 12 or − 12 depending on the
nature of the test). The approximation is more reliable the higher n is.
The median of the sample and its confidence interval are also computed on the basis of these
computations. This estimator is reliable for samples with a symmetric distribution. In the case of

ties the Hodges and Lehmann approach (1963) appears to be still reliable based on Monte
Carlo simulations we have made.
alternatives:
distribution of the statistic. The reliability of the approximation depends on the number of
samples and on the number of measures per sample.
Exact method: The computation of the p-value is based on the exact distribution of the
statistic.
Dialog box
observations.
General tab:
Samples: Select the data for the various samples in the Excel worksheet.

Options tab:
description).
Theoreticalmedian (D): Enter the value of the supposed median of the samples.
Depending on the test that is being used, several methods can be available to compute the p-
value. Choose among the asymptotic and exact.
Continuity correction: Activate this option if you want XLSTAT to use the continuity correction
when computing the asymptotic p-value (see description).
Missing data tab:
Outputs tab:
samples.
Detailed results: Activate this option to display the detailed results of the tests.
Summary table: In case several samples have been selected activate this option to display a
table summarizing the results of the tests.
Results
Example
A tutorial showing how to use the Wilcoxon signed-rank test is available on the
Addinsoft website:

http://www.xlstat.com/demo-1-sample-wilcoxon.htm
References
David F. Bauer (1972). Constructing confidence sets using rank statistics. Journal of the
Hollander M. and Wolfe D. A. (1999). Nonparametric Statistical Methods, Second Edition.

John Wiley and Sons, New York.
Hodges J. L , and Lehmann E. L. (1963). Estimation of location based on ranks. Annals of

Mathematical Statistics, 34(2), 598-611.
Francisco.
Wilcoxon F. (1945). Individual comparisons by ranking methods. Biometrics, 1, 80-83.

Comparison of two samples (Wilcoxon, Mann-
Whitney, ...)
Use this tool to compare two samples described by ordinal or discrete quantitative data whether
independent or paired.
In this section:
Description
Dialog box
Results
Example
References
Description
To get round the assumption that a sample is normally distributed required for using the
parametric tests (z test, Student's t test, Fisher's F test, Levene's test and Bartlett's test), non-
parametric tests have been put forward.
As for parametric tests, a distinction is made between independent samples (for example a
comparison of annual sales by shop between two regions for a chain of supermarkets), or
paired samples (for example if comparing the annual sales within the same region over two
years).
If we designate D to be the assumed difference in position between the samples (in general we
test for equality, and D is therefore 0), and P1 − P2 to be the difference of position between
the samples, three tests are possible depending on the alternative hypothesis chosen:
H0 : P1 − P2 = D
Ha : P1 − P2 = D
H0 : P1 − P2 = D
Ha : P1 − P2 < D
H0 : P1 − P2 = D

Nonparametric tests 628 Whitney, ...)
Ha : P1 − P2 > D
Comparison of two independent samples
Three researchers, Mann, Whitney, and Wilcoxon, separately perfected a very similar non-
parametric test which can determine if the samples may be considered identical or not on the
basis of their ranks. This test is often called the Mann-Whitney test, sometimes the Wilcoxon-
Mann-Whitney test or the Wilcoxon Rank-Sum test (Lehmann, 1975).
We sometimes read that this test can determine if the samples come from identical populations
or distributions. This is completely untrue. It can only be used to study the relative positions of
the samples. For example, if we generate a sample of 500 observations taken from an N (0, 1)
distribution and a sample from a distribution of 500 observations from an N (0, 4) distribution,
the Mann-Whitney test will find no difference between the samples.
Let S1 be a sample made up of n1 observations (x1 , x2 , … , xn1 ) and S2 a second sample

made up of n2 observations (y1 , y2 , … , yn1 ) independent of S1 . Let N be the sum of n1 and
n2 .
To calculate the Wilcoxon Ws statistic which measures the difference in position between the
first sample S1 and sample S2 from which D has been subtracted, we combine the values
obtained for both samples, then put them in order. The Ws statistic is the sum of the ranks of
one of the samples. For XLSTAT, the sum is calculated on the first sample.
For the expectation and variance of Ws we therefore have:
1 1
E(WS ) = n1 (N + 1) et V (WS ) = n n (N + 1)
2 12 1 2
The Mann-Whitney U statistic is the sum of the number of pairs (xi , yi ) where xi > yi , from
among all the possible pairs. We show that
n1 n2 1
E(U ) = et V (U ) = n1 n2 (N + 1)
2 12
We may observe that the variances of Ws and U are identical. In fact, the relationship between
U and Ws is:
n1 (n1 + 1)
WS = U +
2
The results offered by XLSTAT are those relating to Mann-Whitney's U statistic.
When there are ties between the values in the two samples, the rank assigned to the tied values
is the mean of their rank before processing (for example, for two samples of respective size 3
and 3, if the ordered list of values is {1, 1.2, 1.2, 1.4, 1.5, 1.5}, the ranks are initially {1, 2, 3, 4,
5, 6} then after inclusion {1, 2.5, 2.5, 4, 5.5, 5.5}. Although this does not change the expectation
of Ws and U , the variance is, on the other hand, modified.

3
1 n1 n2 ∑nd
i=1 (di − di )
V (WS ) = V (U ) = n1 n2 (N + 1) −
12 12N (N − 1)
where nd is the number of distinct values and di the number of observations for each of the
values.
For the calculation of the p-values associated with the statistic, XLSTAT can use an exact
method if the user wants for the following cases:
U ∗ n1 ∗ n2 ≤ 10e7 if there are no ties
U ∗ nd ≤ 5000 if there are ties.

The calculations may be appreciably slowed down where there are ties. A normal approximation
has been proposed to get round this problem. We have:
P (U ≤ u) ≈ Φ ( )
u − E(U ) + c
V (U )
where F is the distribution function for the standardized normal distribution, and c is a continuity
nature of the test). The approximation is more reliable the higher n1 and n2 are.
If the user requests that an exact test be used and this is not possible because of the
constraints given below, XLSTAT indicates in the results report that an approximation has been
used.
A Monte Carlo approximation of the p-value is also possible for this test.
Comparison of two paired samples
Two tests have been proposed for the cases where samples are paired: the sign test and the
Wilcoxon signed rank test.
Let S1 be a sample made up of n observations (x1 , x2 , … , xn ) and S2 a second sample

paired with S1 , also comprising n observations (y1 , y2 , … , yn ). Let (p1 , p2 , … , pn ) be the
n pairs of values (xi , yi ).
Sign test
Let N + be the number of pairs where yi > xi , N0 the number of pairs where yi = xi , and
N − the number of pairs where yi < xi . We can show that N + follows a binomial distribution
with parameters (n − N0 ) and probability 12 . The expectation and the variance of N + are
therefore:

n − N0 n − N0
E(N +) = and V (N +) =
2 4
The p-value associated with N + and the type of test chosen (two-tailed, right or left one-tailed)
can therefore be determined exactly.
Note: This test is called the sign test as it constructs the differences within the n pairs from the
sign. This test is therefore used to compare evolutions evaluated on an ordinal scale. For
example, this test would be used to determine if the effect of a medicine is positive from a
survey where the patient simply declares if he feels less well, not better, or better after taking it.
The disadvantage of the sign test is that it does not take into account the size of the difference
between each pair, data which is often available.
Wilcoxon signed-rank test
Wilcoxon proposed a test which takes into account the size of the difference within pairs. This
test is called the Wilcoxon signed rank test, as the sign of the differences is also involved.
As for the sign test, the differences for all the pairs is calculated, then they are ordered and
finally the positive differences S1 , S2 , … , Sp and the negative differences R1 , R2 , … , Rm
(p + m = n) are separated.
The statistic used to show whether both samples have the same position is defined as the sum
of the Si 's:
p
VS = ∑ Si
i=1
The expectation and the variance of Vs are:
n(n + 1) n(n + 1)(2n + 1)

E(VS ) = and V (VS ) =
4 24
Where they might be ties among the differences, or null differences for certain pairs, we have:
n(n + 1) − d0 (d0 + 1)
E(VS ) =
4
nd
[n(n + 1)(2n + 1) − d0 (d0 + 1)(2d0 + 1)] ∑i=1 (d3i − di )
V (VS ) = −
24 48
where d0 is the number of null differences, nd the number of distinct differences, and di the
number of values corresponding to the i'th distinct difference value (it is the same as
considering that the di 's are the number of ties for the i'th distinct difference value).
Where there are no null differences or ties among the differences, if n ≤ 100, XLSTAT
calculates an exact p-value (Lehmann, 1975). Where there are ties, a normal approximation is
used. We have:

P (VS ≤ ν) ≈ Φ ( )
ν − E(VS ) + c
V (VS )
where F is the distribution function for the standardized normal distribution, and c is a continuity
1 1
nature of the test). The approximation is more reliable the higher n is.
A Monte Carlo approximation of the p-value is also possible for this test.
alternatives:
statistic.
Dialog box

observations.
General tab:
per sample" or "paired samples", select a column of data corresponding to the first sample.
format of the selected data is "one column per sample" or "paired samples", select a column of
data corresponding to the second sample.
mode) per sample.
Mann-Whitney test: Activate this option to run the Mann-Whitney test (see description).
Sign test: Activate this option to use sign test (see description).

Wilcoxon signed rank test: Activate this option to use Wilcoxon signed rank test (see
description).
Options tab:
description).
samples.
value. Choose among the asymptotic, exact or Monte Carlo methods (see the description
section for more information). In the case of the exact and Monte Carlo method you can set the
maximum time you want to spend computing the p-value.
when computing the asymptotic p-value (see description).
Missing data tab:
Outputs tab:
samples.
Charts tab:
Results
Example

A tutorial showing how to use the Mann-Whitney test is available on the Addinsoft website:
http://www.xlstat.com/demo-mannwhitney.htm
A tutorial showing how to run a Sign test and a Wicoxon-rank-signed test is available on the
Addinsoft website:
http://www.xlstat.com/demo-wilcoxon.htm
References
Cheung Y.K. Klotz J.H. (1997). The Mann Whitney Wilcoxon distribution using linked lists.
Statistica Sinica, 7, 805-813.

Francisco.
Siegel S. and Castellan N. J. (1988). Nonparametric Statistics for the Behavioral Sciences,
Second Edition. McGraw-Hill, New York.
Wilcoxon F. (1945). Individual comparisons by ranking methods. Biometrics, 1, 80-83.

Comparison of k samples (Kruskal-Wallis, Friedman,
...)
Use this tool to compare k independent samples (Kruskal-Wallis test and Dunn's procedure) or
paired samples (Friedman's test and Nemenyi's procedure, GPU accelerated).
In this section:
Description
Dialog box
Results
Example
References
Description
To get round the assumption that a sample is normally distributed required for using multiple
comparison tests (offered in XLSTAT after an ANOVA), nonparametric tests were proposed.
As for parametric tests, a distinction is made between independent samples (for example a
comparison of crop yields from fields with similar properties but treated with three different types
of fertilizer), from cases where they are paired (for example if comparing the scores given by 10
judges to 3 different products).
Comparison of k independent samples
The Kruskal-Wallis test is often used as an alternative to the ANOVA where the assumption of
normality is not acceptable. It is used to test if k samples (k ≥ 2) come from the same
population or populations with identical properties as regards a position parameter (the position
parameter is conceptually close to the median, but the Kruskal-Wallis test takes into account
more information than just the position given by the median).
If Mi the position parameter for sample i, the null H0 and alternative Ha hypotheses for the
Kruskal-Wallis test are as follows:
H0: M1 = M2 = … = Mk
Ha: There is at least one pair (i, j) such that Mi = Mj
The calculation of the K statistic from the Kruskal-Wallis test involves, as for the Mann-Whitney
test, the rank of the observations once the k samples (or groups) have been mixed. K is
defined by:

Nonparametric tests 636 ...)
k
12 Ri2
K= ∑ − 3(N + 1)
N (N + 1) i=1 ni
where ni is the size of sample i, N is the sum of the ni 's, and Ri is the sum of the ranks for
sample i.
When k = 2, the Kruskal-Wallis test is equivalent to the Mann-Whitney test and K is

equivalent to W .
When there are ties, the mean ranks are used for the corresponding observations as in the case
of the Mann-Whitney test. K is then given by:
12 k Ri2
N (N +1)
∑ i=1 ni − 3(N + 1)
K=
1 − ∑nd 3
i=1 (di − di )/(N
3 − N)
where nd is the number of distinct values and di the number of observations for each of the
values.
The distribution of the K statistic can be approximated by a Chi-square distribution with (k − 1)

degrees of freedom. This approximation is reliable, except when N is small. The p-values
associated with K , which for the exact case depends on the statistic K and the k sizes of the
samples, have been tabulated for the case where k = 3 (Lehmann 1975, Hollander and Wolfe
1999).
Comparison of k paired samples
The Friedman test is a non-parametric alternative to the two-way ANOVA where the
assumption of normality is not acceptable. It is used to test if k paired samples (k ≥ 2) of size
n, come from the same population or from populations having identical properties as regards
the position parameter. As the context is often that of the two-way ANOVA factors, we
sometimes speak of the Friedman test with k treatments and n blocks.
If Mi is the position parameter for sample i, the null H0 and alternative Ha hypotheses for the
Friedman test are as follows:
H0: M1 = M2 = … = Mk
Ha: There is at least one pair (i, j) such that Mi = Mj
Let n be the size of k paired samples. The Q statistic from the Friedman test is given by:
k
12
Q= ∑ Ri2 − 3n(k + 1)
nk(k + 1) i=1
where Ri is the sum of the ranks for sample i.

Where there are ties, the average ranks are used for the corresponding observations. Q is then
given by:
12 k 2
nk(k+1) ∑i=1 Ri − 3n(k + 1)
Q= n nd(j)
1− ∑j=1 ∑i=1 (d3ij − dij )/n/(k 3 − k)
where nd(j) is the number of distinct values for block j, and dij the number of observations for
each of the values.
As for the Kruskal-Wallis test, the p-value associated with a given value of Q can be
approximated by a Chi-square distribution with (k − 1) degrees of freedom. This approximation
is reliable when k × n is greater than 30, the quality also depending on the number of ties. The
p-values associated with Q have been tabulated for (k = 3, n = 15) and (k = 4, n = 8) (Lehmann
1975, Hollander and Wolfe 1999).
alternatives:
statistic. This method is available for the Kruskal-Wallis test when there are no ties.
Whether for the Kruskal-Wallis or the Friedman test, if the p-value is such that the H0
hypothesis has to be rejected, then at least one sample (or group) is different from another. To
identify which samples are responsible for rejecting H0, multiple comparison procedures can
be used.
For the Kruskal-Wallis test, three multiple comparison methods are available:
Dunn (1963): the method based on the comparison of the mean of the ranks of each
treatment, the ranks being those used for the computation of K . The normal distribution is
used as the asymptotic distribution of the standardized difference of the mean of the
ranks.

Conover and Iman (1999): close to Dunn's method, this method uses a Student
distribution. It corresponds to a t test performed on the ranks.
Steel-Dwass-Critchlow-Fligner (1984): This more complex method is recommended by

Hollander (1999). It requires the recalculation of the ranks for each combination of
treatments. The Wij statistic is calculated for each combination. XLSTAT then calculates
the corresponding p-value using the asymptotic distribution.
For the Friedman test, one multiple comparison method is available:
Nemenyi (1963). This method is close to the Dunn’s procedure, but it takes into account
the fact that data are paired.
For the Dunn, the Conover-Iman and the Nemenyi methods, to take into account the fact that
there are k(k − 1)/2 possible comparisons, the correction of the significance level proposed
by Bonferroni can be applied. The significance level used for pairwise comparisons is:
2α
α′ =
k(k − 1)
Dialog box
observations.
General tab:
Data: If the format of the selected data is "one column per variable", select the data for the
various samples in the Excel worksheet. If the format of the selected data is "one column per
sample" or "paired samples", select the columns of data corresponding to the various samples.

Sample identifiers: If the format of the selected data is "one column per variable", select the
data identifying the k samples to which the selected data values correspond.
mode) per sample.
Kruskal-Wallis test: Activate this option to run the Kruskal-Wallis test (see description).
Friedman test: Activate this option to run a Friedman test (see description).
Multiple pairwise comparisons: Activate this option to compute multiple pairwise comparisons
(see description).
Bonferronicorrection: Activate this option to use the Bonferroni corrected significance

level for the multiple comparisons.
Options tab:
description).

Missing data tab:
Outputs tab:
samples.
Results
interpretation arising from these. Results of multiple comparisons are then displayed to identify
the treatments responsible for rejecting the null hypothesis, if it has been rejected.
Example
A tutorial showing how to use the Kruskal-Wallis test is available on the Addinsoft website:
http://www.xlstat.com/demo-kruskal.htm
A tutorial showing how to use the Friedman’s test is available on the Addinsoft website:
http://www.xlstat.com/demo-friedman.htm
References
Conover W. J. (1999). Practical Nonparametric Statistics, 3rd edition, Wiley.
Critchlow D.E. (1980). Metric Methods for Analyzing Partially Ranked Data. Lecture Notes in
Statistics 34, Springer-Verlag.
Dunn O.J. (1964). Multiple Comparisons Using Rank Sums. Technometrics, 6(3), 241-252.
Dwass M. ( 1960). Some k-sample rank-order tests. In: I. Olkin, S. G. Ghurye, W. Hoeffding, W.
G. Madow & H. B. Mann, editors. Contributions to probability and statistics. Essays in honor of
Harold Hotelling. Stanford University Press, 198-202.
Fligner M. A. (1984). A note on two-sided distribution-free treatment versus control multiple

comparisons. Journal. Am. Statist. Assoc., 79, 208-211.

Francisco.
Nemenyi P. (1963). Distribution-Free Multiple Comparisons. Unpublished Ph.D Thesis.
Steel R. G. D. (1961). Some rank sum multiple comparison tests. Biometrics, 17, 539-552.

Durbin-Skillings-Mack test
Use this tool to test if k treatments being measured within a (balanced or not) incomplete block
design are identical or different (GPU accelerated).
In this section:
Description
Dialog box
Results
Example
References
Description
The goal of the test proposed by Durbin (1951) is to allow analyzing rigorously the results of a
study carried out within the framework of a balanced incomplete block design (BIBD), using a
nonparametric procedure – thus not making any assumption on the distribution of the
measurements. Skillings and Mack (1981) suggested an extension of this approach for more
general incomplete block designs.
Block designs
A block design is a design in which we study the influence of two factors on one or more
phenomena. We know that one factor has an impact that we cannot control, but that is not of
interest. So we want to ensure that this factor does not disturb the analysis that we perform
once the data have been collected. For this we make sure that the various levels of other factors
are well represented in each block.
The blocking factor can correspond to judges evaluating products, and the factor of interest
would then be the products being studied.
A complete block design is a design in which all levels of the factors of interest are present once
within each block. For a sensory design, this corresponds to a design where all products are
seen once by each judge.
In an incomplete block design, all levels of the factors of interest are not present for all levels of
the blocking factor. It is balanced if each level of the factor of interest is present a same number
of times r in the design, and if each pair of levels of each factor is present the same number of
times λ .
If t is the number of treatments, b the number of blocks, k the number of treatments measured
within each block, we show that the following conditions are necessary (but not sufficient) to
Nonparametric tests 643 Durbin-Skillings-Mack test

have a balanced incomplete block design:
bk = tr
and
r(k − 1) = λ(t − 1)
The Durbin and Skillings-Mack tests
The Durbin and Skillings-Marck tests are an extension of the Friedman test (1937) that can only
be used in the case of complete block designs.
If T1 , T2 , … , Tt correspond to the t treatments, as for the Friedman test, the null and
alternative hypotheses used in the test are:
H0 : The t treatments are not different.
Ha : At least one of the treatments is different from another.
The Durbin statistic is given by

t 2
12(t − 1) r(k + 1)
Q= ∑ (Rj − )
rt(k − 1)(k + 1) j=1 2
where Rj is the sum over the b blocks for treatment j on ranks Rij of block i.
In the case where there are ties in one or more blocks, the variance must be corrected. We then
have:
t t
((∑ Rj2 ) − rC ) with A = ∑ i = 1b ∑ Rij
(t − 1) 2 bk(k + 1)
Q= and C =
A−C j=1 j=1
4
This statistic has the property to be asymptotically distributed according to a χ2 distribution with
t − 1 degrees of freedom. Alvo and Cabilio (1995) propose a modified statistic with, according
to Conover (1999), better asymptotic properties
Q
(t−1)
F =
(b(k − 1) − Q)(b(k − 1) − t + 1)
This statistic has the property to be asymptotically distributed according to a Fisher F with t −
1 and b(k − 1) − t + 1 degrees of freedom.
The computation of Skillings and Mack T statistic which allows to treat unbalanced incomplete
block designs is more complex. The missing values are replaced by an average of the ranks,

and a compensatory weight is applied to blocks with missing values. The T statistic
asymptotically follows a χ2 distribution with t − 1 degree of freedom.
alternatives:
distribution of the Q and F statistics. The reliability of the approximation depends on the
number of treatments and on the number of blocks.
If the p-value is such that the H0 hypothesis has to be rejected, then at least one treatment is
different from another. To identify which treatments are responsible for rejecting H0 , a multiple
comparison procedure can be used. XLSTAT allows to use for the Durbin test, which is the
procedure suggested by Conover (1999). In the case of non balanced incomplete block designs
no procedure is available, but the average ranks are displayed so that treatments can be
ranked.
Dialog box

General tab:
Subjects/Treatments table: Select a table where each row (or column if in column mode)
corresponds to a block, and each column (or row in row mode) corresponds to a treatment. If
headers have been selected with the data, make sure the "Treatment labels" option is checked.
Treatment labels: Activate this option if headers have been selected with the input data.

comparisons.
Options tab:
To compute the p-value, you can either choose the asymptotical approximation method or the
Monte Carlo resamplings based method (see the description section). In the latter case, you can
set the number of resamplings you want to make, and the maximum time you want XLSTAT to
spend on making the resamplings.
Outputs tab:
to each treatment.
Results
treatments.
The results that correspond to the Durbin test (in the case of balanced incomplete block design)
or to the Skillings-Mack test (in the case of incomplete block designs) are then displayed,

followed by a short interpretation of the test. Results of multiple comparisons are then displayed
to identify the treatments responsible for rejecting the null hypothesis, if it has been rejected.
Example
An example showing how to run a Durbin test is available on the Addinsoft website:
http://www.xlstat.com/demo-durbin.htm
References
Alvo M. and Cabilio P. (1995). Approximate and exact distributions of rank tests for balanced
incomplete block designs. Communications in Statistics - Theory and Methods, 24(12), 3073-
3121.
Durbin J. (1951). Incomplete blocks in ranking experiments. Brit. J. Statist. Psych., 4, 85-90.
Friedman M. A. (1937). The use of ranks to avoid the assumption of normality implicit in the
analysis of variance. J. Amer. Statist. Assoc., 32, 675-701.

Skillings J. H. and Mack G. A. (1981). On the use of a Friedman-type statistic in balanced and
unbalanced block designs. Technometrics, 23, 171-177.

Page test
Use this tool to test if k treatments being measured within a (balanced or not) incomplete block
design are identical or if a sorting of the treatments is possible (GPU accelerated).
In this section:
Description
Dialog box
Results
Example
References
Description
The goal of the test proposed by Page (1963) is to allow analyzing rigorously the results of a
study carried out within the framework of a complete design, to verify if a series of several
treatments should be considered as not different, or if alternatively a ranking of the treatment
makes sense. The Page test is a nonparametric method, thus not making any assumption on
the distribution of the measurements. This test differs from the Friedman test by the fact that the
alternative hypothesis is a ranking of the treatments and not only a difference. This test has
been extented to the case of incomplete blocks by Alvo and Cabilio (2005).
Block designs
once the data are collected. For this we make sure that the various levels of other factors are
well represented in each block.
The blocking factor can correspond to judges evaluating products, and the factor of interest
would then be the products being studied.
the blocking factor. It is balanced if each level of the factor of interest is present a same number
of times r in the design, and if each pair of levels of each factor is present the same number of
times l.
Nonparametric tests 648 Page test

If t is the number of treatments, b the number of blocks, k the number of treatments measured
within each block, we show that the following conditions are necessary (but not sufficient) to
have a balanced incomplete block design:
bk = tr
and
r(k − 1) = l(t − 1)
The Page test
If T1 , T2 , … , Tt correspond to the t treatments, the null and alternative hypotheses used in the
test are:
H0 : The t treatments are not significantly different.
Ha : T1 ≥ T2 ≥ … ≥ Tt
or
Ha : T1 ≤ T2 ≤ … ≤ Tt
Where, for the alternative hypotheses, at least one inequality is strict.
The statistic suggested by Page is given by:

t
L = ∑(jRj )
j=1
Page tabulated that statistic, and also gave an asymptotic approximation with a Chi-square
distribution with 1 degree of freedom. Conover (1999) uses the following statistic that follows a
standard normal distribution:
12L − 3bt(t + 1)2

z=
bt2 (t2 − 1)(t + 1)
Where b is the number of blocs and t the number of treatments. In case there are ties for a
given block, the variance term is adapted.
In the case of incomplete blocks, Alvo and Cabilio (2005) suggest an alternative statistic which
value is identical in the case of complet blocks and that has the same asymptotical properties.
alternatives:

distribution of the z statistics. The reliability of the approximation depends on the number
of treatments and on the number of blocks.
different from another. To identify which treatment(s) is/are responsible for rejecting H0, a
multiple comparison procedure can be used, XLSTAT allows using the procedure suggested
by Cabilio and Peng (2008), with two alternative ways to compute the p-value of the paired
comparisons. It can either use the normal approximation of a Monte Carlo based -pvalue.
Dialog box
General tab:
corresponds to a block, and each column (or row in row mode) corresponds to a treatment. If

headers have been selected with the data, make sure the "Treatment labels" option is checked.

comparisons. Two methods are proposed: Cabilio and Peng using an asymptotical p-value or
the same procedure with p-values computed through Monte Carlo resamplings (see the
description section for more information).
Options tab:
To compute the p-value, you can either choose the asymptotical approximation method or the
Monte Carlo resamplings based method (see the description section). In the latter case, you can
set the number of resamplings you want to make, and the maximum time you want XLSTAT to
spend on making the resamplings.
Outputs tab:
to each treatment.
Results
treatments.
The results that correspond to the Page test (complete block design) or to the Alvo and Cabilio
variant of the test (incomplete block designs) are then displayed, followed by a short
interpretation of the test. Results of multiple comparisons are then displayed to identify the
treatments responsible for rejecting the null hypothesis, if it has been rejected.
Example
An example showing how to run a Page test is available on the Addinsoft website:
http://www.xlstat.com/demo-page.htm

References
Alvo M. and Cabilio P. (1995). Testing ordered alternatives in the presence of incomplete data.
Journal of the American Statistical Association , 90 (431), 1015-1024.
Cabilio P. and Peng J. (2008). Multiple rank-based testing for ordered alternatives with
incomplete data. Statistics and Probability Letters, 78, 2609-2613.
Page E. B. (1963). Ordered hypotheses for multiple treatments: A significance test for linear
ranks". Journal of the American Statistical Association, 58 (301), 216-230.

Cochran's Q test
Use this tool to compare k ≥ 2 paired samples which values are binary (GPU accelerated).
In this section:
Description
Dialog box
Results
Example
References
Description
The Cochran’s Q test is presented using two different approaches. Some authors present it as
a particular case of the Friedman’s test (comparison a k paired samples) when the variable is
binary (Lehmann, 1975), while other present it as a marginal homogeneity test for a k-
dimensional contingency table (Agresti, 1990).
As a consequence, the null H0 and alternative Ha hypotheses for the Cochran’s Q test can
either be,
H0: The k treatments are not different.
Ha: At least on of the treatment is different from another.
or,
H0: the k distributions are marginally homogeneous.
Ha: the k distributions are marginally inhomogeneous.
XLSTAT uses the first approach, as it is the most used. The term "treatment" has been chosen
for the k samples that are being compared.
Two possible formats are available for the input data:
You can select data in a "raw" format. In this case, each column corresponds to a
treatment and each row to a subject (or individual, or bloc).
You can also select the data in a "grouped" format. Here, each column corresponds to a
treatment, and each row corresponds to a unique combine of the k treatments. You then
need to select the frequencies corresponding to each combine (field "Frequencies" in the
dialog box).
Nonparametric tests 653 Cochran's Q test

alternatives:
statistic.
different from another. To identify which samples are responsible for rejecting H0, multiple
comparison procedures can be used. XLSTAT suggests using the Marascuilo and McSweeney
(1977) option, while a McNemar test with the Bonferroni correction is also available.
When the H0 hypothesis of the Cochran test is rejected, it is concluded that at least one
treatment significantly differs from the others. It may be interesting to compare treatments
pairwise. For this XLSTAT proposes two different methods:
Method Critical difference (Sheskin) explained in Sheskin (2011) and initially developed
by Marascuilo and McSweeney (1977). This method calculates a critical value CD . When
the difference in proportion between two treatments is greater than CD , it is concluded
that there is a significant difference between the two treatments.
The McNemar(Bonferroni) procedure performs McNemar tests between the different

treatment pairs and applies the Bonferroni correction. This correction consists of dividing
the alpha significance level by the total number of comparisons (k × (k − 1)/2). The p-
values of McNemar tests are obtained by an asymptotic approximation of the distribution
of calculated statistics. A continuity correction is also applied. Refer to the McNemar test
The Critical difference (Sheskin) method is the preferred option because the critical value is
calculated taking into account all treatments as opposed to multiple McNemar tests which use
only the data of the two treatments to be compared.
Dialog box

General tab:
corresponds to a subject, and each column (or row in row mode) corresponds to a treatment. If
headers have been selected with the data, make sure the "Treatment labels" or "Labels
included" is checked.
Data format:
Subjects/Treatments table:
Raw: Choose that option if the input data are in a raw format (as opposed to grouped).
Grouped: Choose that option if your data correspond to a summary table where each row
corresponds to a unique combine of treatments. You then need to select the frequencies
that correspond to each combine (see "Frequencies" below).

Weights: Select the weights that correspond to the combines of treatments. Weights must be
greater than or equal to 0. If a column header has been selected, check that the "Treatment

comparisons. Two methods are proposed: Critical difference (Sheskin) or McNemar
(Bonferroni) (see the description section for further details).
Options tab:
Outputs tab:
to each treatment.
Results
treatments.
The results that correspond to the Cochran’s Q test are then displayed, followed by a short
interpretation of the test.
Example
An example showing how to run a Cochran’s Q test is available on the Addinsoft website:
http://www.xlstat.com/demo-cochranq.htm
References
Cochran W.G. (1950). The comparison of percentages in matched samples. Biometrika, 37,
256-266.
Francisco.

Marascuilo L.A. and McSweeney M. (1977). Nonparametric and Distribution- Free Methods for
the Social Sciences. Brooks/Cole, Monterey, CA.
Sheskin, D.J. (2011). Handbook of Parametric and Non-Parametric Statistical Procedures. 5th
Edition, Chapman & Hall/CRC, London.

McNemar’s test
Use this tool to compare 2 paired samples which values are binary. The data can be
summarized in a 2x2 contingency table.
In this section:
Description
Dialog box
Results
References
Description
The McNemar’s test is a special case of the Cochran’s Q test when there are only two
treatments. As for the Cochran’s Q test, the variable of interest is binary. However, the
McNemar’s test has two advantages:
- Obtaining an exact p-value is possible (Lehmann, 1975);
- The data can be summarized in a 2x2 contingency table.
are:
H0: Treatment 1 = Treatment 2
Ha: Treatment 1 =
 Treatment 2
Ha: Treatment 1 < Treatment 2
Ha: Treatment 1 > Treatment 2
Three possible formats are available for the input data:
Nonparametric tests 658 McNemar’s test

- You can select data in a "raw" format. In this case, each column corresponds to a treatment
and each row to a subject (or individual, or bloc).
- You can also select the data in a "grouped" format. Here, each column corresponds to a
treatment, and each row corresponds to a unique combine of the k treatments. You then need to
select the frequencies corresponding to each combine (field "Frequencies" in the dialog box).
- You can also select a contingency table with two rows and two columns. In the case where you
choose this, the first and second treatments are respectively considered as corresponding to the
rows and the columns. The positive response cases (or successes) are considered as
corresponding to the first row of the contingency table for the first treatment, and to the first
column for the second treatment.
Dialog box
General tab:
Subjects/Treatments table / Contingency table (2x2): In the case of a "Subjects/Treatments

table), select a table where each row (or column if in column mode) corresponds to a subject,
and each column (or row in row mode) corresponds to a treatment. In the case of a
"Contingency table", select the contingency table. If headers have been selected with the data,
make sure the "Treatment labels" or "Labels included" is checked.
Data format:

Subjects/Treatments table: Choose this option if the data correspond to a
Subjects/Treatments table.
Raw: Choose that option if the input data are in a raw format (as opposed to grouped).
Grouped: Choose that option if your data correspond to a summary table where each row
corresponds to a unique combine of treatments. You then need to select the frequencies
that correspond to each combine (see "Frequencies" below).
Contingency table (2x2): Activate this option if your data are available in a 2x2
contingency table.
Treatment labels/Labels included: Activate this option if headers have been selected with the
input data. In the case of a contingency table, the row and column labels must be selected if this
option is checked.
Weights: Select the weights that correspond to the combines of treatments. Weights must be
greater than or equal to 0. If a column header has been selected, check that the "Treatment
Positive response code: Enter the value that corresponds to a positive response in your
experiment.
Options tab:
description).
Exact p-value: Activate this option to compute the exact p-value.
Outputs tab:
This tab is only visible if the "Subjects/Treatments table" format has been chosen.
to each treatment.
Contingency table: Activate this option to display the 2x2 contingency table.

Results
Descriptive statistics: This table displays the descriptive statistics that correspond to the two
treatments.
Contingency table: The 2x2 contingency table built from the input data is displayed.
The results that correspond to the McNemar’s test are then displayed, followed by a short
Example
An example showing how to run a McNemar’s test is available on the Addinsoft website:
http://www.xlstat.com/demo-mcnemar.htm
References
McNemar Q. (1947). Note on the sampling error of the difference between correlated
proportions or percentages. Psychometrika, 12, 153-157.
Francisco.

Cochran-Mantel-Haenszel Test
Use this tool to test the hypothesis of independence on a series of contingency tables
corresponding to an experiment crossing two categorical variables, with a control variable taking
multiple values.
In this section:
Description
Dialog box
Results
Example
References
Description
Imagine the case of a laboratory working on a new antifungal agent. In order to define the
appropriate dose and dosage form, an experiment is conducted with four dose levels and two
different dosage forms (ointment or shower gel). For each dose level, the test is performed on
about twenty patients, divided equally for each presentation. The experimenters record for each
patient whether the treatment is effective or not. The results are thus in the form of a
contingency table with three dimensions, or more simply in the form of 4 two-way contingency
tables. The variable corresponding to the dose is the control variable.
One could be willing to do a test of independence on the table resulting from the sum of 4
contingency tables, however in this case one could conclude that there is independence for the
sole reason that the sub-contingency table with the largest number of respondents corresponds
a case of independence, while the other tables do not at all.
Cochran (1954) then Mantel and Haenszel (1959) developed a test that allows to test whether
there is independence or not between the rows and columns of the contingency tables, taking
into account the fact that the tables are independent of each other (for each dose the patients
are different), and by conditioning on the marginal sums of each table, as in the standard test of
independence on contingency tables.
The test commonly named the Cochran-Mantel-Haenszel (CMH) test is based on the M2
statistic defined by:
∣ k ∣ 1 2
(∣∑i=1 (n11i − n1+i n+1i /n++i ∣ − 2 )
M 2 = k∣ ∣
∑i=1 n1+i n2+i n+1i n+2i /(n++i (n2++i − 1))
2
This statistic follows asymptotically a chi-square distribution with 1 degree of freedom. Knowing
M 2 , we can therefore compute the p-value, and knowing the risk of Type I, α, we can
Nonparametric tests 662 Cochran-Mantel-Haenszel Test

determine the critical value. It is also possible, as for the test of independence on a contingency
table, to calculate the exact p-value, if the contingency tables are of size 2x2. The use of
1
absolute value and the subtraction of − 2 and the division by (n2++i − 1) instead of n2++i
corresponds to a continuity correction proposed by Mantel and Haenszel. Its use is strongly
recommended. With XLSTAT you have the choice to use it (default) or not.
It may be noted that the numerator measures for the upper left cell the difference between the
actual value and the expected value corresponding to independence, and that then sum these
differences. If the differences are in opposite directions from one table to another we could
therefore conclude that there is independence while there is dependence in each table (Type II
error). This situation happens when there is a three-way interaction between the three variables.
This test is to be used with caution.
The Cochran-Mantel-Haenszel test has been generalized by Birch (1965), Landis et al. (1978)
and Mantel and Byar (1978) to the case of RxC contingency tables where R and C can be
greater than 2. The computation of M 2 is more complex, but it still leads to a statistic that
asymptotically follows a χ2 with (L − 1)(C − 1) degrees of freedom.
It is recommended to perform separately from the CMH test, the analysis of the Cramer's V for
the individual contingency tables to get an idea of their contribution to independence. XLSTAT
displays automatically for each contingency table, a table with the Cramer's V , the χ2 and the
corresponding p-values (exact for 2x2 tables and asymptotic for higher dimensional tables)
where possible, that is, when there are no null marginal sums.
Dialog box

General tab:
Contingenc y tables: If the data format selected is "contingency tables", select the k
contingency tables, and then specify the value of k by entering the number of strata.
Variable 1: If the data format selected is "variables", select the data corresponding to the first
qualitative variable used to construct contingency tables.
Variable 2: If the data format selected is "variables", select the data corresponding to the
second qualitative variable used to construct contingency tables.
Strata: If the selected data format is "variables", select the data corresponding to the various
strata.
Contingency tables: Activate this option if your data are available as a set of k
contingency tables one under the other.
Variables: Activate this option if your data are available as two qualitative variables with
one row for each observation and one variable corresponding to the various strata (control
variable).
Options tab:
Exact p-values: Activate this option to compute the exact p-values when possible (see
description).
Alternative hypothesis: Choose the alternative hypothesis to be used for the test in the case of
an exact p-value computed on a set of 2x2 tables (see description).
Common odds ratio: Enter the value of the assumed common odds-ratio.

if the exact p-values calculation has not been requested or is not possible (see description).
Missing data tab:
Results
The results that correspond to the Cochran-Mantel-Haenszel test are displayed, followed by a
short interpretation of the test.
Example
A tutorial showing how to use the Cochran-Mantel-Haenszel test is available on the
Addinsoft website:
http://www.xlstat.com/demo-cmh.htm
References
Agresti A. (2002). Categorical Data Analysis, 2-nd Edition. John Wiley and Sons, New York.
Birch M. W. (1965). The detection of partial association II: the general case. Journal Roy Stat
Soc B, 27, 111-124.
Cochran W.G. (1954). Some methods for strengthening the common chi- squared tests.

Landis J.R.., Heman E.R., Koch G.G. (1978). Average partial association in three way
contingency tables: a review and discussion of alternative tests. Int Stat Rev., 46, 237-354
(1978).
Mantel N. and Haenszel W. (1959) Statistical aspects of the analysis of data from retrospective
studies of disease. Journal of the National Cancer Institute, 22, 719-748.
Mantel N. and Byar D.P. (1978). Marginal homogeneity, symmetry and independence.
Communications in Statistics - Theory and Methods, A7, 953-976 (1978).
Mehta C. R., Patel N. R., and Gray R. (1985). Computing an exact confidence interval for the
common odds ratio in several 2 x 2 contingency tables. Journal of the American Statistical

One-sample runs test
Use this tool to test whether a series of binary events is randomly distributed or not.
In this section:
Description
Dialog box
Results
References
Description
The first version of this nonparametric test was presented by Mood (1940) and is based on the
same runs statistic as the two-sample test by Wald and Wolfowitz (1940), which is why this test
is sometimes mistakenly referred to as the Wald and Wolfowitz runs test. However, the article by
Mood makes reference to the article by Wald and Wolfowitz and the asymptotic distribution of
the statistic uses also the results given by these authors.
A run is a sequence of identical events, preceded and succeeded by different or no events. The
runs test used here applies to binomial variables only. For example, in ABBABBB, we have 4
runs (A, BB, A, BBB).
XLSTAT accepts as input, continuous data or binary categorical data. For continuous data, a
cut-point must be chosen by the user so that the data are transformed into a binary sample.
A sample will be considered as randomly distributed if no particular structure can be identified.

Extreme cases are repulsion, where you have all observations of one kind on the left, and all
the remaining observations on the right, and alternation where the elements of the two kinds are
alternating as much as possible. With the previous case, repulsion would give "AABBBBB" or
"BBBBBAA", and alternation "BABABBB" or "BABBABB" or "BBABABB" or "BBABBAB" or
"BBBABAB".
are:
H0: data are randomly distributed.
Ha: data are not randomly distributed.
Ha: there is repulsion between the two types of events.
Nonparametric tests 666 One-sample runs test

Ha: The two types of events are alternating.
The expectation of the number of runs R is given by:
E(R) = 2mn/N
where m is the number of events of type 1, and n the number of events of type 2, and N is the
total sample size.
The variance of the number of runs R is given by:
V(R) = 2mn(2mn – N)/[N²(N-1)]
The minimum value of R is always 2. The maximum value is given by 2Min(m, n) - t, where t is 1
if m=n, and 0 if not.
If r is the number of runs measured on the sample, it was shown by Wald and Wolfowitz that
asymptotically, when m or n tend to infinity,
(r − E(R))
→ N (0, 1)
V (R)
where N (0, 1) is the standard normal distribution.
XLSTAT offers three ways to compute the p-values. You can compute the p-value based on:
The exact distribution of R,
The asymptotic distribution of R,
An approximated distribution based on P Monte Carlo permutations. As the number of

possible permutations is high (it is equal to N!), P must be set to a high value so that the
approximation is fine.
Dialog box

General tab:
Data: Select a column (or row in row mode) of data corresponding to the series of data to
analyze.
Data type: Select the data type.
Quantitative: Activate this option to select one column (or row in row mode) of
quantitative data. The data will then be transformed on the basis of the cut point (see
below).
Qualitative: Activate this option to select one column (or row in row mode) of binary data.
Cut point: Choose the type of value that will be used to discretize the continuous data into a
binary sample.
Mean: Observations are split into two groups depending on whether there are lower or
greater than the mean.
Median: Observations are split into two groups depending on whether there are lower or
greater than the median.
User defined: Select this option to enter the value used to transform the data and enter
that value. The observations are split into two groups depending on whether there are
lower or greater than the given value.

Options tab:
description).
Exact p-value: Activate this option if you want XLSTAT to calculate the exact p-value (see
description).
Asymptotic p-value: Activate this option if you want XLSTAT to calculate the p-value based on
the asymptotic approximation (see description).
Continuity correction: Activate this option if you want XLSTAT to use the continuity
correction when computing the asymptotic p-value.
Monte Carlo method: Activate this option if you want XLSTAT to calculate the p-value based
on Monte Carlo permutations, and select the number of random permutations to perform.
Missing data tab:
Results
The results that correspond to the one-sample runs test are displayed, followed by a short
References
Mood A. M. (1940). The distribution theory of runs. Ann. Math. Statist. , 11(4), 367-392.
Second Edition. McGraw-Hill, New York, 58-54.
Wald A. and Wolfowitz J. (1940). On a test whether two samples are from the same
population, Ann. Math. Stat., 11(2), 147-162.

Testing for outliers
Grubbs test
Use this tool to test whether one or two outliers are present in a sample for which we assume
that it is extracted from a population that follows a normal distribution.
In this section:
Description
Dialog box
Results
Example
References
Description
Grubbs (1950, 1969, 1972) developed several tests in order to determine whether the greatest
value or the lowest value (Grubbs test) are outliers, or, for the double Grubbs test, whether the
two greatest values or the two lowest ones are outliers. This test assumes that the data
corresponds to a sample extracted from a population that follows a normal distribution.
Detecting outliers
In statistics, an outlier is a value recorded for a given variable, that seems unusual and
suspiciously lower or greater than the other observed values. One can distinguish two types of
outliers:
An outlier can simply be related to a reading error (on an measuring instrument), a

keyboarding error, or a special event that disrupted the observed phenomenon to the
point of making it incomparable to others. In such cases, you must either correct the
outlier, if possible, or otherwise remove the observation to avoid that it disturbs the
analyses that are planed (descriptive analysis, modeling, predicting).
An outlier can also be due to an atypical event, but nevertheless known or interesting to
study. For example, if we study the presence of certain bacteria in river water, you can
have samples without bacteria, and other with aggregates with many bacteria. These data
are of course important to keep. The models used should reflect that potential dispersion.
When there are outliers in the data, depending on the stage of the study, we must identify them,
possibly with the aid of tests, flag them in the reports (in tables or on graphical representations),
delete or use methods able to treat them as such.
Testing for outliers 670 Grubbs test

To identify outliers, there are different approaches. For example, in classical linear regression,
we can use the value of Cook’s d values, or submit the standardized residuals to a Grubbs test
to see if one or two values are abnormal. The classical Grubbs test can help identifying one
outlier, while the double Grubbs test allows identifying two. It is not recommended to use these
methods repeatedly on the same sample. However, it may be appropriate if you really suspect
that there are more than two outliers.
Definitions
Let x1 , x2 , … , xi , … , xn , be a sample that is extracted from a population that we assume is

following a normal distribution N (μ, s2 ). Parameters μ and s2 are respectively estimated by :
n
1
x = ∑ xi
n i=1
n
1
2
s = ∑(xi − x)2
n − 1 i=1
We define:
xmax = arg maxi=1…n (xi )

and
xmin = arg mini=1…n (xi )
The Grubbs test (for one outlier)
The statistics that used for the Grubbs test for one outlier are:
For the one-sided left-tailed case:

x − xmin
Gmin =
s
For the one-sided right-tailed case:
xmax − x
Gmax =
s
For the two-sided case:
G = max(Gmin , Gmax )
For the two-sided test, the null (H0) and alternative (Ha) hypotheses are given by:
H0: The sample does not contain any outlier.

Ha: The lowest or the greatest value is an outlier.
For the one-sided left-tailed test, the null (H0) and alternative (Ha) hypotheses are given by:
Ha: The lowest value is an outlier.
For the one-sided right-tailed test, the null (H0) and alternative (Ha) hypotheses are given by:
Ha: The greatest value is an outlier.
An approximation of the critical value Gcrit giving the threshold above which, for a given
significance level α (typically 5%), one must reject the null hypothesis is given by:
(n − 1)tn−2,1−α/k
Gcrit (n, α) ≈
n − 2 + t2n−2,1−α/k
where tn−2,1−α/k is the value of the inverse of the Student cumulative distribution function at
1 − α/k with n − 2 degrees of freedom, and where k equals n for one-sided tests and 2n for
the two-sided test. We can compare this value to the G statistic computed for the sample, and
deduce that one can keep H0 if Gcrit is greater than G (or Gmin or Gmax ) and reject it
otherwise. From the Gcrit approximation we can also deduce an approximation of the p-value
that corresponds to G. XLSTAT displays all these results as well as the conclusion based on the
significance level given by the user.
Double Grubbs test
For this test, we first sort up the xi observations. The statistics used for the double Grubbs test
are given by:
One-sided left-tailed test:
Qmin
G2min =
(n − 1)s
with:
n n
1
Qmin = ∑(xi − x3 ) , x3 =
2
∑ xi
i=3
n − 2 i=3
One-sided right-tailed test:

Qmax
G2max =
(n − 1)s
with:
n−2 n−2
1
Qmax = ∑(xi − xn−2 ) , xn−2
2
= ∑ xi
i=1
n − 2 i=1
Two-sided test:
G2minmax = max(G2min , G2max )
Ha: The two lowest or two greatest values are outliers.
Ha: The two lowest values are outliers.
Ha: The two greatest values are outliers.
Wilrich (2013) gives an approximation of the G2crit critical value above which one should reject
H0 for a given significance level α. However XLSTAT gives an approximation based on Monte
Carlo simulations. The default number of simulations is set to 1000000, which allows to obtain
an accuracy that is higher than the ones available in original papers of Grubbs, and sufficient for
any operational problem. Using the same set of simulations, XLSTAT gives the p-value that
corresponds to the computed G2 statistic as well as the conclusion of the test taking into
account the significance level given by the user.
Z-scores
Z-scores are displayed by XLSTAT to help you identify potential outliers. Z-scores correspond to
the standardised sample:
xi − x
zi = , (i = 1, … , n)
s

The problem with these scores is that once the acceptance interval is set (typically -1.96 and
1.96 for a 95% interval), any value that is outside is considered suspicious. However we know if
we have 100 values, it is statistically normal to have 5 outside this interval. Furthermore, one
can show that for a given n, the highest z-score is at most given by:
n−1
arg maxi=1…n zi ≤
n
Iglewicz and Hoaglin (1993) recommend using a modified z-score in order to better identify
outliers:
xi − x
zi = 0.6745 , (i = 1, … , n)
M AD
where the M AD is the Median Absolute Deviation. The acceptant interval is given by ]-3.5 ;
3.5[ whatever n.
Dialog box
General tab:
Data: Select the data on the Excel sheet. If you select several columns, XLSTAT considers
column (or row in row mode) corresponds to a sample. If headers have been selected with the
data, make sure the "Column labels" option is checked.

You can choose the test to apply to your data:
Grubbs test: Select this test to run a Grubbs test to identify one outlier.
Double Grubbs test: Select this test to run a Grubbs test to identify two outliers.
Options tab:
description).
Ite rations: Choose whether you want to apply the selected test data a limited number of times
(default is 1), or if you want to let XLSTAT iterate until no more outlier is found.
Critical value / p-value: Enter the number of Monte Carlo simulations to perform to compute
the critical value and the p-value. This option is only available for the double Grubbs test.
Missing data tab:
Outputs tab:
samples.
Z-scores: Activate this option to calculate and display the z-scores and the corresponding
graph. You can choose between the modified z-scores or standard z-scores. For z-scores you
can choose which limits to display on the charts.

Results
samples.
The results correspond to the Grubbs test are then displayed. An interpretation of the test is
provided if a single iteration of the test was requested, or if no observation was identified as
being an outlier.
In case several iterations were required, also display a table showing, for each observation, the
iteration in which it was removed from the sample.
The z-scores are then displayed if they have been requested.
Example
A tutorial showing how to use the Grubbs test is available on the Addinsoft website:
http://www.xlstat.com/demo-grubbs.htm
References
Barnett V. and Lewis T. (1980). Outliers in Statistical Data. John Wiley and Sons, Chichester,
New York, Brisbane, Toronto.
Grubbs F.E. (1950). Sample criteria for testing outlying observations. Ann. Math. Stat. 21, 27-
58.
Grubbs F.E. (1969 ). Procedures for detecting outlying observations in samples. Technometrics,
11(1), 1-21.
Grubbs, F.E. and Beck G. (1972). Extension of sample sizes and percentage points for
significance tests of outlying observations. Technometrics, 14, 847-854.
Hawkins D.M. (1980). Identification of Outliers. Chapman and Hall, London.
Iglewicz B. and Hoaglin D. (1993). "Volume 16: How to Detect and Handle Outliers", The
ASQC Basic References in Quality Control: Statistical Techniques, Edward F. Mykytka, Ph.D.,
Editor.
International Organization for Standardization (1994). ISO 5725-2: Accuracy (trueness and
precision) of measurement methods and results—Part 2: Basic method for the determination of
repeatability and reproducibility of a standard measurement method, Geneva.
Snedecor G. W. and Cochran W. G. (1989). Statistical Methods, Eighth Edition, Iowa State
University Press.
Wilrich P. -T. (2013). Critical values of Mandel’s h and k, the Grubbs and the Cochran test
statistic. Advances in Statistical Analysis, 97(1), 1-10.

Dixon test
Use this tool to test whether one or two outliers are present in a sample for which we assume
that it is extracted from a population that follows a normal distribution.
In this section:
Description
Dialog box
Results
Example
References
Description
The Dixon test (1950, 1951, 1953), which is actually divided into six tests depending on the
chosen statistic and on the number of outliers to identify, was developed to help determine if the
greatest value or lowest value of a sample, or the two largest values, or the two smallest ones
can be considered as outliers. This test assumes that the data correspond to a sample
extracted from a population that follows a normal distribution.
Detecting outliers
outliers:
- An outlier can simply be related to a reading error (on an measuring instrument), a

keyboarding error, or a special event that disrupted the observed phenomenon to the point of
making it incomparable to others. In such cases, you must either correct the outlier, if possible,
or otherwise remove the observation to avoid that it disturbs the analyses that are planed
(descriptive analysis, modeling, predicting).
- An outlier can also be due to an atypical event, but nevertheless known or interesting to study.
For example, if we study the presence of certain bacteria in river water, you can have samples
without bacteria, and other with aggregates with many bacteria. These data are of course
important to keep. The models used should reflect that potential dispersion.
Testing for outliers 677 Dixon test

Definitions
Let x1 , x2 , … , xi , … , xn , be a sample of size n that is extracted from a population that we

assume is following a normal distribution N (μ, σ 2 ). Parameters μ and σ 2 are respectively
estimated by :
∑ni=1 xi
ˉ=
x
n
and
ˉ)2
∑ni=1 (xi − x
2
s =
(n − 1)
We assume that the xi 's are sorted up.
Dixon test for one outlier
This test is used to determine if the largest or smallest value can be considered as being an
outlier. This test assumes that the data corresponds to a sample coming from a population that
follows a normal distribution.
The statistics used for the Dixon test and the corresponding ranges of number of observations
they should be used with (Barnett and Lewis 1994 and Verma and Quiroz-Ruiz 2006) are:
xn −xn−1
- R10 = xn −x1 , recommended for 3 ≤ n ≤ 100, also named N7
xn −xn−1
xn −xn−1
These statistics are valid for testing whether the maximum value is an outlier. To identify if the
minimum value is an outlier, simply sort the data in descending order and use the same
statistics. If we want to identify if the minimum or the maximum value is an outlier, we calculate
the statistics for the two alternatives (sort ascending or descending) and keep the largest value
for the statistic.

Ha: The lowest or the greatest value is an outlier.
Ha: The lowest value is an outlier.
Ha: The greatest value is an outlier.
Dixon test for two outliers
This test is used to determine if the two largest or two smallest values can be considered as
being an outlier. This test assumes that the data corresponds to a sample coming from a
population that follows a normal distribution.
The statistics used for the Dixon test and the corresponding ranges of number of observations
they should be used with (Barnett and Lewis 1994 and Verma and Quiroz-Ruiz 2006) are:
xn −xn−2
xn −xn−2
- R21 = xn −x2
, recommended for 5 ≤ n ≤ 100, also named N12
xn −xn−2
These statistics are valid for testing whether the maximum value is an outlier. To identify if the
minimum value is an outlier, simply sort the data in descending order and use the same
statistics. If we want to identify if the minimum or the maximum value is an outlier, we calculate
the statistics for the two alternatives (sort ascending or descending) and keep the largest value
for the statistic.
Ha: The two lowest or two greatest values are outliers.
Ha: The two lowest values are outliers.

Ha: The two greatest values are outliers.
Critical value and p-valuefor theDixon test
Literature provides more or less accurate approximations of the critical value beyond which, for
a given significance level a, we cannot keep the null hypothesis. However XLSTAT provides an
approximation of the critical values based on Monte Carlo simulations. The number of these
approximations is by default set to 1000000, which provides more reliable than those provided
in the historical articles. XLSTAT also provides on the basis of these simulations, a p-value and
the conclusion of the test based on the significance level chosen by the user.
Z-scores
xi − x
zi = (i = 1, … , n)
s
we have 100 values, it is statistically normal to have 5 of these outside this interval.
Furthermore, one can show that for a given n, the highest z-score is at most given by:
n−1
n
outliers:
xi − x
zi = 0.6745 (i = 1, … n)
M AD
where the MAD is the Median Absolute Deviation. The acceptant interval is given by ]-3.5 ; 3.5[
whatever n.
Dialog box

General tab:
Data: Select the data on the Excel sheet. If you select several columns, XLSTAT considers
column (or row in row mode) corresponds to a sample. If headers have been selected with the
data, make sure the "Column labels" option is checked.
User defined: Choose this option to be able to select the statistic you want to use to
identify outliers.
Automatic: Choose this option to let XLSTAT choose the appropriate statistic, based on
what is recommended in the literature (Böhrer, 2008).
Options tab:
description).

Iterations: Choose whether you want to apply the selected test data a limited number of times
Critical value / p-value: Enter the number of Monte Carlo simulations to perform to compute
the critical value and the p-value.
Missing data tab:
Outputs tab:
samples.
Results
samples.
The results correspond to the Dixon test are then displayed. An interpretation of the test is
provided if a single iteration of the test was requested, or if no observation was identified as
being an outlier.
Example
A tutorial showing how to use the Dixon test is available on the Addinsoft website:
http://www.xlstat.com/demo-dixon.htm
References

Bö hrer A. (2008). One-sided and Two-sided Critical Values for Dixon’s Outlier Test for Sample
Sizes up to n = 30. Economic Quality Control , 23(1), 5-13.
Dixon W.J. (1950). Analysis of extreme values. Annals of Math. Stat., 21, 488-506.
Dixon W.J. (1951). Ratios involving of extreme values. Annals of Math. Stat., 22, 68-78.
Dixon W.J. (1953). Processing data for outliers. J. Biometrics, 9, 74-89.
Verma S. P. and Quiroz-Ruiz A. (2006). Critical values for six Dixon tests for outliers in normal
samples up to sizes 100, and applications in science and engineering, Revista Mexicana de
Ciencias Geológicas, 23(2), 133-161.

Cochran’s C test
Use this tool to test whether there is an outlying variance among a series of k variances.
In this section:
Description
Dialog box
Results
Example
References
Description
The Cochran’s C test (Cochran 1941) is one of the tests developed to identify and study the
homogeneity of a series of variances (Bartlett's test, Brown- Forsythe, Levene or Hartley in
particular). Cochran's test was developed to answer a specific question: Are the variances
homogeneous or is the highest variance different from others. XLSTAT also offers two
alternatives and uses the results of 't Lam (2010) for an extension of the balanced case to
unbalanced cases.
Detecting outliers
outliers:

Testing for outliers 684 Cochran’s C test

If the sample can be divided into sub-samples, we can look for changes from a sub-sample to
another. The test Cochran’s C test and the Mandel’s h and k statistics are part of the methods
suitable for such studies.
Definitions
Let x11 , x12 , … , x1n1 , x12 , x22 , … x2n2 , … , xp1 , xp2 , … , xpnp , be a sample of that we
distinguish for their belonging to p groups (for example laboratories) of respective size ni (i =
1 … p). Let xi be the estimated mean for the i group, and let s2i be the group i variance. We
have:
n
1 i
xi = ∑ xij
ni j=1
n
1 i
s2i = ∑(xij − xi )2
ni − 1 j=1
It is assumed that the observations are identically distributed and follow a normal distribution.
Cochran’s C test
The Ci statistic corresponding to group (or sub-sample) i (i = 1 … p) given by Cochran

(1941) writes:
s2i
Ci =
∑kj=1 s2j
and
C = arg maxi=1…k (Ci )

is the statistic used for the test. The critical value corresponding to that statistic has abundantly
been tabulated and various authors have given approximations (Wilrich, 2013). However, as
noticed by ‘t Lam (2010), this statistic has several drawbacks:
This test requires that the groups have identical sizes (balanced design),
Only the maximum variance is being studied, the minimum variance is ignored even if it is
the true outlier (right-tailed test only),
Tables of critical values are limited and sometimes contain errors,

The use of tables is not convenient.
For that reason, ‘t Lam proposes a generalization of the Cochran statistic for unbalanced
designs, and a generalization test where the alternative hypothesis may be one or two-sided.
The statistics for the group i is given by:
νi Si2
Gi = p with νi = ni − 1
∑j=1 νj s2j
For a significance level a, ‘t Lam gives the lower and upper critical values for this statistic:
−1
(νtotal /νi ) − 1
GLL (i) = [1 + −1 ] (1)
F (1 − δ/k, νi , νtotal − νi )
and
−1
(νtotal /νi ) − 1
GU L (i) = [1 + −1 ] (2)
F (δ/k, νi , νtotal − νi )
p
with νtotal = (∑i=1 νi ) − p, and δ = α for a one-sided test and δ = α/2 for a two-sided
test, and F −1 is the inverse Fisher cumulative distribution function.
For the two-sided test, the null (H0 ) and alternative (Ha ) hypotheses are given by:
H0 : The variances are homogeneous.
Ha : One of the variances is lower than the others.
For the one-sided left-tailed test, the null (H0 ) and alternative (Ha ) hypotheses are given by:
Ha : At least one of the variances is lower than the others.
For the one-sided right-tailed test, the null (H0 ) and alternative (Ha ) hypotheses are given by:
Ha : At least one of the variances is greater than the others.
Under a two-sided test, to identify the potentially outlying variance we compute:
Gmin = argmini=1...k (Gi ) and argmaxi=1...k (Gi )

Then, if one or two statistics are not within the critical range given by (1) and (2), the p-values
associated with the two statistics are calculated. We identify the abnormal variance as the one
that corresponds to the lowest p-value.
Z-scores
xi − x
zi = (i = 1, ...n)
s
n−1
n
outliers:
xi − x
zi = 0.6745 (i = 1, ...n)
M DA
where the MAD is the Median Absolute Deviation. The acceptant interval is given by ]−
3.5; 3.5[ whatever n.
Dialog box

General tab:
group", select the columns of data corresponding to the various groups.
Group identifiers / Group size: If the format of the selected data is "one column per variable",
select the data identifying the groups to which the selected data values correspond. If the format
of the selected data is "Variances" you need to enter the group size (balanced design) or select
the group sizes (unbalanced design).
One column/row per group: Activate this option to select one column (or row in row
mode) per group.
Variances: Activate this option if your data correspond to variances. In that case you
need to define the sample size (balanced design) or select the sample sizes (unbalanced
design).
Cochran’s C (balanced ): Select this option if the design is balanced.

‘t Lam ’s G (unbalanced): Select this option if the design is unbalanced.
Options tab:
description).
Iterations: Choose whether you want to apply the selected test data a limited number of times
Missing data tab:
Outputs tab:
samples.
Results
Descriptive statistics: This table displays the descriptive statistics that correspond to the
groups.
The results correspond to the Cochran’s C test are then displayed. An interpretation of the test
is provided if a single iteration of the test was requested, or if no observation was identified as
being an outlier.
Example
A tutorial showing how to use the Cochran test is available on the Addinsoft website:
http://www.xlstat.com/demo-cochran-c.htm

References
Cochran W.G. (1941). The distribution of the largest of a set of estimated variances as a
fraction of their total. Ann. Eugen. 11, 47-52.
Editor.
‘t Lam R.U.E. (2010). Scrutiny of variance results for outliers: Cochran's test optimized?
Analytica Chimica Acta, 659, 68-84.

Mandel’s h and k statistics
Use this tool to calculate the h and k Mandel's statistics to identify potential outliers in a
sample.
In this section:
Description
Dialog box
Results
Example
References
Description
The Mandel’s h and k statistics (1985, 1991) have been developed to help identifying outliers
during inter-laboratories studies.
Detecting outliers
outliers:

we can use the value of Cook’s D values, or submit the standardized residuals to a Grubbs test
Testing for outliers 691 Mandel’s h and k statistics

If the sample can be divided into sub-samples, we can look for changes from a sub-sample to
another. The test Cochran’s C test and the Mandel’s h and k statistics are part of the methods
suitable for such studies.
Definitions
Let x11 , x12 , … , x1n1 , x12 , x22 , … , x2n2 , … , xp1 , xp2 , … , xpnp , be a sample of that we
distinguish for their belonging to p groups (for example laboratories) of respective size ni (i =
1, … p). Let xi be the estimated mean for the i group, and let s2i be the group i variance. We
have:
n
1 i
xi = ∑ xij
ni j=1
and
n
1
s2i = ∑ (xij − xi )2
ni − 1 j=1
It is assumed that the observations are identically distributed and follow a normal distribution.
Mandel’s h statistic
Mandel’s hi statistic for group i, (i = 1, … , p) is given by:
xi − x
hi =
s
avec
p p
1 1
x = ∑ xi et s = ∑(xi − x)2
p i=1 p − 1 i=1
XLSTAT provides hi statistics for each group. To identify groups for which the mean is
potentially abnormal, we can calculate the critical values and confidence intervals for a given
level of significance α around statistic h (Wilrich, 2013). The critical value is given by:
(p − 1)tp−2,1−α/2
hcrit (p, α) =
p(p − 2 + t2p−2,1−α/2 )
where t corresponds to the quantile of the Student distribution for 1 − α/2 and p − 2 degrees
of freedom.

The confidence interval (two-sided) of size 100(1 − α)% around hi is given by ] −
hi,crit ; hi,crit [. XLSTAT displays the critical value on the chart of the hi if the ni are constant.
Mandel’s k statistic
Mandel’s ki for group i (i = 1, … , p) is given by:

s
ki = ~i
s
with
n p
1 i
1
si = ∑ (xij − xi )2 et s~ = ∑ s2i
ni − 1 j=1 p i=1
XLSTAT provides ki statistics for each group. To identify groups for which the variance is
potentially abnormal, we can calculate the critical values and confidence intervals for a given
level of significance α around statistic k (Wilrich, 2013). The critical value is given by:
−1
kcrit (n, α) = p(1 + (p − 1)F1−α,(p−1)(n−1),(n−1) )
−1
where F1−α,v 1 ,v2
is the value of the inverse cumulative distribution function of the Fisher
distribution for probability 1 − α with v1 and v2 degrees of freedom.
The confidence interval (one-sided) of size 100(1 − α)% around ki is given by [0; ki,crit ].
XLSTAT displays the critical value on the chart of the ki if the ni are constant.
Z-scores
xi − x
zi = (i = 1, … , n)
s
n−1
n
outliers:

xi − x
zi = 0.6745 (i = 1, … n)
M AD
where the MAD is the Median Absolute Deviation. The acceptant interval is given by ]−
3.5; 3.5[ whatever n.
Dialog box
General tab:
group", select the columns of data corresponding to the various groups.
Group identifiers / Group size: If the format of the selected data is "one column per variable",
select the data identifying the groups to which the selected data values correspond. If the format
of the selected data is "Variances" you need to enter the group size (balanced design) or select
the group sizes (unbalanced design).
One column/row per group: Activate this option to select one column (or row in row
mode) per group.

Variances: Activate this option if your data correspond to variances. In that case you
need to define the sample size (balanced design) or select the sample sizes (unbalanced
design).
Mandel’s h statistic: choisissez cet option pour calculer la statistique h de Mandel.
Mandel’s k statistic: choisissez cet option pour calculer la statistique k de Mandel.
Options tab:
Missing data tab:
Outputs tab:
samples.

Results
Descriptive statistics: This table displays the descriptive statistics that correspond to the
groups.
The results correspond to the Mandel’s statistics are then displayed.
Example
A tutorial showing how to compute the Mandel’s statistics is available on the Addinsoft website:
http://www.xlstat.com/demo-mandel.htm
References
Editor.
Mandel J. (1991). The validation of measurement through interlaboratory studies.

Chemometrics and Intelligent Laboratory Systems; 11, 109-119.
Mandel J. (1985). A new analysis of interlaboratory test results. In: ASQC Quality Congress
Transaction, Baltimore, 360-366.

Mathematical tools
Probability calculator
Use this tool to compute for a given distribution function, the density function, the cumulative
distribution function, or the inverse cumulative distribution function.
In this section:
Description
Dialog box
Results
Example
References
Description
A probability distribution P is a special type of function, that is named a measure in
mathematics. It allows to relate (thanks to what mathematicians name a map) events (for
example, the occurrence of a 2 when throwing a die), to their probability. Mathematicians
distinguish the Ω set which represents all the possible outcomes when running a random
experiment, from the set A which corresponds to the subset of events that are measurable. In
the case of a discrete distribution (where only integers are manipulated), Ω and A are identical.
The triplet (Ω, A, P) is named the measurable space.
A large number of probability distributions have been developed to describe particular situations
where randomness occurs. Randomness is a representation of ignorance or imperfect
knowledge. When you roll a die, a perfect knowledge of the starting movement, the
environment, the forces involved, ..., would allow you knowing when, where, and in what
position the die would stop. Nevertheless, it is so complex that it is preferable to estimate that
each face has a certain probability of being the result of the throw and that the occurrence of an
event is random.
A random variable is also a function that maps an event to a real. For example, we can match
the tossing of a coin with 0 if the coin lands on head, and 1 if the coin lands on tail. While this is
perfectly arbitrary in the case of a coin, it may be more natural if one counts the number of
people in a queue at the post office, or if one measures the air temperature. In this case, we will
match the event "there are 10 people queuing" with the number 10, or "the temperature is
59.8°F" with the real 59.8.
In the case of discrete variables, each event has a non-zero probability as long as it is possible.
In the case of continuous variables, each (possible) event has a non-zero probability of
Mathematical tools 697 Probability calculator

occurring, but it is so small that only the probability distribution makes it possible to measure it.
While the measure does not mean much by itself, it allows to compare the relative chances to
occur of two events. It also allows, through a sum (an integral) to give the probability of a series
of events (described by an interval) to occur. Thus, for example, if a measurement of the
temperature is made and the measurement is known to be error-prone and if we assume the
measurement follows a normal distribution (the famous distribution with a bell shape), the event
"it is 60°F", has virtually a null probability to occur, while on the other hand we will be able to
give the probability that we measure a temperature between 59.5°F and 60.5°F. The
mathematical tool for calculating this probability is called the cumulative distribution function
(CDF).
In probability theory, the probability distribution is described by the cumulative distribution

function which can itself depend on different parameters. The simplest law is Bernouilli's law
where two events are possible (typically flipping of a coin). Its unique parameter is the
probability p0 for the coin to fall on head and if the coin is not loaded, we have p0 = 0.5. For
the normal distribution, an essential distribution in statistics, the parameters are the mean μ and
the variance σ 2 .
For a continuous random variable, the cumulative distribution function is an increasing function
that takes values in the interval [0; 1].
Two other functions are commonly used:
The probability density function: This function is the function to integrate to calculate the
cumulative distribution function, which is valid for the case of variables with density (which
is true for all distributions proposed by XLSTAT).
The inverse cumulative distribution function: This function allows, for a given probability p,
to obtain the value x of the random variable such that the distribution function in x is p.
The probability calculator allows to calculate, for all distributions proposed by XLSTAT, the
probability density function, the cumulative distribution function and the inverse cumulative
distribution function.
Dialog box
Distribution: Select the distribution for which you want to make computations. You can then
enter the value of the parameters of the distribution. A description of the different distributions
can be found in this section of the help.

Calculate: Select the function that you want to compute (probability distribution function,
cumulative distribution function, or inverse cumulative distribution function), then enter the point
at which you want to compute it. For the cumulative distribution function F , you can choose
among:
< a : The result corresponds to F (a)

> a : The result corresponds to 1 − F (a)
a << b : The result corresponds to (F (b) − F (a)
< a b < : The result corresponds to 1 − (F (b) − F (a))
Calculate: Click this button to display the result in the Results part of the dialog box.
Display results in:
Range: Activate this option if you want to display the results starting from a cell in an
existing worksheet. Then select the corresponding cell.
Sheet: Activate this option to display the results in a new worksheet of the active
workbook.
header.
Results: The results are displayed in this part of the dialog box. You may copy them (Ctrl C) to
paste it another software.
Clear: Click this button to clear the results that are displayed in the Results part of the dialog
box.
Results
The results displayed correspond to the probability distribution function and to the value
computed for the selected function (CDF, PDF or inverse CDF) at a specific point.
Example
An example showing how to use the probability calculator is available at:
http://www.xlstat.com/demo-prc.htm
References
Krishnamoorthy K. (2015). Handbook of Statistical Distributions with Applications. Chapman
and Hall/CRC.

Matrix operations
Use this tool to perform operations (addition, subtraction or product) on matrices.
In this section:
Description
Dialog box
Results
Example
Description
This tool allows to compute an inverse matrix, a transpose matrix and perform operations
between two matrices A and B . The user can choose to use the original matrix or transform it
prior to the operation. Two options are available:
Use the transpose matrix, noted as A′ for the A matrix.

Use the inverse matrix, noted as A^(-1) for the A matrix.
If a second matrix B is selected then different matrix operations are available:
Addition: matrices A and B must be of the same size (same number of rows and same
number of columns).
Subtraction: matrices A and B must be of the same size (same number of rows and
same number of columns).
Product: the number of rows in matrix B must be equal to the number of columns in
matrix A.
Dialog box
Mathematical tools 700 Matrix operations

: Click these buttons to change the data selection mode. If the button shows a mouse
icon, XLSTAT expects that you select data with the mouse. If the button shows a list icon,
XLSTAT will display a list of the available variables that you can select
General tab:
Matrix A: Select the data corresponding to matrix A. If a column header has been selected,
check that the "Variable labels" option has been activated.
Transpose: A': Select this option if you want to simply compute the transpose of matrix A
or use the transpose of A for the operation between matrices A and B .
Inverse: A^(-1): Select this option if you want to simply compute the inverse of matrix A
or use the inverse of A for the operation between matrices A and B. If the matrix is non-
invertible, the calculations will stop.
Matrix B: Select this option if you want to perform an operation between two matrices. In this
case, select the data corresponding to matrix B . If a column header has been selected, check
Transposed: B': Select this option if you want to use the transpose of B instead of B .
Inverse: B^(-1): Select this option if you want to use the inverse of B instead of B . If the
matrix is non-invertible, the calculations will stop.
Operation: Select the desired operation to perform between matrices A and B : addition,
substraction or product (see the description section for further details).
Variable labels: Activate this option if the data selections include a header.
header.
Result: Based on the selected options in the dialog box, the final operation to be performed is
displayed here.
Missing data tab:

Ignore missing data: If you choose this option, missing data will be retained. All operations
involving missing data will return missing data.
Results
Result: The main output of this tool displays the computed matrix based on the chosen
operation.
Example
A tutorial which explains how to use the Matrix Operations tool is available here:
http://www.xlstat.com/demo-mat.htm

Tools
DataFlagger
Use DataFlagger to show up the values within or outside a given interval, or which are equal to
certain values.
In this section:
Description
Dialog box
: Click this button to start flagging the data.
: Click this button to close the dialog box without doing any change.
observations.
Flag a value or a text: Activate this option is you want to identify or show up a value or a series
of values in the selected range.
Value or text: Choose this option to find and flag a single value or a character string.
List values or texts: Choose this option to find and flag a series of values or texts. You
must then select the series of values or texts in question in an Excel worksheet.
Flag an interval: Activate this option is you want to identify or show up values within or outside
an interval. You then have to define the interval.
Inside: Choose this option to find and flag values within an interval. Afterwards choose
the boundary types (open or closed) for the interval, then enter the values of the
Tools 703 DataFlagger

boundaries.
Outside: Choose this option to find and flag values outside an interval. Afterwards choose
the boundary types (open or closed) for the interval, then enter the values of the
boundaries.
Font: Use the following options to change the font of the values obeying the flagging rules.
Style: Choose the font style
Size: Choose the font size
Color: Choose the font color
Cell: Use the following option to change the background color of the cell.
Color: Choose the cell color
Tools 704 DataFlagger

Min/Max Search
Use this tool to locate the minimum and/or maximum values in a range of values. If the
minimum value is encountered several times, XLSTAT makes a multiple selection of the
minimum values enabling you afterwards to browse between them simply using the "Enter" key.
In this section:
Dialog box
Dialog box
: Click this button to start the search.
: Click this button to close the dialog box without doing any search.
Find the minimum: Activate this option to make XLSTAT look for the minimum value(s) in the
selection. If the "Multiple selection" option is activated and several minimum values are found,
they will all be selected and you can navigate between them using the "Enter" key.
Find the maximum: Activate this option to make XLSTAT look for the maximum value(s) in the
selection. If the "Multiple selection" option is activated and several maximum values are found,
they will all be selected and you can navigate between them using the "Enter" key.
Multiple selection: Activate this option to enable multiple occurrences of the minimum and/or
maximum values to be selected at the same time.
Tools 705 Min/Max Search

Remove text values in a selection
Use this tool to remove text values in a data set that is expected to contain only numerical data.
This tool is useful if you are importing data from a format that generates empty cells with a text
format in Excel.
In this section:
Dialog box
Dialog box
: Click this button to start removing the text values.
: Click this button to close the dialog box without doing any change.
Clean only the cells with empty strings: Activate this option if you want to only clean the cells
that correspond to empty strings.
Tools 706 Remove text values in a selection

Upper and lower case
Use this tool to trim spaces to change the upper or lower case settings of text data.
In this section:
Dialog box
Results
Dialog box
: click this button to change the way you load the data in XLSTAT. If the button has
a mouse icon, XLSTAT allows you to make a mouse selection of your data. If the button has a
list icon, XLSTAT allows you to select the columns named by their first item. If the button has an
orange paper sheet icon, additional buttons with a question mark appeared . These allow to
select a file and its reading parameters (see Import data file).
General tab:
Data: Select data on the worksheet, in a list or from a file.
Lower case: Activate this option to convert text data to lower case.
First letter upper case: Activate this option to capitalize the first letter of each word.
First word only: Activate this option to only capitalize the first letter of the first word.
Upper case: Activate this option to convert text data to upper case.
Tools 707 Upper and lower case

Column labels: Check this option if the first row of the selected data contains a label.
header.
Results
The results are displayed at the desired location. The table contains the strings processed by
the methods chosen.
Tools 708 Upper and lower case

Sheets management
Use this tool to manage the sheets contained in the open Excel workbooks.
In this section:
Dialog box
Dialog box
When you start this tool, it displays a dialog box that lists all the sheets contained in all the
workbooks, whether they are hidden or not.
Activate: Click this button to go to the first sheet that is selected.
Unhide: Click this button to unhide all the selected sheets.
Hide: Click this button to hide all the selected sheets.
Delete: Click this button to delete all the selected sheets. Warning: deleting hidden sheets is
irreversible.
Cancel: Click this button to close the dialog box.
Help: Click this button to display help.
Tools 709 Sheets management

Delete hidden sheets
Use this tool to delete the hidden sheets generated by XLSTAT or other applications. XLSTAT
generates hidden sheets to create certain charts. This tool is used to choose which hidden
sheets are to be deleted and which kept.
In this section:
Dialog box
Dialog box
Hidden sheets: The list of hidden sheets is displayed. Select the hidden sheets you want to
delete.
All: Click this button to select all the sheets in the list.
None: Click this button to deselect all the sheets in the list.
Delete: Click this button to delete all the selected sheets. Warning: deleting hidden sheets is
irreversible.
Tools 710 Delete hidden sheets

Unhide hidden sheets
Use this tool to unhide the hidden sheets generated by XLSTAT or other applications. XLSTAT
generates hidden sheets to create certain charts.
In this section:
Dialog box
Dialog box
Hidden sheets: The list of hidden sheets is displayed. Select the hidden sheets you want to
unhide.
All: Click this button to select all the sheets in the list.
None: Click this button to deselect all the sheets in the list.
Unhide: Click this button to unhide all the selected sheets.
Tools 711 Unhide hidden sheets

Export to GIF/JPG/PNG/TIF
Use this tool to export a table, a chart, or any selected object on an Excel sheet to a GIF, JPG,
PNG ou TIF file.
In this section:
Dialog box
Dialog box
: Click this button to save the selected object to a file.
: Click this button to close the dialog box.
Format: Choose the graphic format of the file.
File name: Enter the name of the file to which the image should be saved, or select the file in a
folder.
Resize: Activate this option to modify the size of the graphic before saving it to a file.
Width: Enter the value in points of the graphic’s width;
Height: Enter the value in points of the graphic’s height.
Display the grid: Activate this option if you want that while generating the file, XLSTAT keeps
the gridlines that separate the cells. This option is only active when cells or tables are selected.
Tools 712 Export to GIF/JPG/PNG/TIF

Display the main bar
Use this tool to display the main XLSTAT toolbar if it is no longer displayed, or to place the main
toolbar on the top left of the Excel worksheet.
Tools 713 Display the main bar

Hide the sub-bars
Use this tool to hide the XLSTAT sub-bars.
Tools 714 Hide the sub-bars

Sensory data analysis
External Preference Mapping (PREFMAP)
Use this method to model and represent graphically the preference of assessors for a series of
objects depending on objective criteria or linear combinations of criteria.
In this section:
Description
Dialog box
Results
Example
References
Description
External preference mapping (PREFMAP) is used to display on the same chart (in two of three
dimensions) objects and indications showing the preference levels of assessors (in general,
consumers) in certain points in the representation space. The preference level is represented on
the preference map in the form of vectors, ideal or anti-ideal points, or isopreference curves
depending on the type of model chosen.
These models are themselves constructed from objective data (for example physico-chemical
descriptors, or scores provided by experts on well-determined criteria) which enable the position
of the assessors and the products to be interpreted according to objective criteria.
If there are only two or three objective criteria, the axes of the representation space are defined
by the criteria themselves (possibly standardized to avoid the effects of scale). On the other
hand, if the number of descriptors is higher, a method for reducing the number of dimensions
must be used. In general, PCA is used. Nevertheless, it is also possible to use factorial analysis
if it is suspected that underlying factors are present, or MDS (multidimensional scaling) if the
initial data are the distances between the products. If the descriptors used by the experts are
qualitative variables, a PCA can be used to create a 2- or 3-dimensional space.
The PREFMAP can be used to answer the following questions:
- How is the product positioned with respect to competitive products?
- What is the nearest competitive product to a given product?
- What type of consumer prefers a product?
- Why are certain products preferred?
Sensory data analysis 715 External Preference Mapping (PREFMAP)

- How can I reposition a product so that it is again more preferred by its core target?
- What new products might it be relevant to create?
Preference models
To model the preferences of assessors depending on objective criteria or a combination of

objective criteria (if a PCA has enabled a 2- or 3-dimensional space to be created) four models
have been proposed within the framework of PREFMAP. For a given assessor, if we designate
yi to be their preference for product i, and X1, X2, …, Xp to be the p criteria or combinations of
criteria (in general p=2) describing product i, the models are:
Vector: yi = a0 + ∑pj=1 aj xij
Circular: yi = a0 + ∑pj=1 aj xij + b ∑pj=1 x2ij

p p
Elliptic: yi = a0 + ∑j=1 aj xij + ∑j=1 bj x2ij
Quadratic: yi = a0 + ∑pj=1 aj xij + ∑pj=1 bj x2ij + ∑p−1 p

j=1 ∑k=j+1 cjk xij xik
The coefficients a,b,c are estimated by multiple linear regression. It will be noted that the
models are classified from the simplest to the most complex. XLSTAT lets you either chose one
model to use for all assessors, or choose a model giving the best result as regards the p-value
of Fisher's F for a particular assessor or the p-value of the F-ratio test. In other words, you can
choose a model which is both parsimonious and powerful at the same time.
The vector model represents individuals on the sensorial map in the form of vectors. The size
of the vectors is a function of the R² of the model: the longer the vector, the better the
corresponding model. The preference of the assessor will be stronger the further you are in the
direction indicated by the vector. The interpretation of the preference can be done by projecting
the different products on the vectors (product preference). The disadvantage of the vector
model is that it neglects the fact that for certain criteria, like the saltiness or temperature for
example, there can be an increase of preference to an optimum value then a decrease.
The circular model takes into account this concept of optimum. If the surface area for the
model has a maximum in terms of preference (this happens if the b coefficient is estimated
negative), this is known as the ideal point. If the surface area for the model has a minimum in
terms of preference (this happens if the b coefficient is estimated positive), this is known as the
anti-ideal point. With the circular model, circular lines of isopreference can be drawn around the
ideal or anti-ideal points.
The elliptical model is more flexible, as it takes the effect of scale into account better. The
disadvantage of this model is that there is not always an optimum: as with the circular model, it
can generate an ideal point or an anti-ideal point if all the bj coefficients have the same sign,
but we may also obtain a saddle point (in the form of a surface shaped like a horse's saddle) if
all the bj coefficients do not have the same sign. The saddle point cannot easily be interpreted.
It corresponds only to an area where the preference is less sensitive to variations.

Lastly, the quadratic model takes more complex preference structures into account, as it
includes interaction terms. As with the elliptical model we can obtain an ideal, an anti-ideal, or a
saddle point.
Preference map
The preference map is a summary view of three types of element:
The assessors (or groups of assessors if a classification of assessors has been carried out
beforehand) represented in the corresponding model by a vector, an ideal point (labeled +), an
anti-ideal point (labeled -), or a saddle point (labeled o);
The objects whose position on the map is determined by their coordinates;
The descriptors which correspond to the representation axes with which they are associated
(when a PCA precedes the PREFMAP, a biplot from the PCA is studied to interpret the position
of the objects as a function of the objective criteria).
The PREFMAP, with the interpretation given by the preference map is an aid to interpretation
and decision-making which is potentially very powerful since it allows preference data to be
linked to objective data. However, the models associated with the assessors must be adjusted
correctly in order that the interpretation is reliable.
Preference scores
The preference score for each object for a given assessor, whose value is between 0 (minimum)
and 1 (maximum), is calculated from the prediction of the model for the assessor. The more the
product is preferred, the higher the score. A preference order of objects is deducted from the
preference scores for each of the assessors.
Contour plot
The contour plot shows the regions corresponding to the various preference consensus levels
on a chart whose axes are the same as the preference map. At each point on the chart, the
percentage of assessors for whom the preference calculated from the model is greater than
their mean preference is calculated. In the regions with cold colors (blue), a low proportion of
models give high preferences. On the other hand, the regions with hot colors (red) indicate a
high proportion of models with high preferences.
Dialog box

observations.
General tab:
Y / Preference data: Select the preference data. The table contains the various objects
(products) studied in the rows and the assessors in the columns. This is reversed in transposed
mode. If column headers have been selected, check that the "Variable labels" option has been
activated.
Note: XLSTAT considers that the preferences are the increasing data (the more an assessor
likes an object, the higher the preference).
Center: Activate this option is you want to center the preference data before starting the
calculations.
Reduce: Activate this option is you want to reduce the preference data before starting the
calculations.
X / Configuration: Select the data corresponding to the objective descriptors or to a 2- or 3-

dimensional configuration if a method has already been used to generate the configuration. If
column headers have been selected, check that the "Variable labels" option has been activated.
Preliminary transformation: Activate this option if you want to transform the data.
Normalization: Activate this option to standardize the data for the X-configuration before
carrying out the PREFMAP.
PCA (Pearson): Activate this option for XLSTAT to transform the selected descriptors
using a normalized Principle Components Analysis (PCA). The number of factors used
afterwards used for the calculations is determined by the number of dimensions chosen.
PCA (Covariance): Activate this option for XLSTAT to transform the selected descriptors
using a non-normalized Principle Components Analysis (PCA). The number of

components used afterwards for the calculations is determined by the number of
dimensions chosen.
PLS(Std) / PLS : Activate this option for XLSTAT to transform the selected descriptors
using the components extracted by PLS regression. The latter present the advantage of
taking into account covariance structure among Xs as well as among and Ys and Xs and
Ys. The (Std) option allows to first standardize the data to remove scale and mean effects.
The number of components used afterwards for the calculations is determined by the
number of dimensions chosen.
Variable labels: Check this option if the first line of the data selected (Y, X, object labels)
contains a label.
Objects labels: Activate this option if observation labels are available. Then select the
the selection. If this option is not activated, the labels are automatically generated by XLSTAT
(Obs1, Obs2 …).
Options tab:
Model: Choose the type of model to use to link the preferences to the X configuration if the
option "Find the best model" (see Options tab) has not been activated.
Dimensions: Enter the number of dimensions to use for the PREFMAP model (default value:
2).
Find the best model: Activate this option to allow XLSTAT to find the best model for each
assessor.
F-ratio: Activate this option to use the F-ratio test to select the model that is the best
compromise between quality of the fit and parsimony in variables. A more complex model
is accepted if the p-value corresponding to the F is lower than the significance level.
F: Activate this option to select the model that gives the best p-value based computed the
Fisher’s F.
Significance level (%): enter the significance level. The p-values of the models are displayed in
bold when they are less than this level.

Weights: If you want to weigh the assessors, activate this option, then select the weight
corresponding to each observation.
These options are visible only if a PCA based preliminary transformation has been requested.

Prediction tab:
This tab is not visible if a preliminary PCA transformation was requested.
Prediction: activate this option if you want to select data to use them in prediction mode. If you
to data.
X / Configuration: Activate this option to select the configuration data to use for the predictions.
The first row must not include variable labels.
Object labels: Activate this option if you want to use object labels for the prediction data. The
first row must not include variable labels. If this option is not activated, the labels are
automatically generated by XLSTAT (PredObs1, PredObs2, etc.).
Missing data tab:
computations.
Outputs tab:
selected.

Correlations: Activate this option to display the correlation matrix for the different variables
selected.
Analysis of variance: Activate this option to display the analysis of variance table for the
various models.
Model coefficients: Activate this option to display the parameters of the models.
Model predictions: Activate this option to display the predictions of the models.
Preference scores: Activate this option to display preference scores on a scale of 0 to 1.
Ranks of the preference scores: Activate this option to display the ranks for the preference
scores.
Sorted objects: Activate this option to display the objects in decreasing order of preference for
each of the assessors.
Potential ideal points: Activate this option to display the table of potential ideal points.
Admission zone: Activate this option to display the admission zone for ideal points. The zone is
defined by a minimum and a maximum for each input variable. Out of this zone, it is very
unlikely that you find an ideal point.
If a preliminary transformation based on PCA or PLS has been requested, the following options
are available:
Eigenvalues: Activate this option to display the eigenvalues corresponding to the different
factors extracted (PCA only).
). The coordinates are equal to the correlations between the components and the initial
variables.

components and the initial variables.
new space created by PCA or PLS. These coordinates are afterwards used for the PREFMAP.
If a preliminary transformation based on PCA has been requested, the following options are
available:
). The coordinates are equal to the correlations between the principal components and the initial
variables for normalized PCA.

principal components and the initial variables.
new space created by PCA. The principal components are afterwards used as explanatory

variables in the regression.
Charts (PCA) tab:
This tab is visible only if a PCA based preliminary transformation has been requested.
Vectors: Activate this option to display the input variables in the form of vectors.
new space.
Type of biplot: Choose the type of biplot you want to display. See the description section of the
PCA for more details.

Charts tab:
Preference map: Activate this option to display the preference map.
Display ideal points: Activate this option to display the ideal points.

Display anti-ideal points: Activate this option to display the anti-ideal points.
Display saddle points: Activate this option to display the saddle points.
Domain restriction: Activate this option to only display the solution points (ideal, anti-
ideal, saddle) if they are within a domain to be defined. Then enter the size of the area to
be used for the display: this is expressed as a %age of the area delimited by the X
configuration (value between 100 and 500).
Vectors length: The options below are used to determine the lengths of the vectors on
the preference map when a vector model is used.
Coefficients: Choose this option so that the length of the vectors is only determined
by the coefficients of the vector model.
R²: Choose this option so that the length of the vectors is only determined by the
R²^ value of the model. Thus the better the model is adjusted, the longer is the
corresponding vector on the map.
=: Activate this option to display the vectors with an equal length.
Lengthening factor: Use this option to multiply the length of all vectors by an
arbitrary value (default value: 1)
Circular model:
Display circles: Enter the number of isopreference circles to be displayed.
Contour plot: Activate this option to display the contour plot (see description). Afterwards, you
need to choose which criterion is used to determine the % of assessors that prefer products at a
given point of the preference map.
Threshold / Mean (%): Enter the level in % with respect to the preference mean above
which an assessor can be considered to like a product (the default value, 100, is the
mean).
Threshold (value): Enter the preference value above which an assessor can be
considered to like a product (the default value, 100, is the mean).
PREFMAP & Contour plot: Activate this option to display the superposition of the preference
map and of the contour plot. Three quality levels are possible. If you notice some defects in the
map, you can increase the number of points.
Results
Summary statistics: This table shows the number of non-missing values, the mean and the
standard deviation (unbiased) for all assessors and all dimensions of the X configuration (before
transformation if that has been requested).

Model selection: This table shows which model was used for each assessor. If the model is not
a vector model, the solution point type is displayed (ideal, anti-ideal, saddle) with its
coordinates.
Analysis of variance: This table shows the statistics used to evaluate the goodness of fit of the
model (R², F, and Pr>F). When the p-value (Pr>F) is less than the chosen significance level, it is
displayed in bold. If the F-ratio test was chosen in the "Options" tab, the results of the F-ratio
test are displayed if it was successful at least once.
Model coefficients: This table displays the various coefficients of the chosen model for each
assessor.
Model predictions: This table shows the preferences estimated by the model for each
assessor and each product. Note: if the preferences have been standardized, these results
therefore apply to the standardized preferences.
Preferencescores from 0 to 1: This table shows the predictions on a scale of 0 to 1.
Ranks of the preference scores: This table displays the ranks of the preference scores. The
higher the rank, the higher the preference.
Objects sorted by increasing preference order: This table shows the list of objects in
increasing order of preference, for each assessor. In other words, the last line corresponds to
objects preferred by the assessors according to the preference models.
The preference map and the contour plot are then displayed. On the preference map, the
ideal points are shown by (+), the anti-ideal points by (-) and saddle points by (o).
If the option is enabled and you use Excel 2003 or higher, you can view the superposition of the
preference map and contour plot. This chart can be resized, but so that the overlay is
maintained after resizing, you must click in the Excel sheet and then again on the graph.
Potential ideal points and the admission zone help guide research and development teams
by identifying potential ideal points (the number of assessors for whom the associated model
gives preference over the chosen criterion is the greatest) and an area outside of which it is on
the contrary unlikely that there is an ideal point.
Example
A example of Preference Mapping is available on the Addinsoft website:
http://www.xlstat.com/demo-prefmap.htm
References
Danzart M. and Heyd B. (1996). Le modèle quadratique en cartographie des préférences.
3ème Congrès Sensometrics, ENITIAA.
Naes T. and Risvik E. (1996). Multivariate Analysis of Data in Sensory Science. Elsevier
Science, Amsterdam.

Schlich P. and McEwan J.A. (1992). Cartographie des préférences. Un outil statistique pour
l'industrie agro-alimentaire. Sciences des aliments, 12, 339-355

Internal Preference Mapping
Use Internal Preference Mapping (IPM) to analyze the ratings given on P products by J
assessors (consumers, experts, …): While External Preference Mapping allows to relate
consumers ratings to sensory data (chemical measurements, ratings by experts), for Internal
Preference Mapping only preference data is necessary. IPM is based on PCA and adds two
options to improve the visualization on the results.
In this section:
Description
Dialog box
Results
Example
References
Description
Internal Preference Mapping (IPM) is based on Principle Component Analysis (PCA) to allow
identifying which products correspond to groups of consumers.
For more information on PCA, you can read the description available in the chapter dedicated to
that method. While PCA does not filter out variables, this tool allows removing (after the PCA
step) from the plots the assessors that are not well enough displayed on a given 2 dimensional
map. The measure of how well a point is projected from a d-dimensional space to a 2-
dimensional map is named communality. It can also be understood as the sum of the squared
cosines between the vector and the axes of the sub-space.
The biplot that is then produced is not a true biplot as all the retained assessors are moved on a
virtual circle surrounding the product points in order to facilitate the visual interpretation.
Dialog box
Sensory data analysis 726 Internal Preference Mapping

observations.
General tab:
Products\Assessors table: Select the quantitative data corresponding to P products described

by J assessors. If column headers have been selected, check that the "Variable labels" option
has been activated.
PCA type: Choose the type of matrix to be used for PCA. The difference between the
Pearson(n) and the Pearson(n-1) options, only influences the way the variables are
standardized, and the difference can only be noticed on the coordinates of the observations.
Variable labels: Activate this option if the first row of the data selections (products\assessors
table, weights, products labels) includes a header.
Product labels: Activate this option if product labels are available. Then select the
corresponding data. If the " Assessor labels" option is activated you need to include a header in
Options tab:

be entered (Gamma for Orthomax, Tau for Oblimin, and the power for Promax).
Supplementary observations: Activate this option if you want to calculate the coordinates and
represent additional observations. These observations are not taken into account for the factor
axis calculations (passive observations as opposed to active observations). Several methods for
selecting supplementary observations are provided:
Random: The observations are randomly selected. The "Number of observations" N to

N last rows: The last N observations are selected for validation. The "Number of
N first rows: The first N observations are selected for validation. The "Number of
Group variable: If you choose this option, you must then select an indicator variable set
to 0 for active observations and 1 for passive observations.

Qualitative: Activate this option if you have supplementary qualitative variables. If column
headers were selected for the main table, ensure that a label is also present for the
variables in this selection.
Color observations: Activate this option so that the observations are displayed in
different colors depending on the value of the first qualitative variable.
categories of the supplementary qualitative variables.

Missing data tab:
starts.
Outputs tab:
selected.
the type of options chosen in the "General" tab.
Test significance: Where a correlation was chosen in the "General" tab in the dialog box,
activate this option to test the significance of the correlations.
Bartlett's sphericity test: Activate this option to perform the Bartlett sphericity test.
Kaiser-Meyer-Olkin: Activate this option to compute the Kaiser-Meyer-Olkin Measure of

Sampling Adequacy.
space.
variables.
Factor scores: Activate to display the coordinates of the observations (factor scores) in the new
space created by PCA.

Contributions: Activate this option to display the contribution tables for the variables and
observations.
Squared cosines: Activate this option to display the tables of squared cosines for the variables
and observations.
Filter out assessor s: Activate this option if you want to remove in the outputs and on the
maps, the assessors for which the communality is below a given threshold.
Charts tab:
new space.
Move to circle: Activate this option to move all the points corresponding to the assessors
moved to a circle that surrounds the points corresponding to the products.
Results
Bartlett's sphericity test: The results of the Bartlett sphericity test are displayed. They are
used to confirm or reject the hypothesis according to which the variables do not have significant
correlation.

Measure of Sample Adequacy of Kaiser-Meyer-Olkin: this table gives the value of the KMO
If the corresponding output options have been activated, XLSTAT afterwards displays the factor
loadings in the new space, then the correlations between the initial variables and the
components in the new space. The correlations are equal to the factor loadings in a
normalized PCA (on the correlation matrix).
If supplementary variables have been selected, the corresponding coordinates and correlations
are displayed at the end of the table.
Contributions: Contributions are an interpretation aid. The variables which had the highest
influence in building the axes are those whose contributions are highest.
Squared cosines: As in other factor methods, squared cosine analysis is used to avoid
interpretation errors due to projection effects. If the squared cosines associated with the axes
used on a chart are low, the position of the observation or the variable in question should not be
interpreted.
The factor scores in the new space are then displayed. If supplementary data have been
selected, these are displayed at the end of the table.
Contributions: This table shows the contributions of the observations in building the principal
components.
Squared cosines: This table displays the squared cosines between the observation vectors
and the factor axes.
percentages associated with each of the axes involved in the rotation. The coordinates,
contributions and cosines of the variables and observations after rotation are displayed in the
following tables.
Example
A tutorial on how to use Internal Preference Mapping is available on the Addinsoft website:
http://www.xlstat.com/demo-intprefmap.htm

References
Research, 1, 245-276.
Gabriel K.R. (1971). The biplot graphic display of matrices with application to principal
component analysis. Biometrika, 58, 453-467.
Gower J.C. and Hand D.J. (1996). Biplots. Monographs on Statistics and Applied Probability,
54, Chapman and Hall, London.
Jolliffe I.T. (2002). Principal Component Analysis, Second Edition. Springer, New York.
Kaiser H. F. (1974). An index of factorial simplicity. Psychometrika, 39, 31-36.
Amsterdam, 403-406.
Morineau A. and Aluja-Banet T. (1998). Analyse en Composantes Principales. CISIA-

CERESTA, Paris.

Panel analysis
Use this tool to check whether your sensory or consumer panel allows to differentiate a series of
products. If it does, measure to what extent and make sure that the ratings given by the
assessors are reliable.
In this section:
Description
Diaglog box
Results
Example
References
Description
This tool enables chaining different analyzes proposed by XLSTAT, to assess the ability of a
panel of J consumers, experts, judges, or assessors (the term assessor is used in the XLSTAT
interface), to differentiate P products using K descriptors (variables in the statistical sense)
and to control if the ratings are reliable (if repeated measurements are available through
different evaluation sessions). A clustering can also be done to identify homogeneous groups
among the assessors.
The first step consists of a series of ANOVA with the aim to verify for each descriptor if there is
a product effect or not. For each descriptor, the table of Type III SS of the ANOVA is displayed
for the selected model. Then, a summary table allows comparing the p-values of the product
effect for the different descriptors. If you checked the Filter box, the analysis that follows will
only be conducted for the descriptors that allow discriminating the products. Different ANOVA
models are possible depending on the presence or absence of sessions (repetitions), the
willingness to take into account interactions and whether one wants to consider the effect of
assessors and sessions as fixed or random.
CAP Table
The CAP (Control of Assessor Performances) table has 2 parts. The left part is a summary of
the descriptors. They are sorted according to their product discrimination. If the p-value is less
than 0.1, the color will be yellow. If it is less than 0.05, the color will be green. Otherwise, the
color will be red. It is exactly the opposite for product ∗ assessor interaction since it is not a
positive thing to have a significant interaction. The average of the attribute and the square root
of the error end this left part. The right-hand side of the table refers to assessors. Warning, if a
filter has been applied, this part will be displayed under the previous one. The assessors are
sorted according to their average rank average of the effects produced individually on all
descriptors. For a given descriptor, if an assessor does not discriminate the products, he or she
will then have a "=". If he/she discriminates the products, and if he/she agrees with the panel
(test on his contribution to the assessor*product interaction) , he/she will have a "+", otherwise
Sensory data analysis 733 Panel analysis

he/she will have a "-". Finally, if the assessor has a session effect for the corresponding
descriptor, he/she is then non-repeatable and will then have a "!"added.
The second step consists of a graphical analysis. For each of the k descriptors that are kept
after the ANOVAs, box plots and strip plots are displayed. We can thus see how, for each
descriptor, different assessors use the rating scale to evaluate the different products.
The third step starts with restructuring the data table, in order to obtain a table containing one
row per product and one column per pair of assessor and descriptor (if there are several
sessions, then the table contains averages) followed by a PCA (normalized) on this same table.
The number of products P is generally less than the product k × J , so we should have at most
P factorial axes. We then display as many PCA correlations plots as the number of descriptors,
in order to highlight on each plot the points corresponding to the assessors ratings for a given
descriptor. This allows to check in one step the extent to which assessors agree or not for each
of the k descriptors, once the effect of position and scale is removed (because the PCA is
normalized), and to what extent the descriptors are linked or not. To study more precisely the
relationship between descriptors, an MFA (Multiple Factor Analysis) plot is displayed.
During the fourth step an ANOVA is performed per assessor, and for each of the k descriptors
in order to check whether there is a product effect or not. This allows to assess if each assessor
is able to distinguish the products using the available descriptors. See the section description of
ANOVA method for more details. A summary table is then used to count the number of
descriptors for which each assessor was able to differentiate the products. The corresponding
percentage is displayed. This percentage is a simple measure of the discriminating power of
assessors.
For the fifth step, a global table initially presents ratings (averaged over the repetitions if
available) for each assessor in rows, and each pair (product, descriptor) in columns. It is
followed by a series of P tables and charts to compare, product by product, assessors
(averaged over the possible repetitions) for the set of descriptors. These charts can be used to
identify strong trends and possible atypical ratings for some assessors.
The sixth step allows identifying atypical assessors through the measure for each product of
the Euclidean distance of each assessor to an average for all assessors in the space of the k
descriptors. A table showing these distances for each product and the minimum and maximum
computed over all assessors, allows identifying assessors that are close to or far from the
consensus. A chart is displayed to allow visualizing these distances.
If a "session" variable was selected, the seventh step checks if for some assessors there is a
session effect, typically an order effect. This is assessed using a Friedman test (or Wilcoxon
signed rank test if there are only two sessions). The test is calculated on all products, descriptor
by descriptor. Then, for each assessor and each descriptor, we calculate which is the maximum
observed range between sessions across products. The product corresponding to the maximum
range is indicated on the red triangle. This table is used to identify possible anomalies in the
ratings given by some assessors and possibly remove some observations for future analysis.
If for each triple (assessor, product, descriptor) it exists at least one rating, the eighth step
consists of clustering the assessors. The clustering is first performed on the raw data, then on
the standardized data to eliminate possible effects of scale and position.

Finally, a pre-formatted table to use the STATIS method is present. This method will allow you to
have indications of agreements between assessors and more generally between an assessor
and the panel's overall point of view. Moreover, a map of the products will be generated. See
the section description of the STATIS method for more details.
Dialog box
observations.
files .
General tab:
Y / Descriptors: Select the preference data associated to each descriptor. The table contains
the scores given by the assessors for the different descriptors corresponding to a product and to
a session. If column headers have been selected, check that the "Variable labels" option has
been activated.
Products: Select the data corresponding to the tested products. Only one column has to be
selected. If column headers have been selected, check that the "Variable labels" option has
been activated.
Assessors: Select the data corresponding to the assessors. Only one column has to be
been activated.

Sessions: Activate this option if more than one tasting session has been organized. Select the
data corresponding to the sessions. Only one column has to be selected. If column headers
have been selected, check that the "Variable labels" option has been activated.
Variable labels: Check this option if the first line of the data selected (Attributes, Products,
Assessors, Sessions, Observation labels, Observation weights) contains a label.
Observation labels: Activate this option if observation labels are available. Then select the
(Obs1, Obs2…).
activate this option, the weights will be considered as 1. Weights must be greater than or equal
to 0. If a column header has been selected, check that the "Variable labels" option is activated.
Options tab:
Model: Select the ANOVA model you want to use to identify the non- discriminating descriptors.
If the Session option is not active, the two possible models are:
Y = P roduct + Assessor
Y = P roduct + Assessor + P roduct ∗ Assessor .
If the Session option is active, the three possible models are:
Y = P roduct + Assessor + Session
Y = P roduct + Assessor + Session + P roduct × Assessor
Y = P roduct + Assessor + Session + P roduct × Assessor + P roduct ×

Session + Session × Assessor
Random effects ( Assessor / Session ): Activate this option if you want to consider that the
Assessor and Repetition effects as well as the interactions involving them are random effects. If
this option is not checked, all effects are considered as fixed.
Significance level (%): Enter the significance level that will be used to determine above which
level p-values lead to validate the null hypotheses of the various tests that are computed during

the analysis.
Filter descriptors: Activate this option to remove from the analysis all the descriptors for which
there is no product effect. You can then specify the threshold p-value above which one can
consider there is no product effect. To perform this task, you must not have unchecked "ANOVA
Summary" in the Outputs section.
Missing data tab:
Check each Y separately: Activate this option to remove observations for each
descriptor separately (the sample size will vary from one model to another).
For all Y: Activate this option to remove all observations with missing data.
computations.
Outputs tab:
selected.
ANOVA summaries: Activate this option to display the summaries of the various ANOVA
models that are computed.
Assessors' ability to discriminate products: Activate this option to display the tables and
charts and allow evaluating the ability of the assessors to differentiate the various products.
Assessor means by (product, descriptor): Activate this option to display the table of the
means for each pair (product, descriptor) and, for each product, the table of the means by
assessor and descriptor.
Distance to consensus: Activate this option to the table of distances to consensus.
Sessions analysis: Activate this option to assess the reliability of the assessors using the
sessions information.
Table for STATIS: Activate this option to display the table formatted to perform a STATIS
Analysis.

Charts tab:
Box plots: Activate this option to display the box plots that allow to compare the various
assessors for each descriptor.
Strip plots: Activate this option to display the strip plots that allow to compare the various
assessors for each descriptor.
PCA plots: Activate this option to display the various plots obtained from the PCA and MFA.
Line plot for each product: Activate this option to display the line plots that allow for each
product to compare the assessors for all descriptors.
Line plot of distances to consensus: Activate this option to display the chart that allows to
evaluate how far each assessor is from the consensus, product by product.
Dendrogram: Activate this option to display the dendrograms obtained from the clustering of
the assessors.
Results
selected variables. The number of observations, missing values, the number of non-missing
values, the mean and the standard deviation (unbiased) are displayed for the descriptors. For
qualitative explanatory variables the names of the various categories are displayed along with
their respective frequencies.
The first step consists of a series of ANOVA with the aim to verify foreach descriptor if there is
a product effect or not. For each descriptor, the table of Type III SS of the ANOVA is displayed
for the selected model. Then, a summary table allows comparing the p-values of the product
effect for the different descriptors.
Then comes the CAP (Control of Assessor Performances) table. See the [description] sections
for more details.
The second step consists of a graphical analysis. For each of the k descriptors which are kept
after the ANOVAs, box plots and strip plots are displayed. We can thus see how, for each
descriptor, different assessors use the rating scale to evaluate the different products.
The third step starts with restructuring the data table, in order to have a table containing one
row per product and one column per pair of assessor and descriptor (if there are several
sessions, then the table contains average) followed by a PCA (normalized) on this same table.
The number of products P is generally less than the product k × J , so we should have at most
P factorial axes. We then display as many PCA correlations plots as the number of descriptors,
in order to highlight on each plot the points corresponding to the assessors ratings for a given
descriptor. To study more precisely the relationship between descriptors, an MFA (Multiple
Factor Analysis) plot is displayed.
During the fourth step an ANOVA is performed per assessor, and for each of the k descriptors
in order to check whether there is a product effect or not. This allows to assess for each
assessor if he/she is able to distinguish the products using the available descriptors. A summary

table is then used to count for each assessor the number of descriptors for which he/she was
able to differentiate the products. The corresponding percentage is displayed. This percentage
is a simple measure of the discriminating power of assessors.
For the fifth step, a global table initially presents ratings (averaged over the repetitions if
available) for each assessor in rows, and each pair (product, descriptor) in columns. It is
followed by a series of P tables and charts to compare, product by product, assessors
(averaged over the possible repetitions) for the set of descriptors. These charts can be used to
identify strong trends and possible atypical ratings for some assessors.
The sixth step allows identifying atypical assessors through the measure for each product of
the Euclidean distance of each assessor to an average for all assessors in the space of the k
descriptors. A table showing these distances for each product and the minimum and maximum
computed over all assessors, allows identifying assessors that are close to or far from the
consensus. A chart is displayed to allow visualizing these distances.
If a "session" variable was selected, the seventh step checks if for some assessors there is a
session effect, typically an order effect. This is assessed using a Friedman test (or Wilcoxon
signed rank test if there are only two sessions). The test is calculated on all products, descriptor
by descriptor. Then, for each assessor and each descriptor, we calculate which is the maximum
observed range between sessions across products. The product corresponding to the maximum
range is indicated on the red triangle.
If for each triple (assessor, product, descriptor) it exists at least one rating, the eighth step
consists of clustering the assessors. The clustering is first performed on the raw data, then on
the standardized data to eliminate possible effects of scale and position.
Finally, a pre-formatted table to use the STATIS method is present.
Example
A tutorial explaining how to use Panel Analysis is available on the Addinsoft website:
http://www.xlstat.com/demo-panel.htm
References
Escofier B. and Pagès J. (1998). Analyses Factorielles Simples et Multiples : Objectifs,

Méthodes et Interprétation. Dunod, Paris.
Næs T. , Brockhoff P. and Tomic O. ( 2010). Statistics for Sensory and Consumer Science.
Wiley, Southern Gate.

Product characterization
Use this tool to identify which descriptors best discriminate a set of products and which
characteristics of the products are important in a sensory study.
In this section:
Description
Dialog box
Results
Example
References
Description
This tool has been developed using the recommendations given by Pr. Jérôme Pagès and
Sébastien Lê from the Laboratory for Applied Mathematics at Agrocampus (Rennes, France). It
provides the XLSTAT users with a user-friendly tool that helps finding in a sensory study which
descriptors are discriminating well a set of products. You can also identify which are the most
important characteristics of each product.
All computations are based on the analysis of variance (ANOVA) model. For more details on
technical aspects, see the analysis of variance chapter of the XLSTAT help.
The data table must have a given format. Each row should concern a given product, eventually
a given session and should gather scores given by an assessor for one or more descriptors
associated to the designated product. The dataset must contain the following columns: one
identifying the assessor, one identifying the product, eventually one identifying the session, and
as many columns as there are descriptors or characteristics.
For each descriptor an ANOVA model is applied to check if the scores given by the assessors
are significantly different. The simplest model is:
Score = product effect + judge effect
If different sessions have been organized (each judge has evaluated at least twice each
product), the session factor can be added and the model becomes:
Score = product effect + judge effect + session effect
An interaction factor can also be included. We then can test if some combines of the judges and
products are giving higher or lower grades on the descriptors. The model is:
Score = product effect + judge effect + product effect * judge effect
Sensory data analysis 740 Product characterization

The judge effect is always supposed to be random. It means we consider each judge to have its
own way of giving scores to the products (on the score scale).
Product characterization is a very efficient tool to characterize products using judges’

preferences.
Dialog box
observations.
General tab:
Y / Descriptors: Select the preference data associated to each descriptor. The table contains
the scores given by the judges for the different descriptors corresponding to a product and to a
session. If column headers have been selected, check that the "Variable labels" option has been
activated.
been activated.
been activated.

Variable labels: Check this option if the first line of the data selected (Y, X, object labels)
contains a label.
(Obs1, Obs2 …).
Options tab:
Model: Select the ANOVA model you want to use to identify the non- discriminating descriptors.
If the Session option is not active, the two possible models are Y = Product + Assessor and
Y= Product + Assessor + Product * Assessor. If the Sessions option is active, the three
possible models are Y = Product + Juge + Session, Y = Product + Assessor + Session +
Produict * Assessor, and Y = Product + Assessor + Session + Product * Assessor +
Product * Session + Session * Assessor.
Sort the adjusted means table: activate this option if you want the adjusted means to be
sorted so that similar products and descriptors are close to each other. A principal component
analysis is applied to find the best positioning.
Significance level (%): enter the significance level for the confidence intervals.
Missing data tab:
Check each Y separately: Activate this option to remove observations for each
descriptor separately (the sample size will vary from one model to another).
For all Y: Activate this option to remove all observations with missing data.
computations.

Charts tab:
Sensory profiles: Activate this option to display the chart of the sensory profiles.
Biplot: Activate this option to display simultaneously products and Y variables

(descriptors).
Filter out non discriminating descriptors: Activate this option to ignore the descriptors
that have been identified as non-discriminating in the previous analyses. You can enter
the threshold above which a descriptor is considered as non discriminating and should
be removed.
Results
values, the mean and the standard deviation (unbiased) are displayed for the descriptors. For
qualitative explanatory variables the names of the various categories are displayed together
with their respective frequencies.
Discriminating power by descriptor: This table shows the ordered descriptors from the most
discriminating on the products to the least discriminating. Associated V-test and p-values are
also displayed.
Model coefficients: This table displays the various coefficients of the chosen model for each
combination product-descriptor. Adjusted mean, t test, p-value and confidence interval for each
combination are also displayed. Graphics for each product with the coefficients are then
displayed.
Adjusted means by product: This table shows the adjusted mean for each combination
product-descriptor. The color corresponds to a significant positive effect for the blue color and a
significant negative effect for the red color.
Chart with confidence ellipses for the sensory profiles obtained by PCA: this biplot,
created following the method described by Husson et al (2005) allows to visualize on the same
graph the descriptors, as well as the products with a confidence ellipse whose orientation and
surface depend on the ratings given by different assessors. These ellipses are calculated using
a resampling method. The tables with the coordinates of the products and the corresponding
cosines are displayed to avoid misleading interpretations.
Example
An example of product characterization is available at the Addinsoft website:

http://www.xlstat.com/demo-decat.htm
References
Husson F. , Lê S. and Pagès J. (2009). SensoMineR dans Evaluation sensorielle - Manuel
méthodologique. Lavoisier, SSHA, 3ème édition.
Lê S. and Husson F. (2008). SensoMineR: a package for sensory data analysis. Journal of
Sensory Studies. 23(1). 14-25.
Lea P., Naes, T. and Rodbotten M. (1997). Analysis of variance for sensory data. John Wiley,
New York.
Science, Amsterdam.

Penalty analysis
Use this tool to analyze the results of a survey run using a JAR (Just About Right) scale, on
which the intermediary level 3 corresponds to the preferred value for the consumer.
In this section:
Description
Dialog box
Results
Example
References
Description
Penalty analysis is a method used in sensory data analysis to identify potential directions for the
improvement of products, on the basis of surveys performed on consumers or experts.
Two types of data are used:
Preference data (or liking scores) that correspond to a global satisfaction index for a product (for
example, liking scores on a 10 point scale for a chocolate bar), or for a characteristic of a
product (for example, the comfort of a car rated from 1 to 10).
Data collected on a JAR (Just About Right) 5 point scale. These correspond to ratings ranging
from 1 to 5 (or 1 to 7, or 1 to 9) for one ore more characteristics of the product of interest. In the
case of a 5 points JAR scale, 1 corresponds not « Not enough at all », 2 to « Not enough », 3 to
« JAR » (Just About Right ), an ideal for the consumer, 4 to « Too much » and 5 to « Far too
much ». For example, for a chocolate bar, one can rate the bitterness, and for the comfort of the
car, the sound volume of the engine.
The method, based on multiple comparisons such as those used in ANOVA, consists in
identifying, for each characteristic studied on the JAR scale, if the rankings on the JAR scale are
related to significantly different results in the liking scores. For example, if a chocolate is too
bitter, does that significantly impact the liking scores?
The word penalty comes from the fact that we are looking for the characteristics which can
penalize the consumer satisfaction for a given product. The penalty is the difference between
the mean of the liking scores for the JAR category, and the mean of the scores for the other
categories.
Penalty analysis is subdivided into three phases:
The data of the JAR scale are aggregated: for example, in the case of a 5 points JAR scale, on
one hand, categories 1 and 2 are grouped, and on the other hand categories 4 and 5 are
Sensory data analysis 745 Penalty analysis

grouped, which leads to a three point scale. We now have three levels: "Not enough", "JAR",
and "Too much".
We then compute and compare the means of the liking scores for the three categories, to
identify significant differences. The difference between the means of the 2 non-JAR categories
and the JAR category is called mean drops.
We compute the penalty and test if it is significantly different from 0.
Dialog box
General tab:
Liking scores: Select the preference data. Several columns can be selected. If a column
header has been selected, check that the "Column labels" option has been activated.
Just about right data: Select the data measured on the JAR scale. Several columns can be
selected. If a column header has been selected, check that the "Column labels" option has been
activated.
Scale: Select the scale that corresponds to the data (1 -> 5, 1 -> 7, 1 -> 9).
Labels of the 3 JAR levels: Activate this option if you want to use labels for the 3 point JAR
scale. There must be three rows and as many columns as in the Just about right data selection.
If a column header has been selected, check that the "Column labels" option has been
activated.

Column labels: Activate this option if the first row of the data selections (Liking scores, Just
about right data, labels of the 3 JAR levels) includes a header.
header has been selected, check that the "Column labels" option is activated.
Options tab:
Threshold for population size: Enter the % of the total population that should represent a
category to be taken into account for multiple comparisons.
Missing data tab:
data.
the variables.
Outputs tab:
variables.
Correlations: Activate this option to display the matrix of correlations of the selected
dimensions. If all data are ordinal, it is recommended to use the Spearman coefficient of
correlation.
3 levels table: Activate this option to display the JAR data once they are collapsed from 5 to 3
categories.

Penalty table: Activate this option to display the table that displays the mean drops for the non-
JAR categories, as well as the penalties.
Multiple comparisons: Activate this option to run the multiple comparisons tests on the
difference between means. Several methods are available, grouped into two categories:
multiple pairwise comparisons, and multiple comparisons with a control, the latter being here the
JAR category.
Significance level (%): Enter the significance level used to determine if the differences
are significant or not.
Charts tab:
Stacked bars: Activate this option to display a stacked bars chart that allows visualizing the
relative frequencies of the various categories of the JAR scale.
3D: Activate this option to display the stacked bars in three dimensions.
Summary: Activate this option to display the charts that summarize the multiple comparisons of
the penalty analysis.
Mean drops vs %: Activate this option do display the chart that displays the mean drops as a
function of the corresponding % of the population of testers.
Results
After the display of the basic statistics and the correlation matrix for the liking scores and the
JAR data, XLSTAT displays a table that shows for each JAR dimension the frequencies for the 5
levels (or 7 or 9 depending on the selected scale). The corresponding stacked bar diagram is
then displayed.
The table of the collapsed data on three levels is then displayed, followed by the corresponding
relative frequencies table and the stacked bar diagram.
The penalty table allows to visualize the statistics for the 3 point scale JAR data, including the
means, the mean drops, the penalties and the results of the multiple comparisons tests.
Last, the summary charts allow to quickly identify the JAR dimensions for which the differences
between the JAR category and the 2 non-JAR categories ("Not enough", "Too much") are
significantly different: when the difference is significant, the bars are displayed in red color,
whereas they are displayed in green color when the difference is not significant. The bars are
displayed in grey when the size of a group is lower than the select threshold (see the Options
tab of the dialog box).
The mean drop vs % chart displays the mean drops as a function of the corresponding % of
the population of testers. The threshold % of the population over which the results are
considered significant is displayed with a dotted line.
Example

A tutorial on penalty analysis is available on the Addinsoft website:
http://www.xlstat.com/demo-pen.htm
References
Popper P., Schlich P., Delwiche J., Meullenet J.-F., Xiong R., Moskovitz H., Lesniauskas
R.O., Carr T.B., Eberhardt K., Rossi F., Vigneau E. Qannari, Courcoux P. and Marketo C.
(2004). Workshop summary: Data Analysis workshop: getting the most out of just-about-right
data. Food Quality and Preference, 15, 891-899.

CATA data analysis
Use this function to analyse CATA (check-all-that-apply) data quickly and efficiently. If the CATA
survey includes preference data, this tool can be used to identify drivers of liking or on the
opposite, attributes that consumers consider as negative.
In this section:
Description
Dialog box
Results
Example
References
Description
CATA (check-all-that-apply) surveys have become more and more popular for sensory product
characterization since 2007, when it was presented by Adams et al. CATA surveys allow to
focus on consumers, more representative of the market, instead of trained assessors. They are
easy to set up and easy for participants to answer. The principle is that each assessor receives
a questionnaire with attributes or descriptors that the respondent may feel, or not, that they
apply to one or more products. If it does, he simply needs to check the attribute, otherwise he
does not need to do anything. Other questions on different scales may be added to relate the
attributes to preferences and liking scores. If participants are asked to give an overall rating to
each product of the study, then further analyses and preference modelling is possible. Ares et
al. (2014) recommend to randomize the order of the CATA questions between assessors to
improve the reproducibility
The CATA data analysis tool of XLSTAT has been developed to automate the analysis of CATA
data. Let us consider that N assessors were surveyed for P products (one of the products can
be a virtual, often ideal, product) on K attributes. The CATA data for the K attributes are
assumed to be recorded in a binary format (1 for checked, 0 for not checked). Three formats are
currently accepted by XLSTAT:
1. Horizontal format (P x K x N): XLSTAT expects that you have in Excel, a table with P rows,
and N groups of K columns all next to each other. You will then only need to specify the value of
N, from which XLSTAT will guess K. If you asked each assessor to give his liking, you can add
that column within each group of K columns at a position you can let XLSTAT know. In that case
each group will have K+1 columns. If one of the products is an ideal product, you can specify its
position.
2. Horizontal format (N x K x P): XLSTAT expects that you have in Excel, a table with N rows,
and P groups of K columns all next to each other. You will then only need to specify the value of
Sensory data analysis 750 CATA data analysis

P, from which XLSTAT will guess K. If you asked each assessor to give his liking, you can add
that column within each group of K columns at a position you can let XLSTAT know. In that case
each group will have K+1 columns. If one of the products is an ideal product, you can specify its
position.
3. Vertical format ((N x P) x K): XLSTAT expects that you have in Excel, a table with P x N rows,
and K columns. You will then need to select that table. In two additional fields, you need to
select the product identifier and the assessor identifier. If you asked each assessor to rate the
products, you need to select the column that corresponds to the preference data. If one of the
products is an ideal product, you can specify its name so that XLSTAT identifies it.
The analyses performed by XLSTAT on CATA data are based on the article by Meyners et al.
(2013) who investigated in depth the possibilities offered by CATA data.
Dialog box
General tab:
CATA data (0/1): Select the CATA data (0/1).
Data format: Choose the format of the data that corresponds to the layout of the CATA data. It
can be either horizontal or vertical (see the description section for further details). If column
headers have been selected, check that the "Labels included" option has been activated.
If the format is horizontal:
(P x K x N)
Number of assessors: Enter the number of assessors (N). XLSTAT will guess the number of
attributes (K).
(N x K x P)

Number of products: Enter the number of products (P). XLSTAT will guess the number of
attributes (K).
Position of the ideal product: Choose if the ideal product is at a given position in the CATA
table, or if it is at the last position.
Preference data: Choose if the preference (liking) data are at a given position in the CATA
table, or if it is at the last position. There must be one preference column for each assessor and
one value for each product. It can be missing for the ideal product.
Product labels: Activate this option if Product labels are available. Then select the
corresponding data. If the "Labels included" option is activated you need to include a header in
the selection.
Assessor labels: Activate this option if observations labels are available. Then select the
the selection.
If the format is vertical ((N x P) x K):
selected. If column headers have been selected, check that the "Labels included" option has
been activated.
selected. If column headers have been selected, check that the "Labels included" option has
been activated.
Preference data: If preference data are available, activate this option and select the data. Only
one column has to be selected. If column headers have been selected, check that the "Labels
included" option has been activated.
Ideal product: Activate this option if the assessors have qualified an ideal product, and specify
how the ideal product is named in the Products field.
Labels included: Activate this option if the the data selections include a header.
Options (1) tab:
Cochran’s Q test: Activate this option to run a Cochran’s Q test.

Multiple pairwise comparisons: Select one of the following methods for multiple
pairwise comparisons of products: Critical Difference (Sheskin) procedure or McNemar
(Bonferroni) test where the significance level is amended using the Bonferroni approach.
For more details on these options please refer to Cochran Test.
Differences (or p-values) by attribute: Activate this option to display for each attribute
the table of pairwise differences (critical difference option) or p-values (McNemar
Bonferroni option) between products. Bold values represent significant differences.
Filter out non significant attributes: Activate this option to remove the attributes for
which the Cochran’s Q tests is not significant for a given threshold.
Correspondence analysis:
Distance: Select the distance to be used for the correspondence analysis (CA): Chi-Square for
classical CA, or Hellinger if some terms have low frequencies.
Independence test: Activate this option to run an independence test on the contingency table.
Significance level (%): Enter the significance level for the test. This value is also used to
determine when Cochran's Q tests are significant.
Options (2) tab:
Filter out products: Activate this option to be able to choose on which products the CATA
analysis is performed.
Filter out assessors: Activate this option to be able to choose on which assessors the CATA
analysis is performed.
Threshold for population size: Enter the % of the total population that should represent a
category to be taken into account for the mean impact analysis within penalty analysis.
If there is an ideal product, this percentage will be the minimum size required of the 2x2 table
Ideal/Product.
If there is no Ideal product, the categories are present and absent.
Missing data tab:

equivalent to 0.
Results
Cochran’s Q test
Cochran’s Q tests are ran on the Assessors x Products table, independently for each attribute.
The first column of the results table gives for each attribute (in rows) the p-values. Pairwise
comparisons based on the McNemar-Bonferroni or Marascuilo approach are performed. The
next columns give the proportion of assessors that checked the product for the given assessor.
The letters in parentheses are only important to be considered if the p-value is significant. They
can be used to identify the products responsible of a rejection of the null hypothesis that there is
no difference between products. The Cochran’s Q test is equivalent to a McNemar test if there
are only two products.
Correspondence Analysis
CATA data are summarized in a contingency table (sum of the N individual CATA tables - the
maximum value for each cell is N). A Correspondance Analysis (CA) is ran to visualize the
contingency table. The CA can be based on the chi- square distance or the Hellinger distance
(also known as the Bhattacharya distance, which is how it is referred to in the
similarity/dissimilarity tool of XLSTAT). The Hellinger distance between two samples depends
only on the profiles of these two samples. Hence, the analysis based on the Hellinger distance
might be used when the dataset includes terms with low frequency (Meyners et al., 2013).
Attributes with null marginal sum are removed from the correspondence analysis. The following
results are displayed: contingency table, test of independence between the rows and the
columns, eigenvalues and percentages of inertia, and symmetric or asymmetric plot
(respectively for the Chi-square and Hellinger option).
Principal Coordinate Analysis
The tetrachoric correlations (well suited for binary data) between attributes and, when liking
scores are available, the biserial correlations (developed to measure the correlation between a
binary and a quantitative variable) between liking and attributes are computed and visualized
using a Principal Coordinate Analysis (PCOA). The eigenvalues and percentage of inertia and
the principal coordinates together with a graphical representation are displayed. The proximities
between attributes can be analysed.
Penalty Analysis
If liking scores are available, a penalty analysis is performed. When an ideal product has been
evaluated, two analysis are ran, for the must have attributes (P(No)|(Yes) and P(Yes)|(Yes)) and
the nice to have attributes (P(Yes)|(No) and P(No)|(No)). In the case where there is no ideal
product, these analyses are substituted by a single analysis of presence and absence of the
attributes.

A summary table shows the frequencies with which the two situations (P(No)|(Yes) and P(Yes)|
(Yes) or P(Yes)|(No) and P(No)|(No) or presence and absence) occurs for each attribute.
The comparison table displays the mean drops in liking between the two situations for each
attribute and their significances. This table is illustrated with the mean impact display plot and
the mean drops vs % plot. In the case where there is an ideal product the must have and the
nice to have analysis are summarized in one mean drops vs % plot.
Attribute analysis
A set of K (one for each attribute) 2x2 tables is displayed, with on the left, the values recorded
for the ideal product and at the top, the values obtained for the surveyed products. The table
contains the average liking (averaged over the assessors and the products) and the % of all
records that correspond to this combination of 0s and/or 1s).
Ideal\Products 0 1
0 6.2 (12%) 7.4 (8%)
1 5.1 (39%) 7.2 (41%)
For a given attribute,
If the attribute is checked for the ideal product (second row), then if the preference for the
products that are checked (cell [1,1]) is higher than when it is not checked (cell [1,0]), then
the attribute is a "must have ".
Symmetrically, if the attribute is not checked for the ideal product (first row), then if the
preference for the products that are not checked (cell [0,0]) is higher than when it is not
checked (cell [0,1]), then the attribute is a "must not have ".
If the attribute is not checked for the ideal product (first row), and if the preference for the
products that are checked (cell [0,1]) is about the same (in XLSTAT we have set this as an
absolute difference less than one) as when it is not checked (cell [0,0]), then the attribute
is a "does not harm ".
Some tables could correspond to 3 cases. XLSTAT will only associate each table to one case,
but you might want to control the results. XLSTAT will try to relate each 2x2 table to one of the
rules defined above in the same order.
The charts for the comparison of elicitation rates between each product and the ideal product
are displayed. The difference of elicitation proportion corresponds to the difference between the
ratio of positive answers ('1') of a given product and the ideal product for a specific attribute.
Example
A tutorial on CATA data analysis is available on the Addinsoft website:
http://www.xlstat.com/demo-catadata.htm
References

Ares G., Antúnez L., Roigard C.M., Pineau B. Hunter D. and Jaeger S. (2014). Further
investigations into the reproducibility of check-all-that- apply (CATA) questions for sensory
product characterization elicited by Consumers. Food Quality and Preference, 36, 111-121.
Cuadras C. M. & Cuadras i Pallejà D. (2008). A unified approach for representing rows and
columns in contingency tables.
Meyners M., Castura J. C. and Carr B. T. (2013). Existing and new approaches for the
analysis of CATA data. Food Quality and Preference, 30, 309-319.

TCATA data analysis
Use TCATA method (Temporal-Check-All-That-Apply) to analyze your TCATA data. This method
allows assessors to continuously select and update the attributes that characterize products as
they evolve over time.
In this section:
Description
Dialog box
Results
Example
References
Description
The TCATA method is a temporal extension of the CATA (Check-All-That-Apply) method
developed by Castura et al (2015). This method describes the multidimensional sensory
properties of products as they evolve over time. Selection and deselection of attributes are
tracked continuously over time, allowing assessors to characterize the evolution of sensory
changes in products. Graphical results make it possible to visualize the evolution of sensory
profiles over time and to compare products. TCATA data must be balanced, meaning that each
assessor must evaluate all products in each session. Two different data formats can be used for
TCATA data:
Binary: Data has as many rows as there are product product/assessor/attribute and
possibly sessions combinations, and as many columns as there are time points. The data
is saved in binary form (1 if the attribute is selected, 0 otherwise).
Start/End time: Two columns are expected. For each row corresponding to a
product/assessor/attribute combination and possibly session, the "Start time" column
contains the time when the attribute was first checked and the "End time" column contains
the time when the attribute was unchecked. If the same attribute is selected again later,
then a second line with the same product/assessor/attribute combination is required.
The main results specific to the TCATA method are as follows:
Citation proportions curves: For each product, the citation proportion curves of each
attribute are displayed as a function of time. There is an option to smooth the curves. You
can also display a reference curve for each attribute. For a given product, this reference
curve corresponds to the average proportion of citation for all other products pooled. In
order to test the difference between the curve of an attribute and its reference curve a
Fisher test or a Khi² test is performed. To avoid overloading the chart, reference curves
are displayed only if the difference is significant for a given time. When a significant
reference curve is displayed, the corresponding attribute curve is highlighted.
Sensory data analysis 757 TCATA data analysis

Product Differences between products: A chart is displayed for each product pair. For
each attribute we look at whether or not the difference in citation proportions is significant
using a Fisher test or Khi² test. When the difference is significant for a given time, the
difference in proportion curve is displayed.
Product trajectories: A correspondence analysis (CA) is performed in order to define the

product trajectories. Each row corresponds to a product/time combination and the
columns contain the attributes. The factorial coordinates of the rows (product/time) are
linked together and thus the product trajectories over time are displayed on the factorial
plan. The end point (maximum time) of each trajectory contains the label with the name of
the product.
Dialog box
observations.
: Click these buttons to change the data selection mode. If the button shows a mouse icon,
XLSTAT expects that you select data with the mouse. If the button shows a list icon, XLSTAT
will display a list of the available variables that you can select. If the button shows an orange
paper sheet, XLSTAT displays additional buttons so that you can select data from flat files .
General tab:
Format: Select the format of your TCATA data. The two formats you can use are Binary and
Start/End time (see the description section for further details).

Binary format:
TCATA data (0/1): Select the TCATA binary data. If the "Variable labels" option is activated, the
first line of the field will be considered as time values. Otherwise, the vector of time values will
be created starting from 0 up to the number of columns in the field.
Start/End time format: Start time: Select the data corresponding to the citation start time for
each assessor/product/attribute combination. If a column header has been selected, check that
End time: Select the data corresponding to the citation end time for each
assessor/product/attribute combination. If a column header has been selected, check that the
been activated.
been activated.
Attributes: Select the data corresponding to the attributes. Only one column has to be selected.
activated.
Sessions: Select the data corresponding to the sessions. Only one column has to be selected.
activated.
Variable labels: Activate this option if the data selections include a header.
Time precision: This option is only available when the "Start/End time" format is used. Choose
the level of precision to be used for time data: 1 second or 0.5 seconds.

Missing data tab:
Replace missing data by 0: Activate this option to replace missing data by 0.
Outputs tab:
CA: Activate this option to perform Correspondence Analysis (CA) and possibly display the
product trajectories (see the description section for further details).
Eigenvalues: Activate this option to display the table with eigenvalues of CA.
Row coordinates: Activate this option to display the row coordinates of the table on
which the CA was performed, each row corresponds to a product/time combination.
Column coordinates: Activate this option to display the column coordinates of the table
on which the AFC was made, each column corresponds to an attribute.
Assessors’ agreement: Activate this option to display the table containing assessors’
agreement. The closer an assessor agreement is to 1 the more similar his evaluation is to that
of the other assessors. The closer his agreement is to 0, the less similar his evaluation is to that
of the other assessors.
Assessors’ repeatability: If you have selected multiple sessions, activate this option to display
the table containing the repeatability of assessors. If the repeatability of an assessor is close to
1, this indicates that he evaluates the same product in the same way between the different
sessions. Conversely, if the repeatability is close to 0, the evaluation of the products differs from
one session to another.
If you choose to compute CA, you can filter the number of factors to be displayed in the tables
of coordinates for rows and columns:
Minimum %: Enter the minimum percentage of the total variability that the chosen factors
must represent.
Maximum Number: Set the number of factors to take into account.
Charts tab:
Citation proportions:
Each attribute by product: Activate this option to display a bar chart with citation
proportions. For each product/attribute combination, a chart will be displayed.
Curves by product: Activate this option to gather citation proportions curves of all
attributes on the same chart associated with a product. You can choose to display the
attribute reference curves (see the description section for further details).

Raw curve: Activate this option if you want to display raw curves. One point per
time slice.
Smoothed curve: Activate this option if you want to display smoothed curves
Difference between products: Activate this option to display for each product pair significant
differences in citation proportions (see the description section for further details).
CA chart: If you have chosen in the Options tab to carry out CA, you can choose to display the
chart corresponding to the product trajectories (see the description section for further details).
Display charts on two axes: Activate this option if you want to display the chart of
product trajectories on the first two axes.
Color each product separately: Activate this option to color each product differently.
If you have chosen to display smoothed curves, different smoothing parameters are offered:
Number of knots:
Automatic: Activate this option to automatically calculate the number as well as the
location of the knots (real points) of the smoothed curve. Fewer knots are retained for the
portions of the curve having small curvature whereas a larger number of knots is retained
for highly curved portions.
User defined: Activate this option to manually set the number of knots in the curve. The
coordinates of the latter will be uniformly distributed in abscissa.
Tolerance: Enter the level of smoothing tolerance to be applied to the curves (default
value is 0.001).
Test type: The display of reference curves or differences between products requires the
calculation of statistical tests (see the description section for further details). The Fisher test is
the one used by Castura et al (2015), however if you have many products or attributes the large
number of tests to perform can greatly slow down the computing time. This is why XLSTAT also
proposes to carry out a Khi² test which has the advantage of being much faster.
Results
Summary table: A summary table containing the number of sessions, assessors, products and
attributes is displayed. Evaluation start and end times are also displayed. If your data is not
balanced (see the description section for further details) a table showing the missing
combinations is displayed.
Bar chart of citation proportions for each attribute of each product: If you have activated
the corresponding option, the bar chart of citation proportions is displayed for each
product/attribute combination.
Curves by product: If you have activated the corresponding option, the citation proportions
curves of each attribute are displayed for each product.
Significative differences of citation proportions between products: If you have activated

the corresponding option, significant differences proportion curves are displayed for each
product pair.

Assessors’ agreement: If you have activated the corresponding option, the table containing
the assessors' agreements is displayed.
Assessors’ repeatability: If you have activated the corresponding option, the table containing
assessors’ repeatability is displayed. **Correspondence Analysis (CA): If you choose to
calculate CA, the results will be displayed. The product trajectory chart is also displayed.
Example
An example of TCATA data analysis is available:
http://www.xlstat.com/demo-tca.htm
References
Castura, J.C., Antúnez, L., Giménez, A., & Ares, G. (2016). Temporal Check-All-That-Apply
(TCATA): A novel dynamic method for characterizing products. Food Quality and Preference,
47, 79–90.

Temporal Dominance of Sensations
Use this tool to analyze Temporal Dominance of Sensations data and identify which descriptors
are dominant over time for a set of products.
In this section:
Description
Dialog box
Results
Example
References
Description
Temporal Dominance of Sensations (TDS) is a temporal multidimensional sensory method
(Pineau, Cordelle & Schlich, 2003). Panellists are presented with a list of attributes and asked to
choose the dominant ones over consumption of the product. A dominant attribute is the most
striking perception at a time, not necessarily the most intense one (Pineau et al., 2009).
The TDS tool of XLSTAT allows visualizing dominant attributes for a set of products.
Two data formats are accepted:
1. Dominance format: XLSTAT expects that you have in Excel, a table with as many rows as
there are combinations of products, panellists, attributes and potentially sessions, and as
many columns as time points. Data must be binary, with 1 if the attribute was selected as
dominant at a given time, 0 otherwise. For each combination of panellist*product*session,
each attribute must appear only once.
2. Citation format: XLSTAT expects that you have in Excel, a table with one row per attribute
selected by a panellist for a given product and potentially given session and one column
containing the time of selection. For that format of data, there must be a "start" and a
"stop" attribute. For each combination of panellist*product*session, each attribute may
appear as many time as it was selected as dominant.
Dialog box
Sensory data analysis 763 Temporal Dominance of Sensations

General tab:
TDS data: Select the TDS data.
Data format: Choose the format of the data that corresponds to the layout of the TDS data. It
can be either dominance (0/1) or elicitation (see the description section for further details). If
column headers have been selected, check that the "Variable included" option has been
activated.
been activated.
been activated.
Attributes: Select the data corresponding to the attributes. Only one column has to be selected.
activated.
Sessions: Select the data corresponding to the sessions. Only one column has to be selected.
activated.
Variable labels: Activate this option if the the data selections include a header.
Options (1) tab:

Time standardization:
None: Activate this option to keep the data as is (no standardization).
Right: Activate this option to standardize time in order to bring all end times to the same
scale. Standardized times are reduced between 0 and 1. for each
panelist*product*session times are divided by the maximum time, that is the time of end of
evaluation.
Left-Right: Activate this option to standardize time in order to bring all start and end times
to the same scale. Standardized times are reduced between 0 and 1. for each
panelist*product*session times are reduced by the minimum time, that is the time the first
attribute was selected, and divided by the maximum time, that is the time of end of
evaluation.
Dominance:
Smoothing tolerance
Tolerance: Enter the level of smoothing tolerance to be applied to the DTS curves of the
products (default value is 0.001).
Missing data tab:
equivalent to 0 (only available for dominance type of data).
Remove the observations: Activate this option to remove the observations with missing data.
Charts tab:
TDS curves: Activate this option to display the TDS curves of the products.
Smoothing: Activate this option to smooth curves.
Automatic: Activate this option to automatically calculate the number as well as the
location of the knots (real points) of the smoothed curve. Fewer knots are retained for the
portions of the curve having small curvature whereas a larger number of knots is retained
for highly curved portions (see Options section for the appropriate level of smoothing
tolerance).
User defined: Activate this option to manually set the number of knots in the curve. The
coordinates of the latter will be uniformly distributed in abscissa.
Chance limit: Activate this option to display the chance limit of dominance. The chance
limit is the dominance rate that an attribute can obtain by chance and is defined by P 0 =
1
K , K being the number of attributes.

Significance limit: Activate this option to display the significance limit of dominance. The
significance limit is the minimum value the dominance rate should equal to be considered
as significantly higher than P0 . It is calculated using the confidence interval of a binomial
proportionbased on a normal approximation:
P0 (1−P0 )
PS = P0 + zα J∗S with J the number of panelists and S the number of
sessions.
TDS bands: Activate this option to display the TDS bands of the products.
Bands (Yes/No): Activate this option to display all significantly dominant attributes in one
band.
Bands by attribute: Activate this option to display a 2 dimensions band-plot. For each
period during which a given attribute is significantly dominant, a band with height relative
to the mean dominance rate over the given period is drawn.
Results
Dominance per product per attribute: The tables of dominance per product and attribute
show the dominance rate per product and attribute for each time point.
TDS curves: For each product, a plot showing the dominance rate for each attribute plotted
against time is displayed. Dominance rates are computed for each time point as the proportion
of evaluations (panellist*session) for which the given attribute was assessed as dominant
(Pineau et al., 2009). If asked by user, dominance rates are smoothed using cubic spline. If
asked by user, the chance limit and significance limit are displayed.
Yes/No bands: For each product, a plot showing the significant dominant attributes as a single
band is displayed. The band is composed with stacked colored rectangles (Monterymard et al.,
2010). The total height of the band is constant. The x-axis represents time.
Bands by attribute: For each product, a plot showing the significant dominant attributes as
bands is displayed. The x-axis represents time and the y-axis shows the different descriptors.
The heights of the band are proportional to the mean dominance rates, allowing the user to
estimate the importance of each attribute (Galmarini et al., 2016). For each given time period
the height of the band is calculated as the mean dominance rate over the period divided by the
maximum dominance rate for the given product.
Example
An example of a temporal dominance of sensations (TDS) analysis is available at the Addinsoft
website:
http://www.xlstat.com/demo-tds.htm
References
Galmarini, M. V., Visalli, M., & Schlich, P. (2016). Advances in representation and analysis of
mono and multi-intake Temporal Dominance of Sensations data. Food Quality and Preference.

Monterymard, C., Visalli, M., & Schlich, P. (2010). The TDS-band plot: A new graphical tool
for temporal dominance of sensations data. In 2nd conference of the society of sensory
professionals (pp. 27–29).
Pineau, N., Cordelle, S., & Schlich, P. (2003). Temporal dominance of sensations: A new
technique to record several sensory attributes simultaneously over time. In 5th Pangborn
symposium (p. 121).
Pineau, N., Schlich, P., Cordelle, S., Mathonnière, C., Issanchou, S., Imbert, A., Rogeaux,
M., Etiévant, P. and Köster, E. (2009 ). Temporal Dominance of Sensations: Construction of
the TDS curves and comparison with time–intensity. Food Quality and Preference, 20(6),
pp.450-455.

Time-Intensity
Use this tool to analyze Time-Intensity (TI) data and identify the temporal profile of a sensation
in a set of products.
In this section:
Description
Dialog box
Results
Example
References
Description
Time-Intensity is a temporal sensory method first introduced in the 30s. It became notably used
in sensory analysis in the 50s (Söjström (1954)) and emerged in the 70s with the improvement
of recording instrument.
During TI evaluations, assessors are asked to score the intensity of perception of a single
attribute over consumption of the product. Compared to single point measurements, the
analysis of the development and decline of particular sensory characteristics may reveal rich
information in order to distinguish products or perceptions. This type of analysis may be
applicable to a variety of product, ranging from the level of sweetness of a beverage to the
feeling left by a lipstick.
TI Data usually consist in several intensity measurements scored by an assessor and recorded
at several time steps. Each of those measurements should be associated to a product identifier.
XLSTAT also offers the possibility to indicate an assessor as well as a session identifier.
The first step of the TI analysis in XLSTAT is to measure the characteristic parameters on each
temporal curve. The initial time of exposure to the stimulus is considered as the first time point
on each curve and there are 10 distinct parameters defined as follow:
I max: peak intensity or maximum observed intensity on the whole curve;
T start: time point where the reaction to the stimulus is first perceived on the curve,
defined as the first intensity value exceeding X% of the peak intensity;
T max: time position of the peak intensity on the curve;
T plateau: time duration around the T max where the measured intensity is greater than
(100 − X)% of the peak intensity;
Sensory data analysis 768 Time-Intensity

T ext: time point of extinction of the perception of the stimulus, defined as the position in
time after the peak intensity where the measured intensity is lower than X% of the peak
intensity;
R increase: slope or rate of intensity increase between T start and T max;
R decrease: slope or rate of intensity decrease between T max and T ext;

Area before: the area under the curve before the peak intensity;
Area after: the area under the curve after the peak intensity;
Area: the total area under the curve, equal to the sum of Area before and Area after.
Where X is the value of the significance level expressed in %.
The measured curve parameters are displayed in a summarizing table. Time- Intensity curves
are expected to match a bell shape pattern. If for some reason, the algorithm detects that one or
several curves present pathological characteristics (constant intensity, several maximum, etc…),
a message is displayed so that the user can investigate which curve(s) should be removed from
the analysis.
The visual control of each curve is an important step in a TI analysis. The user should use its
field expertise to make sure curves have meaningful characteristics. To this effect, XLSTAT
offers the possibility to display all the recorded curves either on an individual chart or
superimposed on a single chart to facilitate the comparison between curves.
In addition to individual time intensity curves, it is also very useful to visually summarize the
panel perception of a given stimulus for different products. This can be done easily in XLSTAT
by creating a synthetic curve either for the whole data set or for each product identifier. Several
techniques are proposed to generate this synthetic curve:
Average: the synthetic curve is the time step average of all individual curve;
Parametrized; the synthetic curve is build up from the measured curve parameters;
Overbosch method: the synthetic curve is created following the approach first proposed in
Overbosch (1986);
Liu and MacFie method: the synthetic curve is created following the approach proposed in
Liu (1990).
The last two techniques require that the user specifies an additional parameter which is the
desired number of bins for the synthetic curve before and after the peak intensity (the total
number of bins of the synthetic curve is therefore twice that number).
Finally an ANOVA is performed on each measured curve parameter separately to assess the
product effect and possibly an assessor and or repetition effect. Depending on the selected
effects, several model configurations are available to account for potential interactions between
products, assessors and sessions. Furthermore, XLSTAT allows the user to treat Assessors
and/or Sessions as random effect instead of fixed effect.

Dialog box
General tab:
Time-Intensity data: Select the Time-Intensity data. Those are the curves as recorded during
the evaluation. In the default XLSTAT selection mode (Variable as columns), curves are
expected to be organized as rows. Columns then correspond to the successive measurement
times. If headers have been selected in the first columns, check that the "Variable labels" option
has been activated.
been activated.
Assessors: Activate this option if more than one assessor has evaluated the product
perception. Select the data corresponding to the assessors. Only one column has to be
been activated.
Time: Activate this option if you wish to select a time vector for Time- Intensity data. As for the
Time-Intensity Data, the time vector is expected to correspond to one row in the default
selection mode. Only one row has to be selected, the time vector is the same for all individual
Time-Intensity curve. If the option is not activated, XLSTAT will automatically create a default
time vector. If column headers have been selected, check that the "Variable labels" option has
been activated.

Variable labels: Check this option if the first line of the data selected (Y , X , object labels)
contains a label.
Options tab:
Confidence interval (%): Enter the confidence interval that will be used to determine above
which level p-values lead to validate the null hypotheses of the various tests that are computed
during the analysis.
Model: Select the ANOVA model you want to use. Depending on which effects have been
activated on the general tab, several model configurations are proposed to account for possible
interactions between products, assessors and sessions.
Random effects (Assessor / Session): Activate this option if you want to consider that the
Assessor and Repetition effects as well as the interactions involving them are random effects. If
this option is not checked, all effects are considered as fixed.
Create synthetic curve: Activate this option if you want to create a synthetic curve useful to
visually summarize the panel perception of a given stimulus for different products (refer to the
description for mode detailed information). The several techniques proposed in XLSTAT are:
Average
Parametrized
Ovecbosch method
Liu and MacFie method
One curve per product: Activate this option if you want to create a synthetic curve per product.
Number of bins: if the option create synthetic curve is activated and either the Overbosch
method or Liu and MacFie Method has been selected, the user has to enter a number of bins.
This number of bins defines the number of data points for the synthetic curve before and after
the peak intensity so that the total number of bins of the synthetic curve is twice that number.
Missing data tab:

computations.
Outputs tab:
selected.
Curve parameters: Activate this option to display a table with the measured curve parameters.
Synthetic curve table: Activate this option to display a table with the synthetic curve data
points.
Analysis of variance: Activate this option to display the summaries of the various ANOVA
models that are computed.
for the model.
Type III tests of fixed effects: Activate this option to display the type III analysis of variance
table.
Product effect: Activate this option to display a summarizing table that shows the product effect
for each measured curve parameter.
Interpretation: Activate this option to display additional help on how to understand the
displayed results.
Charts tab:
Time-Intensity curves: Activate this option to display the individual Time-Intensity curves on
charts.
Display on one chart: Activate this option to display all the curves on a single chart.
Synthetic curve chart: Activate this option to display the created synthetic curves on charts.
Product effect p-values: Activate this option to display a summarizing chart on the product
effect for each curve parameter.
Results
Summary statistics: The table of descriptive statistics shows simple statistics for the products,
assessors and sessions if selected. The names of the various categories are displayed together

with their respective frequencies.
Measured curve parameters: The table summarizing the measured curve parameters together
with the associated products, assessors and sessions identifiers.
Synthetic curves: The table display data points for the created synthetic curves (see
description for more detailed information).
Then for each curve parameter a series of ANOVA results is displayed with the aim to verify if
there is a product effect or not. For each parameter, the table of Type III SS of the ANOVA is
displayed for the selected model (see description for more detailed information). Then, a
summary table allows comparing the p-values of the product effect for the different parameters.
Example
A tutorial explaining how to use Time Intensity is available on the Addinsoft website:
http://www.xlstat.com/demo-ti.htm
References
Liu Y.H. and MacFie H.J.H. (1990). Methods for averaging time-intensity curves. Chemical
Senses, 15, 471-484.
Overbosch P. et al . (1986). An improved method for measuring perceived intensity/time

relationships in human taste and smell. Chemical Senses, 11, 331-338.

Sensory shelf life analysis
This tool enables you to run sensory shelf life test using assessors’ judgments. It is used to find
the optimal period for consuming a product using sensorial judgments. XLSTAT-MX uses the
parametric survival models to model the shelf life of a product.
In this section:
Description
Dialog box
Results
Example
References
Description
Sensory shelf life analysis is used to evaluate the ideal period for consumption of a product
using sensory evaluation of assessors at different times/dates.
It may happen that the physico-chemical properties of a product are not sufficient to assess the
quality of a product with respect to the period in which it is consumed. Frequently, adding
sensory evaluation of the product will highlight the best consumption period. In the example of a
yogurt, you may have a product that is suitable for consumption but in a sensory evaluation will
be too acid or after a certain period will look less attractive.
Methods conventionally used in the analysis of survival data are applicable in this case.
Generally, when conducting this type of sensory tests, the assessors taste the same product at
different times/dates. This can be done in different sessions, but it is generally recommended to
prepare a protocol that allows to obtain products with different seniority for the test day.
Each assessor will express its opinion on the tested product (like / do not like) and we thus
obtain a table of preferences per assessor for each date.
Two formats of input can be used in XLSTAT-MX:
An assessor × date table: each column represents a date, each row represents an
assessor. There will be two different values ??depending on the preference of the
assessor (like / not like).
A date column and a column with the assessors’ names. For each assessor, one enters
the date when the change in his preference has been observed. We assume that all
judges like the product for the first tasting.
XLSTAT-MX then uses a parametric survival model to estimate a model for the shelf life of the
product.
Sensory data analysis 774 Sensory shelf life analysis

As the exact dates the assessor has change his preference are not known, we use the notion of
censoring to set these dates. Thus, if preferences have been collected each week, if an
assessor does not like a product after 3 weeks, this assessor is censored by interval between
the 2nd and 3rd week. Assume that an assessor appreciates the product all long the study, this
assessor is right censored at the last date of the study. Finally, if the assessor likes the product
then does not like it and likes it again later in the study, we consider this assessor is left
censored at the last date he changed his preference.
For more details on parametric survival models and censoring, please see the chapter
dedicated to these methods. XLSTAT-MX can use an exponential, a Weibull or a log-normal
distribution.
As outputs, you will find graphics and parameters of the model.
XLSTAT-MX can also add external information to the model using qualitative or quantitative
variables associated to each assessor.
Dialog box
General tab:
Two data format are available (please see the description chapter of this help).
For the "one column per date" option:
Assessor x Date table: Select the table corresponding to the assessors’ preference for each
date. If a column header has been selected on the first row, check that the "Column labels"
Date data: Select the data that correspond to the times/dates that have been recorded. If a
column header has been selected on the first row, check that the "Column labels" option has
been activated.

Positive code: Enter the code used to identify an assessor that appreciated the product.
Default value is 1.
Negative code: Enter the code used to identify an assessor that did not appreciate the product.
Default value is 0.
For the "one row per assessor" option:
Date data: Select the data that correspond to the times or the dates when it has been observed
that an assessor has changed his preference. If a column header has been selected on the first
row, check that the "Column labels" option has been activated.
Assessor s: Select the data that identify the assessor associated to the event. If a column
header has been selected on the first row, check that the "Column labels" option has been
activated.
that the "Column labels" option has been activated.
nominal. If the variable header has been selected, check that the "Column labels" option has
been activated (see description ).
Column labels: Activate this option if the first row of the data selections (time, status and
explanatory variables labels) includes a header.
Distribution: Select the distribution to be used to fit your model. XLSTAT-MX offers different
distributions including Weibull, exponential, extreme value…
Assessors’ labels: In the case of the "one column per date" format, activate this option if you
want to select the assessors’ names. If a column header has been selected, check that the
Options tab:

Significance level (%): Enter the significance level for the comparison tests (default value 5%).
This value is also used to determine the confidence intervals around the estimated statistics.
Initial parameters: Activate this option if you want to take initial parameters into account. If you
do not activate this option, the initial parameters are automatically obtained. If a column header
Tolerance: Activate this option to prevent the initial regression calculation algorithm taking into
Constraints: When qualitative explanatory variables have been selected, you can choose the
constraints used on these variables:
Stop conditions:
The calculations are stopped when the maximum number if iterations has been exceeded.
Default value: 100.
Model selection: Activate this option if you want to use one of the two selection methods
provided:
Forward: The selection process starts by adding the variable with the largest contribution
to the model. If a second variable is such that its entry probability is greater than the entry
threshold value, then it is added to the model. This process is iterated until no new
variable can be entered in the model.
Backward: This method is similar to the previous one but starts from a complete model.
Missing data tab:
Outputs tab:

selected.
Dates statistics: Activate this option to display statistics for each time/date.
for the model.
Model coefficients: Activate this option to display the table of coefficients for the model. The
last columns display the hazard ratios and their confidence intervals (the hazard ratio is
calculated as the exponential of the estimated coefficient).
Residuals and predictions: Activate this option to display the residuals for all the observations
(standardized residuals, Cox-Snell residuals). The value of the estimated cumulative distribution
function, the hazard function and the cumulative survival function for each observation are
displayed.
Quantiles: Activate this option to display the quantiles for different values of the percentiles (1,
5, 10, 25, 50, 75, 90, 95 and 99 %).
Charts tab:
Preference plot: Activate this option to display the chart corresponding to the number of
assessors that likes the product at each date/time.
Preference distribution function: Activate this option to display the charts corresponding to
the cumulative preference distribution function (equivalent to the cumulative survival function).
Residuals: Activate this option to display the residual charts.
Results
XLSTAT displays a large number of tables and charts to help in analysing and interpreting the
results.
Assessors removed from the analysis: This table displays the assessors that have been
removed from the analysis due to a bad coding.
mean and the standard deviation (unbiased) are displayed. For qualitative variables, the
categories with their respective frequencies and percentages are displayed.
Dates statistics: This table displays the number of judges that like the product at each
date/time. The associated percentage is also displayed.
Summary of the variables selection: When a selection method has been chosen, XLSTAT
displays the selection summary.
model (corresponding to the case where there is no impact of covariates, beta=0) and for the

adjusted model.
Observations: The total number of observations taken into;
SBC: Schwarz’s Bayesian Criterion;
Iterations: Number of iterations until convergence.
Model parameters: The parameter estimate, corresponding standard deviation, Wald's Khi2 ,
the corresponding p-value and the confidence interval are displayed for each variable of the
model. Confidence intervals are also displayed.
The residual and predictions table shows, for each observation, the time variable, the
censoring variable, the value of the residuals, the cumulative distribution function, the
cumulative survival function and the hazard function..
The quantiles associated to the preference curve are presented in a specific table
Charts: Depending on the selected options, charts are displayed. The cumulative preference
function or the residuals’ plot can be displayed.
Example
A tutorial on how to test sensory shelf life is available on the Addinsoft website:
http://www.xlstat.com/demo-shelflife.htm
References
Cox D. R. and Oakes D. (1984). Analysis of Survival Data. Chapman and Hall, London.
Hough G. (2010). Sensory Shelf Life Estimation of Food Products, CRC Press.
Kalbfleisch J. D. and Prentice R. L. (2002 ). The Statistical Analysis of Failure Time Data. 2nd
edition, John Wiley & Sons, New York.

Generalized Bradley-Terry model
Use this tool to fit a Bradley-Terry model to data obtained from pairwise comparisons.
In this section:
Description
Dialog box
Results
Example
References
Description
The generalized Bradley-Terry model is used to describe possible outcomes when elements of a
set are repeatedly compared with one another in pairs. Consider a set of k elements.
The generalized Bradley-Terry model
For two elements i and j compared in pairs, Bradley and Terry (1952) suggested the following
model to evaluate the probability that i is better than j (or i beats j ):
λi
P (i > j) =
λi + λj
where λi is the skill rating of element i, λi ≥ 0.
Several extensions have been proposed for this model. For instance, Agresti (1990) proposed
to handle with home-field advantage and Rao and Kupper (1967) developed a model where ties
are allowed.
To account for home-field advantage, Agresti (1990) added a parameter δ which measures the
strength of this advantage.
⎧
⎪
δλi
if i at home
P (i > j) = ⎨
δλi +λj
⎪
⎩ λi
if j at home
λi +δλj
In the case where ties are allowed between two elements i and j , Rao and Kupper (1967)
proposed to include a parameter δ > 1 in the model such that:
Sensory data analysis 780 Generalized Bradley-Terry model

λi
P (i > j) =
λi + θλj
(θ2 − 1) λi λj
P (i = j) =
(λi + θλj ) (θλi + λj )
Inference of model parameters
In the case of a usual Bradley-Terry model, a maximum likelihood estimator of the parameters
can be obtained using a simple iterative MM algorithm (Maximization-Minimization, Hunter
(2004)). The model (with or without home- field advantage) can be rewritten as a logistic
regression model. In this case, a numerical algorithm is used to determine an estimate of the
parameters.
In 2012, by considering parameters as random variables, Caron and Doucet proposed a

Bayesian approach to overcome the difficulties related to data sparsity. Two methods can be
considered:
Maximizing the log-likelihood by an EM algorithm. For a specific prior distribution on the

parameters, this algorithm corresponds to the classical MM algorithm.
Estimating a posterior distribution of the parameters via a Gibbs sampler.
These two approaches rely on the introduction of latent variables such that the complete
likelihood can be written simply. Assume that ωij is the number of comparisons where i beats j
K
, ωi = ∑ ωij is the total number of wins of element i and nij = ωij + ωji the total
j=1,j =i

number of comparisons between i and j . From the Thurstone interpretation (Diaconis (1988)),
the Bradley-Terry model can be written as:
λi
P (Yki < Ykj = )
λi + λj
where Yki ∼ ϵ(λi ) and k ∈ {1, … , nij }. To simplify the complete likelihood, a new latent
variable Zij is defined such that:
nij
Zij = ∑ min(Ykj , Yki ) ∼ Γ(nij , λi + λj )
k=1
In a Bayesian framework, a prior distribution is defined for each parameter. Hence, we assume
that the parameters λi are distributed according to a Gamma distribution with parameters a and
b:
K
P (λ) = ∏ Γ(λi ; a, b)
i=1

The prior distribution of the home-field parameter δ is a Gamma Γ(δ; aδ , bδ ) and a flat
improper distribution on [1, +∞[is adopt for the ties parameter θ .
Bayesian EM: This iterative approach aims at maximizing the expected log- likelihood.
Usual model:
At the t-th iteration, the estimate of the parameter λi is given by:
(t) a − 1 + ωi
λi = n
b + ∑ (t−1) ij (t−1)
j =i
 λi +λj
If a = 1 and b = 0 this estimate corresponds to the MM one.
Model with home-field advantage:
At the t-th iteration, the estimates of the parameters λi and δ are:
(t) a − 1 + ωi
λi = δ (t−1) nij nji
b+∑ (t−1) (t−1) (t−1) + (t−1) (t−1)
j =i
 δ λi +λj λi +δ (t−1) λj
and
aδ − 1 + c
δ (t) = (t)
λi nij
bδ + ∑ (t−1) (t−1)
j =i
 δ (t−1) λi +λj
where c = ∑ aij and aij is the number of comparisons where i beats j when i is at home.
i=j

Model with ties:
Denote by tij the number of ties between i and j . At the t-th iteration, the estimates of the
parameters λi and θ are:
a − 1 + si
λ(t)
i = sij Θ(t−1) sji
b+∑ (t−1) (t−1) + (t−1) (t−1)
j =i
 λi +Θ(t−1) λj Θ(t−1) λi +λj
where sij = ωij + tij and si = ∑ sij . We have:

j =i


1 1
Θ(t) = + 1+
2c(t) 4c(t)2
and
2 sij λ(t)
(t)
= ∑ (t−1)
j
c
T j =i
 λi + Θ(t−1) λ(t−1)
j
1
with T = 2
∑ tij the total number of ties.

j=i
Sampling: this approach is based on the Gibbs sampler.
Usual model:
We used the following algorithm to estimate parameter λi :
1. For 1 ≤ i < j ≤ K s.t. nij > 0,
Zij(t) ∣X, λ(t−1) ∼ Γ (nij , λ(t−1)

i + λ(t−1)
j )
2. For 1 ≤ i ≤ K,
∑ ∑
(t) (t)
λ(t) ∣X, Z (t) ∼ Γ(a + ωi , b + Zij + Zji )
i<j∣nij >0 j<i∣nij >0
Model with home-field advantage :
We used the following algorithm to estimate the parameters λi and δ :
1. For 1 ≤ i < j ≤ K s.t. nij > 0,
Zij(t) ∣X, λ(t−1) , δ (t−1) ∼ Γ (nij , δ (t−1) λ(t−1)

i + λ(t−1)
j )
2. For 1 ≤ i ≤ K,
∑ ∑
(t) (t)
λ(t) ∣X, Z (t) , δ (t−1) ∼ Γ(a + ωi , b + δ (t−1) Zij + Zji )

i=j∣nij >0 j =i∣nij >0
Then,
⎛ K
(t) ⎞
aδ + c, bδ + ∑ λi ∑
(t) (t) (t−1) (t)
δ ∣X, Z , λ ∼Γ
⎝ ⎠
Zij
i=1 
j=i∣nij >0

Model with ties:
We used the following algorithm to estimate the parameters λi and θ :
1. For 1 ≤ i < j ≤ K s.t. nij > 0,
Zij(t) ∣X, λ(t−1) , Θ(t−1) ∼ Γ (sij , λ(t−1)

i + Θ(t−1) λ(t−1)
j )
2. For 1 ≤ i ≤ K,
λ(t) ∣X, Z (t) , Θ(t−1) ∼ Γ(a + si , b + ∑ Zij(t) + Θ(t−1) ∑ Zji(t) )

i=j∣sij >0 
j=i∣nij >0
Then,
Θ(t) ∣X, Z (t) , λ(t) ∼ P (Θ∣X, Z (t) , λ(t) )
with:
⎛ ⎞
P (Θ∣X, Z (t) , λ(t) ) ∝ (Θ2 − 1) exp − ∑ Zij Θ
T
⎝ i=j∣sij >0
⎠
These two methods lead to posterior distributions on the model parameters. However, only the
sampling approach allows to estimate the parameters of the complete model.
Dialog box

General tab:
Data format: Select the format of the data
Two-way table: Activate this option to select data in a contingency table (wins in rows
and losses in column). Only the classical model can be used.
Pairs/Variables table: Activate this option to select data presented in the form of two
tables. The pairs table corresponds to the meetings between the elements. The variables
table contains the results of each meeting. The first column is the number of wins of the
first element and the second column its number of losses. A third optional column can
contain the number of ties.
If headers have been selected with the data, make sure the "Labels" option is checked.
Labels: Activate this option if headers have been selected with the input data.
Optionstab:
Inference method: select the inference method
Numerical: The model is rewritten as a logistic regression (see section description). Ties
are not allowed.
Bayesian EM: The parameters are supposed to be distributed as a Gamma distribution.

The inference is done via an EM algorithm which aims at updating the prior distributions.
The parameters of the complete model (with home-field advantage and ties) cannot be
inferred with this algorithm.
Sampling: The parameters are supposed to be distributed as a Gamma distribution. The

posterior distribution is obtained by a Gibbs sampler.
Options:
Home: Select this option to take home-field advantage into account. In this case, the
order of the elements in the pairs table is of importance. The first element is supposed to
be at home.
Ties: Select this option if ties are allowed. If the option is enabled, the variables table
must have 3 columns.

Confidence interval (%): Enter the confidence level of the confidence interval of the
parameters.
Stop conditions:
Iterations /Number of simulations: Maximal number of iterations.
Temps maximum: Maximal allocated time (in second).
Convergence: Threshold of convergence.
Prior parameter: This option is active only if the inference method is Bayesian EM or Sampling.
Scale: Scale parameter of the Gamma distribution
Shape: Shape parameter of the Gamma distribution.
Outputs tab:
to each element.
Likelihood-based criterion: Activate this option to calculate and to display the likelihood, the
BIC (Bayesian Information Criterion) and AIC (Akaike Information Criterion).
Probabilities of winning: Activate this option to calculate and to display the probabilities of
winning according to model options.
Charts tab:
Convergence graph: Activate this option to display the evolution of model parameters for the
Sampling approach.
Results
Summary statistics: This table displays the descriptive statistics for each element
Estimated parameters: the estimates of the model parameters are given in this table. The
standard error and the confidence interval are also provided for each parameter.
Likelihood-based criterion: In this table, several likelihood-based criteria are given

(-2*log(Likelihood), BIC, AIC).
Probabilities of winning: This table provides the probability that element i (in row) beats
element j (in column), given the model parameters.

Convergence graph: This chart displays for each parameter the evolution of the parameter and
the corresponding confidence interval.
Example
An example of the use of Bradley-Terry model is available on Addinsoft website:
http://www.xlstat.com/demo-bradley.htm
References
Bradley R. and Terry M. (1952). Rank analysis of incomplete block designs. I. the method of
paired comparisons. Biometrika, 39, 324-345.
Caron F. and Doucet A. (2012). An Efficient Bayesian inference or generalized Bradley-Terry

models. Journal of Computational and Graphical Statistics, to be published.
Diaconis P. (1988). Group representations in probability and statistics, IMS Lecture Notes, 11.
Institute of Mathematical Statistics.
Hunter D. (2004). MM algorithms for generalized Bradley-Terry models. The Annals of

Rao P. and Kupper L. (1967). Ties in paired-comparison experiments: A generalization of the

Bradley-Terry model. Journal of the American Statistical Association, 62, 194–204.

Generalized Procrustes Analysis (GPA)
Use Generalized Procrustes Analysis (GPA) to transform several multidimensional
configurations so that they become as much alike as possible. A comparison of transformed
configurations can then be carried out.
In this section:
Description
Dialog box
Results
Example
References
Description
Procrustes (or Procustes), which in ancient Greek means "the one who lengthens while
stretching", is a character of the Greek mythology. The name of the gangster Procrustes is
associated to the bed that he used to torture the travelers to whom he proposed the lodging.
Procrustes installed his future victim on a bed with variable dimensions: short for the tall ones
and long for the small ones. According to case’s, he cut off with a sword what exceeded out of
the bed or stretched the body of the traveler until bringing the size of the traveler to that of the
bed, by using a mechanism that Hephaistos had manufactured for him. In both cases the
torment was appalling. Theseus, while traveling to Athens, met the robber, discovered the trap
and laid down slantwise on the bed. When Procrustes adjusted the body of Theseus, he did not
understand the situation immediately and remained perplexed giving Theseus the time to slit
with his sword the brigand in two equal parts.
Concept
We define by configuration an n x p matrix that corresponds to the description of n objects (or

individuals/cases/products) on p dimensions (or attributes/variables/criteria/descriptors).
We name consensus configuration the mean configuration computed from the m configurations.
Procrustes Analysis is an iterative method that allows to reduce, by applying transformations to
the configurations (rescaling, translations, rotations, reflections), the distance of the m
configurations to the consensus configuration, the latter being updated after each
transformation.
Let us take the example of 5 experts rating 4 cheeses according to 3 criteria. The ratings can go
from 1 to 10. One can easily consider that an expert tends to be harder in his notation, leading
to a shift to the bottom of the ratings, or that another expert tends to give ratings around the
average, without daring to use extreme ratings. To work on an average configuration could lead
to false interpretations. One can easily see that a translation of the ratings of the first expert is
Sensory data analysis 788 Generalized Procrustes Analysis (GPA)

necessary, or that rescaling the ratings of the second expert would make his ratings possibly
closer to those of the other experts.
Once the consensus configuration has been obtained, it is possible to run a PCA (Principal
Components Analysis) on the consensus configuration in order to allow an optimal visualization
in two or three dimensions.
Structure of the data
There exist two cases:
1. If the number and the designation of the p dimensions are identical for the m configurations,
one speaks in sensory analysis about conventional profiles.
2. If the number p and the designation of the dimensions varies from one configuration to the
other, one speaks in sensory analysis about free profiles, and the data can then only be
represented by a series of m matrices of size n x p(k), k=1,2, …, m.
For the entering of the data, XLSTAT expects an n x (p x m) table, corresponding to m

contiguous configurations.
Data transposition
It sometimes occurs that the number (m x p) of columns exceeds the limits of Excel. To get
around that drawback, XLSTAT allows you to use transposed tables. To use transposed tables
(in that case all tables that you want to select need to be transposed), you only need to click the
blue arrow at the bottom left of the dialog box, which then becomes red.
Algorithms
XLSTAT is the unique product offering the choice between the two main available algorithms:
the one based on the works initiated by John Gower (1975), and the later one described in the
thesis of Jacques Commandeur (1991). Which algorithm performs best (in terms of least
squares) depends on the dataset, but the Commandeur algorithm is the only one that allows to
take into account missing data; by missing data we mean here that for a given configuration and
a given observation or row, the values were not recorded for all the dimensions of the
configuration. The later case can happen in sensory data analysis if one of the judges has not
evaluated a product.
Dialog box

observations.
General tab:
Configurations: Select the data that correspond to the configurations. If a column header has
been selected, check that the "Dimension labels" option has been activated.
Number of configurations: Enter the number of contiguous configurations in the configurations

table.
Number of variables per table:
Equal: Choose this option if the number of variables is identical for all the tables. In that
case XLSTAT determines automatically the number of variables in each table
User defined: Choose this option to select a column that contains the number of
variables contained in each table. If the "Variable labels" option has been activated, the
first row must correspond to a header.
Configuration labels: Check this option if you want to use the available configuration labels. If
you do not check this option, labels will be created automatically (C1, C2, etc.). If a column
header has been selected, check that the "Dimension labels" option has been activated.
Dimension labels: Activate this option if the first row (or column if in transposed mode) of the
selected data (configurations, configuration labels, object labels) contains a header.
Object labels: Check this option if you want to use the available configuration labels. If you do
not check this option, labels will be created automatically (Obs1, Obs 2, etc.). If a column

header has been selected, check that the "Dimension labels" option has been activated.
Method: Select the algorithm you want to use:
Commandeur: Activate this option to use the Commandeur algorithm (see the section
description section for further details).
Gower: Activate this option to use the Gower algorithm (see the section description
section for further details).
Options tab:
Scaling: Activate this option to run rescale the matrices during the GPA.
Rotation/Reflect ion: Activate this option to perform the rotation/reflection steps of the GPA.
PCA: Activate this option to run a PCA at the end of the GPA steps.
of factors which are taken into account after the PCA.
Tests:
Consensus test: Activate this option pour to use a permutation test that allows to
determine if a consensus is reached after the GPA transformations.
Dimensions test: Activate this option pour to use a permutation test that allows to
determine what is the appropriate number of factors to keep.
Number of permutations: Enter the number of permutations to perform for the tests (Default
value: 300)
Stop conditions:

Missing data tab:
Ignore missing data: Activate this option to use the Ten Berge algorithm to handle missing
data.
Outputs tab:
PANOVA table: Activate this option to display the PANOVA table.
Residuals by object: Activate this option to display the residuals for each object.
Residuals by configuration: Activate this option to display the residuals for each configuration.
Scaling factors: Activate this option to display the scaling factors applied to each configuration.
Rotation matrices: Activate this option to display the rotation matrices corresponding to each
configuration.
The following options are available only if a PCA has been requested:
Eigenvalues: Activate this option to display the eigenvalues of the PCA.
Consensus configuration: Activate this option to display the coordinates of the dimensions for
the consensus configuration.
Configurations: Activate this option to display the coordinates of the dimensions for each
configuration.
Objects coordinates: Activate this option to display the coordinates of the objects after the
transformations.
Presentation by configuration: Activate this option to display one table of coordinates

per configuration.
Presentation by object: Activate this option to display one table of coordinates per
object.
Charts (PCA) tab:
The following options are available only if a PCA has been requested:
Eigenvalues: Activate this option to display the scree plot.

Correlations charts: Activate this option to display the correlations charts for the consensus
configuration and individual configurations.
Vectors: Activate this option to display the dimensions in the form of vectors.
Objects coordinates: Activate this option to display the maps showing the objects.
Presentation by configuration: Activate this option to display a chart where the color
depends on the configuration.
Presentation by object: Activate this option to display a chart where the color depends
on the object.
Full biplot: Activate this option to display the biplot showing both the objects and the
dimensions of all configurations.

Charts tab:
Residuals by object: Activate this option to display the bar chart of the residuals for each
object.
Residuals by configuration: Activate this option to display the bar chart of the residuals for
each configuration.
Scaling factors: Activate this option to display the bar chart of the scaling factors applied to
each configuration.
Test histograms: Activate this option to display the histograms that correspond to the
consensus and dimensions tests.

Results
PANOVA table: Inspired from the format of the analysis of variance table of the linear model,
this table allows to evaluate the relative contribution of each transformation to the evolution of
the variance. In this table are displayed the residual variance before and after the
transformations, the contribution to the evolution of the variance of the rescaling, rotation and
translation steps. The computing of the Fisher’s F statistic allows to compare the relative
contributions of the transformations. The corresponding probabilities allow to determine whether
the contributions are significant or not.
Residuals by object: This table and the corresponding bar chart allow to visualize the
distribution of the residual variance by object. Thus, it is possible to identify for which objects the
GPA has been the less efficient, in other words, which objects are the farther from the
consensus configuration.
Residuals by configuration: This table and the corresponding bar chart allow to visualize the
distribution of the residual variance by configuration. Thus, it is possible to identify for which
configurations the GPA has been the less efficient, in other words, which configurations are the
farther from the consensus configuration.
Scaling factors for each configuration: This table and the corresponding bar chart allow to
compare the scaling factors applied to the configurations. It is used in sensory analysis to
understand how the experts use the rating scales.
Rotation matrices: The rotation matrices that have been applied to each configuration are
displayed if requested by the user.
Results of the consensus test: This table displays the number of permutations that have been
performed, the value of Rc which corresponds to the proportion of the original variance
explained by the consensus configuration, and the quantile corresponding to Rc, calculated
using the distribution of Rc obtained from the permutations. To evaluate if the GPA is effective,
one can set a confidence interval (typically 95%), and if the quantile is beyond the confidence
interval, one concludes that the GPA significantly reduced the variance.
Results of the dimensions test: This table displays for each factor retained at the end of the
PCA step, the number of permutations that have been performed, the F calculated after the
GPA (F is here the ratio of the variance between the objects, on the variance between the
configurations), and the quantile corresponding to F calculated using the distribution of F
obtained from the permutations. To evaluate if a dimension contributes significantly to the quality
of the GPA, one can set a confidence interval (typically 95%), and if the quantile is beyond the
confidence interval, one concludes that factor contributes significantly. As an indication are also
displayed, the critical values and the p-value that corresponds to the Fisher’s F distribution for
the selected alpha significance level. It may be that the conclusions resulting from the Fisher’s F
distribution is very different from what the permutations test indicates: using Fisher’s F
distribution requires to assume the normality of the data, which is not necessarily the case.
Results for the consensus configuration:

Objects coordinates before the PCA: This table corresponds to the mean over the
configurations of the objects coordinates, after the GPA transformations and before the PCA.
Eigenvalues: If a PCA has been requested, the table of the eigenvalues and the corresponding
scree-plot are displayed. The percentage of the total variability corresponding to each axis is
computed from the eigenvalues.
Correlations of the variables with the factors: These results correspond to the correlations
between the variables of the consensus configuration before and after the transformations (GPA
and PCA if the latter has been requested). These results are not displayed on the circle of
correlations as they are not always interpretable.
Objects coordinates: This table corresponds to the mean over the configurations of the objects
coordinates, after the transformations (GPA and PCA if the latter has been requested). These
results are displayed on the objects charts.
Results for the configurations after transformations:
Variance by configuration and by dimension: This table allows to visualize how the
percentage of total variability corresponding to each axis is divided up for the configurations.
Correlations of the variables with the factors: These results, displayed for all the
configurations, correspond to the correlations between the variables of the configurations before
and after the transformations (GPA and PCA if the latter has been requested). These results are
displayed on the circle of correlations.
Objects coordinates (presentation by configuration): This series of tables corresponds to

the objects coordinates for each configuration after the transformations (GPA and PCA if the
latter has been requested). These results are displayed on the first series of objects charts.
Objects coordinates (presentation by object): This series of tables corresponds to the

objects coordinates for each configuration after the transformations (GPA and PCA if the latter
has been requested). These results are displayed on the second series of objects charts..
Example
A tutorial on Generalized Procrustean Analysis is available on the Addinsoft website. To view
this tutorial go to:
http://www.xlstat.com/demo-gpa.htm
References
Commandeur J.J.F. (1991). Matching Configurations. DSWO Press, Leiden.
Dijksterhuis G.B. and Gower J.C. (1991). The interpretation of generalized procrustes
analysis and allied methods. Food Quality and Preference. 3, 67-87.
Gower J.C. (1975). Generalised Procrustes Analysis. Psychometrika, 40 (1), 33-51.

Science, Amsterdam.
Rodrigue N. (1999). A comparison of the performance of generalized procrustes analysis and

the intraclass coefficient of correlation to estimate interrater reliability. Department of
Epidemiology and Biostatistics. McGill University.
Ten Berge J.M.F., Kiers H.A.L. and Commandeur J.J.F. (1993). Orthogonal procrustes
rotations for matrices with missing values. British J. of mathematical and statistical psychology.
46, 119-134.
Wakeling I.N., Raats M.M. and MacFie H.J.H. (1992). A new significance test for consensus in
generalized Procrustes analysis. Journal of Sensory Studies, 7, 91-96.
Wu W., Gyo Q., de Jong S. and Massart D.L. (2002). Randomisation test for the number of
dimensions of the group average space in generalised Procrustes analysis. Food Quality and
Preference, 13, 191-200.

Multiple Factor Analysis (MFA)
Use the Multiple Factor Analysis (MFA) to simultaneously analyze several tables of variables,
and to obtain results, particularly charts, that allow to study the relationship between the
observations, the variables and the tables. Within a table, the variables must be of the same
type (quantitative table, qualitative table or frequency table), but the tables can be of different
types.
In this section:
Description
Dialog box
Results
Example
References
Description
Multiple Factor Analysis (MFA) makes it possible to analyze several tables of variables
simultaneously, and to obtain results, in particular charts, that allow studying the relationship
between the observations, the variables and tables (Escofier and Pagès, 1984).
The MFA is a synthesis of the PCA (Principal Component Analysis) for quantitative tables, the
MCA (Multiple Correspondence Analysis) for qualitative tables and the CA (Correspondence
Analysis) for frequency tables. The methodology of the MFA breaks up into two phases:
We successively carry out for each table a PCA, an MCA or a CA according to the type of the
variables of the table. One stores the value of the first eigenvalue of each analysis to then
weight the various tables in the second part of the analysis.
One carries out a weighted PCA on the columns of all the tables, knowing that the tables of
qualitative variables are transformed into complete disjunctive tables, each indicator variable
having a weight that is a function of the frequency of the corresponding category. The weighting
of the tables prevent that the tables which include more variables weight too much in the
analysis.
This method can be very useful to analyze surveys for which one can identify several groups of
variables, or for which the same questions are asked at several time intervals.
The authors that developed the method (Escofier and Pagès, 1984) particularly insisted on the
use of the results which are obtained from the MFA. The originality of method is that it allows
visualizing in a two or three dimensional space, the tables (each table being represented by a
point), the variables, the principal axes of the analyses of the first phase, and the individuals. In
addition, one can study the impact of the other tables on an observation by simultaneously
Sensory data analysis 797 Multiple Factor Analysis (MFA)

visualizing the observation described by the all the variables and the projected observations
described by the variables of only one table.
Dialog box
observations.
General tab:
Observations/variables table: Select the data that correspond to n observations described by

p variables and grouped into K tables. If column headers have been selected, check that the
Number of tables: Enter the number K of tables in which the selected data are subdivided.
Table labels: Activate this option if you want to use labels for the K tables. If this option is not
activated, the name of the tables are automatically generated (Table1,Table2, ….). If column
Number of variables per table:
Equal: Choose this option if the number of variables is identical for all the tables. In that
case XLSTAT determines automatically the number of variables in each table
variables contained in each table. If the "Variable labels" option has been activated, the
first row must correspond to a header.

explanatory variables, weights, observations labels) includes a header. Where the selection is a
correlation or covariance matrix, if this option is activated, the first column must also include the
variable labels.
header has been selected, check that the "Variable labels" option is activated. If your data
contains frequency tables, weights will be automatically set to 1 even if you have selected a
vector of weights.
Options tab:
Data type: Specify the type of data contained in the various tables, knowing that the type must
be the same within a given table. In the case where the "Mixed type" is selected, you need to
select a column that indicates the type of data in each table. Use 0 for a table that contains
quantitative variables, 1 for a table that contains qualitative variables and 2 for frequency tables.
PCA options: (only for quantitative tables)
PCA type: you can choose between correlation (normalized PCA) or covariance (non
normalized PCA).
MCA options: (only for qualitative tables)
Sort categories alphabetically: Activate this option so that the categories of all the
variables are sorted alphabetically.

Supplementary observations: Activate this option if you want to calculate the coordinates and
represent additional observations. These observations are not taken into account for the factor
axis calculations (passive observations as opposed to active observations). If the first row of the
data selection for supplementary observations includes a header you must activate the
"Variable labels for supp. obs" option. You can also select labels for supplementary observations
which will be used for the display.
Supplementary tables: Activate this option if you want to use some tables as supplementary
tables. The variables of these tables will not be taken into account for the computation of the
factors of the MFA. However, the separate analyses of the first phase of the MFA will be run on
these tables. Select a binary vector that let XLSTAT know which are among the K tables the
active ones (1) and the supplementary ones (0).
Missing data tab:
data.
Adapted strategies: Activate this option to choose strategies that are adapted to the data type.
Quantitative variables:
Mean: Activate this option to estimate the missing data of an observation by the mean of
the corresponding variable.
Nearest neighbor: Activate this option to estimate the missing data of an observation by
Qualitative variables:
New category: Choose this option to group missing data into a new category of the
corresponding variable.
Nearest neighbor: Activate this option to estimate the missing data of an observation by
Outputs tab:

The outputs tab is divided into five sub-tabs:
General:
These outputs concern all the analyses:
Descriptive statistics: Activate this option to display the descriptive statistics for all the
selected variables.
Display results for separate analyses: Activate this option to display results of analysis of
each table separately. If the option is not activated only MFA results will be displayed.
Contributions: Activate this option to display the contribution tables.
Squared cosines: Activate this option to display the tables of squared cosines.
PCA:
These outputs only concern the PCA:
space.
variables.
Factor scores: Activate this option to display the coordinates of the observations (factor scores)
in the new space created by PCA.
MCA:
These outputs only concern the MCA:
Factor loadings: Activate this option to display the coordinates of the categories in the factor
space.
Factor scores: Activate this option to display the coordinates of the observations in the factor
space.
CA:
These outputs only concern the CA:
Column coordinates: Activate this option to display the coordinates of the columns in the factor
space.
Row coordinates: Activate this option to display the coordinates of the rows in the factor space.

MFA:
These results correspond to the second phase of the MFA:
Tables:
Coordinates: Activate this option to display the coordinates of the tables in the MFA
space. Note: the contributions and the squared cosines are also displayed if the
corresponding options are checked in the Outputs/General tab.
Lg coefficients: Activate this option to display the Lg coefficients.
RV coefficients: Activate this option to display the RV coefficients.
Variables:
Factor loadings: Activate this option to display the factor loadings in the MFA space.
Variables/Factors correlations: Activate this option to display the correlations between

factors and variables in the MFA space.
Partial axes:
Maximum number: Enter the maximum number of factors to keep from the analyses of
the first phase that you then want to analyze in the MFA space.
Coordinates: Activate this option to display the coordinates of the partial axes in the
space obtained from the MFA.
Correlations: Activate this option to display the correlations between the factors of the
MFA and the partial axes.
Correlations between axes: Activate this option to display the correlations between the
partial axes.
Observations:
Factor scores: Activate this option to display the factor scores in the MFA space.
Coordinates of the projected points: Activate this option to display the coordinates of
the projected points in the MFA space. The projected points correspond to the projections
of the observations in spaces reduced to the number of dimensions of each table.
Charts tab:
The charts tab is divided into five sub-tabs:

General:
These options are for all the analyses:
Display charts on two axes: Activate this option if you want that the numerous graphical
representations displayed after the PCA, MCA and MFA are only displayed on the first two axes,
without your being prompted after each analysis.
Options for observations:

(communalities) are bigger than a value to enter will be displayed on the plots.
Color by group: Activate this option, if you want to color observation points according to levels
of a qualitative variable. Then select a vertical vector that must have as many rows as there are
active observations. If headers were selected for the main table, ensure that a label is also
present for the variable in this selection.
PCA:
These options concern only the charts of PCA:
components and the variables.
Vectors: Activate this option to display the variables with vectors.
Observations charts: Activate this option to display the charts that allow visualizing the
Labels: Activate this option to display the observation labels on the charts.
Biplots: Activate this option to display the charts where the input variables and the observations
are simultaneously displayed.
Labels: Activate this option to display the observation labels on the biplots.


MCA:
These options concern only the charts of MCA:
Labels: Activate this option to display the categorie labels on the charts.
Labels: Activate this option to have observation labels displayed on the charts.
Biplot:
Symmetric plots: Activate this option to display on the same chart principal coordinates of
observations and principal coordinates of categories.
CA:
These options concern only the charts of CA:
Columns chart: Activate this option to display the chart showing the principal coordinates of
columns.
Rows chart: Activate this option to display the chart showing the principal coordinates of rows.
Labels: Activate this option to have observation labels displayed on the charts.
Biplots: Activate this option to display principal coordinates of rows and principal coordinates of
columns on the same chart.
MFA:
These options concern only the results of the second phase of the MCA:

Table charts: Activate this option to display the charts that allow to visualize the tables in the
MFA space.
components and the quantitative variables used in the MFA.
Observations charts: Activate this option to display the chart of the observations in the MFA
space.
Correlation charts (partial axes): Activate this option to display the correlation chart for the
partial axes obtained from the first phase of the MFA.
Charts of the projected points: Activate this option to display the chart that shows at the same
time the observations in the MFA space, and the observations projected in the sub-space of the
each table.
Observation labels: Activate this option to display the observations labels on the charts.
Projected points labels: Activate this option to display the labels of the projected points.
Results
The results of the analyses performed on each individual table (PCA, MCA or CA) are then
displayed if you have selected the option Display results for separate analyses. These results
are identical to those you would obtain after running the PCA, MCA or CA function of XLSTAT.
Afterwards, the results of the second phase of the MFA are displayed.
At first, eigenvalues, variable results and observation results are displayed as in the case of
PCA. Then the results specific to MFA are displayed:
The coordinates of the tables are then displayed and used to create the plots of the tables.
The latter allow to visualize the distance between the tables. The coordinates of the
supplementary tables are displayed in the second part of the table. Then contributions and
squared cosines for tables are displayed.
Lgcoefficients: The Lg coefficients of relationship between the tables allow to measure to what
extent the tables are related two by two. The more variables of a first table are related to the
variables of the second table, the higher the Lg coefficient.
RV coefficients: The RV coefficients of relationship between the tables are another measure
derived from the Lg coefficients. The value of the RV coefficients varies between 0 and 1.
The coordinates of the partial axes, and even more their correlations, allow to visualize in the
new space the link between the factors obtained from the first phase of the MFA, and those
obtained from the second phase.

The correlations between partial axes allow to understand the link between factorial axes of
the different analyses.
Last, the coordinates of the projected points in the space resulting from the MFA are
displayed. The projected points correspond to projections of the observations in the spaces
reduced to the dimensions of each table. The representation of the projected points
superimposed with those of the complete observations makes it possible to visualize at the
same time the diversity of the information brought by the various tables for a given observation,
and to visualize the relative distances from two observations according to the various tables.
Example
An example of Multiple Factor Analysis on mixed data is available on the Addinsoft website:
http://www.xlstat.com/demo-mfa.htm
An example of Multiple Factor Analysis on frequency tables is available on the Addinsoft

website:
http://www.xlstat.com/demo-mfafreq.htm
References
Bécue-Bertaut M, Pagès J. (2008). Multiple factor analysis and clustering of a mixture of
quantitative, categorical and frequency data, Computational Statistics and Data Analysis, vol.
52 (pg. 3255-68).
Escofier B. and Pagès J. (1984). L'analyse factorielle multiple: une méthode de comparaison
de groupes de variables. In : Sokal R.R., Diday E., Escoufier Y., Lebart L., Pagès J. (Eds), Data
Analysis and Informatics III, 41-55. North-Holland, Amsterdam.
Escofier B. and Pagès J. (1994). Multiple Factor Analysis (AFMULT package). Computational
Statistics and Data Analysis, 18, 121-140.
Escofier B. and Pagès J. (1998). Analyses Factorielles Simples et Multiples : Objectifs,

Méthodes et Interprétation. Dunod, Paris.
Robert P. and Escoufier Y. (1976). An unifying tool for linear multivariate methods. The RV
coefficient. Applied Statistics, 25 (3), 257-265.

STATIS
Use STATIS to analyze multiple configurations of objects / quantitative variables. This method
allows
to study and visualize the links between the objects
to study the agreements between the configurations
In this section :
Description
Dialog box
Results
Example
References
Description
The STATIS method is a multi-configurations data analysis method most used in sensometry.
The configurations can be various assessors, subjects or judges. STATIS can be particularly
used in the case of projective mapping / Napping, conventional profiling, free choice profiling.
The great interest of STATIS is that atypical configurations have a smaller weight than this of
central configurations. Therefore, the analysis best reflects the general point of view and not
those atypical configurations.
Uses of STATIS
There are several applications for STATIS, including:
- Study and visualization of objects in the main plans;
- Study of the links between the configurations, especially to find the most atypicals.
Principle of STATIS
STATIS is a method working on the scalar matrix of each configuration, thus making it possible
to work with configurations with different numbers of columns. Its aim is to form a consensus
configuration that reflects at best the different configurations. This consensus can then be
projected on different axes. If the information associated with 2 or 3 first axes represents a
sufficient percentage of the total variability of the consensus, the objects will be able to be
represented on a 2- 3-dimensional chart, thus making interpretation much easier.
Sensory data analysis 807 STATIS

Two cases exist:
1. The number of the p variables is identical for the m configurations.
2. The number p of the variables varies from one configuration to the other.
For data entry, XLSTAT asks you to select a configuration corresponding to the m contiguous
configurations, and to give the case of structure.
Scaling and global scaling
If the data within a configuration are not on the same scale, it is advisable to scale (reduce) the
variables of each configuration. For example, this is not the case for ratings between 0 and 20,
but it is advised if some notes lay between 0 and 10 and others between 0 and 20.
Classically, the overall reduction of each configuration is recommended. It allows to put all the
configurations on an equal footing in term of variance. For example, in the case, of
configurations where the attributes are noted between 0 and 20 by assessors, it will remove
scale factors between the assessor that only notes between 5 and 15 and the assessor that
uses the full scale of notes.
The representation of objects in the space of k factors allows to visually interpret the proximities
between the objects, by means of precautions.
We can consider that the projection of an object on a plan is reliable if the object is far from the
center of the graph.
Number of factors
Two methods are commonly used to determine how many factors must be retained for the
interpretation of the results:
- Watch the decreasing curve of eigenvalues. The number of factors to be kept corresponds to
the first turning point found on the curve.
- We can also use the cumulative variability percentage represented by the factor axes and
However, these representations are only reliable if the sum of the variability percentages
associated with the axes of the representation space are sufficiently high. If this percentage is
high (for example 80%), the representation can be considered as reliable. If the percentage is

low, it is recommended to produce representations on several axis pairs in order to validate the
interpretation made on the two first factor axes.
Dialog box
observations.
General tab:
Configurations: Select the data that correspond to the configurations. If a column header has
Number of configurations: Enter the number of contiguous configurations in the configurations

table.
Number of variables per configuration:
Equal: Choose this option if the number of variables is identical for all the configurations.
In that case XLSTAT determines automatically the number of variables in each
configuration
variables contained in each configuration. If the "Variable labels" option has been
activated, the first row must correspond to a header.
Configuration labels: Check this option if you want to use the available configuration labels. If
you don't check this option, labels will be created automatically (Config.1, Config.2, etc.). If a

Variable labels: Activate this option if the first row (or column if in transposed mode) of the
selected data (configurations, configuration labels, object labels) contains a header.
Object labels: Check this option if you want to use the available configuration labels. If you do
not check this option, labels will be created automatically (Obj.1, Obj. 2, etc.). If a column
Options tab:
Scaling (variables) : Activate this option to reduce the variables.
Global scaling : Activate this option to globally reduce the configurations.
must represent.
Missing data tab :
starts.
Outputs tab:
selected.

Consensus coordinates : Activate this option to display the coordinates of the consensus in
the factors space.
RV matrix: Activate this option to display the RV matrix.
Scaling factors: Activate this option to display the scaling factors.
Weights: Activate this option to display the weights created and used by STATIS.
Consensus configuration: Activate this option to display the consensus configuration created
by STATIS.
Homogeneity: Activate this option to display homogeneity of the configurations.
RV config/consensus: Activate this option to display the RV coefficient among each

configuration and the consensus.
Global error: Activate this option to display the error of the STATIS criterion.
Residuals by configuration: Activate this option to display the error of the STATIS criterion for
each configuration.
Residuals by object: Activate this option to display the error of the STATIS criterion for each
object.
Correlations: Activate this option to display the correlations between factors and the initial
variables.
Objects coordinates : Activate this option to display the coordinates of objects in the factor
space.
Presentation by configuration : Activate this option to display a table coordinates by

configuration.
Presentation by object: Activate this option to display a table coordinates by object.
Charts tab:
Eigenvalues : Activate this option to display the scree plot of the eigenvalues.
Consensus coordinates : Activate this option to display the plot of the consensus coordinates
in the factors space.
Scaling factors: Activate this option to display the bar chart of the scaling factors.
Weights: Activate this option to display the bar chart of the weights created and used by
STATIS.
RV config/consensus: Activate this option to display the bar chart of the RV coefficient among
each configuration and the consensus.

Residuals by configuration: Activate this option to display the bar chart of the error of the
STATIS criterion for each configuration.
Residuals by object: Activate this option to display the bar chart of the error of the STATIS
criterion for each object.
Correlations : Activate this option to display charts showing the correlations between the
factors and initial variables. This chart is named correlation circle.
Results
Eigenvalues: The eigenvalues and corresponding chart (scree plot ) are displayed.
Consensus coordinates : Consensus coordinates in the factors space are displayed, with the
corresponding charts (depending on the number of factors chosen).
RV matrix: The matrix of RV coefficients between all configurations is displayed. The coefficient
RV is a coefficient of similarity between two configurations included between 0 and 1. The
closer it is to 1, the stronger the similarity. This matrix is used by STATIS to calculate the
weights of the configurations.
Scaling factors: The scaling factors are displayed with the associated bar chart. The larger a
scale factor in a configuration, the smaller the scale of the configuration used. This table is used
in sensory analysis to understand how assessors use differently the rating scales.
Weights: The weights calculated by STATIS are displayed, with the associated bar chart. The
greater the weight, the more the configuration contributed to the consensus. Knowing that
STATIS gives more weight to the closest configurations from a global point of view, a much
lower weight than the others will mean that the configuration is atypical.
Consensus configuration: The consensus configuration is displayed. It corresponds to the

weighted average of the scalar product matrices of the initial configurations (possibly reduced
by variable and / or globally).
Homogeneity: The homogeneity of the configurations is displayed. It is a value between 1/m (m

being the number of configurations) and 1, which increases with the homogeneity of the
configurations.
RV config/consensus: The RV coefficients between the configurations and the consensus are
displayed, with the associated bar chart. Like the weights of STATIS, these coefficients make it
possible to detect atypical configurations. The advantage of these coefficients is that they are
between 0 and 1, so they are easier to interpret than the weights.
Global error: The global error of the STATIS criterion is displayed. It corresponds to the sum of
all residuals (which can be presented by configuration or object).
Residuals by configuration : This table and the corresponding bar chart make it possible to
visualize the distribution of the residuals by configuration. It is thus possible to identify for which

configurations STATIS has been less efficient, or in other words, which configurations stand out
the most from the consensus.
Residuals by object : This table and the corresponding bar chart make it possible to visualize
the distribution of the residuals by object. It is thus possible to identify for which objects STATIS
has been less efficient, or in other words, which objects stand out the most from the consensus.
Correlations: The correlations among the factors and the initial variables, as well as the
correlation circle are displayed. This chart shows the links between the different variables and
the factors.
Objects coordinates (presentation by configuration) : This series of tables corresponds to

the coordinates of the objects for each configuration, after the optionnal scaling and global
scaling then the projection on the factors. The presentation is made by configuration.
Objects coordinates (presentation by object) : This series of tables corresponds to the

coordinates of the objects for each configuration, after the optionnal scaling and global scaling
then the projection on the factors. The presentation is made by object.
Example
A tutorial on how to use STATIS is available on the Addinsoft website:
http://www.xlstat.com/demo-sti.htm
References
Lavit, C., Escoufier, Y., Sabatier, R., Traissac, P. (1994). The act (statis method).
Computational Statistics & Data Analysis, 18 ,1, 97-119.
Llobell, F., Cariou, V., Vigneau, E., Labenne, A., Qannari, E. M. (2018). Analysis and
clustering of multiblock datasets by means of the STATIS and CLUSTATIS methods. Application
to sensometrics. Food Quality and Preference, in Press.
Schlich, P. (1996). Defining and validating assessor compromises about product distances and
attribute Correlations. In: Næs and Risvik (ed.): Multivariate Analysis of Data in Sensory
Science, 259-306.

CATATIS
Use CATATIS to analyze Check-All-That-Apply (CATA) data. This method allows
to study and visualize the links between the products and attributes
to study the agreements between the assessors
In this section :
Description
Dialog box
Results
Example
References
Description
The CATATIS method is an improvement of the usual method for processing CATA data. It is
considered as the equivalent of the STATIS method for this type of data. The great interest of
CATATIS lies in the fact that atypical assessors have a lower weight than those who agree with
the rest of the panel. Therefore, the analysis best reflects the general point of view and not
those atypical assessors.
Uses of CATATIS
There are several applications for CATATIS, including:
Study and visualization of the products and the attributes in the main plans;
Study of the links between the assessors, especially to find the most atypicals.
Principle of CATATIS
The objective of CATATIS is to form a consensus configuration that reflects at best the different
assessors. This consensus can then be projected on different axes by a Correspondance
Analysis. If the information associated with 2 or 3 first axes represents a sufficient percentage of
the total variability of the consensus, the products and attributes will be able to be represented
on a 2- 3-dimensional chart, thus making interpretation much easier.
Sensory data analysis 814 CATATIS

There are two different formats:
1. All the data are merged horizontally (horizontal format).
2. All the data are merged vertically (vertical format).
For data entry, XLSTAT asks you to select all the data, and to give the format type. In the case
of the vertical format, product and assessor labels are mandatory.
The representation of the products and attributes in the space of k factors allows to visually
interpret the proximities between the products and attributes, by means of precautions.
We can consider that the projection of a product or an attribute on a plan is reliable if it is far
from the center of the graph.
Number of factors
Two methods are commonly used to determine how many factors must be retained for the
interpretation of the results:
Watch the decreasing curve of eigenvalues. The number of factors to be kept

corresponds to the first turning point found on the curve.
We can also use the cumulative variability percentage represented by the factor axes and
These representations are only reliable if the sum of the variability percentages associated with
the axes of the representation space are sufficiently high. If this percentage is high (for example
80%), the representation can be considered as reliable. If the percentage is low, it is
recommended to produce representations on several axis pairs in order to validate the
interpretation made on the two first factor axes.
Dialog box

observations.
files .
General tab:
CATA data (0/1): Select the data that correspond to the different assessors. If a column header
has been selected, check that the "Attribute labels" option has been activated.
Format: Click on horizontal or vertical depending on the structure of your data.
If the format is horizontal:
Number of assessors: Enter the number of assessors in CATA data.
Product labels: Check this option if you want to use the available product labels. If you do not
check this option, labels will be created automatically. If a column header has been selected,
check that the "Attribute labels" option has been activated.
Assessor labels: Check this option if you want to use the available assessor labels. If you do
not check this option, labels will be created automatically. If a column header has been selected,
check that the "Attribute labels" option has been activated.
If the format is vertical:
Products: Select the products corresponding to the CATA data rows. If a column header has
been selected, check that the "Attribute labels" option has been activated.
Assessors: Select the assessors corresponding to the CATA data rows. If a column header has
been selected, check that the "Attribute labels" option has been activated.

Attribute labels: Activate this option if the first row (or column if in transposed mode) of the
selected data (CATA data (0/1), Product labels, Assessor labels) contains a header.
Options tab:
must represent.
Missing data tab :
Outputs tab:
Descriptive statistics: Activate this option to display the number of checks by each assessor.
CA eigenvalues: Activate this option to display the table and chart (scree plot) of eigenvalues
of the CA on the consensus.
CA coordinates: Activate this option to display the coordinates of the consensus in the factors
space.
Similarity matrix (S): Activate this option to display the similarity matrix (Ochiai index).
Scaling factors: Activate this option to display the scaling factors.
Weights: Activate this option to display the weights created and used by CATATIS.
Consensus configuration: Activate this option to display the consensus configuration created
by CATATIS.
Homogeneity: Activate this option to display homogeneity of the assessors.
Similarity assessors/consensus: Activate this option to display the similarity coefficient

between each assessor and the consensus.
Global error: Activate this option to display the error of the CATATIS criterion.

Residual per assessor: Activate this option to display the error of the CATATIS criterion for
each assessor.
Residual per product: Activate this option to display the error of the CATATIS criterion for each
product.
Charts tab:
CA eigenvalues: Activate this option to display the scree plot of the CA eigenvalues.
CA biplot: Activate this option to display the plot of the consensus coordinates in the factors
space.
Display charts on two axes: Activate this option so that XLSTAT does not prompt you to select
the axes, and automatically displays the biplot on the first two axes.
Scaling factors: Activate this option to display the bar chart of the scaling factors.
Weights: Activate this option to display the bar chart of the weights created and used by
CATATIS.
Similarity assessors/consensus: Activate this option to display the bar chart of the similarity
index between each assessor and the consensus.
Residual per assessor: Activate this option to display the bar chart of the error of the CATATIS
criterion for each assessor.
Residual per product: Activate this option to display the bar chart of the error of the CATATIS
criterion for each product.
Results
Summary table: the number of assessors, products and attributes are displayed.
Descriptive statistics: The number of checks by assessor is displayed.
Eigenvalues of CA: The eigenvalues of CA and corresponding chart (scree plot ) are
displayed.
Product coordinates: The coordinates of the products of the consensus in the factors space
are displayed, with the corresponding charts (depending on the number of factors chosen).
Attribute coordinates: The coordinates of the attributes of the consensus in the factors space
are displayed, with the corresponding charts (depending on the number of factors chosen).
Similarity matrix (S): The matrix of similarity index between all assessors is displayed. The
similarity index is included between 0 and 1. The closer it is to 1, the stronger the similarity. This
matrix is used by CATATIS to calculate the weights of the assessors.
Scaling factors: The scaling factors are displayed with the associated bar chart. The larger a
scale factor of an assessor, the smaller the number of checks of this assessor.

Weights: The weights calculated by CATATIS are displayed, with the associated bar chart. The
greater the weight, the more the assessor contributed to the consensus. Knowing that CATATIS
gives more weight to the closest assessor from a global point of view, a much lower weight than
the others will mean that the assessor is atypical.
Consensus configuration: The consensus configuration is displayed. It corresponds to the

weighted average of the initial data.
Homogeneity: The homogeneity of the assessors is displayed. It is a value between 1/m (m

being the number of assessors) and 1, which increases with the homogeneity of the assessors.
Similarity assessors/consensus: The similarity indices between the assessors and the
consensus are displayed, with the associated bar chart. Like the weights of CATATIS, these
coefficients make it possible to detect atypical assessors. The advantage of these coefficients is
that they are between 0 and 1, so they are easier to interpret than the weights.
Global error: The global error of the CATATIS criterion is displayed. It corresponds to the sum
of all residuals (which can be presented by assessor or product).
Residual per assessor: This table and the corresponding bar chart make it possible to
visualize the distribution of the residuals by assessor. It is thus possible to identify for which
assessors CATATIS has been less efficient, or in other words, which assessors stand out the
most from the consensus.
Residual per product: This table and the corresponding bar chart make it possible to visualize
the distribution of the residuals by product. It is thus possible to identify for which products
CATATIS has been less efficient, or in other words, which products stand out the most from the
consensus.
Example
A tutorial on how to use CATATIS is available on the Addinsoft website:
http://www.xlstat.com/demo-ctt.htm
References
Llobell, F., Cariou, V., Vigneau, E., Labenne, A., Qannari, E. M. (2019). A new approach for
the analysis of data and the clustering of subjects in a CATA experiment. Food Quality and
Preference, 72, 31-39.

Semantic differential charts
Use this method to easily visualize on a chart, ratings given to objects by a series of judges on a
series of dimensions.
In this section:
Description
Dialog box
Results
Example
References
Description
Psychologist Charles E. Osgood has developed the visualization method Semantic differential
in order to plot the differences between individuals' connotations for a given word. When
applying the method, Osgood asked survey participants to describe a word on a series of scales
ranging from one extreme to the other (for example favorable/unfavorable). When patterns were
significantly different form one individual to the other or from one group of individuals to the
other, Osgood could then interpret the Semantic Differential as a mapping of the psychological
or even behavioral distance between the individuals or groups.
This method can also be used for a variety of applications:
Analysis of the experts’ perceptions for a product (for example a yogurt) described by a series of
criteria (for example, acidity, saltiness, sweetness, softness) on similar scales (either from one
extreme to the other, or on a similar likert scale for each criterion): a Semantic differential chart
will allow to quickly see which experts agree, and if significantly different patterns are obtained.
Survey analysis after a customer satisfaction survey.
Profile analysis of candidates during a recruitment session.
This tool can also be used in sensory data analysis. Here are two examples:
A panel of experts rates (from 1 to 5) a chocolate bar (the object) on three criteria (the
"attributes") namely the flavor, the texture, the odor. In this case, the input table contains in cell
(i,j) the rating given by the i-th judge to the product on the j-th criterion. The semantic differential
chart allows to quickly compare the judges.
A panel of experts rates (from 1 to 5) a series of chocolate bars (the objects) on three criteria
(the "attributes") namely the flavor, the texture, the odor. In this case, the input table contains in
cell (i,j) the average rating given by the judges to i-th the product on the j-th criterion. The
semantic differential chart allows to quickly compare the objects.
Sensory data analysis 820 Semantic differential charts

Dialog box
General tab:
Data: Select the data on the Excel worksheet. If a column header has been selected, check that
the "Descriptor labels" option has been activated.
Rows correspond to:
Objects: Choose this option to create a chart where values correspond to the abscissa,
descriptors to ordinates, and the objects to the lines on the chart.
Descriptors: Choose this option to create a chart where objects correspond to the
abscissa, descriptors to ordinates, and the descriptors to the lines on the chart.
Descriptor labels: Activate this option if the first row of the selected data (data, observation
labels) contains a header.
corresponding data. If the "Descriptor labels" option is activated you need to include a header in

Charts tab:
Color: Activate this option to use different colors when displaying the lines corresponding to the
various objects/descriptors.
Grid: Activate this option to display the grid on the chart.
Values: Activate this option to display the values on the chart.
Results
The result that is displayed is the Semantic Differential chart. As it is an Excel chart, you can
modify it as much as you want.
Example
An example of Semantic Differential Charts on the Addinsoft web site:
http://www.xlstat.com/demo-sd.htm
References
Judd C.M., Smith E.R. and Kidder L.H (1991). Research Methods in Social Relations. Holt,
Rinehart & Winston, New York.
Osgood C.E., Suci G.J. and Tannenbaum P.H. (1957). The Measurement of Meaning.
University of Illinois Press, Urbana.
Oskamp S. (1977). Attitudes and Opinions. Prentice-Hall, Englewood Cliffs, New Jersey.
Snider J. G. and Osgood C.E. (1969). Semantic Differential Technique. A Sourcebook. Aldine
Press, Chicago.

TURF Analysis
Use this tool to run a TURF (Total Unduplicated Reach and Frequency) analysis to highlight a
group of products that will reach better market share.
In this section:
Description
Dialog box
Results
Example
References
Description
The TURF (Total Unduplicated Reach and Frequency) method is used in marketing to highlight
a line of products from a complete range of products in order to have the highest market share.
From all the products of a brand, we can obtain a subset, which should be the line of products
with the maximum reach.
For example, let’s consider an ice cream manufacturer producing 30 different flavors and who
wants to put forward a line of six flavors that will reach as many consumers as possible. Thus,
he submitted a questionnaire to a panel of 500 consumers who scored each flavor on a scale
from 1 to 10. The manufacturer believes that the consumer will be satisfied and inclined to
choose the flavor if he gives a score above 8. TURF analysis will look for the combination of 6
flavors with greatest reach and frequency.
This method is a simple statistical method. It is based on a questionnaire (with scores on a fixed
scale). The analysis runs through every possible combination of products and records for each
combination (1) the percentage of those that desire at least 1 product in the given combination
(i.e. reach), and (2) the total number of times products are desired in the given combination (i.e.
frequency).
XLSTAT offers a variety of techniques to find the best combination of products: The enumeration
method will test all the combinations but may be time consuming; the greedy algorithm is very
fast but can stop on a local optimum and the fast search algorithm is close from the
enumeration method but it is faster and does not guarantee the optimal solution.
Methods
The data used are data from a questionnaire: one row per consumer and one column per
product. They should be in the form of scores (Likert scales). XLSTAT allows you to define
different scales. However, all notes must be on the same scale. The user chooses an interval in
which he considers that the goal is reached (eg scores greater than 8 in 10).
Sensory data analysis 823 TURF Analysis

XLSTAT allows you to use three different algorithms to find the right product line:
- The enumeration method: All combinations of k products on the p products (k < p) are
tested. We retain the combinations that have the highest reach and frequency.
The reach is defined by:
Reach = Number of consumers that desire at least 1 product in the given combination
This method is accurate but can be highly time consuming if p and k become large (eg for p =
40 and k = 12, there will be 5,586,853,480 combinations).
- The greedy algorithm: This algorithm is a simple heuristic that can find a good result very
quickly by maximizing the reach.
It works as follows:
- Find the product hitting the target more often (highest frequency)
- Select this product in the combination
- Remove the observations for which this product has reached the target
- Repeat until there is no observation to remove or until you are not able to withdraw any
observation
This algorithm is repeated many times with different initial conditions to minimize the risk of
falling into local optima. Its advantage lies in its quickness but it does not warrant obtaining the
global maximum.
- The fast algorithm: This algorithm is based on the same principle as the enumeration method
but when no improvement is found after a number of steps, a jump in the combinations is done
in order to avoid some "unnecessary" combinations. This algorithm does not guarantee to find
the local optimum but it will explore more possibilities than the greedy algorithm and it is less
costly than the enumeration method.
Constraints in TURF
XLSTAT allows to add constraints on the products in the framework of a TURF analysis. Two
kinds of constraints are available:
Constraints on the products: In that case, you can force a product to be included in a line
of products.
Constraints by group: In that case you select a supplementary variable associating a group to
each product. When the algorithm runs, at least one product of each group will be included in

the line.
Dialog box
observations.
General tab:
Data: Select the data in the form of scores on a common scale for all products. If headers have
been selected, please check the option "Labels samples" is enabled.
Subset size: Select the size of the subset (that is to say the number of products that must be
integrated into the product line).
Other groups: Select this option if you want to select another group of products in which a
subset will also be obtained. Sometimes two categories of products have to be represented in
the line. We want a certain number of products for each category. (In the case of the previous
example, we may want three ice creams and three sherbets.)
Scale: Choose the scale used to rate products. If you select "other", then you must enter a
minimum and the maximum of your scale.

Variable labels: Check this option if the first line of the selections (data, other group) contains a
label.
the selection.
Observation weight s: Activate this option if observations weights are available. Then select
the corresponding data. If the "Variable labels" option is activated you need to include a header
in the selection.
Constraints on the products: Activate this option if you want to include some products in all
the line of products. If this option is activated, when you press Ok, a new dialog box will enable
you to choose which product to include in your lines.
Constraints by group: Activate this option if you want that at least one of the products of each
group is included in the generated line of products. Select a column in which the group
associated to each product is given. This column should have as many elements as the number
of products. If the "Variable labels" option is activated you need to include a header in the
selection.
Options tab:
Number of combinations displayed: Enter the number of combinations you want to keep. It is
sometimes interesting to look at several combinations that get good reaches and frequencies to
select the best product line.
The objective is attained for scores between __ and __: Enter the lower and upper bounds
of the scores that will be considered as reaching the objective.
Method: Select the method you want to use for analysis TURF. For the list, you can enter a
maximum time for the algorithm stops automatically. If the number of combinations is reduced,
XLSTAT automatically opts for the enumeration method because it is accurate.
Missing data tab:
data.
Results
Frequencies by product: This table displays the frequency with which the objective has been
reached for each product.

Product lines obtained with the TURF analysis: This table displays for each selected
combination: the Reach, the frequency and the name of each product.
Product lines obtained with the TURF analysis (%): This table displays for each selected
combination: the percentage of observations for which the objective has been reached, the
frequency in percentage, and the frequency in percentage for each product in each
combination.
Two-way table (TURF): This table crosses all the products (rows) and all the line of products
(columns). The first and second rows are the reach and reach in percentage for each line. The
last column displays the frequency (in percentage) that each product has been included in the
generated lines of products. When a product is included in a line, the value in the table is the
global frequency divided by the reach (multiplied by 100).
Example
An example of TURF analysis is available at the Addinsoft website:
http://www.xlstat.com/demo-turf.htm
References
Miaoulis G., Free V. and Parsons H. (1990). TURF: A new planning approach for product line
extensions. Marketing Research, II (March), 28-40.
Krieger A. M. and Green P. E. (2000). TURF revisited: enhancements to total unduplicated

reach and frequency analysis. Marketing Research, 12 (Winter), 30-36.

Sensory wheel
Use the sensory wheel tool to create a chart that displays the words used to describe a product.
This tool allows you to create and display on the same chart a hierachy or to use it, if it is
already available.
In this section:
Description
Dialog box
Results
Example
References
Description
The sensory wheel tool allows to display on synthetic diagram (donought chart), a list of words
or a classification of words used to describe a product. This kind of information could also be
presented on a tree disagram, however a split on a tree means a clear alternative, which is not
the case here. For example, on a sensory wheel, you can decide that the left part concerns the
taste, and the right part the smell, without carrying any idea that pollutes the underanding of the
chart: words displayed on the left part concern the taste and words on the right part concern the
smell.
Ideally the classification should idealy be conceived such that a given word is present only once
on the diagram.
XLSTAT allows to use as input two different types of datasets:
A classification table that describes a hierarchy between words,
A list of unique words, with if available the frequencies or weights of the different words
(by default, relative weights are considered equal). If some words are repeated in the list,
repetitions can then either be considered or not.
Dialog box
Sensory data analysis 828 Sensory wheel

observations.
General tab:
Data: Select the data whether they correspond to a list of words or a classification table. If
headers have been selected, please check the option "Labels samples" is enabled.
Frequencies: Activate this option if you want to weight the words and take into account the
weighting on the sensory wheel.
Labels included: Check this option if the first line of the selections (data, frequencies) contains
a label.
Options tab:
Reformat words: Activate this option so that XLSTAT, on one hand identifies the repeated
words and on another removes spaces that might be before or after each word.
Size with frenquencies: Activate this option so that XLSTAT adapts the size of the donoughts
slices depending on the frequency of each word.
Number of levels: Enter the number of levels that should be taken into account (for nested
wheels).

Missing data tab:
data.
Outputs tab:
Word frequencies: Activate this option so that XLSTAT displayes the frequencies of % of each
word.
Results
If the option "option" has been activated, the first table displays the different words with for each
word its frequency and the corresponding %.
The sensory wheel is then displayed. The button that precedes the wheel allows to activate or
deactivate the chart. When it is active, a simple click on the chart displays a dialog box that
makes possible five different actions:
Merge two words
Move one word after the other
Rename a word
Align the words with the radius
Align the orientation of words perpendicularly to the radius
Example
An example showing how to generate a sensory wheel is available at the Addinsoft website:
http://www.xlstat.com/demo-sensowheel.htm
References
Meilgaard M.C., Da lgliesh C.E. and J.F. Clapperton (1979). Progress towards an
international system of beer flavour terminology. Journal of American Society of Brewing
Chemists , 37, 42-52.
Piggot J.R. and Jardine S.P. (1979). Descriptive sensory analusis of whiskey flavour. The
Journal of the Institute of Brewing and Distilling, 85, 82-85.

Design of experiments for sensory data analysis
Use this tool to create an experimental design in the context of sensory data analysis.
In this section:
Description
Dialog box
Results
Example
References
Description
Designing an experiment is a fundamental step for anyone who wants to ensure that data
collected will be statistically usable in the best possible way. No use to evaluate products from a
panel of judges if the products cannot be compared under statistically reliable conditions. It is
also not necessary to have each judge evaluate all products to compare products between
them.
This tool is designed to provide specialists in sensory analysis to provide a simple and powerful
tool to prepare a sensory evaluation where judges (experts and/or consumers) evaluate a set of
products.
When you want a panel of consumers to evaluate a set of products, say 9, the first issue that
arises is what is the appropriate number of consumers that should be involved, knowing that
there may be technical constraints (a limited number of trained consumers is available), or
budgetary constraints. Once the number of consumer is defined, for example 82, arises the
question of the maximum number of products that a consumer can evaluate during each
session. Rarely for budgetary reasons, but mostly because of physiological constraints: a
consumer, even trained, may not necessarily retain its sensory capabilities to rate too many
products at once. Imagine that the experiment shows that three products is a maximum for a
session and for organizational reasons, only two sessions can be arranged. Each consumer can
then evaluate a maximum of 6 products.
It remains to determine which products will be evaluated by each of the 82 consumers in each
session, and in what order. It is possible that the order has an influence (this is not the issue
here, but a proper design of experiments would allow verifying or invalidating this assumption).
To avoid penalizing certain products we should ensure that products are seen as often as
possible in the three different positions during each session. Furthermore, it is possible that
some sequences of products also have a bearing on sensory assessments. We restrict here to
consider pairs of products (carry-over of order 2). As for the order, we will also ensure that
different ordered pairs, 72 in our example, be present at a frequency as homogeneous as
possible in the design.
Sensory data analysis 831 Design of experiments for sensory data analysis
When generating the plan we therefore try to reconcile the following three requirements:
Products must be seen by as many judges as possible and with an overall frequency of the
different products as homogeneous as possible,
Each product must be seen in the different orders during each session, with an overall
frequency for each pair (order, product) as homogeneous as possible
The different ordered pairs of products must be present in the design of experiments with a
frequency as homogeneous as possible.
Measuring the performance of the design
Let N be the matrix with rows for products and columns for judges, and containing the
frequency in which each judge sees each product during each session. In the sensory designs
we are dealing with sensory, N contains either 0 or 1's (we impose that a jugde can evaluate
only once a given product during a session) and the marginal sums for columns are constant
and equal to k (the same number of products is being evaluated by each judge).
Maxtrix M = N N ′ contains on its diagonal the frequency in the design of each product, and
on the triangular parts the number of times each unordered pair of products has been evaluated
by a same judge. This matrix is called the concurrence matrix.
Matrix A∗ = I − qN N ′ qk (q is a diagonal matrix with the inverse of the square root of the
frequency of each product in the design) is directly related to the products information matrix,
and as as consequence, to the variances and covariances of the parameters of the products in
the ANOVA model we can compute once the ratings have been recorded. If we want to ensure
that the variances of the differences between the parameters associated with the products are
as uniform as possible, we need to ensure that the eigenvalues of the A∗ matrix are close to
each other.
We define the A-efficiency as the harmonic mean of the at most p − 1 nonzero eigenvalues of
matrix A∗ , and the D-efficiency as the geometric mean of the same values. The two criteria are
equal in the ideal case where all eigenvalues are equal.
Balanced Incomplete Block Designs
once the collected data. For this we make sure that the various levels of other factors are well
represented in each block.
In our case, the blocking factor corresponds to the judges, and the factor of interest we want to
study corresponds to the products.
the blocking factor. It is balanced if each level of the factor of interest are present a same
number of times r in the design, and if each pair of levels of each factor is present the same
number of times λ .
If v is the number of products studied, b the number of judges, k the number of products seen
by each judge, we show that the following conditions are necessary (but not sufficient) to have a
balanced incomplete block design:
bk = vr
r(k − 1) = λ(v − 1)
In the case where a balanced incomplete block design exists, the optimal value of the two
criteria (A and D-efficiency) is known. We have:
ν(k − 1)
E=
k(ν − 1)
XLSTAT allows users to search an optimal design within the meaning of the A-efficiency or the
D-efficiency, and whether in the case of complete plans or in the case of incomplete block
designs, whether balanced or not.
Algorithm to obtain a design
XLSTAT relies on two different techniques for generating designs. If the "Fast" option is selected
by the user and if ( vb ) is integer, then XLSTAT uses the cyclic plans initiated by Williams (1949),
and studied in great detail by John and Williams (1995). If (b/v) is not an integer or if the "Fast"
option has not been required, XLSTAT uses a proprietary (unpublished) algorithm to very
quickly generate an appropriate solution and, starting from this solution, it searches by
simulated annealing a better solution for a time defined by the user. If the design is a complete
or balanced incomplete block design and if the optimum is found, the search is interrupted
before the available time runs out.
Algorithms to improve the columnfrequency or the carry-over
Once the design is found (the matrix N is known), we need to order products to optimize the in
terms of column frequency and carry-over (Périnel and Pagès, 2004). We want that each
product is present the same number of times at a given position, and that each ordered pair is
also present the same number of times. In order to obtain that, XLSTAT uses two matrices: the
matrix of column frequencies and the matrix of carry-over. The goal of algorithm is to make as
homogeneous as possible these matrices. The matrix of the carry-over is a matrix that shows
the position ij the number of times that product i precedes product j in the design. We define a
parameter lambda which will allow us to favor either obtaining a good carry-over (λ close to 0)
or obtaining a column frequency matrix positions closest to the constant matrix (λ close to 1).
The optimization algorithm is iterative. It permutes the ranks of the products for each judge to
maximize the following criterion:
λ ∑ rij
2
+ (1 − λ) ∑ s2ij
i,j i,j
where rij are the elements of the column frequency matrix and sij are the elements of the
carry-over matrix. As soon as an optimal value is reached or as the maximum number of
iterations is reached the algorithm stops.
XLSTAT uses two criteria to verify the quality of the two matrices:
MDR (mean deviation of R): M DR = ∑i,j (rij − r ), which is the deviation for the elements
of the column frequency matrix.
MDS (mean deviation of S): M DS = ∑i,j (sij − s), which is the which is the deviation for
the elements of the carry-over matrix
For incomplete block designs, one can calculate the optimal value that should be reached.
Resolvable designs and improved presentation
A design is said to be resolvable if it can be divided into g groups of judges that are such that,
within each group, we have a unique instance of each product. Some balanced incomplete
block designs have this property. Presenting a design using such a subdivision into groups has
the advantage that if some judges do not appear, it is not necessary to rebuild a design of
experiment, but simply to ensure that the last experiments are canceled. This approach is also
particularly interesting when one wants to put in place several evaluation sessions (see below).
A condition for a balanced incomplete block design to be resolvable is that kv must be an integer
Even when they are balanced or not resolvable, XLSTAT tries to present the incomplete block
designs so that the products are present at most twice and, if possible once in a group of size
< kv > ( where < i > equals i if i is an integer, and the rounding to the next integer value
otherwise). Thus, if judges were finally absent, it does not penalize too much the quality of the
design.
Sessions
It is sometimes necessary to split sensory evaluations into sessions. To generate a design that
takes into account the need for sessions, XLSTAT uses the same intial design for each session
and then applies permutations to both rows and columns, while trying to keep as even as
possible column frequencies and carry-over. When the designs are resolvable or near
resolvable, the same judge will not be testing twice the same product during two different
sessions.
Dialog box
General tab:
Product: Enter the number of products involved in the experiment.
Products/Judge: Enter the number of products that should evaluate each judge. If the session
option is activated, you need to enter the number or products evaluated by each judge during
each session.
Judges: Enter the number of judges evaluating the products.
Sessions: Activate this option if the design should comprise more than one tasting session.
Judge labels: Activate this option if you want to select on an Excel sheet the labels that should
be used for the judges when displaying the results.
Options tab:
Method: Choose the method to use to generate the design.
Fast: Activate this option to use a method that reduces as much as possible the time
spent to find a fine design.
Search: Activate this option to define the time allocated to the search for an optimal
design. The maximum time must be entered in seconds.
Crite rion: Choose the criterion to maximise when searching for the optimal design.
A-efficiency: Activate this option to search for a design that maximizes the A-efficiency.
D-efficiency: Activate this option to search for a design that maximizes the D-efficiency.
Carry-over vs order effect: Define here your preference regarding what should be the priority
in the second phase when generating the design: choose among homogenizing the order
effect which is the frequency of the products rankings (the order in which they are evaluated),
or homogenizing the number of times two products are evaluated one after the other (carry-
over ).
Lambda: Let this parameter vary between 0 (priority given to carry-over) and 1 (priority
given to column frequency).
Ite rations: Enter the maximum number of iterations that can be used for the algorithm
that searches for the best solutions.
Product codes: Select how the product codes should be generated.
Product ID: Activate this option to use a simple product identifier (P1,P2, …).
Random code: Activate this option to use a random three letters code generated by
XLSTAT.
User defined: Activate this option to select on an Excel sheet the product codes you want
to use. The number of codes you select must correspond to the number of products.
Outputs tab:
Judges x Produc ts table: Activate this option to display the binary table that shows if a judge
rated (value 1) or not (value 0) a product.
Concurrence table: Activate this option to display the concurrence that shows how many times
two products have been rated by the same judge.
Judges x Ranks table: Activate this option to display the table that shows, for each judge,
which product is being rated at each step of the experiment.
Order effect table: Activate this option to display the table that shows how many times each
product has been rated at a given step of the experiment.
Carry-over table: Activate this option to display the table that shows how many times each
product has been rated just after another one.
Design table: Activate this option to display the table that can later be used for an ANOVA,
once the ratings given by the judges have been recorded.
Results
Once the calculations are completed, XLSTAT indicates the time spent looking for the optimal
plan. The two criteria A and D-efficiency are displayed. XLSTAT indicates if the optimal plan has
been found (case of a balanced incomplete block design). Similarly, if the plan is resolvable, it is
indicated and the group size is specified.
If sessions have been requested, a first set of results is displayed with results taking into
account all the sessions. The results for each session are then displayed
The Judges x Products table is displayed to show whether a judge has assessed (value 1) or
not (value 0) a product
The concurrence table: shows how many times two products have been rated by the same
judge.
The MDS/MDR table displays the criteria that allow assessing the quality of the column
frequencies and carry-over that have been obtained, compared to the optimal values.
The Judges x Ranks table shows, for each judge, which product is being rated at each step of
the experiment.
The order effect table shows how many times each product has been rated at a given step of
the experiment.
The carry-over table shows how many times each product has been rated just after another
one.
The design table can later be used for an ANOVA, once the ratings given by the judges have
been recorded.
Example
An example showing how to generate a DOE for sensory data analysis is available at the
Addinsoft website:
http://www.xlstat.com/demo-doesenso.htm
References
John J.A.and Whitaker D. (1993). Construction of cyclic designs using integer programming.
Journal of Statistical Planning and Inference, 36, 357-366.
John J.A.and Williams E.R. (1995). Cyclic Designs and Computer- Generated Designs. New
York, Chapman & Hall.
Pé rinel E. and Pagès J. (2004). Optimal nested cross-over designs in sensory analysis. Food
Quality and Preference, 15 (5), 439-446.
Wakeling I.N, Hasted A. and Buck D. (2001). Cyclic presentation order designs for consumer
research. Food Quality and Preference, 12, 39-46
Williams E.J. (1949). Experimental designs balanced for the estimation of residual effects of
treatments. Aust. J. of Sci. Res., 2, 149-164.
Design of experiments for sensory discrimination
tests
Use this tool to create an experimental design in the context of sensory discrimination tests.
This tool allows you to generate the setting for a variety of discrimination tests among which the
triangle test, the duo-trio test or the tetrad test.
In this section:
Description
Dialog box
Results
Example
References
Description
Designing an experiment is a fundamental step for anyone who wants to ensure that data
collected will be statistically usable in the best possible way. No use to evaluate products from a
panel of assessors if the products cannot be compared under statistically reliable conditions. It
is also not necessary to have each assessor evaluate all products to compare products between
them.
This tool is designed to provide specialists in sensory analysis a simple and powerful tool to
prepare a sensory discrimination test where assessors (experts and/or consumers) evaluate a
set of samples.
Before introducing a new product on the market, discrimination testing is an important step.
XLSTAT allows you to prepare the tests. XLSTAT allows you to generate combination of
products to be presented to your assessors so that they are in the correct settings for that kind
of test.
Sensory discrimination test are based on comparing two products that are presented in a
specific setting.
When creating your design, you have to know which test you want to apply, the number of
assessors and, if possible, the products’ names.
XLSTAT allows you to run:
Triangle test: 3 products are presented to each assessor in different orders. Within these
products, two are similar and the third one is different. Assessors have to identify the
product that is different from the others.
Duo-trio test: Assessors taste a reference product. Then they taste two different products.
Assessors must identify the product that is similar to the reference product.

Sensory data analysis 839 tests
Two out of five test: five products are presented to the assessors. These products are
separated into two groups, the first one with 3 identical products and the second one with
3 identical products. The assessors have to identify the group with 2 identical products.
2-AFC test: 2 products are presented to each assessor. The assessors have to tell which
product has the highest intensity for a particular characteristic.
3-AFC test: 3 samples are presented to each assessor. Two are similar and the third one
is different. The assessors have to tell which product has the highest intensity on a
particular characteristic.
Tetrad test: Four products grouped into two groups, with identical products within each
group are presented to each assessor. The assessors are asked to distinguish the two
groups.
For each test, you can generate a design of experiments obtained using randomization of the
available combinations.
You can specify more than one session and add labels to the assessors and products.
Dialog box
General tab:
Type of test: Select the name of the discrimination test you want to use.
Judges: Enter the number of judges evaluating the products.
Sessions: Activate this option if the design should comprise more than one tasting session.
Judge labels: Activate this option if you want to select on an Excel sheet the labels that should
be used for the judges when displaying the results.

Product codes: Select how the product codes should be generated.
Product ID: Activate this option to use a simple product identifier (P1,P2, …).
Random code: Activate this option to use a random three letters code generated by
XLSTAT.
User defined: Activate this option to select on an Excel sheet the product codes you want
to use. Two columns are required (one for each product), and the number of selected
rows must correspond to the number of different samples required for the experimental
design. Thus, 2 rows are required for the triangle, Duo-Trio, 3-AFC and Tetrad tests. The
2-AFC test only requires one row and the Two out of Five test requires 3 rows. Finally, it
should be noted that in the case of the Duo-Trio test, the cell (2,2) of the selected data
must be empty since product 2 only requires one sample.
Results
Once the calculations are completed, XLSTAT displays the question to be asked to the
assessors specific to the chosen test.
The next table displays the product that should be tasted by each assessor (one row = one
assessor, one column = one sample). The last column is left empty to allow you to enter the
result of the tasting. Note that for the Triangle, Duo-Trio and 2-AFC tests, the correct/incorrect
answer will be automatically filled if the user enters the answers of each judge into the design
table.
For 2-AFC, it will be necessary to enter the correct answer (which is the same for the whole
column) to use this feature.
Example
An example showing how to generate a DOE for discrimination test together with the analysis of
the results is available at the Addinsoft website:
http://www.xlstat.com/demo-sensotest.htm
References
Bi J. (2008). Sensory Discrimination Tests and Measurements: Statistical Principles,
Procedures and Tables. John Wiley & Sons.
Næs T., Brockhoff P. B. and Tomiæ O. (2010). Statistics for Sensory and Consumer Science.
John Wiley & Sons, Ltd.

Sensory discrimination tests
Use this tool to perform discrimination test, among which the triangle test, the duo-trio test or the
tetrad test.
In this section:
Description
Dialog box
Results
Example
References
Description
Before introducing a new product on the market, discrimination testing is an important step.
XLSTAT allows you to prepare the tests (see design of experiments for discriminantion tests)
and to analyze the results of these tests.
Two models can be used to estimate the parameters of these tests:
The guessing model;
The Thurstonian model.
XLSTAT allows you to run:
Triangle test: 3 products are presented to each assessor in different orders. Within these
products, two are similar and the third one is different. Assessors have to identify the
product that is different from the others.
Duo-trio test: Assessors taste a reference product. Then they taste two different products.
Assessors must identify the product that is similar to the reference product.
Two out of five test: five products are presented to the assessors. These products are
separated into two groups, the first one with 3 identical products and the second one with
3 identical products. The assessors have to identify the group with 2 identical products.
2-AFC test: 2 products are presented to each assessor. The assessors have to tell which
product has the highest intensity for a particular characteristic.
3-AFC test: 3 samples are presented to each assessor. Two are similar and the third one
is different. The assessors have to tell which product has the highest intensity on a
particular characteristic.
Sensory data analysis 842 Sensory discrimination tests

Tetrad test: Four products grouped into two groups, with identical products within each
group are presented to each assessor. The assessors are asked to distinguish the two
groups.
Each of these tests has its own advantages and drawbacks. A complete review on the subject if
available in the book by Bi (2008).
Some concepts should be introduced: pC is the probability of a correct answer, pD is a

probability of discrimination, pG is the guessing probability, d’ is the d-prime also called
Thurstonian delta. These concepts are detailed below.
Models
Two models are commonly used in discrimination testing:
The guessing model assumes that consumers are either discriminators or non- discriminators.
Discriminators always find the correct answer. Non- discriminators are guessing the answer with
a known guessing probability (which depend on the test used). Someone who does not taste a
difference will still have 1 chance out of 3 for the triangle test. The proportion of discriminators is
the proportion of people who are able to actually detect a difference between the products.
(pC −pG )
This concept can be expressed as pD = (1−pG ) where pC is the probability of a correct
answer and pG is the guessing probability.
In the Thurstonian model, the required parameter is not a probability of discrimination pD but a
d′ (d-prime). It is the sensory distance between the two products, where one unit represents a
standard deviation.
The assumptions are that the sensory representations of the products are following two normal
distributions and that the consumers are not categorized as discriminators/non-discriminators.
Consumers are always correct, translating what they perceive. Thus an incorrect answer is
translated into closeness between products that leads to an incorrect perception. If d′ is close to
0, then products cannot be discriminated.
For each test, you will have the guessing probability (as in the guessing model) and a
psychometric function that link d’ and the proportion of correct answers. These parameters are
specific to each test.
We have pC = f test (d′ )
Guessing probability
For each test the guessing probability which is the probability to obtain the correct answer by
guessing is equal to:
Triangle test: pG = 1/3
Duo-trio test: pG = 1/2
Two out of five test: pG = 1/10

2-AFC: pG = 1/2
3-AFC: pG = 1/3
Tetrad test: pG = 1/3

Psychometric functions
For each test the psychometric function which is the link between d′ and pC (the probability of
a correct answer) is defined by:
∞
Triangle test: pC = ftriangle (d′ ) = 2 ∫0 {Φ[−x 3 + d′ 2/3] + Φ[−x 3 −
d′ 2/3]}ϕ(x)dx
Duo-trio test: pC = fduo−trio (d′ ) = −Φ(d′/ 2 ) − Φ(d′/ 6 ) + Φ(d′/ 2 )Φ(d′/ 6 )
2-AFC: pC = f2−AF C (d′ ) = Φ(d′ / 2 )

∞
3-AFC: pC = f3−AF C (d′ ) = ∫−∞ ϕ(x − d′ )Φ[x]2 dx
∞
Tetrad test: pC = f tetrad (d′ ) = ∫−∞ ϕ(x)Φ[x]{1 − Φ[x − d′ ]}2 dx
These functions are estimated using the Gauss-Legendre or Gauss-Hermite algorithm for
numerical integration.
Calculating p-value and power
p-value and power for these tests are obtained using the binomial or normal distribution based
on the estimated pC .
Standard error and confidence intervals for the Thurstonian model parameters
When using the Thurstonian model, you can obtain standard error and confidence interval for
the parameters of interest.
For the probability of a correct answer pC , we have:
SE(pC) = P c(1 − P c)/N

For the probability of discrimination pD, we have:
1
SE(pD) = SE(pC)
1 − Pg
For the d′ , we have:
1
SE(d′ ) = ′ (d′ ) SE(pC)
ftest

Where f ′ is the derivative of the psychometric function with respect to d’ (Brockhoff and
Christensen, 2010).
Dialog box
General tab:
Type of test: Select the test you want to analyze.
Method: Select the model to be used between the Thurstonian model and the guessing model.
Input data: Select the type of data you want to select as input. Three options are available
depending on the chosen option, others options will be displayed.
Data selection case:
Test results: Select a column with as many rows as assessors and in which each cell gives the
result of the test for each assessor.
Code for correct: Enter the code used to identify a correct answer in the selected data.
Sample size case:
Number of assessors: Enter the total number of assessors in the study.
Number of correct answers: Enter the number of assessors that gave a correct answer to the
test.
Proportion case:
Number of assessors: Enter the total number of assessors in the study.

Proportion of correct answers: Enter the proportion of assessors that gave a correct answer
to the test.
The following options will appear only if the Thurstone model is selected.
Options for the Thurstone model:
D-prime: Activate this option if you want to enter a fixed value for d’. You can then enter the
value in the available textbox.
pD: Activate this option if you want to enter a fixed value for the proportion of distinguishers.
You can then enter the value in the available textbox.
Estimate: Activate this option if you want XLSTAT to estimate these values using the model.
Column labels: Activate this option if the first row of the selected data contains a label.
Statistic: Select the method to use to compute the confidence intervals.
Power: Select the distribution to be used to computer the power.
Results
Summary of selected options: This table displays the parameters selected in the dialog box.
The confidence interval for the proportion of discriminating assessors is then displayed.
The results that are displayed correspond to the test statistic, the p-value and the power for the
test. A quick interpretation is also given.
If the Thurstone model was selected, estimated probabilities and d’ are displayed together with
their standard error and confidence intervals.
Example
An example of discrimination test in sensory analysis is available on the Addinsoft website at:

http://www.xlstat.com/demo-sensotest.htm
References
Bi J. (2008). Sensory discrimination tests and measurements: Statistical principles, procedures
and tables. John Wiley & Sons.
Bi J. and O'Mahony M. (2013). Variance of d' for the Tetrad Test and Comparisons with Other
Forced-Choice Methods. Journal of Sensory Studies , 28, 91-101.
Brockhoff, P.-B., Christensen, R. H. B. (2010). Thurstonian models for sensory discrimination

tests as generalized linear models, Food Quality and Preference, 21, 330-338
Næs T., Brockhoff P. B., and Tomiæ O. (2010). Statistics for Sensory and Consumer Science.
John Wiley & Sons, Ltd.

Marketing tools
Price Sensitivity Meter (Van Westendorp)
Use this tool to identify the acceptable price range or the optimal prices for trial or revenue,
based on survey data.
In this section:
Description
Dialog box
Results
Example
References
Description
This version of price sensitivity analysis (and its impact on sales volume and revenue) is due to
Van Westendorp and was presented at the ESOMAR congress in 1976. It was later enriched by
Newton et al. in 1993, to respond to mainstream criticism that this previous method did not take
purchase intention into account.
This method consists of conducting a survey on a group of panelists of consumers and asking
them how they perceive the price of a specific product. + TCH: too cheap (the price point is
perceived too low for this specific product) + CH: cheap (the lower price range at which one
might buy the product) + EX: expensive (the upper price range at which one might buy the
product) + TEX: too expensive (above the price one would be willing to pay for this specific
product)
For this type of price sensitivity analysis, the usual result is a graph presenting a series of
curves whose intersections determine critical prices: from the survey data, six cumulative
distribution curves (or their opposites) are computed, first for the four types of prices collected
(too cheap, cheap, expensive, too expensive), then, by deduction, we calculate the distribution
for not cheap and not expensive.
For too cheap and cheap, we take the opposite of the distribution curve. For each of the prices
indicated by the panel participants, we calculate what proportion of respondents s indicated a
higher price. These curves therefore decrease from 1 to 0 when the price increases. For
expensive and too expensive, we take the cumulative distribution curve. Therefore, for each of
the prices indicated by the respondents, we calculate what proportion of consumers indicated a
lower price. These curves therefore increase from 0 to 1 when the price increases.
The intersection between the cheap and expensive curves is the price for which the same
number of panelists consider the product to be expensive or cheap. Even if it is not necessarily
strong, there is a disagreement between these two groups of same size of respondents on this
Marketing tools 848 Price Sensitivity Meter (Van Westendorp)

price which has been named Indifference Price (IDP). According to Van Westendorp, this price
corresponds to the reality of the market. The IDP can be interpreted as the median market price
for this type of product or as the price offered by a market leader.This is the right price point for
a majority of respondents , a small proportion finding it cheap (probably not expensive enough
for the company marketing this product) or expensive (potentially at risk for of a concurrent). Of
course, an even smaller respondents will find it too cheap (suspicious quality) or too expensive
(inaccessible).
The intersection between the too cheap and too expensive curves is the price at which many
respondents consider the product to be too cheap or too expensive. This price which
corresponds to radically opposed opinions, concerns a tiny group of panelists. This price is
called the Optimal Pricing Point (OPP), price point at which the purchase intent will not be
impacted negatively, meaning that outside of any other external factor, few people would be
discouraged by this price.
The acceptable price range is given by, for the lower bound, the intersection between the too
cheap and not cheap curves, and for the upper bound, by the intersection of the too expensive
and not cheap curves. Between these two marginal prices, the authors estimate that sales
volumes are high.
Purchase intent ###
XLSTAT allows to take into account the contribution of Newton et al. (1993) who proposed to
take into account the purchase intent within the framework of the survey, by asking what is the
purchase intent score, for the cheap and expensive prices. These scores can be transformed
into probabilities, either automatically or through a conversion table. Once probabilities are
available, we can identify which price is likely to generate a maximum volume of sales and
which price is likely to generate a maximum revenue.
Data format ###
XLSTAT allows producing partial results if only the cheap and expensive prices are available. It
is however recommended that you survet the four prices (TCH/CH/EX/TEXT) to take full
advantage of the method.
Dialog box

observations.
General tab:
Price data (TCH/CH/EX/TEX): Select the data that correspond to prices. You must either select
two columns (CH/EX) or four columns (TCH/CH/EX/TEX). If a column header has been
Check consistency: Activate this option if you want XLSTAT to check that prices are in
ascending order for each individual. Otherwise, the individual is not taken into account for the
analysis.
Groups: Activate this option if you want the perform the analyses per group, and then select the
data that indicate to which group each individual belongs. If a column header has been
Purchase intent data (CH/EX): Activate this option if you surveyed the consumers for their
purchase intent at the cheap and expensive prices. These data can be scores (for example on a
1-5 scale) or probabilities If a column header has been selected, check that the "Variable labels"
Conversion table: Activate this option if you want XLSTAT to convert the purchase intent
scores into probabilities using your input.
Options tab:

Fit normal distributions: Activate this option if you want to fit normal distributions to each price
sample and to use cumulative normal distribution to compute the different prices and price
ranges.
Outputs tab:
Individual results: Activate this option to display the purchase probabilities for each individual
at the optimal trials and optimal revenue prices.
Results
Summary statistics: This table displays descriptive statistics for all the prices selected and for
their range. The number of missing values, the number of non-missing values, the mean and
the standard deviation (unbiased) are displayed.
Box plots: Box plots are then displayed so that you can visualise in one look the distribution of
the different prices. If you the individuals belong to different groups defined in the dialog box, for
each price (TCH/CH/EX/TEX), a separate chart allows to compare the groups.
Statistics: This table displays the Indifference Price (IDP) and the Optimal Pricing Point
(OPP). The price and the proportion of consumers on the corresponding cumulative curves at
this point, are displayed.
The acceptable price range is then displayed.
The Price Sensitivity Meter chart is the main result of the method as it displays the different
cumulative price curves. On the same chart, XLSTAT displays the IDP, the OPP and the
acceptable price range.
If the purchase intent data has been entered, the next table shows the optimal trial price and
optimal revenue price, as well as the respective average probability of purchase, expected
volume on the population of the study and the expected revenue.
Volume and revenue curves based on prices are also displayed. The last table shows, if the
option is activated in the dialog box, the probability of purchase for the optimal trials prices and
turnover.
Example
An example showing how to use the Price Sensitivity Meter is available on the Addinsoft
website at
http://www.xlstat.com/demo-psmeter.htm
References
Newton D., Miller J. and Smith P. (1993). A market acceptance extension to traditional price
sensitivity measurement. Proceedings of the American Marketing Association Advanced
Research Techniques Forum.

Van Westendorp P. (1976). NSS-Price Sensitivity Meter (PSM) – A new approach to study
consumer perception of price. Proceedings of the 29th ESOMAR Congress, 139-167.

Price elasticity of demand
Use this tool to compute the price elasticity of demand using as input data the quantities sold at
different prices and identify the price at which the maximum revenue is generated.
In this section:
Description
Dialog box
Results
Example
References
Description
The analysis of price elasticity of demand (PED or Ed ) is essential in marketing because it is
an approach that allows setting the price of a product, knowing that the goal, at least in the mid
term, is to maximize the revenue generated by the product.
The elasticity which concept is due to Alfred Marshall (1920) is defined as the relative variation
of demand (or quantity sold) Q when price P changes. The definition writes:
dQ/Q
Ed = (1)
dP /P
In general, an increase in prices is accompanied by a decrease in the quantities sold (although
many examples to the contrary exist). Elasticity is therefore often a negative quantity, although
some authors take the opposite.
As dQ/dP mathematically corresponds to an infinitesimal variation at a given point, in practice,

we compute the point elasticity or the arc elasticity.
Point elasticity is defined as ratio of the relative variation of the quantity sold when prices are
changed from P 1 à P 2, and the relative variation of prices.
(Q2 − Q1)/Q1
Ed = (2)
(P 2 − P 1)/P 1
Notes: + We say that demand is price elastic if the demand decreases strongly when price
increases from P 1 to P 2 (P 1Q1 > P 2Q2). The term elastic is used because quantities
"react" strongly to the change as if they were linked to prices with an elastic. (Ed < −1). It is
perfectly elastic if Ed = −∞. + Unit elastic with Ed = −1 if demand evolves like prices.
When elasticity is -1, there is no impact on the revenue: the drop in the quantity sold is exactly
compensated by the increase in prices. Typically, a 1% increase in prices, leads to a 1%
decrease of quantities, maintaining the revenue at the same level. + We say that demand is
Marketing tools 853 Price elasticity of demand

inelastic (or rigid) if the increase of price has a relatively lower impact on demand (−1 <
Ed ≤ 0). Demand is perfectly inelastic if Ed = 0. + Ed > 0 happens for some specific
products (Giffen goods which are essential goods, or Veben goods such as luxury goods). The
increase of prices have a significant positive effect on quantities. + One cannot deduce the
evolution of revenue from the price elasticity.
A problem with point elasticity is that it is not the same if the reference price P 1 is the lower or
higher price. To avoid that problem, the arc elasticity is often prefered.
Arc elasticity is the ratio of, the relative variation of the quantity sold Q2, when prices increase
from P 1 to P 2, and the relative variation of prices.
(Q2 − Q1)/((Q1 + Q2)/2) (Q2 − Q1)/(Q1 + Q2)

Ed = = (3)
(P 2 − P 1)/((P 1 + P 2)/2) (P 2 − P 1)/(P 1 + P 2)
XLSTAT allows to compute both types of elasticities.
It is common to represent the curves connecting quantity and price by putting the price in the
ordinate and the quantity in the abscissa. This is counterintuitive in our case, since we are here
in a perspective where the quantities sold depend on prices. The use of quantities in ordinates
can be explained by the underlying economic theory of the study of supply and demand and the
study of market equilibria, where the price is determined according to available supply and
demand. XLSTAT displays the graphics following both alternatives.
Dialog box
observations.
General tab:
Prices: Select the data that correspond to prices. If a column header has been selected, check

Demand: Select the data that correspond to the demand (quantities sold) corresponding to
each price. If a column header has been selected, check that the "Variable labels" option has
been activated.
Groups: Activate this option if you want the perform the analyses per group, and then select the
data that indicate to which group each individual belongs. If a column header has been
Point elasticity: Activate this option to compute and display point elaticities.
Arc elasticity: Activate this option to compute and display arc elaticities.
Results
Summary statistics: This table displays descriptive statistics for prices and demand. The
number of missing values, the number of non-missing values, the mean and the standard
deviation (unbiased) are displayed.
XLSTAT displays in a first table the price, the demand, the revenue and the point elasticity if it
was requested. If the arc elasticity has been requested, a second table displays for each
median point calculated the price, the demand, the revenue and the arc electricity.
These various elements are then crossed in a series of graphs.
Example
An example showing how to compute the Price elasticity of demand is available on the
Addinsoft website at
http://www.xlstat.com/demo-elasticity.htm
References
Henderson J. P. (1973). William Whewell's Mathematical Statements of Price Flexibility,
Demand Elasticity and the Giffen Paradox. The Manchester School, 41, 329-342.
Macgregor D. H. (1942). Marshall and His Book. Economica. 9(36), 313-324.
Marshall A. (1920). Principles of Economics. Library of Economics and Liberty, London.

Customer Lifetime Value (CLV)
Customer Lifetime Value (CLV) will help you to estimate the cash flows you will get from
customers and estimate how long you can keep them after the acquisition. Using CLV, you will
be able to streamline the marketing or advertising operation you could engage in order to
increase your customers retention rate.
In this section:
Description
Dialog box
Results
Example
References
Description
How much profit do you expect to make from your customers during their lifetime? And how
would increasing retention rates affect future profit? These are among the most common
questions CLV could answer.
Customer Lifetimes Value (CLV): Customer Lifetime Value (CLV) can be defined as the
present value of the future cash flows attributed to the relationship between a customer and the
company.
Several models for calculating CLV exist which vary according to multiple factors, specific to
each organization. Here,the implemented model is the Simple Retention Model (SRM), suitable
for customers in a contractual situation. The Simple Retention Model (SRM) estimates CLV
assuming the following conditions:
The percentage of retained customers each period (retention rate r ) is constant over time
and across customers.
The period cash flow m is unaffected by cancellation time.
The event that a customer cancels the subscription at a time period t is independent of
the event that the customer cancels during any other period.
Probabilistic model for CLV:
Cancellation/churn time: Assume that all customers, being part of a certain segment,
are retained each subscription period with probability r (retention rate) for all periods.
Moreover, assume that a customer cancellation occurring at a certain period is
independent of the cancellation during any other period. Let T be a random variable
indicating the time of cancellation and t be a realization of T . Under these assumptions,
T follows a geometric distribution. The probability for a geometric distribution is given by:
Marketing tools 856 Customer Lifetime Value (CLV)

f (t) = P (T = t) = rt−1 (1 − r)
This formula gives the probability that a customer cancels at time t. It can be also interpreted as
the probability that a customer survives t − 1 periods.
XLSTAT also calculates the quantiles of T . The α quantile of the random variable T , called Pα
divides the distribution of the random variable T such that α percent of the distribution has
T ≤ Pα and 1 − α percent of the distribution has T ≥ Pα . So we have P (T ≤ Pα ) = α
and P (T ≥ Pα ) = 1 − α. Under the assumptions of the SRM we have:
log (1 − α)
Pα =
log r
CLV: When a customer cancels during period t, there will be t cash flows if it occurs at
the beginning of the period and t − 1 cash flows if it is at the end of the period. Let d be
the discount rate. For a given cancellation time, we can compute the CLV using the
following formulas:
T −1
m (1 + d)[1 − (1 + d)−T ]
CLV = ∑ = m × payment: start of period
t=0
(1 + d)t d
T
m 1 − (1 + d)−T
CLV = ∑ =m× payment: end of period
t=1
(1 + d)t d
However, the cancellation time T is random, and CLV will thus follow a distribution. Customers
with larger T have a larger CLV. Therefore we can summarize the distribution of the CLV with its
mean or expectation.
m(1 + d)
E[CLV ] = payment: period start
1+d−r
m×r
E[CLV ] = payment: period end
1+d−r
Estimation of retention rates: In the previous section, we assume that the retention rate
r was known, but in practice it's not always the case. That's why XLSTAT proposes to
estimate the later from the data. In any organization, some but not all customers will
cancel. A customer who has not yet canceled is said to be censored. Thus, we can say
that the organization will not have yet observed this customer cancellation time.
Let n0 be the number of customers who have not yet canceled and n1 the number of
customers who have already canceled so that cancellation/defection time t has been observed.
If customer i has already canceled, let ti be the observed time of defection, so that customer i
has been active during ti − 1 periods. Let Ci be the time of censoring for customers who are
still active. For those customers we have Ti > Ci . The retention rate is estimated using the
following formula:

n1
r^ = 1 −
∑ ti + ∑ Ci
i i
Dialog box
observations.
General tab:
ARPA (Average Revenue Per Account): Select the data that correspond to revenues. You must
select only one column. If a column header has been selected, check that the "Variable labels"
Time (acquisition/churn): Select in order the two columns: acquisition date and churn date. If a
customer has not yet left, the second column of date should be an empty cell. If a column
Segments: Activate this option if you want to perform the analyses per segment, and then
select the data that indicate to which segment each customer belongs. If a column header has
Subscription period: Select the subscription period.

Account names: Activate this option if accounts labels are available. Then select the
(Obs1, Obs2 …).
Options tab:
Segments labels: Select the segments labels. This field is only available when the segments
option is enabled and at least one of the following options is enabled: discount rate, fixed costs
or user defined retention rate.
Discount rate: Activate this option if you want to take into account the discount rate applied to
customers. This rate is considered fixed. If the segments option is enabled, select one value per
segment and make sure that the lines are in the same order as segments labels.
Fixed costs: Activate this option if you want to deduct certain fixed operating costs from the
revenues generated when calculating CLV. Select multiple columns if you have multiple costs to
include. If the segments option is enabled, select one value per segment and make sure that
the lines are in the same order as segments labels.
Retention rate:
Estimate: Activate this option to estimate the retention rate from the input data. If the
segments option is enabled, the retention rate will be estimated for each segment.
User defined: Activate this option if you want to define the retention rate yourself. This
rate is considered fixed. If the segments option is enabled, select one value per segment
and make sure that the lines are in the same order as segments labels.
Payment:
Start of period: Select this option if payments occur at the beginning of each period.
End of period: Select this option if payments occur at the end of each period.
Outputs tab:
Descriptive statistics: Activate this option to display descriptive statistics for the revenue
variable (ARPA).
CLV: Activate this option to display the average CLV. If the segment option is enabled, this value
is displayed for each segment.
Estimated churn rate: Activate this option to display the churn and retention rate. If the
segment option is enabled, these values are displayed for each segment.
Estimated defection time: Activate this option to display statistics on the time before defection
in order to quickly view the dispersion of customers cancellation times.

Cashflow evolution: Activate this option to display the cash flow evolution. Each line in this
table contains a cash flow forecast by period.
Individual results: Activate this option to display the CLV by customer.
CLV forecast: Activate this option if you want to make simulations on the CLV.
duration: Choose the period for which you want to perform the simulation.
Sensitivity analysis: Activate this option to display he impact of an increase in retention rate on
CLV.
Charts tab:
CLV per segment: Activate this option to display the CLV by segment.
Estimated defection time: Activate this option to display the chart summarizing the
informations contained in the corresponding table described above.
Churn probabilities: Activate this option to display the chart showing the churn probabilities as
a function of time.
Cashflow evolution: Activate this option to display the chart showing the cashflow evolution as
a function of time.
Results
Descriptive statistics: The table of descriptive statistics shows the simple statistics. The
number of Observations, the minimum and maximum values, the quartiles, the mean, the
standard deviation and the variance (unbiased) are displayed for the revenues variable (ARPA).
Box plots (or box-and-whisker plots) related to the revenues variable (ARPA) are also displayed
(see description).
CLV: The average CLV is displayed. If the segment option is enabled, this value is displayed for
each segment.
Estimated churn rate: In this table are displayed the churn and retention rate. If the segment
option is enabled, these values are displayed for each segment.
Estimated defection time: Statistics on the time before defection are displayed in order to
quickly visualize the dispersion of customers cancelation times. Thus, the 1st quartile, 3rd
quartile, median and mean of customers departure times are displayed. If the segment option is
enabled, these values are displayed for each segment.
Cashflow evolution: This table shows the evolution of cash flow. Each line in the table contains
a cash flow forecast by period. The first line corresponds to the period following the most recent
period contained in the input data.
Individual results: The CLV is displayed for each customer.

CLV forecast: A simulation on the average CLV value of customers remaining in the database
after the last recorded churn date is performed over the period chosen by the user.
Sensitivity analysis: The impact of an increase in retention rate on CLV is displayed. The
variations considered are increments of 5% from the estimated/defined retention rate. Each line
in the table corresponds to a simulated retention rate. The CLV and the average time before
defection are displayed in columns.
The CLV per segment chart is only available when the segment option is active. This graph
displays the CLV for each segment as a bar chart.
Estimated defection time: This chart summarizes in a bar chart the information contained in
the corresponding table described above.
Churn probabilities: Activate this option to display the chart showing the churn probabilities as
a function of time.
Cashflow evolution: Activate this option to display the chart showing the cashflow evolution as
a function of time.
Example
An example showing how to use the Customer Lifetime Value is available on the Addinsoft
website at:
http://www.xlstat.com/demo-clv.htm
References
Phillip E. Pfeifer, Mark E. Haskins and Robert M. Conroy. Customer Lifetime Value,
Customer Profitability, and the Treatment of Acquisition Spending. Journal of Managerial Issues,
Vol. 17, No. 1 (Spring 2005), pp. 11-25.
Malthouse, Edward C. (2013). Segmentation and Lifetime value Models Using SAS®. Cary,
NC: SAS institute Inc.

Conjoint analysis
Design of experiments for conjoint analysis
Use this tool to generate a design for a classical conjoint analysis based on full profiles.
In this section:
Description
Dialog box
Results
Example
References
Description
The principle of conjoint analysis is to present a set of products (also known as profiles) to the
individuals who will rank, rate, or choose some of them.
In an "ideal" analysis, individuals should test all possible products. But in practice it rapidly
becomes impossible; the cognitive capacities of a person being limited, and the number of
combinations increasing very rapidly with the number of attributes (if one wants to study five
attributes with three categories each, it sums up to 243 possible products). We therefore use the
methods of experimental design to obtain an acceptable number of profiles to be judged while
maintaining good statistical properties.
XLSTAT can generate several unique designs, which is an advantage especially when a large
sample of people are interviewed. As the number of different combinations is greater, the
analysis designs will be more robust in the analysis of the effects. In addition, including different
designs reduces the impact of psychological context and order effects.
XLSTAT-Conjoint includes two different methods of conjoint analysis: the full profile analysis and
the choice based conjoint (CBC) analysis.
Full profiles conjoint analysis
The first step in a conjoint analysis requires the selection of a number of factors describing a
product. These factors should be qualitative. For example, if one seeks to introduce a new
product in a market, we can choose as differentiating factors: the price, the quality, the
durability... and for each factor, we must define a number of categories (different prices, different
lifetimes...). This first step is crucial and should be carried out in collaboration with experts of the
studied market.
Conjoint analysis 862 Design of experiments for conjoint analysis

Once this first step is done, the goal of a conjoint analysis is to understand the mechanism of
choice. Why do people choose one product over another?
To try to answer this question, we will propose a number of products (combining different
modalities of the studied factors). We cannot offer all possible products, so we will select
products by using design of experiments before presenting them to people who will rate them or
rank them.
The full profile method is the oldest method of conjoint analysis; we seek to build an
experimental design that includes a limited number of full profiles that each individual
interviewed will then rank or rate.
XLSTAT-Conjoint uses fractional factorial designs in order to generate profiles that will then be
presented to respondents. When no design is available, XLSTAT-Conjoint uses algorithms to
search for D-optimal designs (see description of the module XLSTAT-DOE).
As part of the traditional conjoint analysis, the questionnaires used are based on the rating or
ranking of a number of complete profiles.
You have to select the attributes of interest for your product and the categories associated with
these attributes. XLSTAT-Conjoint then generates profiles to be ranked / rated by each
respondent.
Prohibited combinations
For some experimental designs, categories combinations are not feasible. This may be due to
different reasons: equipment, products,... In these cases, it is possible to indicate these
prohibited combinations, the generated experimental design will not take them into account.
By choosing to add prohibited combinations, the generated plan will necessarily be an

optimized plan.
Dialog box

observations.
General tab:
Analysis name: Enter the name of the analysis you want to perform.
Factors/Categories table: enter the table containing the names of the factors and their
modalities.
Maximum number of profiles: Enter the maximum number of profiles to be presented to the
individuals.
Number of responses: Enter the number of expected individuals who will respond to the
conjoint analysis.
Options tab:
Number of designs: Check this option if you want to generate multiple designs.
Respondents by design: Enter a vector of the size of the number of designs, containing
the number of respondents by design.
Prohibited combinations: check this option if you want to enter prohibited combinations.
Design of experiments: The generation of the design of experiments is automatic using

fractional factorial designs or D-optimal designs (see the chapter on screening design of the
XLSTAT-DOE module).
Initial partition: XLSTAT-Conjoint uses a random initial partition. You can decide how many
repetitions are needed to obtain your design. XLSTAT- Conjoint will choose the best obtained
design.
Stop conditions: The number of iterations and the convergence criterion to obtain the design
can be modified.
Outputs tab:

Optimization summary: Activate this option to display the optimization summary for generating
the design.
Print individual sheets: Activate this option to print individual sheets, one for each respondent.
Each sheet will include all generated profiles. The respondent has to fill the last column of the
table with the rates or ranks associated to each generated profile. Two assignment options are
available; the fixed option displays the profiles in the same order for all individuals; the random
option displays the profiles in random orders (different from one respondent to another).
Include references: Activate this option to include references between the main sheet and the
individual sheets. When an individual enters his chosen rating / ranking in the individual sheet,
the value is automatically displayed in the main sheet of the analysis.
Prohibited combinations dialog box:
This dialog box allows you to select prohibited combinations. To do this, select the combinations
of prohibited modalities in the left-hand part and click on the add button. The combinations will
then be displayed in the right- hand part. It is possible to delete one or more selected
combinations by clicking on them and then on the remove button. Once you have selected the
prohibited combinations, click on the OK button.
Design for conjoint analysis dialog box:
Selection of experimental design: This dialog box lets you select the design of experiments
you want to use. A list of fractional factorial designs is presented with their respective distance
to the design that was to be generated. If you select a design and you click "Select", then the
selected design will appear in your conjoint analysis. If no design fits your needs, click on the
"optimize" button, and an algorithm will give you a design corresponding exactly to the selected
factors.
Results
Variable information: This table displays all the information relative to the used factors.
Prohibited combinations information: This table displays all the selected prohibited
combinations.
Conjoint analysis design: This table displays the generated profiles. Empty cells associated to
each individual respondent are also displayed. If the options "print individual sheets" and
"include references" have been activated, then formulas with reference to the individual sheets
are included in the empty cells.
Run the analysis: Once you filled in the conjoint design with individuals responses, you can
click on the "Run the analysis" button to automatically launch the interface and run a conjoint
analysis.
Optimization details: This table displays the details of the optimization process when a search
for a D-optimal design has been selected.

Individual _Res sheets: When the "Print individual sheets" option is activated, these sheets
include the name of the analysis, the individual number and a table associated to the profiles to
be rated / ranked. Individual respondents should fill the last column of this table.
Example
An example of full profile based conjoint analysis is available on the Addinsoft website:
http://www.xlstat.com/demo-conjoint.htm
References
Green P.E. and Srinivasan V. (1990). Conjoint analysis in Marketing: New Developments with
implication for research and practice. Journal of Marketing, 54 (4), 3-19.
Gustafson A., Herrmann A. and Huber F. (eds.) (2001). Conjoint Measurement. Method and
Applications, Springer.

Design for choice based conjoint analysis
Use this tool to generate a design of experiments for a Choice-Based Conjoint analysis (CBC).
In this section:
Description
Dialog box
Results
Example
References
Description
The principle of conjoint analysis is to present a set of products (also known as profiles) to the
individuals who will note, class, or choose some of them.
In an "ideal" analysis, individuals should test all possible products. But it is soon impossible; the
capacity of each being limited and the number of combinations increases very rapidly with the
number of attributes (if one wants to study five attributes with three categories each, that means
already 243 possible products). We therefore use the methods of experimental design to obtain
a acceptable number of profiles to be judged while maintaining good statistical properties.
XLSTAT-Conjoint includes two different methods of conjoint analysis: the full profiles analysis
and the choice based conjoint (CBC) analysis.
Choice Based Conjoint analysis (CBC)
The principle of choice based conjoint (CBC) analysis is based on choices in a group of profiles.
The individual respondent chooses between different products offered instead of rating or
ranking products.
The process of CBC is based on comparisons of profiles. These profiles are generated using
the same methods as for full profile conjoint analysis. Then, these profiles are put together in
many comparison groups (with a fixed size). The individual respondent then chooses the profile
that he would select compared to the other profiles included in the comparison.
The statistical process is separated into 2 steps:
Conjoint analysis 867 Design for choice based conjoint analysis

Fractional factorial designs or D-optimal designs are used to generate the profiles.
Once the profiles have been generated they are allocated in the comparison groups using
incomplete block designs.
The first step in a conjoint analysis requires the selection of a number of factors describing a
product. These factors should be qualitative. For example, if one seeks to introduce a new
product in a market, we can choose as differentiating factors: the price, the quality, the
durability... and for each factor, we must define a number of categories (different prices, different
lifetimes...). This first step is crucial and should be done together with experts of the studied
market.
Once past this first step, the goal of a conjoint analysis is to understand the mechanism for
choosing one product over another. Instead of proposing all profiles to the individual
respondents and asking to rate or rank them, CBC is based on a choice after a comparison of
some of the profiles. Groups of profiles are presented to the individual respondents and they
have to indicate which profile they would choose (a no choice option is also available in
XLSTAT-Conjoint).
This method combines two designs of experiments, the fractional factorial design to select the
profiles to be compared and the incomplete block design to generate the comparisons to be
presented. For more details on these methods, please see the screening design chapter of the
DOE module help and the DOE for sensory analysis chapter of the MX module help.
XLSTAT-Conjoint enables you to add the no choice option if the individual respondent would not
choose any of the proposed profiles.
XLSTAT-Conjoint enables to obtain a global table for CBC analysis but also individual tables for
each respondent and each comparison in separated Excel sheets. References are also
included so that when a respondent select a profile in an individual sheet, it is directly reported
in the main table.
Prohibited combinations
For some experimental designs, categories combinations are not feasible. This may be due to
different reasons: equipment, products,... In these cases, it is possible to indicate these
prohibited combinations, the generated experimental design will not take them into account.
By choosing to add prohibited combinations, the generated plan will necessarily be an

optimized plan.
Dialog box

observations.
General tab:
Factors/Categories table: enter the table containing the names of the factors and their
modalities.
Maximum number of profiles: Enter the maximum number of profiles to be presented to the
individuals.
conjoint analysis.
Maximum number of comparisons: Enter the maximum number of comparison to be

presented to the individual respondents. This number has to be greater than the number of
profiles.
Number of profiles per comparison: Enter the number of profiles per comparison.
Options tab:
Respondents by design: Enter a vector of the size of the number of designs, containing
the number of respondents by design.

Comparisons by design: Enter a vector of the size of the number of designs, containing
the number of combinations by design.
Prohibited combinations: check this option if you want to enter prohibited combinations.
Design of experiments: The generation of the design of experiments is automatic using

fractional factorial designs or D-optimal design (see the chapter on screening design of the
XLSTAT-DOE module). For the comparison design, incomplete block designs are used.
Initial partition: XLSTAT-Conjoint uses a random initial partition. You can decide how many
repetitions are needed to obtain your design. XLSTAT- Conjoint will choose the best obtained
design.
Stop conditions: The number of iterations and the convergence criterion to obtain the design
can be modified.
Outputs tab:
Optimization summary: Activate this option to display the optimization summary for generating
the design.
Print individual sheets: Activate this option to print individual sheets,one for each respondent.
Each sheet will include a table for each comparison. The respondent has to enter the code
associated to the profile he would choose in the box at the bottom of each table. Two
assignment options are available; the fixed option displays the comparisons in the same order
for all individuals; the random option displays the comparisons in random orders (different from
one respondent to another).
individual sheets. When an individual enters his chosen code in the individual sheet, the result
is automatically displayed in the main sheet of the analysis.
Include the no choice option: Activate this option to include a no choice option for each
comparison in the individual sheets.
Prohibited combinations dialog box:
This dialog box allows you to select prohibited combinations. To do this, select the combinations
of prohibited modalities in the left-hand part and click on the add button. The combinations will
then be displayed in the right- hand part. It is possible to delete one or more selected
combinations by clicking on them and then on the remove button. Once you have selected the
prohibited combinations, click on the OK button.
Design for conjoint analysis dialog box:
Selection of experimental design: This dialog box lets you select the design of experiment
you want to use. Thus, a list of fractional factorial designs is presented with their respective
distance to the design that was to be generated. If you select a design and you click Select,
then the selected design will appear in your conjoint analysis. If no design fits your needs, click

on the "optimize" button, and an algorithm will give you a design corresponding exactly to the
selected factors.
Results
Prohibited combinations information: This table displays all the selected prohibited
combinations.
Profiles: This table displays the generated profiles using the design of experiments tool.
Conjoint analysis design: This table displays the comparisons presented to the respondent.
Each row is associated to a comparison of profiles. The numbers in the rows are associated to
the profiles numbers in the profiles tables. Empty cells associated to each individual respondent
are also displayed. Respondent have to enter the code associated to the choice made (1 to
number of profiles per comparisons; or 0 if the no choice option is selected).
Run the analysis: Once you filled in the conjoint design with individuals responses, you can
click on the "Run the analysis" button to automatically launch the interface and run a conjoint
analysis based on choice.
Optimization details: This table displays the details of the optimization process when a search
for a D-optimal design has been selected.
include the name of the analysis, the individual number and tables associated to the
comparisons with the profiles to be compared. Individual respondents should enter the code
associated to their choice in the bottom right of each table.
Example
An example of choice based conjoint (CBC) analysis is available on the Addinsoft website:
http://www.xlstat.com/demo-cbc.htm
References

Conjoint analysis
Use this tool to run a Full Profile Conjoint analysis. This tool is included in the XLSTAT-Conjoint
module; it must be applied on design of experiments for conjoint analysis generated with
XLSTAT-Conjoint.
In this section:
Description
Dialog box
Results
Example
References
Description
Conjoint analysis is a comprehensive method for the analysis of new products in a competitive
environment.
This tool allows you to carry out the step of analyzing the results obtained after the collection of
responses from a sample of people. It is the fourth step of the analysis, once the attributes have
been defined, the design has been generated and the individual responses have been
collected.
Full profile conjoint analysis is based on ratings or rankings of profiles representing products
with different characteristics. These products have been generated using a design of
experiments and can be real or virtual.
The analysis is done using two statistical methods:
- Analysis of variance based on ordinary least squares (OLS).
- Monotone analysis of variance (Kruskal, 1964) that uses monotonic transformations of the
responses to better adjust the analysis of variance (MONANOVA).
Both approaches are described in detail in the chapters "Analysis of variance" and "Monotone
regression (MONANOVA)" of the help of XLSTAT.
Conjoint analysis therefore provides for each individual what is called partial utilities associated
with each category of the variables. These utilities provide a rough idea of the impact of each
modality on the process of choosing a product.
In addition to utilities, conjoint analysis provides an importance associated with each variable. It
shows how each variable in the selection process associated with each individual is important.
Conjoint analysis 872 Conjoint analysis

The full profile conjoint analysis details the results for each individual separately, which
preserves the heterogeneity of the results.
XLSTAT-Conjoint also proposes to make classifications on the individuals. Using the utilities,
XLSTAT-Conjoint will obtain classes of individuals that can be analyzed and be useful for further
research. Classification methods used in XLSTAT-Conjoint are the agglomerative hierarchical
classification (see the chapter on this subject in the help of XLSTAT) and the k-means method
(see the chapter on this subject in the help of XLSTAT).
Type of data
XLSTAT-Conjoint offers two types of input data for the conjoint analysis: rankings and ratings.
The type of data must be indicated because the treatment used is slightly different.
Indeed, with rankings, the best profile will have the lowest value, whereas with a rating, it will
have the highest value.
If the ranking option is selected, XLSTAT-Conjoint transforms the answers in order to reverse
this arrangement and so that utilities can be interpreted easily.
Interactions
Constraints

to be equal to the mean of the dependent variable when the design is balanced.
Dialog box
observations.
General tab:
Automatically load data : In order to run a conjoint analysis you need to load two data
tables: a table with the individual responses and a table containing the different profiles
(products rated by respondents). If the design experiment has been generated with XLSTAT ,
then you can load the two tables automatically. To do that, click on the "magic stick" button and
select any cell in the sheet containing the design generated by XLSTAT. In order to correctly
load your data it is very important that you did not manually modified the sheet containing the
design generated by XLSTAT (no add of rows or columns,…). You can also load your data
manually.

Responses: Select the responses that have been given by the respondents. If headers have
been selected, please check the option "Variable labels" is enabled. This selection corresponds
to the right part of the conjoint analysis design table generated with the "design of conjoint
analysis" tool of XLSTAT- Conjoint.
Response type: select the type of response given by the respondents (ratings or rankings).
Profiles: Select the profiles that have been generated. If headers have been selected, please
check the option "Variable labels" is enabled. This selection corresponds to the right part of the
conjoint analysis design table generated with the "design of conjoint analysis" tool of XLSTAT-
Conjoint. Do not select the first column of the table.
label.
Profiles weights: Activate this option if profiles weights are available. Then select the
the selection.
Options tab:
Method: Select the method to be used for estimation.
Default value: 95.
to 0.

to 0.
Segmentation: Activate this option if you want XLSTAT-Conjoint to apply an individuals based
clustering method on the on the partial utilities. Two methods are available: agglomerative
hierarchical classification and k-means classification.
Number of classes: Enter the number of classes to be created by the algorithm for the k-
means.
Truncation: Activate this option if you want XLSTAT to automatically define the
truncation level, and therefore the number of classes to retain, or if you want to define the
number of classes to create, or the level at which the dendrogram is to be truncated.
Stop conditions: the number of iterations and the convergence criterion for the MONANOVA
algorithm can be modified.
Missing data tab:
Remove responses of respondents: Activate this option to remove all the responses of
respondents having one or more missing data.
computations.
Mean or mode: Activate this option to estimate missing data by using the mean of ratings
of respondents for the corresponding profile.
Nearest neighbour: Activate this option to estimate the missing data of a respondent by
using the ratings of the nearest respondent for the corresponding profile.
Outputs tab:
for the model.
the observations.

Charts tab:
Utilities chart: Activate this option to display chart of average utilities.
Importances chart: Activate this option to display chart of average importances.

Transformation plot: Activate this option to display the monotone transformation of the
responses plot.
Dendrogram: Activate this option to display the dendrogram.
dendrogram.
Results
Utilities (individual data): This table displays utilities associated to each category of the factors
for each respondent.
Standard deviations table: This table displays the standard deviation for each utility and each
respondent together with the model error. It is useful to apply the RFC-Bolse Approach for
market simulation (see the conjoint analysis simulation chapter).
Utilities (descriptive statistics): This table displays minimum, maximum, mean and standard
error of the partial utilities associated to each category of the factors.
Importance (individual data): This table displays importance for each factor of the analysis for
each respondent.
Importance (descriptive statistics): This table displays minimum, maximum, mean and
standard error of the importance for each factor of the analysis.


part).
R2 : The determination coefficient for the model. This coefficient, whose value is between
0 and 1, is only displayed if the constant of the model has not been fixed by the user. Its
n
∑ni=1 wi (yi − yî )2 1
2
R =1− n , where ˉ
y = ∑ wi yi
∑i=1 wi (yi − yˉi )2 n i=1
Adjusted R2 : The adjusted determination coefficient for the model. The adjusted R2 can
^ 2 = 1 − (1 − R2 ) W − 1
R
W −p−1
The adjusted R2 is a correction to the R2 which takes into account the number of variables
used in the model.

n
1
M SE = ∗
∑ wi (yi − yî )2
W − p i=1
MAPE: The Mean Absolute Percentage Error is calculated as follows::

n
100 ∣ yi − yî ∣
M AP E = ∑ wi ∣∣ ∣
∣
W i=1 ∣ yi ∣
n
∑i=2 [(yi − yî ) − (yi−1 − yî−1 )]2
DW =
∑ni=1 wi (yi − yî )2


SCE
Cp = + 2p∗ − W
^
σ
explanatory variables. The nearer the Cp coefficient is to p∗, the less the model is biased.
AIC = W ln ( ) + 2p∗
SCE
W
criterion.
SBC = W ln ( ) + ln(W )p∗

SCE
W
minimize it.
(1 − R2 )(W + p∗ )
PC =
W − p∗
This criterion, proposed by Amemiya (1980) is used, like the adjusted R2 to take account of the
n
i=1
î(−i) is the prediction for observation

where y i when the latter is not used for estimating

Press
Press RMCE =
W − p∗
Iteration: Number of iteration until convergence of the ALS algorithm.
Goodness of fit coefficients (MONANOVA): In this table are shown the statistics for the fit of
the regression model specific to the case of MONANOVA. These statistics are the Wilks'
lambda, the Pillai's trace, the trace of Hotelling-Lawlet and the largest root of Roy. For more
details on these statistics, see the help on the conditional logit model.
If the Type I/II/III SS (SS: Sum of Squares) option is activated, the corresponding tables are
displayed.
which the variables are selected in the model has no influence on the values obtained. Type II
SS are not recommended in unbalanced designs but we display them as some users might
need them. It is identical to Type III for balanced designs.
which the variables are selected in the model has no influence on the values obtained. While
Type II SS depends on the number of observations per cell (cell means combination of
categories of the factors), Type III does not and is therefore preferred.

value of the dependent variable, the transformed value of the dependant variable, the model's
prediction, the residuals, and the confidence intervals. Two types of confidence interval are
displayed: a confidence interval around the mean (corresponding to the case where the
interval is always greater than the first, the random values being larger.
The chart which follows shows the transformation of the dependant variable.
If a segmentation method has been applied, the following results are displayed:
Proximity matrix: This table displays the proximities between the respondents calculated on
their associated utilities.
Dendrograms: The full dendrogram displays the progressive clustering of objects. If truncation
has been requested, a broken line marks the level the truncation has been carried out. The
truncated dendrogram shows the classes after truncation.
the objects.
order.
Example
An example conjoint analysis is available at the Addinsoft website:
References

Guyon, H. and Petiot J.-F. (2011) Market share predictions: a new model with rating-based
conjoint analysis. International Journal of Market Research, 53(6), 831-857.

Choice based conjoint analysis
Use this tool to run a Choice-Based Conjoint analysis (CBC). This tool is included in the
XLSTAT-Conjoint module; it must be applied on design of experiments for choice based conjoint
analysis generated with XLSTAT-Conjoint.
In this section:
Description
Dialog box
Results
Example
References
Description
environment.
responses from a sample of people. It is the fourth step of the analysis, once the attributes have
been defined, the design has been generated and the individual responses have been
collected.
In the case of CBC models, individuals have to choose between selections of profiles. Thus, a
number of choices are given to all individuals (we will select a product from a number of
products generated).
Analysis of these choices is made using:
A multinomial logit model based on a specific conditional logit model. For more details see
the help on the conditional logit model. In this case, we obtain aggregate utilities, that is to
say, one utility for each category of each variable associated with all the individuals. It is
impossible to make classifications based on the individuals.
A hierarchical Bayes algorithm which gives individual results. Parameters are estimated at
the individual level using an iterative method (Gibbs sampling) taking into account each
individual’s choice but also the global distribution of the choices. The obtained individual
utilities will give better market simulation as the classical CBC algorithm.
XLSTAT-Conjoint proposes to include a segmentation variable when using the classical CBC
algorithm that will build separate models for each group defined by the variable.. When CBC/HB
is used, since individual utilities are obtained, you can apply a clustering method on the
individuals.
Conjoint analysis 883 Choice based conjoint analysis

In addition to utilities, conjoint analysis provides the importance associated with each variable.
Interactions
Constraints
a1=0: the parameter for the first category is null. This choice allows us force the effect of
the first category as a standard.
an=0: the parameter for the last category is null. This choice allows us force the effect of
the last category as a standard.
Sum (ai) = 0: the sum of the parameters is null.
Dialog box

observations.
General tab:
Automatically load data : In order to run a choice based conjoint analysis you need to load
three data tables: a table with individual responses, a table containing the different choices
(comparisons) and a table containing the different profiles (products respondents have to
choose). If the design experiment has been generated with XLSTAT , then you can load the
three tables automatically. To do that, click on the "magic stick" button and select any cell in the
sheet containing the design generated by XLSTAT. In order to correctly load your data it is very
important that you did not manually modified the sheet containing the design generated by
XLSTAT (no add of rows or columns,…). You can also load your data manually.
Responses: Select the responses that have been given by respondents. If headers have been
selected, please check the option "Variable labels" is enabled. This selection corresponds to the
right part of the conjoint analysis design table generated with the "design of choice based
conjoint analysis" tool of XLSTAT-Conjoint.
Choice table: Select the choices that have been presented to the respondents. If headers have
to the left part of the conjoint analysis design table generated with the "design of choice based
conjoint analysis" tool of XLSTAT-Conjoint. Do not select the first column of the table.
Profiles: Select the profiles that have been generated. If headers have been selected, please
check the option "Variable labels" is enabled. This selection corresponds to profiles table
generated with the "design of choice based conjoint analysis" tool of XLSTAT-Conjoint. Do not
select the first column of the table.

label.
Group variable: Activate this option then select a column containing the group identifiers. If a
Response weights: Activate this option if response weights are available. Then select the
corresponding data. If the"Variable labels" option is activated you need to include a header in
the selection.
Options tab:
Method: Select the method to be used for estimation.
Default value: 95%.
Sum (ai) = 0: for each factor, the sum of the parameters associated with the various categories
is set to 0.
Bayesian options (only using CBC/HB algorithm): the number of iterations for the burn-in
period and the maximal time for the hierarchical Bayes algorithm can be modified.
Segmentation (only using CBC/HB algorithm): Activate this option if you want to apply an
individual based clustering method on the partial utilities. Two methods are available:
agglomerative hierarchical classification and k-means classification.
Number of classes: Enter the number of classes to be created by the algorithm for the k-
means.

Truncation: Activate this option if you want XLSTAT to automatically define the truncation
classes to create, or the level at which the dendrogram is to be truncated.
Stop conditions: the number of iterations and the convergence criterion until convergence of
the Newton-Raphson algorithm can be modified.
Missing data tab:
Remove responses of respondent: Activate this option to remove all the responses of the
respondent with missing data.
Outputs tab:
for the model.
Model coefficients: Activate this option to display the model’s coefficients also called
aggregated utilities.
Predictions and residuals: Activate this option to display the predictions and residuals
obtained with the aggregated utilities.
Observation details (only using CBC/HB algorithm): activate this option to display the
characteristics of the posterior distribution for each individual when using CBC/HB algorithm.
Charts tab:
Utilities chart: Activate this option to display chart of average utilities.
Importances chart: Activate this option to display chart of average importances.
Dendrogram (only using CBC/HB algorithm): Activate this option to display the dendrogram.

dendrogram.
Results
results.
Utilities: This table displays utilities associated to each category of the factors with their
respective standard error.
Importance: This table displays importance for each factor of the analysis.
-2 Log(Like.) : The logarithm of the likelihood function associated with the model;
R2 (McFadden): Coefficient, like the R2 , between 0 and 1 which measures how well the
R2 (Cox and Snell): Coefficient, like the R2 , between 0 and 1 which measures how well
2
adjusted model to the likelihood of the independent model raised to the power S , where
w
Sw is the sum of weights.
R2 (Nagelkerke): Coefficient, like the R2 , between 0 and 1 which measures how well the
model is adjusted. This coefficient is equal to ratio of the R2 of Cox and Snell, divided by
1 minus the likelihood of the independent model raised to the power S2 ;
w

Iteration: Number of iteration to reach convergence.
rlh: root likelihood. This value varies between 0 and 1, the value of 1 being a perfect fit. It
is only available for the CBC/HB algorithm.
Goodness of fit indexes (conditional logit): In this table are shown the goodness of fit
statistics specific to the case of the conditional logit model. For more details on these statistics,
see the description part of this help.
statistics follow a χ2 distribution whose degrees of freedom are shown.
Example
An example of choice based conjoint (CBC) analysis is available at the Addinsoft website:
References
Lenk P. J., DeSarbo W. S., Green P. E. and Young, M. R. (1996). Hierarchical Bayes Conjoint
Analysis: recovery of partworth heterogeneity from reduced experimental designs. Marketing
Science, 15, 173-191.

Market generator
Use this tool to generate a market with different products which will be used to simulate market
share of the different products with the simulation tool.
In this section:
Description
Dialog box
Description
Results of a conjoint analysis or a conjoint analysis based on choice can be used to simulate
the market shares of different products with the simulation tool. To do that, it is necessary to
generate a table describing the different products of the market to simulate. The XLSTAT
"Market generator" tool allows to create this table from the table named "variable information"
generated with a conjoint analysis.
Once this information is entered into the dialog box, just click OK, and for each attribute of each
product, you will be asked to choose the category to add. When an entire product has been
defined, you can either continue with the next product or stop building the table and obtain a
partial market table.
Dialog box
The dialog box contains one tab that correspond to the options ranging from the selection of
data to the display of results. You will find below the description of the various elements of the
dialog box.
observations.
Conjoint analysis 890 Market generator

Variable information: Select the table named "variable information" (with variable labels)
generated with results of a conjoint analysis or a conjoint analysis based on choice.
Number of products: Enter the maximum number of products you want to generate.
Conjoint analysis 891 Market generator

Conjoint analysis simulation tool
Use this tool to run market simulations based on the results of a conjoint analysis (full profile or
choice-based) obtained with XLSTAT-Conjoint.
In this section:
Description
Dialog box
Results
Example
References
Description
environment.
Once the analysis has been performed, the major advantage of conjoint analysis is its ability to
perform market simulations using the obtained utilities. The products included in the market do
not have to be part of the tested products.
Outputs from conjoint analysis include utilities which can be partial (associated to each
individual in full profile conjoint analysis) or aggregate (associated to all the individuals in CBC).
These utilities allow computing a global utility associated to any product that you want to include
in your simulated market.
Four estimation methods are proposed in XLSTAT-Conjoint: first choice, logit, Bradley-Terry-
Luce and randomized first choice. These methods are described bellow.
The obtained market shares can then be analyzed to assess the possible introduction of a new
product on the market. The results of these simulations are nevertheless dependent on the
knowledge of the real market and the fact that all important factors associated with each product
in the conjoint analysis have been taken into account.
XLSTAT-Conjoint can also add weights to the categories of the factors or to the individuals.
XLSTAT-Conjoint can also take into account groups of individuals when a group variable
(segmentation) is available. It can be obtained, for example, with the segmentation tool
associated with the conjoint analysis.
Data type
Conjoint analysis 892 Conjoint analysis simulation tool

XLSTAT-Conjoint proposes two models for conjoint analysis. In a full profile analysis, a constant
is associated to the utilities and there are as many utilities as individuals in the study. You have
to select all the utilities and their constant (without the column with the names of the categories).
In the case of CBC, there is no constant and you have to select one column of utilities without
the labels associated to the name of the categories.
In XLSTAT-Conjoint, you have to entirely select the variable information table provided by the
conjoint analysis tool. On the other hand, the market to be simulated can be generated with the
"Market generator" XLSTAT function by using the table containing variables information
generated in a conjoint analysis.
Simulation methods
XLSTAT-Conjoint offers four methods for simulation of market share.
The first step consists of calculating the global utility associated with each new product. Thus,
for a CBC analysis for analyzing men's shoes with three factors: the price (50 dollars, 100
dollars, 150 dollars), their finishing (canvas, leather, suede) and the color (brown, black). We
have a table with 8 partial utilities rows and one column.
We want to simulate a market with a black leather shoe with price equal USD 100. The utility of
this product is: UP 1 = UP rix−100 + UF −Cuir + UC−N oir
We calculate the utility for each product in the market and we seek the probability of choosing
this product using different estimation methods:
First choice: it is the most basic; you select the product with maximum utility with a
probability of 1.
Logit: this method is based on the exponential function to find the probability, it is more
accurate than the method first choice and it is generally preferred. It has the disadvantage
of the IIA assumption (assumption of independence of irrelevant alternatives). It is
exp(UP 1 β)
calculated for the product P 1: PP 1 = sum exp(U β)
with β = 1 or 2.
i Pi
Bradley-Terry-Luce is a method close to the logit method without using the exponential
function. It always involves the assumption of IIA and demands positive utilities (if β = 1).
UPβ 1
It is calculated for the product P 1: PP 1 = with β = 1 or 2.
∑i UPβ i
Randomized first choice: it is a method midway between logit and First Choice. It has the
advantage of not assuming the IIA assumption and is based on a simple principle: it
generates a large number of numbers from a Gumbel distribution and creates a new set
of utilities using the initial utilities adding the numbers generated. For each set of utilities
created, the first choice method is used to select one of the products. So we will accept
slight variations around the calculated values of the utilities. This method is the most
advanced but also more suited to the case of conjoint analysis.
RFC-Bolse: In the case of profile-based conjoint analysis, the Randomized First Choice
BOLSE (RFC-BOLSE) was introduced to overcome the problems of the RFC method.
Indeed, RFC is based on a Gumbel law that do not fit the full profile method. This

approach is based on the same principle as Randomized First Choice but it uses a
different distribution function to generate the simulated numbers. The RFC model adds
unique random error (variation) to the part-worths and computes market shares using the
First Choice rule. The centered normal distribution is used with standard error equal to the
standard error of the parameters of the regression model and a global error term
associated to the entire model. For each set of utilities created, the first choice method is
used to select one of the products. So we will accept slight variations around the
calculated values of the utilities. This method is the most advanced but also more suited
to the case of profile based conjoint analysis.
When more than one column of utilities (with a conjoint analysis with full profiles) are selected,
XLSTAT-Conjoint uses the mean of the probabilities.
Dialog box
observations.
General tab:
Automatically load data : In order to run a conjoint analysis simulation, you need to load
three data tables: the table with utilities, the table with information on variables generated with a
conjoint analysis made with XLSTAT and the table containing the market to simulate. If the
conjoint analysis has been generated with XLSTAT and if you generated the market to simulate
with the "Market generator" XLSTAT function, then you can load the three tables automatically.
To do that, click on the "magic stick" button and select any cell of the sheet containing conjoint
analysis results, then select any cell of the sheet containing the generated market by XLSTAT.
In order to correctly load your data it is very important that you did not manually modified the
sheets containing the results and the market generated by XLSTAT (no add of rows or columns,
…). You can also load your data manually.

Utilities table: Select the utilities obtained with XLSTAT-Conjoint. If headers have been
selected, please check the option "Variable labels" is enabled. Do not select the name of the
categories.
Variables information: Select the variable information table generated with XLSTAT-Conjoint. If
headers have been selected, please check the option "Variable labels" is enabled.
Model: Choose the type of conjoint analysis that you used (full profile or CBC).
Simulated market: Select the market to be simulated. The products will be distributed in a table
with a product per line and a variable per column. If headers have been selected, please check
the option "Variable labels" is enabled.
Method: Choose the method to use to compute market shares.
Product ID: Activate this option if products ID are available. Then select the corresponding
data. If the "Variable labels" option is activated you need to include a header in the selection.
label.
Categories weights: Activate this option if categories weights are available. Then select the
the selection.
Group variable: Activate this option then select a column containing the group identifiers. If a
the selection.
Options tab:
Interactions / Level: Activate this option if interactions were selected in the conjoint analysis.
Then, enter the maximum level of interaction (value between 1 and 3).
Number of simulations: Enter the number of simulations to be generated with the "randomized
first choice" option.

Standard deviations table: Select the table of standard deviations obtained from the full profile
conjoint analysis. If headers have been selected, please check the option "Variable labels" is
enabled.
Charts tab:
Market share plot: Activate this option to display market share plots:
Pie charts: Activate this option to display market share pie charts.
Compare to the total sample: If groups have been selected, activate this option to
compare the market shares of sub-samples with those of the complete sample.
Results
Variable information: This table displays the summary of the information on the selected
factors.
Simulated market: This table displays the products used to perform the simulation. Usually,
first products correspond to product currently in the market place while the last product
correspond to a new product you want to test on the existing market.
Run again the analysis: In order to better understand influences of the different characteristics
of products on market shares, you can modify categories of last product. Once you modified the
categories, by clicking on the "Run again the analysis" button, market shares and associated
charts will be automatically updated according the new categories of the last product.
Market shares: This table displays the obtained market shares. If groups have been selected,
the first column is associated with the global market and the following columns are associated
with each group
Market share plots: The first pie chart is associated to the global market. If groups have been
selected, the following diagrams are associated with the different groups. If the option "compare
to the total sample" is selected, the plots are superimposed; in the background the global
market shares are displayed and in front, market shares associated to the group of individuals
studied are shown.
Utilities / Market shares: This table, which appears only if no groups are selected, displays
products utilities, market shares as well as standard deviations (when possible) associated with
each product from the simulated market.
Market shares (individual): This table, which appears only if no groups are selected and when
full profile conjoint analysis is selected, displays market shares obtained for each individual.
Example
An example of conjoint analysis is available at the Addinsoft website:

An example of choice based conjoint (CBC) analysis is available at the Addinsoft website:
References
Guyon, H. and Petiot J.-F. (2011) Market share predictions: a new model with rating-based
conjoint analysis. International Journal of Market Research, 53(6), 831-857.

Design for MaxDiff
Use this tool to generate a design of experiments for MaxDiff analysis (best- worst model).
In this section:
Description
Dialog box
Results
Example
References
Description
MaxDiff or Maximum Difference Scaling is a method introduced by Jordan Louvière (1991) that
allows obtaining importance of attributes. Attributes are presented to a respondent who must
choose the best and worst attributes (most important / least important).
Two steps are needed to apply that method:
First, a design must be generated so that each attribute is presented with other attributes
an equal number of times.
Then, once the respondent has selected for each choice the best and worst attribute, a
model is applied in order to obtain the importance of each attribute. A Hierarchical Bayes
model is applied to obtain individual values of the importance.
To obtain the MaxDiff design, design of experiments is used. An incomplete block design is
used to generate the choices to be presented. For more details on these methods, please see
the DOE for sensory analysis chapter.
The number of comparisons and the number of attributes per comparison should be chosen
depending on the number of attributes. Keep in mind that too many attributes can lead to
problems and that too many choices can be problematic for the respondent (tired, time-
consuming, ...).
XLSTAT-Conjoint allows obtaining a global table for MaxDiff analysis but also individual tables
for each respondent and each comparison in separated Excel sheets. References are also
included so that when a respondent select a profile in an individual sheet, it is directly reported
in the main table.
Conjoint analysis 898 Design for MaxDiff

Dialog box
observations.
General tab:
Attributes: Select the attributes that will be tested during this analysis.
MaxDiff analysis.
Maximum number of comparisons: Enter the maximum number of comparison to be

presented to the individual respondents. This number has to be greater than the number of
attributes.
Number of profiles per comparison: Enter the number of attributes per comparison.
Terminology: Choose among the proposed alternatives, the terms that best correspond to your
case.

Variable labels: Check this option if the first line of the selections contains a label.
Outputs tab:
Data format: Choose from one of the two formats in which you want your design to be
displayed: Combination/Respondent or Respondent/Combination.
Respondents by design: Enter a vector of size equal to the number of designs,

containing the number of respondents per design.
Comparisons by design: Enter a vector of size equal to the number of designs,
containing the number of combinations per design.
Print individual sheets: Activate this option to print individual sheets for each respondent.
Each sheet will include a table for each comparison. The respondent has to enter any value
close to the best (on the right) and worst (on the left) attributes. Two assignment options are
available; the fixed option displays the comparisons in the same order for all individuals; the
random option displays the comparisons in random orders (different from one respondent to
another).
individual sheets. When an individual enter his chosen code in the individual sheet, the result is
automatically displayed in the main sheet of the analysis.
Results
Variable information: This table displays all the information relative to the attributes.
MaxDiff analysis design: This table displays the comparisons presented to the respondent.
Each row is associated to a comparison of attributes. Empty cells associated to each individual
respondent are also displayed. Respondent have to enter the code associated to the choice
made (1 to number of attributes per comparisons). Two columns per respondent have to be
filled (best and worst).
Run the analysis: Once you filled in the MaxDiff design with individuals responses, you can
click on the "Run the analysis" button to automatically launch the interface and run a MaxDiff
analysis.
include the name of the analysis, the individual number and tables associated to the
comparisons with the profiles to be compared. Individual respondents should enter the code
associated to their choice in the bottom right of each table.
Example

An example of MaxDiff analysis is available at the Addinsoft website:
http://www.xlstat.com/demo-maxdiff.htm
References
Louviere, J. J. (1991). Best-Worst Scaling: A Model for the Largest Difference Judgments,
Working Paper, University of Alberta.
Marley, A.A.J. and Louviere, J.J. (2005). Some probabilistic models of best, worst, and best–
worst choices. Journal of Mathematical Psychology, 49, 464–480.

MadDiff analysis
Use this tool to run a MaxDiff analysis. This tool is included in the XLSTAT- Conjoint module; it
must be applied on design of experiments for MaxDiff analysis generated with XLSTAT-Conjoint.
In this section:
Description
Dialog box
Results
Example
References
Description
MaxDiff or Maximum Difference Scaling is a method introduced by Jordan Louvière (1991) that
allows obtaining importance of attributes. Attributes are presented to a respondent who must
choose to best and worst attributes (most important / least important).
responses from a sample of people. This analysis can only be done once the attributes have
been defined, the design has been generated, and the individual responses have been
collected.
In the case of MaxDiff models, individuals must choose between selections of attributes. Thus, a
number of choices is given to all individuals (we select an attribute from a number of attributes).
Analysis of these choices can be done using a conditional logit model or a hierarchical Bayes
algorithm which gives individual results.
Conditional logit model
The conditional logit model is based on a model similar to that of the logistic regression except
that instead of having individual characteristics, there will be characteristics of the different
alternatives proposed to the individuals.
The probability that individual i chooses product j is given by:

T
eβ zij
Pij =
∑k eβ T zik
From this probability, we calculate a likelihood function:
n J
l(β) = ∑ ∑ yij log(Pij )
i=1 j=1
Conjoint analysis 902 MadDiff analysis

With y being a binary variable indicating the choice of individual i for product j and J being the
number of choices available to each individual.
To estimate the model parameters β (the coefficients of the linear function), it seeks to
maximize the likelihood function. Unlike linear regression, an exact analytical solution does not
exist. It is therefore necessary to use an iterative algorithm. XLSTAT-Conjoint uses a Newton-
Raphson algorithm.
To avoid linear dependency, we arbitrarily set the utility for the first item to zero and estimate the
utility of all other items with respect to that first item held constant at zero.
Hierarchical Bayes model
Parameters are estimated at the individual level using an iterative method (Gibbs sampling)
taking into account each individual’s choice but also the global distribution of the choices. The
obtained individual importance will be more precise.
The MaxDiff analysis allows obtaining individual MaxDiff score for each respondent and each
attribute.
The model coefficients are obtained using the HB model with X as input for best choices and
−X for worst choices. Then, these coefficients are transformed to obtain MaxDiff scores. They
exp(β)
are centered then transformed using that formula: exp(β)+nb −1 with nbalter being the
alter
number of alternatives proposed in each choice task. Then the scores are rescaled in order to
sum to 100.
Dialog box
observations.

General tab:
Automatically load data : In order to run a MaxDiff analysis you need to load two data
tables: a table with the individual responses and a table containing the different choices (or
combinations of choices). If the MaxDiff design has been generated with XLSTAT , then you can
load the two tables automatically. To do that, click on the "magic stick" button and select any cell
in the sheet containing the MaxDiff design generated by XLSTAT. In order to correctly load your
data, please avoid any manual modification (e.g. adding extra rows or columns) of the sheet
containing the XLSTAT MaxDiff design. You can also manually load your data using the fields of
the MaxDiff analysis dialog box.
Responses: Select the responses that have been given by respondents. If headers have been
selected, please check the option "Variable labels" is enabled. This selection corresponds to the
right part of the MaxDiff analysis design table generated with the "design of MaxDiff analysis"
tool of XLSTAT- Conjoint.
Choice table: Select the choices that have been presented to the respondents. If headers have
to the left part of the MaxDiff analysis design table generated with the "design of MaxDiff
analysis" tool of XLSTAT-Conjoint. Do not select the first column of the table.
Terminology: Choose among the proposed alternatives, the terms that best correspond to your
study.
Variable labels: Check this option if the first line of the selections contains a label.
the selection.
Options tab:
Method: Select the method to be used for estimation from Logit or Hierarchical Bayes.
Default value: 95%.
Bayesian options: the number of iterations for the burn-in period and the maximal time for the
hierarchical Bayes algorithm can be modified.
Stop conditions: the number of iterations and the convergence criterion until convergence of
the algorithm can be modified.If the number of iterations is reached and if
Abs(mean(BetaOld − BetaN ew)) (where BetaOld sets the value of the coefficients at

iteration k − 1 and BetaN ew set their value to the iteration k ) does not reach the
convergence value so the algorithm is stopped.
Missing data tab:
Results
Variable information: This table displays all the information relative to the used attributes.
Counts analysis: These tables summarize the results of the MaxDiff survey by showing how
many times each attribute has been chosen as best and worst, first for the entire population and
then for each respondent. The third column of these tables correspond to the difference of the
best and worst frequencies.
The following results are only displayed in the case of a hierarchical Bayes model.
MaxDiff scores: This table displays MaxDiff scores for each attribute of the analysis for each
respondent. Individual values and descriptive statistics are available.
Model coefficients: This table displays the HB model coefficients.
-2 Log(Like.) : The logarithm of the likelihood function associated with the model;
rlh: root likelihood. This value varies between 0 and 1, the value of 1 being a perfect fit.
Individual results are then displayed.
Example
An example of MaxDiff analysis is available at the Addinsoft website:
http://www.xlstat.com/demo-maxdiff.htm
References
Louviere, J. J. (1991). Best-Worst Scaling: A Model for the Largest Difference Judgments,
Working Paper, University of Alberta.

Marley, A.A.J. and Louviere, J.J. (2005). Some probabilistic models of best, worst, and best–
worst choices. Journal of Mathematical Psychology, 49, 464–480.

Monotone regression (MONANOVA)
Use this tool to apply a monotone regression or MONANOVA model. Advanced options let you
choose the constraints on the model and take into account interactions between factors. This
tool is included in the module XLSTAT- Conjoint.
In this section:
Description
Dialog box
Results
Example
References
Description
The MONANOVA model is part of the XLSTAT-Conjoint module.
Monotone regression and the MONANOVA model differ only in the fact that the explanatory
variables are either quantitative or qualitative. These methods are based on iterative algorithms
based on the ALS (alternating least squares) algorithm. Their principle is simple, it consists of
alternating between a conventional estimation using linear regression or ANOVA and a
monotonic transformation of the dependent variables (after searching for optimal scaling
transformations).
The MONANOVA algorithm was introduced by Kruskal (1965) and the monotone regression and
the works on the ALS algorithm are due to Young & al. (1976).
These methods are commonly used as part of the full profile conjoint analysis. XLSTAT-Conjoint
allows applying them within a conjoint analysis (see chapter on conjoint analysis based on full
profiles) as well as independently.
The monotone regression tool (MONANOVA) combines a monotonic transformation of the

responses to a linear regression as a way to improve the linear regression results. It is well
suited to ordinal dependent variables.
XLSTAT-Conjoint allows you to add interactions and to vary the constraints on the variables.
Method
Monotone regression combines two stages: an ordinary linear regression between the
explanatory variables and the response variable and a transformation step of the response
variables to maximize the quality of prediction.
Conjoint analysis 907 Monotone regression (MONANOVA)

The algorithm is:
1. Run an OLS regression between the response variable Y and the explanatory variables
X . We obtain the β coefficients.
2. Calculation of the predicted values of Y : P red(Y ) =β∗X
3. Transformation of Y using a monotonic transformation (Kruskal, 1965) so that P red(Y )

and Y are close (using optimal scaling methods).
4. Run an OLS Regression between Yt rans and the explanatory variables X . This gives
new values for the β .
5. Steps 2 through 4 are repeated until the change in R2 from one stage to another is
smaller than the convergence criterion.
Goodness of fit (MONANOVA)
In the context of MONANOVA, additional results are available. These results are generally
associated with a multivariate analysis but as we are in the case of a transformation of the
responses, their presence is necessary. Instead of using the squared canonical correlations
between measures, we use the R2 . XLSTAT-Conjoint calculates the Wilks' lambda, Pillai's
trace, the trace of Hotelling-Lawlet and Roy largest root using a matrix with largest eigenvalue
equal to the R2 and 0 for other eigenvalues. The largest root of Roy gives a lower bound for the
p-value of the model. Other statistics are upper bounds on the p-value of the model.
Interactions
represent the interaction between factor A and factor B is A ∗ B .
The interactions to be used in the model can be easily defined in XLSTAT- Conjoint.
Constraints for qualitative predictors

first category as a standard.
last category as a standard.
to be equal to the mean of the dependent variable when the design is balanced.
Dialog box
observations.
General tab:

been activated.
by XLSTAT (Obs1, Obs2,…).
Options tab:

Default value: 95%.
Sum (ai) = 0: for each factor, the sum of the parameters associated with the various categories
is set to 0.
Stop conditions:
Iterations: Enter the maximum number of iterations for the ALS algorithm. The
calculations are stopped when the maximum number if iterations has been exceeded.
Default value: 100.
Convergence: Enter the maximum value of the evolution of R2 from one iteration to
another which, when reached, means that the algorithm is considered to have converged.
Default value: 0.000001.
Missing data tab:
data.
computations.
Outputs tab:

Observation details: Activate this option to display detailed outputs for each respondent.
the observations.
Charts tab:

Transformation plot: Activate this option to display the monotone transformation of the
response plot.
Results
results.
displayed.


part).
R2 : The determination coefficient for the model. This coefficient, whose value is between
0 and 1, is only displayed if the constant of the model has not been fixed by the user. Its
n n
∑ wi (yi − yî )2 1
2
R = 1 − i=1
n , where ˉ
y = ∑ wi yi
∑i=1 wi (yi − yˉi )2 n i=1
Adjusted R2 : The adjusted determination coefficient for the model. The adjusted R2 can
^ 2 = 1 − (1 − R2 ) W − 1
R
W −p−1
used in the model.

n
1
M SE = ∑ wi (yi − yî )2
W − p∗ i=1
MAPE: The Mean Absolute Percentage Error is calculated as follows::

n
100 ∣ y − yî ∣
M AP E = ∑ wi ∣∣ i ∣
∣
W i=1 ∣ yi ∣
∑ni=2 [(yi − yî ) − (yi−1 − yî−1 )]2

DW = n
∑i=1 wi (yi − yî )2

SCE
Cp = + 2p∗ − W
^
σ
explanatory variables. The nearer the Cp coefficient is to p∗, the less the model is biased.
AIC = W ln ( ) + 2p∗
SCE
W
criterion.
SBC = W ln ( ) + ln(W )p∗

SCE
W
minimize it.
(1 − R2 )(W + p∗ )
PC =
W − p∗
n
i=1
î(−i) is the prediction for observation

where y i when the latter is not used for estimating
Press
Press RMCE =
W − p∗
Iteration: Number of iteration until convergence of the ALS algorithm.

Goodness of fit coefficients (MONANOVA): In this table are shown the statistics for the fit of
the regression model specific to the case of MONANOVA. These statistics are the Wilks'
lambda, the Pillai's trace, the trace of Hotelling-Lawlet and the largest root of Roy. For more
details on these statistics, see the description part of this help.
If the Type I/II/III SS (SS: Sum of Squares) option is activated, the corresponding tables are
displayed.
which the variables are selected in the model has no influence on the values obtained. Type II
SS are not recommended in unbalanced designs but we display them as some users might
need them. It is identical to Type III for balanced designs.
which the variables are selected in the model has no influence on the values obtained. While
Type II SS depends on the number of observations per cell (cell means combination of
categories of the factors), Type III does not and is therefore preferred.
The table of standardized coefficients (also called β coefficients) are used to compare the

value of the dependent variable, the transformed value of the dependant variable, the model's
prediction, the residuals, and the confidence intervals. Two types of confidence interval are
displayed: a confidence interval around the mean (corresponding to the case where the
interval is always greater than the first, the random values being larger.
The charts which follow show the transformation of the dependant variable.
Example
An example of MONANOVA is available at the Addinsoft website:
http://www.xlstat.com/demo-monanova.htm
References
Kruskal, J . B . (1965 ). Analysis of Factorial Experiments by Estimating Monotone
Transformations of the Data. Journal of the Royal Statistical Society. Series B (Methodological).
27(2), 251-263.
Takane Y., Young F. W. and De Leeuw J. (1977). Nonmetric individual differences

multidimensional scaling: an alternating least squares method with optimal scaling features.
Young F. W., De Leeuw J. and Takane Y. (1976 ). Regression with qualitative and quantitative
variables: alternating least squares method with optimal scaling features. Psychometrika, 41,
505-529.

Conditional logit model
Use conditional logit model to model a binary variable using quantitative and/or qualitative
explanatory.
In this section:
Description
Dialog box
Results
Example
References
Description
The conditional logit model is part of the XLSTAT-Conjoint module.
The conditional logit model is based on a model similar to that of the logistic regression. The
difference is that all individuals are subjected to different situations before expressing their
choice (modeled using a binary variable which is the dependent variable). The fact that the
same individuals are used in taken in account by the conditional logit model (NB: the
observations are not independent within a block corresponding to same individual).
The conditional logit model is a method mostly used in conjoint analysis, it is nevertheless
useful when analyzing a certain type of data. It is McFadden (1973) who introduced this model.
Instead of having one line per individual like in the classical logit model, there will be one row for
each category of the variable of interest. If one seeks to study transportations, for example,
there will be four types of transports (car / train / plane / bike), each type of transport have
characteristics (their price, their environmental costs...) but an individual can choose only one of
four transportations. As part of a conditional logit model, all four options are presented to each
individual and the individual choose his preferred option. We have for N individuals, N ∗ 4
rows with 4 rows for each individual associated with each transportation. The binary response
variable will indicate the choice of the individual (1) and 0 if the individual did not choose this
option.
In XLSTAT-Conjoint, you will also have to select a column associated with the name of the
individuals (with 4 lines per individual in our example). The explanatory variables will also have
N ∗ 4 lines.
Method
The conditional logit model is based on a model similar to that of the logistic regression except
that instead of having individual characteristics, there will be characteristics of the different
Conjoint analysis 917 Conditional logit model

alternatives proposed to the individuals.
The probability that individual i chooses product j is given by:

T
eβ zij
Pij =
∑k eβ T zik
From this probability, we calculate a likelihood function:
n J
l(β) = ∑ ∑ yij log(Pij )
i=1 j=1
With y being a binary variable indicating the choice of individual i for product j and J being the
number of choices available to each individual.
To estimate the model parameters β (the coefficients of the linear function), it seeks to
maximize the likelihood function. Unlike linear regression, an exact analytical solution does not
exist. It is therefore necessary to use an iterative algorithm. XLSTAT-Conjoint uses a Newton-
Raphson algorithm.
Goodness of fit (conditional logit)
Some specific goodness of fit indexes are displayed for the conditional logit model.
- Likelihood ratio R: R = −2(log(L) − log(L0 ))
- Upper bound of the likelihood ratio U : U = −2 log(L0 )
- Aldrich-Nelson: AN = R
R+N
R
- Cragg-Uhler 1: CU1 = 1 − e− N
R
1−e− N
- Cragg-Uhler 2: CU2 = U
1−e− N
U
- Estrella: Estrella = 1 − (1 − )
R N
U
2
log(L0 )
( log(L)−k
log(L0 ) )
N
- Adjusted Estrella: Adj.Estrella = 1−
R(U +N )
- Veall-Zimmermann: V Z = U (R+N )
With N being the sample size and K being the number of predictors.
Constraints for qualitative predictors

During the calculations, when qualitative predictors are selected, each factor is broken down
into a sub-matrix containing as many columns as there are categories in the factor. Typically,
this is a full disjunctive table. Nevertheless, the breakdown poses a problem: if there are g
categories, the rank of this sub-matrix is not g but g − 1. This leads to the requirement to delete
one of the columns of the sub-matrix and possibly to transform the other columns. Several
strategies are available depending on the interpretation we want to make afterwards:
first category as a standard.
2) Sum (ai) = 0: the sum of the parameters is null.
Dialog box
observations.
General tab:
Response variable: Select the response variable you want to model. If headers have been
selected, please check the option "Variable labels" is enabled. This variable has to be a binary
variable.
Subject variable: Select the subject variable corresponding to the name of the individuals. If
headers have been selected, please check the option "Variable labels" is enabled.

been activated.
label.
Observation weights: Activate this option if observations weights are available. Then select the
the selection.
Options tab:
be ignored.
Default value: 95%.
Stop conditions:
Default value: 100.

Missing data tab:
computations.
Outputs tab:
selected.
for the model.
Standardized coefficients: Activate this option if you want the standardized coefficients (β
the observations.
Charts tab:

Results
results.
displayed.

R2 (McFadden): Coefficient, like the R2 , between 0 and 1 which measures how well the
R2 (Cox and Snell): Coefficient, like the R2 , between 0 and 1 which measures how well
2
adjusted model to the likelihood of the independent model raised to the power S , where
w
R2 (Nagelkerke): Coefficient, like the R2 , between 0 and 1 which measures how well the
w
Iteration: Number of iteration to reach convergence.
Goodness of fit indexes (conditional logit): In this table are shown the goodness of fit
statistics specific to the case of the conditional logit model. For more details on these statistics,
see the description part of this help.
Test of the null hypothesis H0 : Y = p0 : The H0 hypothesis corresponds to the

independent model which gives probability p0 whatever the values of the explanatory variables.
We seek to check if the adjusted model is significantly more powerful than this model. Three
tests are available: the likelihood ratio test (-2 Log(Like.)), the Score test and the Wald test. The
three statistics follow a χ2 distribution whose degrees of freedom are shown.

question has been removed. If the probability P r > LR is less than a significance threshold
which has been set (typically 0.05), then the contribution of the variable to the adjustment of the
model is significant. Otherwise, it can be removed from the model.
value of the dependent variable, the model's prediction, the same values divided by the weights,
the standardized residuals and a confidence interval.
Example
An example of conditional logit model is available at the Addinsoft website:
http://www.xlstat.com/demo-clogit.htm
References
Ben-Akiva, M. and Lerman S.R. (1985). Discrete Choice Analysis, The MIT Press.
McFadden D. ( 1974). Conditional logit analysis of qualitative choice behavior. In P. Zarembka

(Ed.), Frontiers in Econometrics, Academic Press, 105-142.

Text mining
Text mining 924 Conditional logit model

Feature extraction
Feature extraction is used to reduce the amount of resources required to describe a large set of
textual data. It is a general term describing methods of constructing variables combinations in
order to avoid these problems while still describing the data with sufficient accuracy. The
“extracted features” are commonly used in document classification methods where the
occurrence frequency of each word in a document is used as a feature for training a classifier.
In this section:
Description
Dialog box
Results
Example
References
Description
Since machine learning algorithms operate on a numeric feature space, expected input is a two-
dimensional array where rows are observations (documents) to classify and columns are
features (words). Consequently, to perform machine learning on textual data, we need to
transform our documents into vector representations such that we can apply numeric machine
learning. The process of encoding documents in a numeric feature space is called feature
extraction or more simply, vectorization and is an essential first step in Natural Language
Processing (NLP)
One simple encoding for the vectorizing process is the “bag-of-words” model, better known as
vector space model. In this model, a text (such as a sentence or a document) is represented as
a multiset of its words, disregarding grammar and even word order. A classical output with this
scheme is the document-term matrix.
Document-term matrix
Document-term matrix (DTM) uses all the tokens in the dataset as vocabulary. It is a
mathematical matrix object that describes the frequency of terms that occur in a collection of
documents. In a document-term frequency matrix, each row in the matrix corresponds to a
document and each column corresponds to a term (word) in the document. Each cell represents
the frequency (number of occurrence) of the corresponding word in the corresponding
document. Prior to that, a tokenization step is performed to separate words from the document
by using white space as the delimiter. Moreover, many different filtering combinations are
applied to remove words that do not have any significant importance in building the matrix. This
process is called stop words removal (stop words are words like: a, the, that and so on). Others
Text mining 925 Feature extraction

filtering procedures can be performed such as removing sparse terms (terms that are not
present above a certain proportion over the whole documents), or stemming to remove
inflexional ending from the necessary words (thus reducing inflected words to their word stem).
Dialog box
observations.
General tab:
Document files: Select multiple text files (WINDOWS version) or a folder containing them
(MAC version).
Worksheet: Select a table made up of N documents (one document stored in each cell) from
Excel spreadsheet. If the "document labels" option has been selected, check that cells
containing labels has been selected.
Documents labels: Activate this option if the first column of the data selections contains
document labels.
Options tab:

Preprocessing sub-tab:
Vocabulary filtering
Stopwords list: Activate this option to exclude a list of stop words (insignificant words in a text)
contained in documents (English language by default) .
Remove punctuation: Activate this option to delete punctuation marks in documents.
Remove numbers: Activate this option to remove numbers in documents.
Text normalization
Stemming: Activate this option to reduce words to their common stem (English stemmer by
default).
Intermediate form sub-tab:
Term filtering
Remove sparse terms: Activate this option to delete terms whose proportion of presence is
lower than 100 x (1- value) % over the whole documents (value is 0.95 by default).
Minimum frequency: Activate this option to skip terms occurring less than value time(s) over
the whole documents (value is 2 by default)
Maximum frequency Activate this option to skip terms occurring more than value time(s) over
the whole documents (value shall be greater or equal to the minimum frequency parameter if
activated)
Maximum number Activate this option to set a maximum number of words to be included in the
document-term matrix. Least frequent terms will be dropped.
Outputs tab:
Document-term matrix: Activate this option to display the document-term matrix (DTM) in the
XLSTAT result sheet.
Export document-term matrix (DTM): Activate this option to specify a folder path where to
export the document-term matrix as comma-separated values format (CSV).
Results
The document-term matrix (DTM) is displayed. The exported DTM (if the corresponding option
is choosen) has no limitation for the maximum number of terms allowed to contain (useful when
exceeding the Excel limitation in result sheet).
Example
An example based on data collected from the Internet Movie DataBase (IMBD) is permanently
available on the Addinsoft web site. To download this data, go to:

https://help.xlstat.com/customer/en/portal/articles/2937383-feature-extraction-tutorial-in-excel?
b_id=9283
References
Lewis, D. 1992 Text Representation for Text Classification.
Martin F Porter. 1980 An algorithm for suffix stripping.
David A Hull et al. 1996 Stemming algorithms: A case study for detailed evaluation. JASIS 47,
1 (1996), 70–84.

Decision aid
Multicriteria decision aid: ELECTRE methods
In a decision-making process ELECTRE methods enable to identify a set of solutions to a
problem, to compare solutions or to classify them from the best to the worst. These methods
have the advantage of taking into account several criteria that may be of different nature
(qualitative or quantitative) and of chosen importance order.
In this section:
Description
Dialog box
Results
Example
References
Description
The ELECTRE methods, whose acronym stands for ELimination and Choice Expressing
REality, bring together a family of decision aid methods whose particularity is the partial
aggregation based on the construction of relations of comparisons of the performances of each
pair of solutions. Unlike classical optimization methods, which consist in formulating the problem
in the form of a cost function and in searching its optimum, here we compare solutions 2 by 2,
criterion by criterion putting forward a preference / indifference of a response to another and
resulting in an over ranking matrix. These methods have the advantage of accepting situations
of incomparability with qualitative and immeasurable criteria.
The different solutions of a decision-making problem are called potential actions, or alternatives.
These actions are listed exhaustively or not and must be formulated by the user. The
consequences of each of them are evaluated using criteria. A criterion can be qualitative or
quantitative and must be defined by the user. When it is qualitative, the evaluation of the actions
on this criterion must be reduced to a numerical scale defined by the user. For example, let’s
consider the criterion "type of diploma" for the selection of a candidate in a recruitment process.
This criterion will be reduced to an arbitrary numerical scale which can be: 0 for high-school
diploma, 1 for associate degree, 2 for bachelor degree, and so on... To allow a different
contribution of these criteria in the decisional problem, the user can provide a weight to each
one increasing with its importance. In the example of the recruitment process let "age of the
candidate" be a new criterion ranging from 25 to 50 years. Assuming that this criterion is less
important than the criterion "type of diploma" then the weight value of the criterion "Age of the
candidate" is set to 1 and the weight value of the criterion "type of diploma" is set to 2. In the
Decision aid 929 Multicriteria decision aid: ELECTRE methods

end, in order to use an ELECTRE method the user must provide at least: the list of actions, the
list of criteria, the evaluation of each action by criterion and the weight of each criterion.
Let A be a finite set of p potential actions, A = {a1 , a2 , ..., ap }. Let F be a coherent family of n
criteria, F = {g1 , g2 , ..., gn } where each function g, representing the evaluation of actions by
criterion, is defined on A and takes its values in a totally ordered set. Let K be the set of weight
values associated with each criterion, K = {k1 , k2 , ..., kp }. The table named “performance” is
composed of n lines and p columns.
A true-criterion is dissociated of a pseudo-criterion according to the accuracy of the evaluations.

If they are easy to establish being free of error margins, we speak of true-criteria. Conversely, if
the evaluations are vague and imprecise, we speak of a pseudo-criterion. In this second case,
the computation method will be supplemented with discrimination thresholds in order to increase
the realism of the preference modeling.
XLSTAT proposes two methods ELECTRE, 1 and 3. Above is given a description of them.
Electre 1
This method is used to identify a set of solutions to a decision-making problem. The criteria are
true-criteria and in this case the thresholds p and q are set to 0. Let a and b be two potential
actions, Electre 1 gives an over ranking matrix that numerically translates the assertions "a over
ranks b", noted aSb, meaning that the action a is privileged over the action b and the opposite
assertion. To do this, we need to compute 2 matrices, one called concordance matrix and the
second one called discordance matrix.
The indexes of the concordance matrix for two actions a and b are denoted by C (a, b), ranging
from 1 to 0, and measure the relevance of the assertion "a over ranks b" as follows: ∀a, b ∈ A,
n
1
C(a, b) = ∑kj/gj (a)≥gj (b) (1)
∑nj=1 kj j=1
The indices of the discordance matrix are denoted by D (a, b), ranging from 1 to 0, and measure
the relevance of an argument against the assertion "a over ranks b" as follows: ∀a, b ∈ A,
1
D(a, b) = max (gj (b) − gj (a)), (2)
δ j=1aˋn
with
δ = max (max(gj,i (a) − gj,i (b))).

j=1aˋn i=1aˋp
The over-ranking matrix is constructed from all of these 2 indices via the following over-ranking
relationship: ∀a, b ∈ A,
C(a, b) ≥ c^
aSb ⇔ { (3)
D(a, b) ≤ d^

where c^ is the concordance threshold and d^ the discordance one. These thresholds must be
taken in the interval [0,1]. When both inequalities of (1) are true then the index of over ranking is
1, otherwise it is equal to 0. We can thus deduce, for each action, the number of times it
outperforms and the number of times it is outperformed. This result is summarized in a table
classifying the actions according to the number of over rankings. Actions with the same number
are ranked in the same rank. By default, the thresholds are set to 1 and 0 respectively but for
more flexibility in the method and to allow to weaken the assertion aSb they can be varied by
the user.
The method is supplemented by a sensitivity analysis on the thresholds. It enables to identify

the minimum and maximum values for which the final result of the over ranking remains
unchanged. Electre 1 is then runned 4 times: 2 times by modifying the concordance threshold
and fixing the discordance threshold at the value provided by the user (or at the default value 0)
and 2 times by fixing the concordance threshold at the value given by the user (or the default
value of 1) and modifying the discordance threshold. The modified values are increased and
decreased by 10% of the user value.
Electre 3
This method is used to classify a set of solutions from the best to the worst. Criteria are pseudo-
criteria and in this case thresholds are required to do the analysis. Compared to Electre 1,
Electre 3 executes more computations in order to obtain the desired results. In a first step the
method computes matrix coefficients which summarize the information of concordance and
discordance between actions of the problem. In a second step, the coefficients are used to build
two pre-rankings, a first one which classifies solutions from the best to the worst and a second
one which classifies from the worst to the best. The outranking matrix and the table rank are
then deduced by crossing the two pre-rankings results.
Let qj be the indifference threshold, pj be the preferred threshold and vj be the veto threshold
such that qj < pj < vj over the criterion j. Let uj = gj (a) – gj (b) be the difference between
the performances of actions a and b over the criterion j. We compare uj to the thresholds and
define the outranking relations as follow:
a and b are indifferent (a I b) ⇔ uj ≤ qj (gj (a)),

a is less preferred to b (a R b) ⇔ qj (gj (a)) ≤ uj ≤ pj (gj (a)),
a is preferred to b (a P b) ⇔ pj (gj (a)) ≤ uj ,
a is less better than b (a NP b) ⇔ uj ≥ vj (gj (a)).
The aim of Electre 3 is to get an over ranking matrix that translates the assertions aSb with S =
I, R, P and NP, for all couple of actions a and b in A. To do this, we need to compute the matrix
coefficients according to the following equation:
d(a, b) = {
C(a, b) if ∀j Dj (a, b) > C(a, b),
(4)
C(a, b) ∏nj=1 1−Dj (a,b)
1−C(a,b)
where C(a, b) represents the index of the global concordance matrix and Dj (a, b) the index of
the j-partial discordance matrix. These two matrices are respectively computed as follow. The
global concordance between two actions a and b is a linear combination of the partial

concordances cj (a,b), for j=1 to n, normalised by the weights of criteria as formulated in
equation (5).
n
∑j=1 kj × cj (a, b)
C(a, b) = (5)
∑nj=1 kj
with
pj (gj (a)) − min (gj (b) − gj (a), pj (gj (a)))

cj (a, b) =
pj (gj (a)) − min (gj (b) − gj (a), qj (gj (a)))
This calculation involves the distance uj , the preference and indifference thresholds. The
computation of the partial discordance matrices (one matrix per criterion) also involves the
distance uj and the preference threshold but also the veto threshold with the following equation.
gj (b) − gj (a) − pj (gj (a))

Dj (a, b) = M in (1; M ax (0; )) ⋅
vj (gj (a)) − pj (gj (a))
The credibility matrix is then used in an iterative algorithm which is executed two times. A first
time to find the best solutions to the worst ones, this step is called descending distillation. And a
second time to get the inverse ranking, that is to say from the worst solutions to the best, this
step is called ascending distillation. The algorithm aims at the iteration i to extract a subset Ai of
A composed of the best or the worst solutions depending on the distillation step followed. The
inclusion rule relies on the comparison with the credibility matrix coefficients to the
discrimination threshold that is computed with the following equation:
si (λ) = α + λi × β,
where α = 0.30, β = – 0.15 and λi represents the biggest value of all degrees of credibility.
The expected outranking matrix is then deduced by crossing the two distillation steps. The final
ranking is deduced from the number of occurrences I, R, P and NP, whose the meaning is given
above, of the outranking matrix.
To allow method flexibility, several options are proposed to the user. The first one enables to
choose the preferred direction of performances for each criterion. An increasing direction means
that the performances increase and the preference is given to the high value (maximisation of
the criterion). A decreasing direction means that the performances decrease and the preference
is given to the low value (minimization of the criterion). This option is traduced in XLSTAT by a
value of 1 for the maximization and -1 for the minimization. A default value is prescribed that is
1. The next two options are linked with the format and the direction of the thresholds. Those can
be defined as a constant or as a linear function of the performance gj (a). The linear function is
chosen when the difference uj is large. In this case the thresholds are defined either in direct
mode, that is to say the performance used in the threshold computations is the worst one, or in
inverse mode that is the performance used is the better one. This option is traduced in XLSTAT
by a value 1 for the direct mode and -1 for the inverse mode. A default value is prescribed that
is 1.
To use Electre 3 method, the user must provide in addition to the elements common to both
methods mentioned above, the indifference, preference and veto thresholds, and to choose the
threshold format.

Dialog box
observations.
General tab:
Criteria/actions table: You can select a table that contains the performances of the actions.
The table size must be of N lines and P columns and data must be of numerical type. If column
Criteria weights: You can select a table that contains the weight of each criteria. This table
must have the same number of lines than the criteria/actions table and data must be of
numerical type. If a column header has been selected, check that the "Variable labels" option is
activated. Missing data are not accepted.
Type of the method: You can choose between Electre 1 and 3 methods for your computations
(see the description section for more details).
Concordance threshold: Threshold used in Electre 1 method. You can choose the value of the
concordance threshold, between 0 and 1. The default value is 1. This threshold must be greater
than the discordance one.
Discordance threshold: Threshold used in Electre 1 method. You can choose the value of the
discordance threshold, between 0 and 1. The default value is 0. This threshold must be smaller
than the concordance one.
Indifference threshold: Threshold used in Electre 3 method. You can select a table that
contains the indifference threshold of each criteria. This table must have the same number of

lines than the criteria/actions table and 1 or 2 columns depending on the format chosen (see the
selection «Threshold format » below). Data must be of numerical type. If a column header has
been selected, check that the "Variable labels" option is activated. Missing data are not
accepted.
Preference threshold: Threshold used in Electre 3 method. You can select a table that
contains the preference threshold of each criteria. This table must have the same number of
lines than the criteria/actions table and 1 or 2 columns depending on the format chosen (see the
selection «Threshold format » below). Data must be of numerical type. If a column header has
been selected, check that the "Variable labels" option is activated. Missing data are not
accepted.
Veto threshold: Threshold used in Electre 3 method. You can select a table that contains the
veto threshold of each criteria. This table must have the same number of lines than the
criteria/actions table and 1 or 2 columns depending on the format chosen (see the selection
«Threshold format » below). Data must be of numerical type. If a column header has been
selected, check that the "Variable labels" option is activated. Missing data are not accepted.
Criteria labels: You can select a table that contains the criteria labels. This table must have the
same number of lines than the criteria/actions table and data must be of character type. If you
do not select this table, the default labels are "Crit.1, Crit.2, …". If column headers have been
Threshold format: Option used in Electre 3 method. You can choose the format of thresholds
between constant and linear. In the constant case a table of the same number of lines than the
criteria/actions table and 1 columns is expected. In the linear case two columns are expected,
the first one corresponding to the slope and the second one to the intercept.
Options tab:
Criteria evaluation direction: You can activate this option to add a condition on the direction of
evaluation of each criteria. You select a table that contains the same number of lines than the
criteria/actions table and 1 column. Data must be of numerical type set to 1 or -1. By default,
data are fixed to 1. If a column header has been selected, check that the "Variable labels" option
is activated. Missing data are not accepted.
Threshold direction: You can activate this option to add a condition on the direction of each
tresholds. You select a table that contains the same number of lines than the criteria/actions
table and 1 column. Data must be of numerical type set to 1 or -1. By default, data are fixed to
1. If a column header has been selected, check that the "Variable labels" option is activated.
Missing data are not accepted.

Missing data tab:
Remove criteria: Activate this option to remove criteria with missing data.
Remove ac ions: Activate this option to remove actions with missing data.
starts.
Mean: Activate this option to estimate the missing data by using the mean (quantitative
variables) of actions.
Nearest neighbour: Activate this option to estimate the missing data for an criterion by
searching for the nearest neighbour of it.
Outputs tab:
Descriptive statistics: Activate this option to display descriptive statistics for the actions
selected. For the quantitative variables, the number of missing values, the number of non-
missing values, the mean and the standard deviation (unbiased) are displayed.
Concordance matrix: Activate this option to display the concordance matrix. For Electre 3
method the global matrix is displayed.
Discordance matrix: Activate this option to display the discordance matrix. Option only
available for Electre 1 method.
Credibility matrix: Activate this option to display the credibility matrix. Option only available for
Electre 3 method.
Over ranking matrix: Activate this option to display the over ranking matrix.
Ranking table: Activate this option to display the table of ranks.
Sensitivity analysis: This option is allowed if « Ranking table » is checked in Electre 1 method.
It displays the ranking tables obtained with a sensitivity analysis of 10% on the thresholds.
Results
results.
Summary descriptive statistics: the table of descriptive statistics displays the number of
observations, the number of missing observations, the minimum, the maximum, the average,
and the unbiased standard deviation of each action.
Concordance matrix: This result displays the indexes of the concordance matrix computed
with the equation (1) for Electre 1 method, and equation (5) for the Electre 3 method (see the

description section).
Discordance matrix: This result displays the indexes of the discordance matrix computed with
the equation (2) given in the description section of the method Electre 1.
Credibility matrix: This result displays the indexes of the credibility matrix computed with the
equation (4) given in the description section of the method Electre 3.
Over ranking matrix: This result displays the matrix of 0 and 1 got with the over ranking
relations (3) given in the description section of the method Electre 1. For Electre 3 method
characters I, R, P and NP are displayed.
Ranking table: This result displays a table with the final rank of actions.
Ranking tables of the concordance threshold sensitivity analysis: This result displays 2
tables with the final rank of actions obtained with Electre 1 using a modified concordance
threshold and a discordance threshold fixed to the user value (or set to the default value 0). The
left table is the result with a 10% increase of the user value and the right table is the result with
a 10% decrease.
Ranking tables of the discordance threshold sensitivity analysis: This result displays 2
tables with the final rank of actions obtained with Electre 1 using a modified concordance
threshold and a discordance threshold fixed by the user (or set to the default value 0). The left
table is the result with a 10% increase of the user value and the right table is the result with a
10% decrease.
Example
A tutorial on Electre 1 method is available on the Addinsoft website:
http://www.xlstat.com/demo-elc.htm
A tutorial on Electre 3 method is available on the Addinsoft website:
http://www.xlstat.com/demo-elc3.htm
References
Bouyssou, D., Roy, B. (1986). La notion de seuils de discrimination en analyse multicritère.
Information Systems and Operational Research. Vol. 25, n°4,1987.
Nafi, A., and Werey, C. (2009). Aide à la décision multicritère : introduction aux méthodes
d’analyse multicritère de type ELECTRE. Notes de cours, Module « Ingénierie financière »,
ENGEES.
Valléé, D., Zielniewicz, P., Roy, B. (1994). ELECTRE III-IV, version 3.X. Aspects
méthodologiques (tome 1). La collection des cahiers et Documents du LAMSADE.
Vetschera, R. (1986). Sensitivity Analysis for the ELECTRE Multicriteria Method. Zeitschrift
Operations Research. Vol. 30, 99-117.
Roy, B. (1977). Electre III, un algorithme de classement fondé sur une représentation floue des
préférences en présence de critères multiples. Cahiers du Centre d’études de recherche

opérationnelle, 20 (1) : 3-24.

Design of experiments for the analytic hierarchy
process
Use this tool to generate experimental designs needed to run analytic hierarchy process (AHP)
analysis.
In this section:
Description
Dialog box
results
Example
Description
The principle of AHP method is to compare the solutions of a decision problem using on a set of
criteria in order to deduce the best solution. The application of such method requires defining
several numerical tables whose number can quickly increase according to the characteristics of
the decision problem (number of criteria, of sub criteria, of alternatives and of evaluators). In a
simple case of 4 alternatives, 4 criteria and 2 evaluators, 9 tables of size 4x4 must be user
defined and provided to allow the computations of the AHP method. Each table is a square
matrix with 1 on the diagonal and Saaty’s table values in the other elements of the table (see
the help document on the AHP method).
To limit typing errors XLSTAT offers the DHP tool to automatically generate tables useful in the
AHP analysis. Its use is simply by specifying the characteristics of the decision problem, that is
the list of alternatives, the list of criteria and sub-criteria if they exist, and the list of evaluators if
necessary (see description of the AHP method for the definition of terms).
Dialog box
: click this button to display the help.

Decision aid 938 process
observations.
General tab:
Alternatives: select a table that contains the list of alternatives labels. The data must be of type
character. If a column header has been selected, check that the "Variable labels" option is
Criteria: select a table that contains the list of criteria labels. The data must be of type
character. If a column header has been selected, check that the "Variable labels" option is
Subcriteria: activate this option if you want to select a table that contains the list of sub criteria
labels. The data must be of type character. This table must have the same number of columns
than the number of criteria. If a column header has been selected, check that the "Variable
labels" option is activated. Missing data are not accepted.
Evaluator number: enter the total number of evaluators.
Evaluator Labels: activate this option if you want to select a table that contains the list of
evaluator labels. The data must be of the type string. This table must have the same number of
columns than the number of evaluators. If this option is not checked the evaluator label is
numerical. If a column header has been selected, check that the "Variable labels" option is
Variable labels: activate this option if the first row of the data selections (alternatives, criteria,
subcriteria, evaluator) includes a header.
Results
Summary table: this table summarizes all the selected data. This table displays in this order the
list of criteria, of subcriteria if the option is checked, of alternatives and of evaluators if the option
is checked.
Saaty Table: this table displays Saaty's values, a definition of each value, and comments.
Below the table some sentences explain how to use Saaty's values.
Comparison matrix of the evaluator X: this output displays on 2 or 3 lines of tables the
comparison matrices that must be defined by the evaluator x. The criteria comparison matrix is
displayed on the first table row. Just below, the comparison matrix of the sub-criteria is

displayed if the "subcriteria" option is selected. Finally, the alternative comparison matrix is
displayed if the "sub-criteria" option is checked, otherwise they are displayed on the second
table row.
Criteria comparison matrix: this output, in table form, displays the criteria comparison matrix.
The cells on the diagonal are set to 1 and the others are empty. The cells below the diagonal
are blocked. Only cells above the diagonal can be entered with values from Saaty table (see
Subcriteria comparison matrix: this output displays, in the form of one or more tables on the
same line, the subcriteria comparison matrix if the "sub-criteria" option has been checked. The
cells on the diagonal are set to 1 and the others are empty. The cells below the diagonal are
blocked. Only cells above the diagonal can be entered with values from Saaty table (see
Alternative comparison matrix: this output displays, in the form of several successive tables
on the same line, the comparison matrix of alternatives according to the criteria and the selected
sub-criteria The cells on the diagonal are set to 1 and the others are empty. The cells below the
diagonal are blocked. Only cells above the diagonal can be entered with values from Saaty
table (see description section).
Example
A tutorial on DHP tool is available on the Addinsoft website:
http://www.xlstat.com/demo-ahp.htm

Multicriteria decision aid: AHP method
Use this application to solve your decision problem based on Analytic Hierarchy Process (AHP).
In order to use this method, you must generate a design of experiments with the XLSTAT DHP
tool also available under the XLSTAT menu Decision Aid.
The AHP method is a decision aid method based on a criteria hierarchisation. It is better
adapted when the criteria number remains reasonable, and when the user is able to evaluate 2
by 2 the elements of his problem. The AHP feature proposed in XLSTAT has the advantage of
not having any limitations on the number of criteria, of subcriteria and of alternatives and allows
the participation of a large number of evaluators.
In this section:
Description
Dialog box
Results
Example
References
Description
Analytic Hierarchy Process is a method adapted to multi-criteria decision problems that have
several solutions satisfying a set of criteria. The approach of the method is to simplify the
problem by breaking it down into a hierarchical system. Thomas Saaty is at the origin of this
method and created it in the 1970s.
We denote by alternative the solutions of the decision problem, criteria the parameters on which
the alternatives are evaluated, subcriteria the parameters belonging to a criterion and on which
alternatives are evaluated and evaluator the person who makes the evaluations. We talk about
a 2-level problem when it admits subcriteria, otherwise, it is a problem of level 1.
The principle of the method is to evaluate 2 by 2 the elements of the problem in comparison
tables. There are tables to define at each level of the hierarchy. At level 0 the criteria
comparison table must be defined, at level 1 those of subcriteria if it is a level 2 problem,
otherwise the comparison tables of alternatives over criteria. At level 2 the comparison tables of
alternatives over criteria and / or subcriteria must be defined. The set of these tables is called
the experimental design for an AHP analysis.
XLSTAT proposes the DHP tool to create your own design of experiments. It is available in the
Decision Aid menu under the Advanced features ribbon. A description of the DHP is available
here.
The comparison tables must be completed by the user according to the values chosen in the
table of Saaty reported below. Saaty has defined an evaluation scale that measures the
importance or the difference of one element over another one.
Decision aid 941 Multicriteria decision aid: AHP method

Definition Value
Equal importance of an element over another one 1
Moderate importance of an element over another one 3
Strong importance of an element over another one 5
Very strong importance of an element over another one 7
Extreme importance of an element over another one 9
can be used to express intermediate values 2, 4, 6, 8
Reciprocity 1/above value
The first computation of the AHP method is the calculation of the criteria priority vector from the
values of the criteria comparison table, i.e. the computation of the weight of each criterion. The
equation is given by:
the weight of each criterion = sum of normalized lines/criteria number.
With the same equation the priority vector of subcriteria is calculated for each criterion. This
vector is then weighted by the weight of the criterion linked. We thus obtain the weights of each
criterion and subcriterion which are finally used as the weighting in the calculation of alternatives
priority vectors with the same mathematical equation given above.
An option in the output results is proposed to assess the data consistency. This test controls the
entered values in the comparison tables. Indeed, if the alternative A1 is evaluated slightly more
important (code 2) than the alternative A2, and A2 is judged moderate important (code 3) than
the alternative A3 and A3 strong important (code 5) than A1, then the test says that there is a
data inconsistency. It is measured with 2 parameters: the coherence index (CI) and the
coherence ratio (CR). The equation for the coherence index is as follows.
CI = mean coherence – element number / (element number -1)
The number of items is the number of columns or rows in the comparison table. To obtain the
average consistency, we first multiply the comparison matrix with its priority vector, which gives
us a new vector. Then, we divide the latter by the weight of the priority vector of the element of
the same line. The average of this normed vector gives the average coherence. The formula for
calculating the consistency ratio is given by:
CR = coherence index / random coherence
where the random coherence is given by the following table:
Criteria number 2 3 4 5 6 7 8 9
Random coherence 0.00 0.58 0.90 1.12 1.24 1.32 1.41 1.45
If the coherence ratio is less than or equal to 10% then the assessment is considered
consistent. On the other hand, if it is larger than 10%, it is recommended to review the
evaluation of the concerned comparison table.

Dialog box
: click this button to display the help.
observations.
General tab:
Experiment plan sheet: select a sheet containing the XLSTAT generated DHP design (see
help of the DHP method) to run an AHP analysis.
Variable labels: activate this option if the first row of the data selections (alternatives, criteria,
subcriteria, evaluator) includes a header.
Missing data tab:
Do not accept missing data: activate this option so that XLSTAT does not continue
Replace with the equal importance value 1: activate this option to replace the missing data in
a comparison table with the importance value 1 of the Saaty table (see description section
above). This gives equal importance between the two elements of comparison.
Outputs tab:

Mean table of results: activate this option to display mean table or tables of results got by
evaluator. This option is available if there are at least 2 evaluators.
Mean table of criteria: activate this option to display the mean table of criteria got by evaluator.
This option is available if there are at least 2 evaluators.
Mean table of subcriteria: activate this option to display the mean table of subcriteria got by
evaluator. This option is available if there is at least 2 evaluators and selected subcriteria.
Mean table of alternatives: activate this option to display the mean table of alternatives got by
evaluator. This option is available if there are at least 2 evaluators.
Results per evaluator: activate this option to display table or tables of results got for each
evaluator.
Criteria: activate this option to display tables of results on criteria got for each evaluator.
Subcriteria: activate this option to display tables of results on subcriteria got for each evaluator.
Alternatives: activate this option to display tables of results on alternatives got for each
evaluator.
Data consistency: activate this option to display the result of data consistency compute. This
option is available if the option “results per evaluator” is activated.
Coherence index: activate this option to display the result of coherence index compute (see
description section for more details). This option is available if the option “results per evaluator”
is activated.
Coherence ratio: activate this option to display the result of coherence ratio compute (see
description section for more details). This option is available if the option “results per evaluator”
is activated.
Graphs tab:
Bar charts: activate this option to display table or tables of results got per evaluator as bar
charts. This option is available if table results are requested.
Criteria: activate this option to display tables of results got on criteria per evaluator as bar
charts. This option is available if the option “Bar charts” is activated and criteria table results are
requested.
Subriteria: activate this option to display tables of results got on subcriteria per evaluator as bar
charts. This option is available if the option “Bar charts” is activated and subcriteria table results
are requested.
Alternatives: activate this option to display tables of results got on alternatives per evaluator as
bar charts. This option is available if the option “Bar charts” is activated and alternatives table
results are requested.
Results

Mean priorities by criterion: this result, given as a table, corresponds to mean relative
percentages of weight vectors by criterion over all evaluators. If the options “Bar charts” and
“criteria” are selected the result is displayed as charts under the table.
Mean priorities by subcriterion: this result, given as a table, corresponds to mean relative
percentages of weight vectors by subcriterion over all evaluators. If the options “Bar charts” and
“subcriteria” are selected the result is displayed as charts under the table.
Mean priorities by alternatives: this result, given as a table, corresponds to mean relative
percentages of weight vectors by alternatives over all evaluators. If the options “Bar charts” and
“alternatives” are selected the result is displayed as charts under the table.
Results obtained from the ratings of evaluator x: give the set of tables and bar charts
obtained for evaluator x according to selected options:
Priorities by criterion: are the relative percentages for each criterion.

Priorities by subcriterion of criterion XXXX: are the relative percentages for each
subcriterion of the criterion XXXX.
Priorities by alternatives: are the relative percentages for each alternative.
If the option « data consistency » is activated the parameters CI and CR are computed and
displayed under tables (see the section description for more details).
Example
A tutorial on AHP tool is available on the Addinsoft website:
http://www.xlstat.com/demo-ahp.htm
References
Saaty, T. (1977). A scaling method for priorities in Hierarchical Structures. Journal of
mathematical psychology, Vol. 15, 234-281.
Saaty, T. (1978). Exploring the interface between hierarchies, multiple objectives and fuzzy set.
Fuzzy sets and systems, Vol. 1, 57-68

Time series analysis
Time series visualization
Use this tool to create in three clicks as many charts as you have time series.
In this section:
Description
Dialog box
Results
Example
References
Description
This tool allows to create I three clicks as many charts as you have time series. It also allows
you to group the series on a single graph. Finally, an option allows you to link charts to the input
data: If you choose that option, charts are automatically updated when there is a change in the
input data.
Dialog box
Time series analysis 946 Time series visualization

observations.
General tab:
Times series: Select the data that correspond to the time series. If a header is available on the
first row, make sure you activate the "Series labels" option.
Date data: Activate this option if you want to select date or time data. These data must be
available either in the Excel date/time formats or in a numerical format. If this option is not
activated, XLSTAT creates its own time variable ranging from 1 to the number of data.
Series labels: Activate this option if the first row of the selected series includes a header.
Charts tab:
Link the chart to the input data: Activate this option so that a change in the input data directly
results in an update of the chart.
Display all series on a single chart: Activate this option to display the data on a single chart.
Results
Charts are displayed for all the selected series.
Example
An example of time series visualization is available at the Addinsoft website:
http://www.xlstat.com/demo-tsviz.htm
References
Brockwell P.J. and Davis R.A. (1996). Introduction to Time Series and Forecasting. Springer
Verlag, New York.

Descriptive analysis
Use this tool to compute the descriptive statistics that are specially suited for time series
analysis.
In this section:
Description
Dialog box
Results
Example
References
Description
One of the key issues in time series analysis is to determine whether the value we observe at
time t depends on what has been observed in the past or not. If the answer is yes, then the next
question is how.
The sample autocovariance function (ACVF) and the autocorrelation function (ACF) give an
idea of the degree of dependence between the values of a time series. The visualization of the
ACF or of the partial autocorrelation function (PACF) helps to identify the suitable models to
explain the passed observations and to do predictions. The theory shows that the PACF
function of an AR(p) – an autoregressive process of order p - is zero for lags greater than p.
The cross-correlations function (CCF) allows to relate two time series, and to determine if they
co-vary and to which extent.
The ACVF, the ACF, the PACF and CCF are computed by this tool.
One important step in time series analysis is the transformation of time series (see Transforming
time series) which goal is to obtain a white noise. Obtaining a white noise means that all
deterministic and autocorrelations components have been removed. Several white noise tests,
based on the ACF, are available to test whether a time series can be assumed to be a white
noise or not.
Dialog box
Time series analysis 949 Descriptive analysis

General tab:
Options tab:
Time steps: the number of time steps for which the statistics are computed can be
automatically determined by XLSTAT, or set by the user.
Missing data tab:
missing value.
Outputs tab:

Descriptive statistics: Activate this option to display the descriptive statistics of the selected
series.
Autocorrelations: Activate this option to estimate the autocorrelation function of the selected
series (ACF).
Autocovariances: Activate this option to estimate the autocovariance function of the selected
series.
Partial autocorrelations: Activate this option to compute the partial autocorrelations of the
selected series (PACF).
Cross-correlations: Activate this option to compute the estimate of the cross-correlation

function (CCF).
Confidence interval (%): Activate this option to display the confidence intervals. The value you
enter (between 1 and 99) is used to determine the confidence intervals for the estimated values.
Confidence intervals are automatically displayed on the charts.
White noise assumption: Activate this option if you want that the confidence intervals
are computed using the assumption that the time series is a white noise.
White noise tests: Activate this option if you want XLSTAT to display the results of the
normality test and the white noise tests.
h1: Enter the minimum number of lags to compute the white noise tests.
h2: Enter the maximum number of lags to compute the white noise tests.
s: Enter the number of lags between two series of white noise tests. s must be a multiple
of (h2-h1).
Charts tab:
Autocorrelogram: Activate this option to display the autocorrelogram of the selected series.
Partial autocorrelogram: Activate this option to display the partial autocorrelogram of the
selected series.
Cross-correlations: Activate this option to display the cross- correlations diagram in the case
where several series have been selected.
Results
For each series, the following results are displayed:

deviation (unbiased).
Normality and white noise tests: Table displaying the results of the various tests. The Jarque-
Bera normality test is computed once on the time series, while the other tests (Box-Pierce,
Ljung-Box and McLeod-Li) are computed at each selected lag. The degrees of freedom (DF),
the value of the statistics and the p-value computed using a Chi-Square(DF) distribution are
displayed. For the Jarque-Bera test, the lower the p-value, the more likely the normality of the
sample. For the three other tests, the lower the p-value, the less likely the randomness of the
data.
Descriptive functions for the series: Table displaying for each time lag the values of the
various selected descriptive functions, and the corresponding confidence intervals.
Charts: For each selected function, a chart is displayed if the "Charts" option has been
activated in the dialog box.
If several time series have been selected and if the "cross-correlations" option has been
selected the following results are displayed:
Normality and white noise tests: Table displaying the results of the various tests, Box-Pierce,
Ljung-Box and McLeod-Li, which are computed at each selected lag. The degrees of freedom
(DF), the value of the statistics and the p-value computed using a Chi-Square(DF) distribution
are displayed. The lower the p-value, the less likely the randomness of the data.
Cross-correlations: Table displaying for each time lag the value of the cross-correlation
function.
Example
A tutorial explaining how to use descriptive analysis with a time series is available on the
Addinsoft web site. To consult the tutorial, please go to:
http://www.xlstat.com/demo-desc.htm
References
Box G. E. P. and Jenkins G. M. (1976). Time Series Analysis: Forecasting and Control.
Holden-Day, San Francisco.
Box G. E. P. and Pierce D.A. (1970). Distribution of residual autocorrelations in autoregressive-

integrated moving average time series models. J Amer. Stat. Assoc., 65, 1509-1526.
Verlag, New York.
Cryer, J. D. (1986). Time Series Analysis. Duxbury Press, Boston.
Fuller W.A. (1996). Introduction to Statistical Time Series, Second Edition. John Wiley & Sons,
New York.
Jarque C.M. and Bera A.K. (1980). Efficient tests for normality, heteroscedasticity and serial
independence of regression residuals. Economic Letters, 6, 255-259.

Ljung G.M. and Box G. E. P. (1978). On a measure of lack of fit in time series models.
McLeod A.I. and Li W.K. (1983). Diagnostic checking ARMA times series models using
squares-residual autocorrelation. J Time Series Anal., 4, 269-273.
Shumway R.H. and Stoffer D.S. (2000). Time Series Analysis and Its Applications. Springer
Verlag, New York.

Mann-Kendall Trend Tests
Use this tool to determine with a nonparametric test if a trend can be identified in a series, even
if there is a seasonal component in the series.
In this section:
Description
Dialog box
Results
Example
References
Description
A nonparametric trend test has first been proposed by Mann (1945) then further studied by
Kendall (1975) and improved by Hirsch et al (1982, 1984) who allowed to take into account a
seasonality.
The null hypothesis H0 for these tests is that there is no trend in the series. The three
alternative hypotheses that there is a negative, non-null, or positive trend can be chosen.
The Mann-Kendall tests are based on the calculation of Kendall's tau measure of association
between two samples, which is itself based on the ranks with the samples.
Mann-Kendall trend test
In the particular case of the trend test, the first series is an increasing time indicator generated
automatically for which ranks are obvious, which simplifies the calculations. The S statistic used
for the test and its variance are given by:
x−1 x
S = ∑ ∑ sgn(xj − xi )
i=1 j=i+1
n(n − 1)(2n + 5)
V ar(S) =
18
where n is the number of observations and xi (i = 1 … n) are the independent observations.
To calculate the p-value of this test, XLSTAT can calculate, as in the case of the Kendall tau
test, an exact p-value if there are no ties in the series and if the sample size is less than 50. If
an exact calculation is not possible, a normal approximation is used, for which a correction for
continuity is optional but recommended.
Time series analysis 954 Mann-Kendall Trend Tests

Taking into account the autocorrelations
The Mann-Kendall trend test requires that the observations are independent (meaning the
correlation between the series with itself with a given lag should not be significant). In the case
where there is some autocorrelation in the series, the variance of the S statistic has been shown
to be underestimated. Therefore, several improvements have been suggested. XLSTAT offers
two alternative methods, the first one published by Hamed and Rao (1998) and the second by
Yue and Wang (2004). The first method performs well in the case of no trend in the series (it
avoids identifying a trend when it is in fact due to the autocorrelation) and the second has the
advantage of performing better when there are both a trend and an autocorrelation. Both
methods imply the computation of Sen’s slope estimator (Sen, P. K. (1968)). The value of which
is displayed by XLSTAT if the corresponding option is activated in the output tab.
Before running a Mann-Kendall trend test, it is of course recommended to first check the
autocorrelations of a series using the corresponding feature of XLSTAT-Time.
Seasonal Mann-Kendall test
In the case of seasonal Mann-Kendall test, we take into account the seasonality of the series.
This means that for monthly data with seasonality of 12 months, one will not try to find out if
there is a trend in the overall series, but if from one month of January to another, and from one
month February and another, and so on, there is a trend.
For this test, we first calculate all Kendall's tau for each season, then calculate an average
Kendall’s tau. The variance of the statistic can be calculated assuming that the series are
independent (eg values of January and February are independent) or dependent, which
requires the calculation of a covariance. XLSTAT allows both (serial dependence or not).
To calculate the p-value of this test, XLSTAT uses a normal approximation to the distribution of
the average Kendall tau. A continuity correction can be used
Dialog box

General tab:
available either in the Excel date/time formats or in a numerical format.
Mann-Kendall trend test: Activate this option to run this test.
Seasonal Mann-Kendall test: Activate this option to run this test. Then enter the value of the
period (number of lags between two seasons). Specify if you consider that there is serial
dependence or not.
Options tab:
Alternative hypothesis: Choose the alternative hypothesis to be used for the test (see the
Exact p-values: Activate this option if you want XLSTAT to calculate the exact p-value as far as
possible (see description).
if the exact p-values calculation has not been requested or is not possible (see description).
Autocorrelations: Activate one of the two options Hamed and Rao or Yue and Wang to into
account for autocorrelations in the series. For the Hamed and Rao option you can filter out the

autocorrelations for which the p-value is not below a given level that you can set (default value:
10%).
Missing data tab:
missing value.
Outputs tab:
series.
Sen’s slope: Activate this option to display Sen’s slope estimator. You can also configure the
Confidence Interval.
Charts tab:
Display charts: Activate this option to display line plot of the data.
Results
Mann-Kendall trend test: Results of the Mann-Kendall trend test are displayed if the
corresponding option has been activated. It is followed by an interpretation of the results.
Seasonal Mann-Kendall trend test: Results of the seasonal Mann- Kendall test are displayed
if the corresponding option has been activated. It is followed by an interpretation of the results.
Sen’s slope: The value of the Sen’s slope is given. The close it is to 0, the lesser the trend. The
sign of the slope tells if the trend is increasing or decreasing.
Example

A tutorial explaining how to use the Mann-Kendall trend tests with a time series is available on
the Addinsoft web site. To consult the tutorial, please go to:
http://www.xlstat.com/demo-mannkendall.htm
References
Hamed K.H. and Rao A.R. (1998). A modified Mann-Kendall trend test for autocorrelated data.
Journal of Hydrology, 204 (1-4), 182-196.
Sen, P. K. (1968). Estimates of the regression coefficient based on Kendall's tau. Journal of the
American Statistical Association, 63(324), 1379-1389.
Hirsch R.M., Slack, J.R., and Smith R.A. (1982). Techniques of trend analysis for monthly
water quality data. Water Resources Research, 18, 107-121.
Hirsch R.M. and Slack J.R. (1984). A nonparametric trend test for seasonal data with serial
dependence. Water Resources Research, 20, 727-732.
Kendall M. (1975). Multivariate Analysis. Charles Griffin & Company, London.
Mann H.B. (1945). Nonparametric tests against trend. Econometrica, 13, 245-259.
Yue S and Wang C.Y. (2004). The Mann-Kendall test modified by effective sample size to
detect trend in serially correlated hydrological series. Water Resour. Manag., 18, 201-218.

Homogeneity tests
Use this tool to determine using one of four proposed tests (Pettitt, Buishand, SNHT, or von
Neumann), if we may consider a series is homogeneous over time, or if there is a time at which
a change occurs.
In this section:
Description
Dialog box
Results
Example
References
Description
Homogeneity tests involve a large number of tests for which the null hypothesis is that a time
series is homogenous between two given times.
The variety of the tests comes from the fact that there are many possible alternative
hypotheses: change in distribution, changes in average (one or more times) or presence of
trend.
The tests presented in this tool correspond to the alternative hypothesis of a single shift. For all
tests, XLSTAT provides p-values using Monte Carlo resamplings. Exact calculations are either
impossible or too costly in computing time.
When presenting the various tests, by Xi (i = 1, 2, … , T ) we refer to a series of T variables

for which we observe xi (i = 1, 2, 3, … , T ) at T successive times. Let μ^ be the mean of the
T observed values and let σ^ be the biased estimator of their standard deviation (we divide by T
).
Note 1: If you have a clear idea of the time when the shift occurs, one can use the tests
available in the parametric or nonparametric tests sections. For example, assuming that the
variables follow normal distributions, one can use the test z (known variance) or the Student t
test (estimated variance) to test the presence of a change at time t. If one believes that the
variance changes, you can use a comparison test of variances (F-test in the normal case, for
example, or Kolmogorov-Smirnov in a more general case).
Note 2: The tests presented below are sensitive to a trend (for example a linear trend). Before
applying these tests, you need to be sure you want to identify a time at which there is a shift
between two homogeneous series.
Pettitt’s test
Time series analysis 959 Homogeneity tests

The Pettitt's test is a nonparametric test that requires no assumption about the distribution of
data. The Pettitt's test is an adaptation of the tank- based Mann-Whitney test that allows
identifying the time at which the shift occurs.
In his article of 1979 Pettitt describes the null hypothesis as being that the T variables follow the
same distribution F , and the alternative hypothesis as being that at a time τ there is a change
of distribution. Nevertheless, the Pettitt test does not detect a change in distribution if there is no
change of location. For example, if before the time τ , the variables follow a normal N (0, 1)
distribution and from time τ a N (0, 3) distribution, the Pettitt test will not detect a change in the
same way a Mann-Whitney would not detect a change of position in such a case. In this case,
one should use a Kolmogorov Smirnov based test or another method able to detect a change in
another characteristic than the location. We thus reformulate the null and alternative
hypotheses:
H0: The T variables follow one or more distributions that have the same location parameter.
Two-tailed test: Ha: There exists a time τ from which the variables change of location
parameter.
Left-tailed test: Ha: There exists a time τ from which the variables location is reduced by Δ.
right-tailed test: Ha: There exists a time τ from which the variables location is augmented by Δ.
The statistic used for the Pettitt’s test is computed as follows:
Let Dij = −1 if (xi − xj ) < 0, Dij = 0 if (xi − xj ) = 0, Dij = 1 if (xi − xj ) > 0
We then define Ut,T = ∑ti=1 ∑Tj=i+1 Dij
The Petitt’s statistic for the various alternative hypotheses is given by:
KT = max1≤t<T ∣Ut,T ∣, for the two-tailed case
KT+ = max1≤t<T Ut,T , for the left-tailed case
KT− = − min1≤t<T Ut,T , for the right-tailed case

XLSTAT evaluates the p-value and an interval around the p-value by using a Monte Carlo
method.
Alexandersson’s SNHT test
The SNHT test (Standard Normal Homogeneity Test) was developed by Alexandersson (1986)
to detect a change in a series of rainfall data. The test is applied to a series of ratios that
compare the observations of a measuring station with the average of several stations. The
ratios are then standardized. The series of Xi corresponds here to the standardized ratios. The
null and alternative hypotheses are determined by:

H0: The T variables Xi follow a N (0, 1) distribution.
Ha: Between times 1 and ν the variables follow an N (μ1 , 1) distribution, and between ν + 1
and T they follow an N (μ2 , 1) distribution.
The Alexandersson statistic is defined by:
T0 = max1≤t<T [ν z 21 + (n − ν)z 22 ]
with
1
z1 = ν ∑νt=1 xt
1
z2 = n−ν
∑Tt=ν+1 xi
The T o statistic derives from a calculation comparing the likelihood of the two alternative
models. The model corresponding to Ha implies that μ1 and μ2 are estimated while
determining the ν parameter maximizing the likelihood.
method.
Note: if ν is known, it is enough to run a z test on the two series of ratios. The SNHT test allows
identifying the most likely ν .
Buishand’s test
The Buishand’s test (1982) can be used on variables following any type of distribution. But its
properties have been particularly studied for the normal case. In his article, Buishand focuses
on the case of the two-tailed test, but for the Q statistic presented below the one-sided cases
are also possible. Buishand has developed a second statistic R, for which only a bilateral
hypothesis is possible.
In the case of the Q statistic, the null and alternative hypotheses are given by:
H0: The T variables follow one or more distributions that have the same mean.
Two-tailed test: Ha: There exists a time τ from which the variables change of mean.
Left-tailed test: Ha: There exists a time τ from which the variables mean is reduced by Δ.
right-tailed test: Ha: There exists a time τ from which the variables mean is augmented by Δ.
Sk∗
We define So∗ = 0, Sk∗ = ∑ki=1 (xi − μ
^ ) ,k = 1, 2, … , T and Sk∗∗ = σ^
The Buishand’s Q statistics are computed as follows:
Q = max1≤k<T ∣Sk∗∗ ∣, for the two-tailed case

Q− = max1≤k<T (Sk∗∗ ), for the left-tailed case
Q+ = − min1≤k<T (Sk∗∗ ), for the right-tailed case

method.
In the case of the R statistic (R stands for Range ), the null and alternative hypotheses are
given by:
H0: The T variables follow one or more distributions that have the same mean.
Two-sided test: Ha: The T variables are not homogeneous for what concerns their mean.
The Buishand’s R statistic is computed as:
R = max1≤k<T (Sk∗∗ ) − min1≤k<T (Sk∗∗ )
method.
Note: The R test does not allow detecting the time at which the change occurs.
von Neumann’s ratio test
The von Neumann ratio is defined by:

T −1
1
N= ∑(xi − xi+1 )2
Tσ^ i=1
We show that the expectation of N is 2 when the Xi have the same mean.
method.
Note: This test does not allow detecting the time at which the change occurs.
Dialog box

General tab:
Check intervals: Activate this option so that XLSTAT checks that the spacing between
the date data is regular.
Pettitt ’s test: Activate this option to run this test (see the description section for more details).
SNHT test: Activate this option to run this test (see the description section for more details).
Buishand’s test: Activate this option to run this test (see the description section for more
details).
von Neumann’s test: Activate this option to run this test (see the description section for more
details).
Options tab:
Alternative hypothesis: Choose the alternative hypothesis to be used for the test (see the

simulations. Enter the maximum number of simulations to perform and the maximum computing
time (in seconds) not to exceed.
Missing data tab:
missing value.
Outputs tab:
series.
Charts tab:
Display charts: Activate this option to display the charts of the series before and after
transformation.
Results
The results of various tests are then displayed. For the Pettitt’s test, the SNHT the Buishand’s
Q test, charts are displayed with means μ1 and μ2 if a change-point is detected and μ if no
change-point is detected.
Example
A tutorial explaining how to use the homogeneity tests is available at the Addinsoft web site. To
consult the tutorial, please go to:
http://www.xlstat.com/demo-homogeneity.htm
References

Alexandersson H. ( 1986). A homogeneity test applied to precipitation data. Journal of
Climatology , 6, 661-675.
Buishand T.A. (19 82). Some methods for testing the homogeneity of rainfall data. Journal of
Hydrology, 58, 11-27.
Pettitt A.N. (19 79). A non-parametric approach to the change-point problem. Appl. Statist.,
28(2), 126-135.
Von Neumann J. (1941). Distribution of the ratio of the mean square successive difference to
the variance. Ann. Math. Stat., 12, 367-395.

Durbin-Watson test
Use this tool to check if the residuals of a linear regression are autocorrelated.
In this section:
Description
Dialog box
Results
Example
References
Description
Developed by J.Durbin and G.Watson (1950,1951), the Durbin-Watson test is used to detect the
autocorrelation in the residuals from a linear regression.
Denote by Y the dependent variable, X the matrix of explanatory variables, α and β the
coefficients abd ϵ the error term. Consider the following model:
yt = α + βxt + ϵt
In practice, the errors are often autocorrelated, it leads to undesirable consequences such as
sub-optimal least-squares estimates. The Durbin-Watson test is used to detect autocorrelations
in the error terms.
Assume that the {ϵt } are stationary and normally distributed with mean 0. The null and
alternative hypotheses of the Durbin-Watson test are:
H0: The errors are uncorrelated.
Ha: The errors are AR(p), where p is the order of autocorrelation.
AR(p) is an autroregressive process of order p.
The Durbin-Watson D statistic writes:

n
∑t=p+1 (ϵt − ϵt−p )2
D=
∑nt=r+1 ϵ2t
In the context of the Durbin-Watson test, the main problem is the evaluation of the p-values
which cannot be computed directly. XLSTAT uses the Pan (1968) algorithm for time series with
Time series analysis 966 Durbin-Watson test

less than 70 observations and the Imhof(1961) procedure when there are more than 70
observations.
Dialog box
observations.
General tab:
Residuals: Select the residuals from the linear regression. If the variable header has been
X / Explanatory variables: Select the quantitative explanatory variables in the Excel worksheet.
The data selected must be of numeric type. If the variable header has been selected, check that

Options tab:
Significance level (%): Enter the significance level for the test (default value: 5%)
Order: Enter the order, i.e. the number of lags for the residuals (default value: 1)
Missing tab:
Remove observations: Activate this option to remove the observations which include missing
data.
missing value.
Outputs tab:
Descriptive statistics: Activate this option to display descriptive statistics for the residuals.
Results
Summary statistics: The tables of descriptive statistics show the simple statistics for the
residuals. The number of observations, missing values, the number of non-missing values, the
mean and the standard deviation (unbiased) are displayed.
The results of of the Durbin-Watson test are then displayed.
Example
A tutorial on the Durbin-Watson test is available on the Addinsoft website:
http://www.xlstat.com/demo-durbinwatson.htm
References
Durbin J. and Watson G. S. (1950). Testing for serial correlation in least squares regression, I.
Biometrika, 37(3-4), 409-428.
Durbin J. and Watson G. S. (1951). Testing for serial correlation in least squares regression, II.
Biometrika, 38(1-2), 159-179.
Farebrother R. W. (1980). Algorithm AS 153. Pan's procedure for the tail probabilities of the
Durbin–Watson statistic. Applied Statistics, 29, 224-227.

Imhof J.P. (1961), Computing the Distribution of Quadratic Forms of Normal Variables.
Kim M. (1996). A remark on algorithm AS 279: computing p-values for the generalized Durbin-
Watson statistic and residual autocorrelation in regression. Applied Statistics, 45, 273-274
Kohn R., Shively T. S. and Ansley C. F. (1993). Algorithm AS 279: Computing p-values for the
generalized Durbin-Watson statistic and residual autocorrelations in regression. Journal of the
Royal Statistical Society. Series C (Applied Statistics), 42(1), 249-258
Pan J.-J. (1968). Distribution of noncircular correlation coefficients. Selected Transactions in

Mathematical Statistics and Probability, 281-291.

Cochrane-Orcutt estimation
Use this tool to account for serial correlation in the error term of a linear model.
In this section:
Description
Dialog box
Results
Example
References
Description
Developed by D.Cochrane and G. Orcutt in 1949, the Cochrane-Orcutt estimation is a well-
known econometric approach to account for serial correlation in the error term of a linear model.
In case of serial correlation, usual linear regression is invalid because the standard errors are
not unbiased.
Denote by Y the dependent variable, X the matrix of explanatory variables, α and β the
coefficients and ϵ the error term. Consider the following model:
yt = α + βxt + ϵt
And suppose that the error term ϵ is generated by a stationary first-order autoregressive
process such that:
ϵt = ρϵt−1 + ϵt , with ∣ρ∣ < 1
with ϵt as a white noise.
To estimate the coefficients, the Cochrane-Orcutt procedure is based on the following

transformed model:
∀t ≥ 2, yt − ρyt−1 = α(1 − ρ) + β(Xt − ρXt−1 ) + ϵt
By introducing 3 new variables such as
Y ∗ = yt − ρyt−1 , X ∗ = Xt − ρXt−1 , λ∗ = 1 − ρ
we have:
∀t ≥ 2, yt∗ = αλ∗ + βXt∗ + et
Time series analysis 970 Cochrane-Orcutt estimation

Since {et } is a white noise, usual statistical inference can now be used.
Dialog box
observations.
General tab:
selected must be of numeric type. If the variable header has been selected, check that the

Options tab:
Default value: 95.
Validation tab:
model.
then be specified.

Prediction tab:
Prediction: Activate this option if you want to select data to use them in prediction mode. If you
to data.
X / Explanatory variables: Select the quantitative explanatory variables. The first row must not
include variable labels.
Missing data tab:
data.
computations.
Outputs tab:
selected.

the observations.
Charts tab:
Regression charts: Activate this option to display regression chart.

and (4).
Results
frequencies.

part).
n
∑ni=1 wi (yî − yˉi )2 1
R =2
n with ˉ
y = ∑ wi yi
∑i=1 wi (yi − yˉi )2 W i=1
^ 2 = 1 − (1 − R2 ) W − 1
R
W −p−1
used in the model.

n
1
M SE = ∗
∑ wi (yi − yî )2
W − p i=1

n
100 yi − yî
M AP E = ∑ wi ∣ ∣
W i=1 yi

n
∑i=2 [(yi − yî ) − (yi−1 − yî−1 )]2
DW =
∑ni=1 wi (yi − yî )2


SSE
Cp = + 2p∗ − W
^
σ
SSE
AIC = W ln( ) + 2p∗
W
criterion.
SSE
W
(1 − R2 )(W + p∗ )
PC =
W − p∗
n
i=1
where y
P ress
Press RM SE =
W − p∗

The parameters of the model table display the estimate of the parameters, the corresponding
standard error, the Student’s t, the corresponding probability, as well as the confidence interval.
The autocorrelation coefficient r is also displayed.
Autocorrelation coefficient: The estimated value of the autocorrelation coefficient r .
The table of standardized coefficients (also called beta coefficients) is used to compare the
variable, the model's prediction, the residuals and the confidence intervals with the fitted
prediction. Two types of confidence intervals are displayed: a confidence interval around the
mean (corresponding to the case where the prediction would be made for an infinite number of
values being larger. If the validation data have been selected, they are displayed at the end of
the table.
normalized residuals as a function of the explanatory variable. In principle, the residuals should
be distributed randomly around the X-axis. If there is a trend or a shape, this shows a problem
with the model.

Example
A tutorial on the Cochrane-Orcutt estimation is available on the Addinsoft website:
http://www.xlstat.com/demo-cochorcutt.htm
References
Cochrane D. and Orcutt G. ( 1949) . Application of least squares regression to relationships
containing autocorrelated error terms. Journal of the American Statistical Association, 44, 32-61

Heteroscedasticity tests
Use this tool to determine whether the residuals from a linear regression can be considered as
having a variance that is independent of the observations.
In this section:
Description
Dialog box
Results
Example
References
Description
The concept of heteroscedasticity - the opposite being homoscedasticity - is used in statistics,
especially in the context of linear regression or for time series analysis, to describe the case
where the variance of errors or the model is not the same for all observations, while often one of
the basic assumption in modeling is that the variances are homogeneous and that the errors of
the model are identically distributed.
In linear regression analysis, the fact that the errors of the model (also named residuals) are not
homoskedastic has the consequence that the model coefficients estimated using ordinary least
squares (OLS) are neither unbiased nor those with minimum variance. The estimation of their
variance is not reliable.
If it is suspected that the variances are not homogeneous (a representation of the residuals
against the explanatory variables may reveal heteroscedasticity), it is therefore necessary to
perform a test for heteroscedasticity. Several tests have been developed, with the following null
and alternative hypotheses:
H0 : The residuals are homoscedastic
Ha : The residuals are heteroscedastic
Breusch-Pagan test
This test has been developed by Breusch and Pagan (1979), and later improved by Koenker
(1981) - which is why this test is sometimes named the Breusch- Pagan and Koenker test - to
allow identifying cases of heteroscedasticity, which make the classical estimators of the
parameters of the linear regression unreliable. If e is the vector of the errors of the model, the
null hypothesis H0 can write:
H0 : V ar(u/x) = σ 2
Time series analysis 979 Heteroscedasticity tests

H0 : V ar(u/x) = E(e2 /x) = E(e2 /x1 , x2 , ..., xk ) = E(e2 ) = σ 2
To verify that the quadratic errors are independent of the explanatory variables, which can
translate into many functional forms, the simplest is to regress the squared errors by the
explanatory variables. If the data are homoskedastic, the coefficient of determination R2 should
then not be equal to 0. If H0 is not rejected we can conclude that heteroscedasticity, if it exists,
does not take the functional form used. Practice shows that heteroscedasticity is not a problem
if H0 is not accepted. If H0 is rejected, it is likely that there is heteroscedasticity and that it takes
the functional form described above.
The statistic used for the test, proposed by Koenker (1981) is:
LM = nR2
where LM stands for Lagrange multiplier. This statistic has the advantage of asymptotically
following a Chi-square distribution with p degrees of freedom, where p is the number of
If the null hypothesis is rejected, it will be necessary to transform the data before doing the
regression, or using modeling methods to take into account the variability of the variance.
White test and modified Whitetest (Wooldridge)
This test was developed by White (1980) to identify cases of heteroscedasticity making classical
estimators of the parameters of linear regression unreliable. The idea is similar to that of
Breusch and Pagan, but it relies on weaker assumptions as for the form that heteroscedasticity
takes. This results in a regression of the quadratic errors by the explanatory variables and by
the squares and cross-products of the latter (for example for two regressors, we take x1, x2,
x1², x2², x1x2 to model squared errors). The statistic used is the same as the test-Breusch
Pagan, but due to the presence of many more regressors, there are here 2p + p ∗ (p − 1)/2
degrees of freedom for the Chi-square distribution.
In order to avoid losing too many degrees of freedom, Wooldrigde (2009) proposed to regress
the squared errors by the model predictions and by their square. This reduces to 2 the number
of degrees of freedom for the Chi-square.
Dialog box

observations.
General tab:
Residuals: Select the residuals from the linear regression. If the variable header has been
selected, check that the "Labels included" option has been activated.
X / Explanatory variables: Select the quantitative explanatory variables in the Excel worksheet.
The data selected must be of numeric type. If the variable header has been selected, check that
the "Labels included" option has been activated.
Labels included: Activate this option if the first row of the data selections (dependent and
Breusch-Pagan test: Activate this option to run a Breusch-Pagan test.
White test: Activate this option to run a White test. Activate the "Wooldridge" option if you want
to use the modified version of the test (see the description chapter for further details).
Options tab:
Missing data tab:

Outputs tab:
series.
Charts tab:
Display charts: Activate this option to display the scatter plot of the residuals versus the
explanatory variable.
Results
The results of of the selected tests are then displayed.
Example
A tutorial explaining how to use the heteroscedasticity tests is available on the Addinsoft web
site. To consult the tutorial, please go to:
http://www.xlstat.com/demo-whitetest.htm
References
Breusch T. and Pagan A. (1979). Simple test for heteroscedasticity and random coefficient
variation. Econometrica, 47(5), 1287-1294.
Koenker R. (1981). A note on studentizing a test for heteroscedasticity. Journal of

Econometrics, 17, 107-112.
White H. (1980). A heteroskedasticity-consistant covariance matrix estimator and a direct test

for heteroskedasticity. Econometrica, 48(4), 817-838.
Wooldridge J.M. (2009). Introductory Econometrics. 4rth edition. Cengage Learning, KY, USA,
275-276.

Unit root and stationarity tests
Use this tool to determine whether a series is stationary or not.
In this section:
Description
Dialog box
Results
Example
References
Description
A time series Yt (t = 1, 2...) is said to be stationary (in the week sense) if its statistical
properties do not vary with time (expectation, variance, autocorrelation). The white noise is an
example of a stationary time series, with for example the case where Yt follows a normal
distribution N (μ, σ 2 ) independent of t. An example of a non-stationary series is the random
walk defined by:
Yt = Yt−1 + ϵt
where ϵt is a white noise.
Identifying that a series is not stationary allows to afterwards study where the non-stationarity
comes from. A non-stationary series can, for example, be stationary in difference: Yt is not
stationary, but the Yt − Yt−1 difference is stationary. It is the case of the random walk. A series
can also be stationary in trend. It is the case with the series defined by:
Yt = 0.5Xt−1 + 1.4t + ϵt
where ϵt is a white noise, that is not stationary.
On the other hand, the series
Yt − 1.4t = 0.5Yt−1 + ϵt
is stationary. Yt is also stationary in difference.
Stationarity tests allow verifying whether a series is stationary or not. There are two different
approaches: some tests consider as null hypothesis H0 that the series is stationary (KPSS test,
Leybourne and McCabe test), and for other tests, on the opposite, the null hypothesis is on the
contrary that the series is not stationary (Dickey-Fuller test, augmented Dickey-Fuller test,
Time series analysis 983 Unit root and stationarity tests

Phillips-Perron test, DF-GLS test). XLSTAT includes as of today the KPSS and Dickey-Fuller
tests.
Dickey-Fuller test
This test has been developed by Dickey and Fuller (1979) to allow identifying a unit root in a
time series for which one thinks there is an order 1 autoregressive component, and may be as
well a trend component linearly related to the time. As a reminder, an order 1 autoregressive
model (noted AR(1)), can be written as follows:
Xt = ρXt−1 + ϵt , t = 1, 2, …
where the ϵt are independent identically distributed variables that follow an N (0, σ 2 ) normal
distribution.
The series is stationary if ∣ρ∣ < 1. It is not stationary and corresponds to a random walk if ρ =
1.
If one adds a constant and a trend to the model, the model writes:
Xt = ρXt−1 + α + βt + ϵt ,t = 1, 2....
where the ϵt are independent identically distributed variables that follow an N (0, σ 2 ) normal
distribution.
Dickey and Fuller decided to take as null hypothesis ρ =1 because it has an immediate
operational impact: if the null hypothesis is not rejected, then, in order to be able to analyze the
time series and if necessary to make predictions, it is necessary to transform the series, using
differencing (see the Time series transformation and ARIMA tools).
The two possible alternative hypotheses are:
Ha(1): ∣ρ∣ < 1, the series is stationary
Ha(2): ∣ρ∣ > 1, the series is explosive

The statistics used in the Dickey-Fuller test are computed using a linear regression model, and
correspond to the t statistic computed by dividing the coefficient of the model by its standard
error. Dickey and Fuller define:
- AR(1) model:
τ^ = (ρ^ − 1)/ S12 c1
- AR(1) model with constant μ:
τ^μ = (ρ^μ − 1)/ S22 c2
- AR(1) model with constant μ and a linear trend function of t:

τ^τ = (ρ^τ − 1)/ S32 c3
The Sk2 correspond to the mean squared error and the ck to variances.
While these statistics are straightforward to compute, their exact and asymptotic distributions
are complex. The critical values have been estimated through Monte Carlo simulations by the
authors, with several improvements over time, as the machines allowed more simulations.
MacKinnon (1996) has proposed an approach based on numerous Monte Carlo simulations that
allows to compute p-values and critical values for various sample sizes.XLSTAT estimates
critical values and p-values either by running a predefined set of Monte Carlo simulations for the
considered sample size or the surface regression approach proposed by MacKinnon (1996).
Dickey et Fuller have shown that these distributions do not depend on the distribution of the ϵt
and on the initial value of the series, Y0 .
Fuller (1976) had already shown that this approach can be generalized to AR(p) models to
determine whether there exists a unit root while not being able to say from which term in the
model the non-stationarity comes from.
Augmented Dickey-Fuller test
This test has been developed by Said et Dickey (1984) and complements the Dickey-Fuller test
by generalizing the approach valid for AR(p) models to ARMA(p, q) models, for which we
assume that it is in fact an ARIMA(p, d, q), with d=1 under the null hypothesis H0. Said and
Dickey show that it is not necessary to know p, d and q to apply the Dickey-Fuller test presented
above. However, a k parameter, corresponding to the horizon to consider for the mobile mean of
the model must be provided by the user so that the test can be run. By default, XLSTAT
recommends the following value:
k = IN T ((n − 1)1/3 )
where IN T () is the integer part
Said and Dickey show that the statistic t of the Dickey-Fuller test can be used. Its asymptotic
distribution is the same as the one of the Dickey-Fuller test.
Phillips-Perron test
An alternative generalization of the Dickey-Fuller test to more complex data generation

processes was introduced by Phillips (1987a) and further developed in Perron (1988) and
Phillips and Perron (1988).
As for the DF test, three possible regressions are considered in the Phillips- Perron (PP) test,
namely, without an intercept, with an intercept and with an intercept and a time trend. Those are
given in the following equations, respectively.

Xt = ρXt−1 + ϵt
Xt = ρXt−1 + α + ϵt
Xt = ρXt−1 + α + β ⋅ (t − T /2) + ϵt
It should be noted that within the PP test, the error term ϵt is expected to have a null average
but it can be serially correlated and/or heteroscedastic.
Unlike the augmented Dickey-Fuller (ADF) test, the PP test does not deal with serial correlation
at the regression level. Instead, a non parametric correction is applied to the statistic itself to
account for potential effects of heteroscedasticity and serial correlations on the adjustment
residuals. The statistic noted Zt is given by:
1 λ^2 − σ^2
Zt = tρ − ( )(
^ T × SE(ρ^)
)
σ
^
λ 2 ^2
λ ^2
σ
^ 2 and
Where λ ^ 2 are consistent estimators of the variance parameters:
σ
T r
^ 2 = lim T −1 ∑ E [T −1 (∑ ϵt )2 ]
λ
x→+∞
t t=1
T
σ^2 = lim T −1
∑ E[ϵ2t ]
x→+∞
t
and
ρ^ − 1
tρ =
SE(ρ^)
The estimator λ^2 is the one proposed by Newey and West (1987). It guarantees the robustness
of the statisic against heteroscedasticity and serial correlations.
- Short (default option): the number of steps considered for the computation of the Newey-West
estimator is given by:
T 2/9
k = IN T (4.( ) )
100
- Long : for series resulting from a higher-order MA process, the number of steps is given by
T 2/9
k = IN T (12( ) )
100
Where IN T () is the integer part.
The PP test uses the same distribution as the DF or ADF t-statistic. Critical value and p-value
estimates are made following the surface regression approach proposed by MacKinnon (1996)

or using Monte Carlo simulations.
One of the advantages of the PP test over the ADF test is to allow for heteroscedasticity in the
data generation process of ϵt . Furthermore, there is no need for a sensitive parametrization of
the Newey-West estimator as for the ADF test.
KPSS test of stationarity
This test takes its name from its authors, Kwiatkowski, Phillips, Schmidt and Shin (1991).
Contrary to the Dickey-Fuller tests, this test allows testing the null hypothesis that the series is
stationary. Consider the model where
Yt = ξt + rt + ϵt , t = 1, 2, ...
where ϵt is a stationary error, and rt is a random walk defined by
rt = rt−1 + ut ,
where r0 is a constant, and the ut are independent identically distributed variables with mean 0
and variance σ 2 .
The Yt series is stationary in the case where the σ 2 variance is null. It is stationary in trend if ξ
is not null, and stationary in level (around r0 ) if ξ = 0.
Let n be the number of time steps available for the series. Let et be the residuals, when
regressing the yt by the time and a constant, when one wants to test stationarity in trend, or
when comparing the series with its mean when testing for stationarity in level.
We define:
n l n
1 2
s (l) = ∑ e2t + ∑ w(s, l) ∑ et et−s
2
n t=1 n s=1 t=s+1
with
w(s, l) = 1 − s(l + 1)
Let St2 be the mean of squared errors between times 1 and t. The statistic used for the "Level"
stationarity test is given by:
n
1
ημ = 2 ∑ St2 /s2 (l)
n t=1
For the "Trend" stationarity test we use:

n
1
ητ = 2 ∑ St2 /s2 (l)
n t=1

the difference between both comes from the different residuals.
As with the Dickey-Fuller test, these statistics are easy to compute, but their exact and
asymptotic distributions are complex. Kwiatkowski et al. computed the asymptotic critical values
using Monte Carlo simulations. XLSTAT allows to compute critical values and p-values adapted
to the size of the sample, using Monte Carlo simulations for each new run.
Weighting with the Newey-West method
The Newey-West (1987) estimator is used to reduce the effect of dependence (correlation,
autocorrelation) and heteroscedasticity (non homogeneous variances) of the error terms of a
model. The idea is to balance the model errors in the calculation of statistics involving them. If L
is the number of steps taken into account, the weight of each error is given by:
l
wl = 1 − , l = 1, 2..., L
L+1
The KPSS test uses linear regressions that assume the homoscedasticity of the errors. The use
of the Newey-West weighting is recommended by the authors and is available in XLSTAT.
XLSTAT recommends for the value of L:
- Short: L = IN T (3 ∗ n /13)
- Long: L = IN T (10∗ n /14)
where IN T () is the integer part.
Dialog box
General tab:

Dicker-Fuller test: Activate this option to run a Dickey-Fuller test. Choose the type of test you
want to use (see the description section for further details).
Phillips-Perron test: Activate this option to run a Phillips-Perron test. Choose the type of test
you want to use (see the description section for further details).
KPSS test: Activate this option to run a KPSS test. Choose the type of test you want to use
(see the description section for further details).
Options tab:
Method: choose the method to use for the p-value and critical value estimates
Surface regression: selects the approach proposed by MacKinnon (1996).
Monte Carlo: selects Monte Carlo simulations based estimates.
Dickey-Fuller test: In the case of a Dickey-Fuller test, you can use the default value of k (see
the "Description" section for more details) or enter your own value.
Phillips-Perron test: for a Phillips-Perron test, you should select either the short (default value)
or the long number of steps (see the "Description" section for more details).
KPSS test: Choose whether you want to use the Newey-West to remove the impact of possible
autocorrelations in the residuals of the model. For the lag to apply, you can choose between
short, long, or you can enter your own value for L (see the "Description" section for more
details).
Missing tab:

missing value.
Outputs tab:
series.
Charts tab:
Display charts: Activate this option to display the charts of the series.
Results
The results of of the selected tests are then displayed.
Example
A tutorial explaining how to perform unit root tests or stationarity test is available on the
http://www.xlstat.com/demo-unitroot.htm
References
Verlag, New York.
Dickey D. A. and Fuller W. A. (1979). Distribution of the estimators for autoregressive time
series with a unit root. Journal of the American Statistical Association, 74(366), 427-431.
New York.
Kwiatkowski D. , Phillips P. C. B., Schmidt P. and Y. Shin (1992). Testing the null hypothesis
of stationarity against the alternative of a unit root. Journal of Econometrics, 54, 159-178.

MacKinnon J. G. (1996). Numerical distribution functions for unit root and cointegration tests.
Journal of Applied Econometrics, 11, 601-18.
Newey W. K. and West K. D (1987). A simple, positive semi-definite, heteroskedasticity and

autocorrelation consistent covariance matrix. Econometrica, 55(3), 703-708.
Said S. E. and Dickey D. A. (1984). Testing for Unit Roots in Autoregressive-Moving Average
Models of Unknown Order. Biometrika, 71, 599-607.
Phillips P. C. B. (198 7). Time series regression with a unit root. Journal of the Economic
Society, 277-301.
Perron P. (198 8). Trends and random walks in macroeconomic time series: Further evidence
for a new approach. Journal of economic dynamics and control, 12(2), 297-332.
Phillips P. C. B. and Perron P. (198 8). Testing for a unit root in time series regression.
Biometrika, 75(2), 335-346.

Cointegration tests
Use this module to perform VAR-based cointegration tests on a group of two or more I(1) time
series using the approach proposed by Johansen (1991, 1995).
In this section:
Description
Dialog box
Results
Example
References
Description
Economic theory often suggests long term relationship between two or more economic
variables. Although those variables can derive from each other on a short term basis, the
economic forces at work should restore the original equilibrium between them in the long run.
Examples of such relationships in economics include money with income, prices and interest
rates or exchange rate with foreign and domestic prices. In finance, such relationships are
expected for instance between the prices of the same asset on different market places.
The term of cointegration was first introduced by Engle and Granger (1987) after the work of
Granger and Newbold (1974) on spurious regression. It identifies a situation where two or more
non stationary time series are bound together in such a way that they cannot deviate from some
equilibrium in the long term. In other words, there exists one or more linear combination of those
I(1) time series (or integrated of order 1, see unit root test) that is stationary (or I(0)). Those
stationary combinations are called cointegrating equations.
One of the most interesting approaches for testing for cointegration within a group of time series
is the maximum likelihood methodology proposed by Johansen (1988, 1991). This approach,
implemented in XLSTAT, is based on Vector Autoregressive (VAR) models and can be
described as follows.
First consider the levels V AR(P ) model for Yt , a K-vector of I(1) time series:
Yt = ΦDt + Π1 Yt−1 + ... + ΠP Yt−P + ϵt for t = 1, ..., T
Where Dt contains deterministic terms such as constant or trend and ϵt is the vector of
innovations.
The parameter P is the V AR order and is one of the input parameter to Johansen’s
methodology for testing cointegration. If you don’t know which value this parameter should take
for you data set, you should select the option automatic in the General tab. You will then have to
specify the model that best describes your data in the option tab (no trend nor intercept,
Time series analysis 992 Cointegration tests

intercept, trend or trend and intercept), set a maximum number of lags to evaluate and choose
the discriminating criterion among the 4 proposed (AIC, FPE, HQ, BIC). XLSTAT will then
estimate the parameter P following the approach detailed in Lüktepohl (2005) and perform
subsequent analysis. Detailed results are provided at the end of the analysis for further control.
According to the Granger representation theorem, a V AR(P ) model with I(1) variables can
equivalently be represented as a Vector Error Correction Model (VECM):
ΔYt = ΦDt + ΠYt−1 + Γ1 ΔYt−1 + ... + ΓP −1 ΔYt−P +1 + ϵt
Where Δ denotes the difference operator, Π = Π1 + ... + ΠP −1 − IK and Γl =

− ∑Pj=l+1 Πj for l = 1, ..., P − 1.
In this representation, ΔYt and its lags are all I(0). The term Yt−1 is the only potentially non
stationary component. Therefore for the above equation to hold (a linear combination of I(0)
terms is also I(0)), the term ΠYt=−1 must contain the cointegration relationship if it exists.
Three cases can be considered:
the matrix Π equals 0 (rank(Π) = 0), then no cointegration exists,
the matrix Π has full rank (rank(Π) = K ), then each independent component of Yt−1
is I(0) (which violates or first assumption of I(1) series),
the matrix Π is neither null nor of full rank (0 < rank(Π) < K ), then Yt−1 is I(1) with r
linearly independent cointegrating vectors and K − r common stochastic trends.
In the latter case, the matrix Π can be written as the product:
Π(K×K) = α(K×r) β(r×K)
Where rank(α) = rank(β) = r.
The matrix β is the cointegrating matrix and its columns form a basis for the cointegrating
coefficients. The matrix α also known as the adjustment matrix (or loading matrix) controls the
speed at witch the effect of Yt−1 propagates toΔYt . It is important to note that the factorization
Π = αβ ′ is not uniquely defined and may require some arbitrary normalization to obtain unique
values of α andβ . Values reported in XLSTAT use the normalization β ′ ⋅ S11 ⋅ β = Ir
proposed by Johansen (1995).
The test methodology estimates the matrix Π and constructs successive likelihood ratio (LR)
tests for its reduced rank on the estimated eigenvalues ofΠ: λ1 > λ2 > … > λx . The
reduced rank of Π is equal to the number of non-zero eigenvalues. It is also the rank of
cointegration of the system (or equivalently the number of cointegrating equations).
Two sequential procedures proposed by Johansen are implemented to evaluate the

cointegration rank r0 :
the λmax -test (or lambda max) uses the statistic LRmax (r0 ) ^ r0 +1 ),
= −T ln(1 − λ

the trace test for which the statistic is LRtrace (r0 ) ^ i ).
= −T ∑ni=r0 +1 ln(1 − λ
Starting from the Null hypothesis that non cointegration relationship exists (r0 = 0), the λmax -
test will test that the (r0 + 1)th eigenvalue can be accepted to be zero. If the hypothesis of
λr0 +1 ≈ 0 is rejected, then the next level of cointegration can be tested. Similarly, LR trace of
the trace test should be close to zero if the rank of Π equals r0 and large if it is greater than r0 .
The asymptotic distributions of those LR tests are non standard and depend on the assumption
made on the deterministic trends of ΔYt which can be rewritten as:
ΔYt = c1 + d1 t + α(β ′ Yt−1 + c0 + d0 t) + Γ1 ΔYt−1 + ... + ΓP −1 ΔYt−P +1 + ϵt
5 types of restriction are considered depending on the trending nature of both Yt and β ′ Yt (the
cointegrating relationships):
H2 (c0 = c1 = d0 = d1 = 0): the series in Yt are I(1) with no deterministic trends in

levels and β ′ Yt have means zero. In practice, this case is rarely used.
H1* (c1 = d0 = d1 = 0): the series in Yt are I(1) with no deterministic trends in levels
and β ′ Yt have non-zero means.
H1 (d0 = d1 = 0): the series in Yt are I(1) with linear trends in levels and β ′ Yt have
non-zero means.
H* (d1 = 0): the series in Yt and β ′ Yt have linear trends.
H (unconstrained): the series in Yt are I(1) with quadratic trends in levels and β ′ Yt have
linear trends. Again, this case is hardly used in practice.
To perform a cointegration test in XLSTAT, you have to choose one of the above assumptions.
The choice should be motivated by the specific nature of your data and the considered
economics model. However, if it is unclear which restriction applies best, a good strategy might
be to evaluate the robustness of the result by successively selecting a different assumption
among H1*, H1 and H* (the remaining 2 options being very specific and easily identifiable).
Critical values and p-values for both the λmax -test and the trace test are computed in XLSTAT
as proposed by MacKinnon-Haug-Mechelis (1998).
Dialog box

General tab:
Model: Select between H2, H1*, H1, H* and H the type of restriction that best describes your
data set (see the description for further details).
VAR order: Select the automatic option for an automatic estimation of the P parameter (see
the description for further details) or select the user defined option and enter your own value.
Options tab:
VAR order estimation: If the automatic option is selected for the VAR order on the General tab,
you must set three parameters: the model, the selection criterion and the maximum number of
lag.
Model: Select between None, Intercept, Trend and Intercept + trend the model that best
describes your time series.
Selection criterion: Select between the four criteria computed (AIC, FPE, HQ and BIC), the
one XLSTAT will use to select the VAR order.

Maximum number of lag: Select the maximum number of lag that will be computed by XLSTAT
to select the VAR order.
Missing tab:
missing value.
Outputs tab:
series.
Results
VAR order estimation: If the automatic option is selected for the V AR order, this table
displays the four criteria values for the V AR order estimation. Each line corresponds to the
evaluation of one number of lags from 1 up to the maximum number of lag. The discriminating
criterion is in bold.
Lambda max test: This table displays for each rank of cointegration tested the corresponding
eigenvalue, the lambda max test statistic and the associated critical value and p-values.
Trace test: This table displays for each rank of cointegration tested the corresponding
eigenvalue, the trace test statistic and the associated critical value and p-values.
Adjustment coefficients (alpha): This table displays the resulting loading matrix α(see
description for further details).
Cointegration coefficients (beta): This table displays the cointegrating matrix β (see
Example
A tutorial explaining how to perform cointegration analysis on time series is available on the
http://www.xlstat.com/demo-cointegration.htm

References
Engle R. and Granger C. (1987). Co-integration and error correction: Representation,
estimation and testing. Econometrica: Journal of the Econometric Society, pp.251-276.
Granger C. and Newbold P. (1974). Spurious regressions in econometrics. Journal of

econometrics, 2(2), pp.111-120.
Johansen, S. (1988). Statistical analysis of cointegration vectors. Journal of economic

dynamics and control, 12(2), pp.231-254.
Johansen S. (1991). Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian

Vector Autoregressive Models. Econometrica: Journal of the Econometric Society, pp.1551-
1580.
Johansen S. (1995). Likelihood based inference in cointegrated vector autoregressive models.

OUP catalogue.
Lüktepohl (2005). New introduction to multiple time series analysis. Springer.
MacKinnon, J. G., Haug, A. A., & Michelis, L. (1998). Numerical distribution functions of
likelihood ratio tests for cointegration(No. 9803). Department of Economics, University of
Canterbury

Time series transformation
Use this tool to transform a time series A into a time series B that has better properties:
removed trend, reduced seasonality, and better normality.
In this section:
Description
Dialog box
Results
Example
References
Description
XLSTAT offers four different possibilities for transforming a time series Xt into Yt , (t =
1, … , n):
Box-Cox transformation to improve the normality of the time series; the Box-Cox
transformation is defined by the following equation:
⎧
⎪ tλ , (Xt > 0, λ = 0) or (Xt ≥ 0, λ > 0)
λ
X −1
Yt = ⎨
⎪
⎩
ln(Xt ), (Xt > 0, λ = 0)
XLSTAT accepts a fixed value of λ, or it can find the value that maximizes the likelihood of the
residuals, the model being a simple linear model with the time as sole explanatory variable.
Differencing, to remove trend and seasonalities and to obtain stationarity of the time series.
The difference equation writes:
Yt = (1 − B)d (1 − B s )D Xt
where d is the order of the first differencing component, s is the period of the seasonal
component, D is the order of the seasonal component, and B is the lag operator defined by:
BXt = Xt−1
The values of (d, D, s) can be chosen in a trial and error process, or guessed by looking at the
descriptive functions (ACF, PACF). Typical values are (1, 1, s), (2, 1, s). s is 12 for monthly
data with a yearly seasonality, 0 when there is no seasonality.
Time series analysis 998 Time series transformation

Detrending and deseasonalizing, using the classical decomposition model which writes:
Xt = mt + st + ϵt
wheremt is the trend component and st the seasonal component, and ϵt is a N (0, 1) white
noise component. XLSTAT allows to fit this model in two separate and/or successive steps:
1 – Detrending model:
k
Xt = mt + ϵt = ∑ ai ti + ϵt
i=0
where k is the polynomial degree. The ai parameters are obtained by fitting a linear model to
the data. The transformed time series writes:
p
Yt = ϵt = Xt − ∑ ai ti
i=0
2 – Deseasonalization model:
Xt = st + ϵt = μ + bi + ϵt , i = t mod p
where p is the period. The bi parameters are obtained by fitting a linear model to the data. The
transformed time series writes:
Yt = ϵt = Xt − bi − μ
Note: there exist many other possible transformations. Some of them are available in the
transformations tool of XLSTAT-Pro (see the "Preparing data" section). Linear filters may also
be applied. Moving average smoothing methods which are linear filters are available in the
"Smoothing" tool of XLSTAT.
Seasonal decomposition: from a user defined period P , the seasonal decomposition

estimates and decomposes the time series into 3 components (trend, seasonal and random).
If the chosen model type is additive, the model can be expressed as follows:
Xt = mt + st mod p + ϵt
with Xt the initial time series,mt the trend component, st mod p the seasonal component and ϵt
the random component.
First, the trend component is estimated by applying a centered moving average filter to Xt :
P /2
^t = ∑ Wi × Xt+i
m
i=−P /2

where P /2 is the integer division of P by 2 and the coefficients wi are defined as follows:
⎧
⎪ 2P , if ∣ i ∣= P /2
1
Wi = ⎨
⎪1
⎩
P, otherwise
Each seasonal index si is computed from the difference st = Xt − mt as the average of the
elements of st for which t mod P = i
Their values are then centered as shown below:

p
1
Sî = sî − ∑ s^j
p j=1
Finally, the random component is estimated as follows:
ϵî = Xt − m
^t − s^t mod P
If the multiplicative type of decomposition is chosen, the model is given by:
Xt = mt × st mod P × ϵt
The trend component is estimated in the same way as indicated for the additive decomposition.
The seasonal indices si are computed as the average of the elements of st = Xt /mt for
which t mod P = i.
They are then normalized as follows:

p
Sî = sî × (∏ s^j )−1/P
j=1
Finally, the estimated random component is given by:
Xt
ϵî =
s^t mod P × m
^t
Dialog box

General tab:
Options tab:
Box-Cox: Activate this option to compute the Box-Cox transformation. You can either fix the
value of the Lambda parameter, or decide to let XLSTAT optimize it (see the description for
further details).
Differencing: Activate this option to compute differenced series. You need to enter the
differencing orders (d, D, s). See the description for further details.
Polynomial regression: Activate this option to detrend the time series. You need to enter
polynomial degree. See the description for further details.
Deseasonalization: Activate this option to remove the seasonal components using a linear
model. You need to enter the period of the series. See the description for further details.

Seasonal decomposition: Activate this option to compute the seasonal indices and
decompose the time series. You need to select a model type, additive or multiplicative and enter
the period of the series. See the description for further details.
Missing data tab:
missing value.
Outputs tab:
series.
Charts tab:
transformation.
Results
Box-Cox transformation:
Estimates of the parameters of the model: This table is available only if the Lambda
parameter has been optimized. It displays the three parameters of the model, which are
Lambda, the Intercept of the model and slope coefficient.
Series before and after transformation: This table displays the series before and after
transformation. If Lambda has been optimized, the transformed series corresponds to the
residuals of the model. If it hasn’t then the transformed series is the direct application of the
Box-Cox transformation.

Differencing
Series before and after transformation: This table displays the series before transformation
and the differenced series. The first d + D + s data are not available in the transformed series
because of the lag due to the differencing itself.
Detrending (Polynomial regression)
Goodness of fit coefficients: This table displays the goodness of fit coefficients.
Estimates of the parameters of the model: This table displays the parameters of the model.
transformation. The transformed series corresponds to the residuals of the model.
Deseasonalization
Goodness of fit coefficients: This table displays the goodness of fit coefficients.
Estimates of the parameters of the model: This table displays the parameters of the model.
The intercept is equal to the mean of the series before transformation.
transformation. The transformed series corresponds to the residuals of the model.
Example
A tutorial explaining how to transform time series is available on the Addinsoft web site. To
http://www.xlstat.com/demo-desc.htm
References
Box G. E. P. and Jenkins G. M. (1976). Time Series Analysis: Forecasting and Control.
Holden-Day, San Francisco.
Verlag, New York.
Verlag, New York.

Smoothing
Use this tool to smooth a time series and make predictions, using moving averages, exponential
smoothing, Fourier smoothing, Holt or Holt-Winter’s methods.
In this section:
Description
Dialog box
Results
Example
References
Description
Several smoothing methods are available. We define by Yt , (t=1,…,n), the time series of
interest, by Pt Yt+h the predictor of Yt+h with minimum mean square error, and ϵt follows a
N (0, 1) white noise. The smoothing methods are described by the following equations:
Simple exponential smoothing
This model is sometimes referred to as Brown's Simple Exponential Smoothing, or the

exponentially weighted moving average model. The equations of the model write:
⎧
⎪
⎪
Yt = μt + ϵt
⎪P Y
⎨
t t+h = μt h = 1, 2, ...
⎪
⎪
⎪^
⎩
St Yt+h = αYt + (1 − α)St−1 0<α<2
Y t+h = Pt Yt+h = St , h = 1, 2, ...
The region for α corresponds to the additivity and invertibility conditions.
Exponential smoothing is useful when one needs to model a value by simply taking into account
past observations. It is called "exponential" because the weight of past observations decreases
exponentially. This method it is not very satisfactory in terms of prediction, as the predictions are
constant after n+1.
Double exponential smoothing
This model is sometimes referred to as Brown's Linear Exponential Smoothing or Brown's

Double Exponential Smoothing. It allows to take into account a trend that varies with time. The
predictions take into account the trend as it is for the last observed data. The equations of the
model write:
Time series analysis 1004 Smoothing

The region for α corresponds to additivity and invertibility.
Holt’s linear exponential smoothing
This model is sometimes referred to as the Holt-Winters non seasonal algorithm. It allows to
take into account a permanent component and a trend that varies with time. This models adapts
itself quicker to the data compared with the double exponential smoothing. It involves a second
parameter. The predictions for t>n take into account the permanent component and the trend
component. The equations of the model write:
The region for α and β corresponds to additivity and invertibility.
Holt-Winters seasonal additive model
This method allows to take into account a trend that varies with time and a seasonal component
with a period p. The predictions take into account the trend and the seasonality. The model is
called additive because the seasonality effect is stable and does not grow with time. The
equations of the model write:
For the definition of the additive-invertible region please refer to Archibald (1990).

Holt-Winters seasonal multiplicative model
This method allows to take into account a trend that varies with time and a seasonal component
with a period p. The predictions take into account the trend and the seasonality. The model is
called multiplicative because the seasonality effect varies with time. The more the discrepancies
between the observations are high, the more the seasonal component increases. The equations
of the model write:
For the definition of the additive-invertible region please refer to Archibald (1990).
Note 1: for all the above models, XLSTAT estimates the values of the parameters that minimize
the mean square error (MSE). However, it is also possible to maximize the likelihood, as, apart
from the Holt-Winters multiplicative model, it is possible to write these models as ARIMA
models. For example, the simple exponential smoothing is equivalent to an ARIMA(0,1,1)
model, the double exponential smoothing is equivalent to an ARIMA(0,2,2) model, and the Holt-
Winters additive model is equivalent to an ARIMA (0,1,p+1)(0,1,0). If you prefer to maximize the
likelihood, we advise you to use the ARIMA procedure of XLSTAT.
Note 2: for all the above models, initial values for S, T and D, are required. XLSTAT offers
several options, including backcasting to set these values. When backcasting is selected, the
algorithm reverses the series, starts with simple initial values corresponding to the Y(x) option,
then computes estimates and uses these estimates as initial values. The values corresponding
to the various options for each method are described hereunder:
Simple exponential smoothing:
⎧
⎪
⎪
Y (1) : S1 = Y1
⎪M ean(6) : S1 = ∑6i=1 Yi /6
⎨
⎪
⎪
⎪
⎩
Backcasting
Optimized
Double exponential smoothing:
⎧Y
⎪ (1) : S1 = Y1 , T1 = Y1
⎨M ean(6) : S1 = ∑6i=1 Yi /6, T1 = S1
⎪
⎩
Backcasting

Holt’s linear exponential smoothing:
{
0: S1 = 0
Backcasting
Holt-Winters seasonal additive model:
Holt Winters seasonal multiplicative model:
Moving average
This model is a simple way to take into account past and optionally future observations to
predict values. It works as a filter that is able to remove noise. While with the smoothing
methods defined below, an observation influences all future predictions (even if the decay is
exponential), in the case of the moving average the memory is limited to q . If the constant l is
set to zero, the prediction depends on the past q values and on the current value, and if l is set
to one, it also depends on the next q values. Moving averages are often used as filters, and not
as way to do accurate predictions. However XLSTAT enables you to do predictions based on
the moving average model that writes:
where l is a constant, which, when set to zero, allows the prediction to depend on the q
previous values and on the current value. If l is set to one, the prediction also depends on the q
next values. The wi (i = 1, … , q) are the weights. Weights can be either constant, fixed by
the user, or based on existing optimal weights for a given application. XLSTAT allows to use the
Spencer 15-points model that passes polynomials of degree 3 without distortion.
Fourier smoothing
The concept of the Fourier smoothing is to transform a time series into its Fourier coordinates,
then remove part of the higher frequencies, and then transform the coordinates back to a signal.
This new signal is a smoothed series.

Dialog box
observations.
General tab:

Model: Select the smoothing model you want to use (see description for more information on
the various models).
Options tab:
Method: Select the method for the selected model (see description for more information on the
various models).
Stop conditions:
Confidence interval (%): The value you enter (between 1 and 99) is used to determine the
confidence intervals for the predicted values. Confidence intervals are automatically displayed
on the charts.
S1: Choose an estimation method for the initial values. See the description for more information
on that topic.
Depending on the model type, and on the method you have chosen, different options are
available in the dialog box. In the description section, you can find information on the various
models and on the corresponding parameters.
In the case of exponential or Holt-Winters models, you can decide to set the parameters to a
given value, or to optimize them. In the case of the Holt- Winters seasonal models, you need to
enter the value of the period.
In the case of the Fourier smoothing, you need to enter to the proportion p of the spectrum that
needs to be kept after the high frequencies are removed.
For the moving average model, you need to specify the number q of time steps that must be
taken into account to compute the predicted value. You can decided to only consider the
previous q steps (the left part) of the series.
Validation tab:
Validation: Activate this option to use some data for the validation of the model.
Time steps: Enter the number the number of data at the end of the series that need to be used
for the validation.

Prediction tab:
Prediction: Activate this option to use the model to do some forecasting.
Time steps: Enter the number the number of time steps for which you want XLSTAT to compute
a forecast.
Missing data tab:
missing value.
Outputs tab:
series.
Goodness of fit coefficients: Activate this option to display the goodness of fit statistics.
Model parameters: Activate this option to display the table of the model parameters.
Predictions and residuals: Activate this option to display the table of the predictions and the
residuals.
Charts tab:
smoothing, as well as the bar chart of the residuals.
Results
Goodness of fit coefficients: This table displays the goodness of fit coefficients which include
the number of degrees of freedom (DF), the DDL, the sum of squares of errors (SSE) the mean
square of errors (MSE), the root of the MSE (RMSE), the mean absolute percentage error
(MAPE), the mean percentage error (MPE) the mean absolute error (MAE) and the coefficient of
determination (R²). Note: all these statistics are computed for the observations involved in the
estimation of the model only; the validation data are not taken into account.

Model parameters: This table displays the estimates of the parameters, and, if available, the
standard error of the estimates. Note: to S1 corresponds the first computed value of the S
series, and to T1 corresponds the first computed value of the series T. See the description for
more information.
Series before and after smoothing: This table displays the series before and after smoothing.
If some predictions have been computed (t>n), and if the confidence intervals option has been
activated, the confidence intervals are computed for the predictions.
Charts: The first chart displays the data, the model, and the predictions (validation + prediction
values) as well as the confidence intervals. The second chart corresponds to the bar chart of the
residuals.
Example
A tutorial explaining how to do forecasting with the Holt-Winters method is available on the
http://www.xlstat.com/demo-hw.htm
References
Archibald B.C. (1990). Parameter space of the Holt-Winters' model. International Journal of
Forecasting, 6, 199-209.
Box G. E. P. and Jenkins G. M. (1976). Time Series Analysis: Forecasting and control. Holden-
Day, San Francisco.
Verlag, New York.
Brown R.G. (1962). Smoothing, Forecasting and Prediction of Discrete Time Series. Prentice-
Hall, New York.
Brown R.G. and Meyer R.F. (1961). The fundamental theorem of exponential smoothing.
Operations Research, 9, 673-685.
Chatfield, C. (1978). The Holt-Winters forecasting procedure. Applied Statistics, 27, 264-279.
Holt C.C. (1957). Forecasting seasonals and trends by exponentially weighted moving
averages. ONR Research Memorandum 52, Carnegie Institute of Technology, Pittsburgh.
Makridakis S.G., Wheelwright S.C. and Hyndman R.J. (1997). Forecasting : Methods and
Applications. John Wiley & Sons, New York.
Verlag, New York.
Winters P.R. (1960). Forecasting sales by exponentially weighted moving averages.

Management Science, 6, 324-342

ARIMA
Use this tool to fit an ARMA (Autoregressive Moving Average), an ARIMA (Autoregressive
Integrated Moving Average) a SARIMA (Seasonal Autoregressive Integrated Moving Average)
model or a SARIMAX model (with exaplanatory variables), and to compute forecasts using the
model which parameters are either known or to be estimated.
In this section:
Description
Dialog box
Results
Example
References
Description
The models of the ARIMA family allow to represent in a synthetic way phenomena that vary with
time, and to predict future values with a confidence interval around the predictions.
The mathematical writing of the ARIMA models differs from one author to the other. The
differences concern most of the time the sign of the coefficients. XLSTAT is using the most
commonly found writing, used by most software.
If we define by {Xt } a series with mean µ, then if the series is supposed to follow an ARIMA
(p, d, q)(P , D, Q)s model, we can write:
Yt = (1 − B)d (1 − B s )D Xt − μ
{
ϕ(B)Φ(B s )Yt = θ(B)Θ(B s )Zt , Zt ∼ N (0, σ 2 )
with
{
ϕ(z) = 1 − ∑pi=1 ϕi z i , Φ(z) = 1 − ∑Pi=1 Φi z i
θ(z) = 1 + ∑qi=1 θi z i , Θ(z) = 1 + ∑Qi=1 Θi z
i
p is the order of the autoregressive part of the model.
q is the order of the moving average part of the model.
d is the differencing order of the model.
D is the differencing order of the seasonal part of the model.
s is the period of the model (for example 12 if the data are monthly data, and if one noticed a
yearly periodicity in the data).
Time series analysis 1012 ARIMA

P is the order of the autoregressive seasonal part of the model.
Q is the order of the moving average seasonal part of the model.
Remark 1: the {Yt } process is causal if and only if for any z such that ∣z∣ ≤ 1, f (z) =
 0 and
q(z) =
 0.
Remark 2: if D=0, the model is an ARIMA(p,d,q) model. In that case, P, Q and s are considered
as null.
Remark 3: if d=0 and D=0, the model simplifies to an ARMA(p,q) model.
Remark 4: if d=0, D=0 and q=0, the model simplifies to an AR(p) model.
Remark 5: if d=0, D=0 and p=0, the model simplifies to an MA(q) model.
Explanatory variables
XLSTAT allows you to take into account explanatory variables through a linear model. Three
different approaches are possible:
1. OLS: A linear regression model is fitted using the classical linear regression approach,
then the residuals are modeled using an (S)ARIMA model.
2. CO-LS: If d or D and s are not zero, the data (including the explanatory variables) are
differenced, then the corresponding ARMA model is fitted at the same time as the linear
model coefficients using the Cochrane and Orcutt (1949) approach.
3. GLS: A linear regression model is fitted, then the residuals are modeled using an
(S)ARIMA model, then we loop back to the regression step, in order to improve the
likelihood of the model by changing the regression coefficients using a Newton-Raphson
approach.
Note: if no differencing is requested (d=0 and D=0), and if there are no explanatory variables in
the model, the constant of the model is estimated using CO-LS.
Dialog box

observations.
General tab:
Center: Activate this option to center the data after the differencing.
Variance: Activate this option to set the value of the variance of the errors.
X / Explanatory variables: Activate this option if you want to include one or more quantitative
explanatory variables in the model. Then select the corresponding variables in the Excel
worksheet. The data selected must be of the numerical type. If a variable header has been
Mode: Choose the way you want to take into account the explanatory variables (the three
modes OLS, CO-LS, GLS, are described in the description section).

Model parameters: Enter orders of the model:
p: Enter the order of the autoregressive part of the model. For example, enter 1 for an
AR(1) model or for an ARMA(1,2) model.
d: Enter the differencing order of the model. For example, enter 1 for an ARIMA(0,1,2)
model.
q: Enter the order of the moving average part of the model. For example, enter 2 for a
MA(2) model or for an ARIMA(1,1,2) model.
P: Enter the order of the autoregressive seasonal part of the model. For example, enter 1
for an ARIMA(1,1,0)(1,1,0)¹² model. You can modify this value only if D =  0. If D = 0,
XLSTAT considers that P = 0.
D: Enter the differencing order for the seasonal part of the model. For example, enter 1 for
an ARIMA(0,1,1)(0,1,1)¹² model.
Q: Enter the order of the moving average seasonal part of the model. For example, enter
1 for an ARIMA(0,1,1)(0,1,1)¹² model. You can modify this value only if D =
 0. If D = 0,
XLSTAT considers that P = 0.
s: Enter the period of the model. You can modify this value only if D=
 0. If D = 0,
XLSTAT considers that s = 0.
Options tab:
Preliminary estimation: Activate this option if you want to use a preliminary estimation method.
This option is available only if D=0.
Yule-Walker: Activate this option to estimate the coefficients of the autoregressive AR(p)
model using the Yule-Walker algorithm.
Burg: Activate this option to estimate the coefficients of the autoregressive AR(p) model
using the Burg’s algorithm.
Innovations: Activate this option to estimate the coefficients of the moving average MA(q)
model using the Innovations algorithm.
Hannan-Rissanen: Activate this option to estimate the coefficients of the ARMA(p,q)

model using the Hannan-Rissanen algorithm.
m/Automatic: If you choose to use the Innovations or the Hannan-Rissanen algorithm,

you need to either enter the m value corresponding to the algorithm or to let XLSTAT
determine automatically (select Automatic) what is an appropriate value for m.

Initial coefficients: Activate this option to select the initial values of the coefficients of the
model.
Phi: Select here the value of the coefficients corresponding to the autoregressive part of
the model (including the seasonal part). The number of values to select is equal to p+P.
Theta: Select here the value of the coefficients corresponding to the moving average part
of the model (including the seasonal part). The number of values to select is equal to
q+Q.
Optimize: Activate this option to estimate the coefficients using one of the two available
methods:
Likelihood: Activate this option pour maximize the likelihood of the parameters knowing
the data.
Least squares: Activate this option to minimize the sum of squares of the residuals.
Stop conditions:
Find the best model: Activate this option to explore several combines of orders. If you activate
this option, the minimum order is the one given in the "General" tab, and the maximum orders
need to be defined using the following options:
Max(p): Enter the maximum value of p to explore.
Max(q): Enter the maximum value of q to explore.
Max(P): Enter the maximum value of P to explore.
Max(Q): Enter the maximum value of Q to explore.
AICC: Activate this option to use the AICC (Akaike Information Criterion Corrected) to
identify the best model.
SBC: Activate this option to use the SBC (Schwarz’s Bayesian Criterion) to identify the
best model.
Validation tab:

Validation: Activate this option to use some data for the validation of the model.
Time steps: Enter the number the number of data at the end of the series that need to be used
for the validation.
Prediction tab:
Prediction: Activate this option to use the model to do some forecasting.
Time steps: Enter the number the number of time steps for which you want XLSTAT to compute
a forecast.
Missing data tab:
missing value.
Outputs tab:
series.
Goodness of fit coefficients: Activate this option to display the goodness of fit statistics.
Model parameters: Activate this option to display the table of the model parameters.
Predictions and residuals: Activate this option to display the table of the predictions and the
residuals.
Confidence interval (%): The value you enter (between 1 and 99) is used to determine the
confidence intervals for the predicted values. Confidence intervals are automatically displayed
on the charts.
Charts tab:
Display charts: Activate this option to display the chart that shows the input data together with
the model predictions, as well the bar chart of the residuals.

Results
If a preliminary estimation and an optimization have been requested the results for the
preliminary estimation are first displayed followed by the results after the optimization. If initial
coefficients have been entered the results corresponding to these coefficients are displayed
first.
Goodness of fit coefficients:
Observations: The number of data used for the fitting of the model.
SSE: Sum of Squares of Errors. This statistic is minimized if the "Least Squares" option
has been selected for the optimization.
MAPE: The Mean Absolute Percentage Error measures the quality of the fit, while
removing the scale effect and not relatively penalizing bigger errors.
WN variance: The white noise variance is equal to the SSE divided by N. In some
software, this statistic is named sigma2 (sigma-square).
WN variance estimate: This statistic is usually equal to the previous. In the case of a
preliminary estimation using the Yule-Walker or Burg’s algorithms, a slightly different
estimate is displayed.
-2Log(Like.): This statistic is minimized if the "Likelihood" option has been selected for
the optimization. It is equal to 2 times the natural logarithm of the likelihood.
FPE: Akaike’s Final Prediction Error. This criterion is adapted to autoregressive models.
AIC: The Akaike Information Criterion.
AICC: This criterion has been suggested by Brockwell (Akaike Information Criterion
Corrected).
Model parameters:
The first table of parameters gives the coefficients of the linear model fitted to the data (a
constant if no explanatory variable was selected).
The next table gives the estimator for each coefficient of each polynomial, as well as the
standard deviation obtained either directly from the estimation method (preliminary estimation),
or from the Fisher’s information matrix (Hessian). The asymptotical standard deviations are also
computed. For each coefficient and each standard deviation, a confidence interval is displayed.
The coefficients are identified as follows:

AR(i): that corresponds to the order i coefficient of the f(z) polynomial.
SAR(i): coefficient that corresponds to the order i coefficient of the F(z) polynomial.
MA(i): coefficient that corresponds to the order i coefficient of the q(z) polynomial.
SMA(i): coefficient that corresponds to the order i coefficient of the Q(z) polynomial.
Data, Predictions and Residuals: This table displays the data, the corresponding predictions
computed with the model, and the residuals. If the user requested it, predictions are computed
for the validation data and forecasts for future values. Standard deviations and confidence
intervals are computed for validation predictions and forecasts.
Charts: Two charts are displayed. The first chart displays the data, the corresponding values
predicted by the model, and the predictions corresponding to the values for the validation and/or
prediction time steps. The second chart corresponds to the bar chart of residuals.
Example
A tutorial explaining how to do fit an ARIMA model and to use the model to do forecasting is
available on the Addinsoft web site. To consult the tutorial, please go to:
http://www.xlstat.com/demo-arima.htm
References
Box G. E. P. and Jenkins G. M. (1984). Time Series Analysis: Forecasting and Control, 3rd
edition. Pearson Education, Upper Saddle River.
Brockwell P.J. and Davis R.A. (2002). Introduction to Time Series and Forecasting, 2-nd
edition. Springer Verlag, New York.
Brockwell P. J. and Davis R. A. (1991). Time series: Theory and Methods, 2-nd edition.
Springer Verlag, New York.
Cochrane D. and Orcutt G.H. ( 1949). Application of least squares regression to relationships
containing autocorrelated error terms. Journal of the American Statistical Association, 44, 32-61.
New York.
Hannan E.J. and Rissanen J. (1982). Recursive estimation of mixed autoregressive-moving

average models order. Biometrika, 69, 1, 81-94.
Mélard G. (1984). Algorithm AS197: a fast algorithm for the exact likelihood of autoregressive-
moving average models. Journal of the Royal Statistical Society, Series C, Applied Statistics,
33, 104-114.

Percival D. P. and Walden A. T. (1998). Spectral Analysis for Physical Applications. Cambridge
University Press, Cambridge.

Spectral analysis
Use this tool to transform a time series into it’s coordinates in the space of frequencies, and
then to analyze its characteristics in this space.
In this section:
Description
Dialog box
Results
Example
References
Description
This tool allows to transform a time series into it’s coordinates in the space of frequencies, and
then to analyze its characteristics in this space. From the coordinates we can extract the
magnitude, the phase, build representations such as the periodogram, the spectral density, and
test if the series is stationary. By looking at the spectral density, we can identify seasonal
components, and decide to which extent we should filter noise. Spectral analysis is a very
general method used in a variety of domains.
The spectral representation of a time series {Xt }, (t = 1, … , n), decomposes {Xt } into a
sum of sinusoidal components with uncorrelated random coefficients. From there we can obtain
decomposition the autocovariance and autocorrelation functions into sinusoids.
The spectral density corresponds to the transform of a continuous time series. However, we
usually have only access to a limited number of equally spaced data, and therefore, we need to
obtain first the discrete Fourier coordinates (cosine and sine transforms), and then the
periodogram. From the periodogram, using a smoothing function, we can obtain a spectral
density estimate which is a better estimator of the spectrum.
Using fast and powerful methods, XLSTAT automatically computes the Fourier cosine and sine
transforms of {Xt }, for each Fourier frequency, and then the various functions that derive from
these transforms.
With n being the sample size, and [i] being the largest integer less than or equal to i, the
Fourier frequencies write:
2πk n−1 n
ωk = , k = −[ ], … [ ]
n 2 2
The Fourier cosine and sine coefficients write:
Time series analysis 1021 Spectral analysis

n
2
ak = ∑ Xt cos(ωk (t − 1))
n t=1
n
2
bk = ∑ Xt sin(ωk (t − 1))
n t=1
The periodogram writes:

n
n
Ik = ∑(a2k + b2k )
2 t=1
The spectral density estimate (or discrete spectral average estimator) of the time series {Xt }
writes:
p
f^k = ∑ wi Jk+i
i=−p
with
⎧ Jk+i = Ik+i , 0≤k+i≤n

⎨ Jk+i = I−(k+i) ,
⎩ J
k+i<0
k+i = In−(k+i) , k+i>n
where p, the bandwidth, and wi , the weights, are either fixed by the user, or determined by the
choice of a kernel. XLSTAT suggests the use of the following kernels:
If we define , p = c.q e , q = [n/2] + 1, and λi = i/p

Bartlett:
⎧ c = 1/2, e = 1/3
⎨ wi = 1 − ∣λi ∣
⎩
if ∣λi ∣ ≤ 1
wi = 0 otherwise
Parzen:
⎧
⎪
⎪
c = 1, e = 1/5
⎨
wi = 1 − 6∣λi ∣2 + 6∣λi ∣3 if ∣λi ∣ ≤ 0.5
⎪
⎪
⎩
wi = 2(1 − ∣λi ∣)3 if 0.5 ≤ ∣λi ∣ ≤ 1
wi = 0 otherwise
Quadratic spectral:
c = 1/2, e = 1/5
{
wi = 25
12π 2 λ2i
( sin(6πλ i /5)
6πλi /5 − cos(6πλi /5))
Tukey-Hanning:

⎧ c = 2/3, e = 1/5
⎨ wi = (1 + cos(πλi ))/2
⎩ w =0
if ∣λi ∣ ≤ 1
i otherwise
Truncated:
⎧ c = 1/4, e = 1/5
⎨ wi = 1
⎩
if ∣λi ∣ ≤ 1
wi = 0 otherwise
Note: the bandwidth p is a function of n, the size of the sample. The weights wi must be
positive and must sum to one. If they don’t, XLSTAT automatically rescales them.
If a second time series {Yt } is available, several additional functions can be computed to
estimate the cross-spectrum:
The real part of the cross-periodogram of {Xt } and {Yt } writes:

n
n
Realk = ∑(aX,k aY ,k + bX,k bY ,k )
2 t=1
The imaginary part of the cross-periodogram of {Xt } and {Yt } writes:

n
n
Imagk = ∑(aX,k bY ,k − bX,k aY ,k )
2 t=1
The cospectrum estimate (real part of the cross-spectrum) of the time series {Xt } and {Yt }
writes:
p
Ck = ∑ wi Rk+i
i=−p
with
⎧ Rk+i = Realk+i , 0≤k+i≤n

⎨ Rk+i = Real−(k+i) ,
⎩
k+i<0
Rk+i = Realn−(k+i) , k+i>n
The quadrature spectrum (imaginary part of the cross-periodogram) estimate of the time series
{Xt } and {Yt } writes:
p
Qk = ∑ wi Hk+i
i=−p

with
⎧ Hk+i = Imagk+i , 0≤k+i≤n

⎨ Hk+i = Imag−(k+i) ,
⎩
k+i<0
Hk+i = Imagn−(k+i) , k+i>n
The phase of the cross-spectrum of {Xt } and {Yt } writes:
Φk = arctan(Qk /Ck )
The amplitude of the cross-spectrum of {Xt } and {Yt } writes:
Ak = Ck2 + Q2k
The squared coherency estimate between the {Xt } and {Yt } series writes:
A2k
Kk =
f^X,k f^Y ,k
White noise tests: XLSTAT optionally displays two test statistics and the corresponding p-
values for white noise: Fisher's Kappa and Bartlett's Kolmogorov-Smirnov statistic.
Dialog box
General tab:
Times series: Select the data that correspond to the time series for which you want to compute
the various spectral functions.

Missing data tab:
missing value.
Outputs (1) tab:
White noise tests: Activate this option if you want to display the results of the white noise tests.
Cosine part: Activate this option if you want to display the Fourier cosine coefficients.
Sine part: Activate this option if you want to display the Fourier sine coefficients.
Amplitude: Activate this option if you want to display the amplitude of the spectrum.
Phase: Activate this option if you want to display the phase of the spectrum.
Spectral density: Activate this option if you want to display the estimate of spectral density.
Kernel weighting: Select the type of kernel. The kernel functions are described in the
description section.
c: Enter the value of the c parameter. This parameter is described in the description
section.

e: Enter the value of the e parameter. This parameter is described in the description
section.
Fixed weighting: Select on an Excel sheet the values of the fixed weights. The number of
weights must be odd. Symmetric weights are recommended (Example: 1,2,3,2,1).
Outputs (2) tab:
Cross-spectrum: Activate this option to analyze the cross-spectra. The computations are only
done of at least two series have been selected.
Real part: Activate this option to display the real part of the cross-spectrum.
Imaginary part: Activate this option to display the imaginary part of the cross-spectrum.
Cospectrum: Activate this option to display the cospectrum estimate (real part of the
cross-spectrum).
Quadrature spectrum: Activate this option to display the quadrature estimate (real part of
the cross-spectrum).
Squared coherency: Activate this option to display the squared coherency.
Charts tab:
Periodogram: Activate this option to display the periodogram of the series.
Spectral density: Activate this option to display the chart of the spectral density.
Results
White noise tests: This table displays both the Fisher’s Kappa Bartlett’s Kolmogorov-Smirnov
statistics and the corresponding p-values. If the p-values are lower than the significance level
(typically 0.05), then you need to reject the assumption that the times series is just a white
noise.
A table is displayed for each selected time series. It displays various columns:
Frequency: frequencies from 0 to π .
Period: in time units.
Cosine part: the cosine coefficients of the Fourier transform.
Sine part: the sine coefficients of the Fourier transform.
Phase: Phase of the spectrum.
Periodogram: value of the periodogram.

Spectral density: estimate of the spectral density.
Charts: XLSTAT displays the periodogram and the spectral density charts on both the
frequency and period scales.
If two series or more have been selected, and if the cross-spectrum options have been selected,
XLSTAT displays additional information:
Cross-spectrum analysis: This displays various the cross-spectrum information:
Frequency: frequencies from 0 to π .
Period: in time units.
Real part: the real part of the cross-spectrum.
Imaginary part: the imaginary part of the cross-periodogram.
Cospectrum: The cospectrum estimate (real part of the cross-spectrum).
Quadrature spectrum: The quadrature estimate (imaginary part of the cross-spectrum).
Amplitude: amplitude of the cross-spectrum.
Squared coherency: estimates of the squared coherency.
Charts: XLSTAT displays the amplitude of the estimate of the cross- spectrum on both the
frequency and period scales.
Example
An example of Spectral analysis is available on the Addinsoft web site. To consult the tutorial,
please go to:
http://www.xlstat.com/demo-spectral.htm
References
Bartlett M.S. (1966). An Introduction to Stochastic Processes, Second Edition. Cambridge
University Press, Cambridge.
Verlag, New York.
Davis H.T. (1941). The Analysis of Economic Time Series. Principia Press, Bloomington.
Durbin J. (1967). Tests of Serial Independence Based on the Cumulated Periodogram. Bulletin
of Int. Stat. Inst., 42, 1039-1049.

Chiu S-T (1989). Detecting periodic components in a white Gaussian time series. Journal of the
Royal Statistical Society, Series B, 51, 249-260.
New York.
Nussbaumer H.J. (1982). Fast Fourier Transform and Convolution Algorithms, Second Edition.
Springer-Verlag, New York.
Parzen E. (1957). On Consistent Estimates of the Spectrum of a Stationary Time Series. Annals
of Mathematical Statistics, 28, 329-348.
Verlag, New York.

Fourier transformation
Use this tool to transform a time series or a signal to its Fourier coordinates, or to do the inverse
transformation.
In this section:
Description
Dialog box
Results
Example
References
Description
Use this tool to transform a time series or a signal to its Fourier coordinates, or to do the inverse
transformation. While the Excel function is limited to powers of two for the length of the time
series, XLSTAT is not restricted. Outputs optionally include the amplitude and the phase.
Dialog box
Real part: Activate this option and then select the signal to transform, or the real part of the
Fourier coordinates for an inverse transformation.
Imaginary part: Activate this option and then select the imaginary part of the Fourier
coordinates for an inverse transformation.
Time series analysis 1029 Fourier transformation

Column labels: Activate this option if the first row of the data selections (real part, imaginary
part) includes a header.
Inverse transformation: Activate this option if you want to compute the inverse Fourier
transform.
Amplitude: Activate this option if you want to compute and display the amplitude of the
spectrum.
Phase: Activate this option if you want to compute and display the phase of the spectrum.
Results
Real part: This column contains the real part after the transform or the inverse transform.
Imaginary part: This column contains the real part after the transform or the inverse transform.
Amplitude: Amplitude of the spectrum.
Phase: Phase of the spectrum.
Example
References
New York.
Time series analysis 1030 Fourier transformation

Monte Carlo simulations
XLSTAT-Sim
XLSTAT-Sim is an easy to use and powerful solution to create and run simulation models.
In this section:
Introduction
Options
Toolbar
Example
References
Introduction to XLSTAT-Sim
XLSTAT-Sim is a module that allows to build and compute simulation models, an innovative
method for estimating variables, whose exact value is not known, but that can be estimated by
means of repeated simulation of random variables that follow certain theoretical laws. Before
running the model, you need to create the model, defining a series of input and output (or result)
variables.
XLSTAT-Sim is a module that allows to build and compute simulation models, an innovative
method for estimating variables, whose exact value is not known, but that can be estimated by
means of repeated simulation of random variables that follow certain theoretical laws. Before
running the model, you need to create the model, defining a series of input and output (or result)
variables.
Simulation models
Simulation models allow to obtain information, such as mean or median, on variables that do not
have an exact value, but for which we can know, assume or compute a distribution. If some
"result" variables depend of these "distributed" variables by the way of known or assumed
formulae, then the "result" variables will also have a distribution. XLSTAT-Sim allows you to
define the distributions, and then obtain through simulations an empirical distribution of the input
and output variables as well as the corresponding statistics.
Simulation models are used in many areas such as finance and insurance, medicine, oil and
gas prospecting, accounting, or sales prediction.
Monte Carlo simulations 1031 XLSTAT-Sim

Four elements are involved in the construction of a simulation model:
- Distribution s are associated to random variables. XLSTAT gives a choice of more than 20
distributions to describe the uncertainty on the values that a variable can take (see chapter
Define a distribution for more details). For example, you can choose a triangular distribution if
you have a quantity for which you know it can vary between two bounds, but with a value that is
more likely (a mode). At each iteration of the computation of the simulation model, a random
draw is performed in each distribution that has been defined.
- Scenario variables allow to include in the simulation model a quantity that is fixed in the
model, except during the tornado analysis where it can vary between two bounds (see chapter
Define a scenario variable for more details, and the section on tornado analysis below).
- Result variables correspond to outputs of the model. They depend either directly or indirectly,
through one or more Excel formulae, on the random variables to which distributions have been
associated and if available on the scenario variables. The goal of computing the simulation
model is to obtain the distribution of the result variables (see chapter Define a result variable for
more details).
- Statistics allow to track a given statistic a result variable. For example, we might want to
monitor the standard deviation of a result variable (see chapter Define a statistic for more
details).
A correct model should comprise at least one distribution and one result. Models can contain
any number of these four elements.
A model can be limited to a single Excel sheet or can use a whole Excel folder.
Simulation models can take into account the dependencies between the input variables
described by distributions. If you know that two variables are usually related such that the
correlation coefficient between them is 0.4, then you want that, when you do simulations, the
sampled values for both variables have the same property. This is possible in XLSTAT-Sim by
entering in the Run dialog box the correlation or covariance matrix between some or all the input
random variables used in the model.
Outputs
When you run the model, a series of results is displayed. While giving the critical statistics such
are information on the distribution of the input and result variables, it also allows interpreting
relationships between variables. Sensitivity analysis is also available if scenario variables have
been included.
Descriptive statistics
The report that is generated after the simulation contains information on the distributions of the
model. The user may choose from a range of descriptive statistics the most important indicators

that should be integrated into the report in order to easily interpret the results. A selection of
charts is also available to graphically display the relationships.
Details and formulae relative to the descriptive statistics are available in the description section
of the "Descriptive statistics " tool of XLSTAT.
Charts
The following charts are available to display information on the variables:
called "box and whisker diagrams". It is a simple and quite complete representation since
in the version provided by XLSTAT the minimum, 1-st quartile, median, mean and 3-rd
quartile are displayed together with both limits (the ends of the "whiskers") beyond which
values are considered anomalous. The mean is displayed with a red +, and a black line
corresponds to the median. Limits are calculated as follows:
Lower limit:
X(i) = Q1 − 1.5(Q3 − Q1).
Upper limit:
X(i) = Q3 + 1.5(Q3 − Q1)
mean and the median.
P-P Charts (normal distribution): P-P charts (for Probability-Probability) are used to
compare the empirical distribution function of a sample with that of a normal variable for
the same mean and deviation. If the sample follows a normal distribution, the data will lie
along the first bisector of the plan.
Q-Q Charts (normal distribution): Q-Q charts (for Quantile-Quantile) are used to
compare the quantities of the sample with that of a normal variable for the same mean
and deviation. If the sample follows a normal distribution, the data will lie along the first
bisector of the plan.
Correlations
Once the computations are over, the simulation report may contain information on the
correlations between the different variables included in the simulation model. Three different
correlation coefficients are available:
Pearson correlation coefficient: This coefficient corresponds to the classical linear correlation
coefficient. This coefficient is well suited for continuous data. Its value ranges from -1 to 1, and it
measure the degree of linear correlation between two variables. Note: the squared Pearson

correlation coefficient gives an idea of how much of the variability of a variable is explained by
the other variable. The p-values that are computed for each coefficient allow testing the null
hypothesis that the coefficients are not significantly different from 0. However, one needs to be
cautious when interpreting these results, as if two variables are independent, their correlation
coefficient is zero, but the reciprocal is not true.
Spearman correlation coefficient (rho): This coefficient is based on the ranks of the observations
and not on their value. This coefficient is adapted to ordinal data. As for the Pearson correlation,
one can interpret this coefficient in terms of variability explained, but here we mean the
variability of the ranks.
Kendall correlation coefficient (tau): As for the Spearman coefficient, it is well suited for ordinal
variables as it is also based on ranks. However, this coefficient is conceptually very different. It
can be interpreted in terms of probability: it is the difference between the probabilities that the
variables vary in the same direction and the probabilities that the variables vary in the opposite
direction. When the number of observations is lower than 50 and when there are no ties,
XLSTAT gives the exact p-value. If not, an approximation is used. The latter is known as being
reliable when there are more than 8 observations.
Sensitivity analysis
The sensitivity analysis displays information about the impact of the different input variables for
one output variable. Based on the simulation results and on the correlation coefficient that has
been chosen (see above), the correlations between the input random variables and the result
variables are calculated and displayed in a declining order of impact on the result variable.
Tornado and spider analyses
Tornado and spider analyses are not based on the iterations of the simulation but on a point by
point analysis of all the input variables (random variables with distributions and scenario
variables).
During the tornado analysis, for each result variable, each input random variable and each
scenario variable are studied one by one. We make their value vary between two bounds and
record the value of the result variable in order to know how each random and scenario variable
impacts the result variables. For a random variable, the values explored can either be around
the median or around the default cell value, with bounds defined by percentiles or deviation. For
a scenario variable, the analysis is performed between two bounds specified when defining the
variables. The number of points is an option that can be modified by the user before running the
simulation model.
The spider analysis does not only display the maximum and minimum change of the result
variable, but also the value of the result variable for each data point of the random and scenario
variables. This is useful to check if the dependence between distribution variables and result
variables is monotonous or not.
Options

To display the options dialog box, click the button of the "XLSTAT-SIM" toolbar. Use this
dialog box to define the general options of the XLSTAT-SIM module.
General tab:
Model limited to: This option allows defining the size of the active simulation model. Limit if
possible your model to a single Excel sheet. The following options are available:
Sheet: Only the simulation functions in the active Excel sheet will be used in the
simulation model. The other sheets are ignored.
Workbook: All the simulation functions of the active workbook are included in the
simulation model. This option allows using several Excel sheets for one model.
Sampling m ethod: This option allows choosing the method of sample generation. Two
possibilities are available:
Classic: The samples are generated using Monte Carlo simulations.
Latin h ypercubes: The samples are generated using the Latin Hypercubes method. This
method divides the distribution function of the variable into sections that have the same
size and then generates equally sized samples within each section. This leads to a faster
convergence of the simulation. You can enter the number of sections. Default value is
500.
Single step memory: Enter the maximum number of simulation steps that will be stored in the
single step mode in order to calculate the statistics fields. When the limit is reached, the window
moves forward (the first iteration is forgotten and the new one is stored). The default value is
500. This value can be larger, if necessary.
Number of iterations by step: Enter the value of the number of simulation iterations that are
performed during one step. The default value is 1.
Format tab:
Use these options to set the format of the various model elements that are displayed on the
Excel sheets:
Distributions: You can define the color of the font and the color of the background of the
cells where the definition of the input random variables and their corresponding
distributions are stored.
Scenario variables: You can define the color of the font and the color of the background
of the cells where the scenario variables are stored.
Result variables: You can define the color of the font and the color of the background of
the cells where the result variables are stored.
Statistics: You can define the color of the font and the color of the background of the cells
where the statistics are stored.

Convergence tab:
Stop conditions: Activate this option to stop the simulation if the convergence criteria are
reached.
Criterion: Select the criterion that should be used for testing the convergence. There are
three options available:
Mean: The means of the monitored "result variables" (see below) of the simulation model
will be used to check if the convergence conditions are met.
Standard deviation: The standard deviation of the monitored "result variables" (see
below) of the simulation model will be used to check if the convergence conditions are
met.
Percentile: The percentiles of the monitored "result variables" (see below) of the
simulation model will be used to check if the convergence conditions are met. Choose the
Percentile to be used. Default value is 90%.
Test frequency: Enter the number of iterations to perform before the convergence criteria
are checked again. Default value: 100.
Convergence: Enter the value in % of the evolution of the convergence criteria from one
check to the next, which, when reached, means that the algorithm has converged. Default
value: 3%.
Confidence interval (%): Enter the size in % of the confidence interval that is computed
around the selected criterion. The upper bound of the interval is compared to the
convergence value defined above, in order to determine if the convergence is reached or
not. Default value: 95%.
Monitored results: Select which result variables of the simulation model should be
monitored for the convergence. There are two options available:
All result variables: All result variables of the simulation model will be monitored during
the convergence test.
Activated result variables: Only result variables that have their ConvActive parameter
equal to 1 are monitored.
References tab:
Reference to Excel cells: Select the way references to names of variables to the simulation
models are generated:
Absolute reference: XLSTAT creates absolute references (for example A4) to the cell.
Relative reference: XLSTAT creates absolute references (for example A4) to the cell.
Note: The absolute reference will not be changed if you copy and paste the XLSTAT_Sim
formula, contrary to the relative reference.

Results tab:
Filter level for results: Select the level of details that will be displayed in the report. This
controls for the descriptive statistics tables and the histograms of the different model elements:
All: Details are displayed for all elements of the model.
Activated: Details are only displayed for the elements that have a value of the Visible
parameter set to 1.
None: No detail will be displayed for the elements of the model.
Toolbar
XLSTAT-Sim has a dedicated toolbar "XLSTAT-Sim". The "XLSTAT-Sim" toolbar can be
displayed by clicking the XLSTAT-Sim icon in the XLSTAT toolbar.
Click this icon to define a new distribution (see Define a distribution for more details).
Click this icon to define a new scenario variable (see Define a scenario variable for more
details).
Click this icon to define a new result (see Define a result variable for more details).
Click this icon to define a new statistic (see Define a statistic for more details).
Click this icon to reinitialize the simulation model and do a first simulation iteration.
Click this icon to do one simulation step.
Click this icon to start the simulation and display a report.
Click this icon to export the simulation model. All XLSTAT-Sim functions are transformed to
comments. The formulae in the cells are stored as cell comments and the formulae are either
replaced by the default value or by the formula linking to other cells in the case of
XLSTAT_SimRes.
Click this icon to import the simulation model. All XLSTAT-Sim functions are extracted from
cell comments and exported as formulae in the corresponding cells.
Click this icon to display the XLSTAT-Sim options dialog box.

Example
Examples showing how to build a simulation model are available on the Addinsoft website at:
http://www.xlstat.com/demo-sim1.htm
References
Vose, D. (2008). Risk Analysis – A Quantitative Guide, Third Edition, John Wiley & Sons, New
York.

Define a distribution
Use this tool in a simulation model when there is uncertainty on the value of a variable (or
quantity) that can be described with a distribution. The distribution will be associated with the
currently selected cell.
In this section:
Description
Dialog box
Results
Example
References
Description
This function is one of the essential elements of a simulation model. For a more detailed
description on how a simulation model is constructed and calculated, please read the
introduction on XLSTAT-Sim.
This tool allows to define the theoretical distribution function with known parameters that will be
used to generate a sample of a given random variable. A wide choice of distribution functions is
available.
To define the distribution that a given variable (physically, a cell on the Excel sheet) follows, you
need to create a call to one of the XLSTAT_SimX functions or to use the dialog box that will
generate for you the formula calling XLSTAT_SimX. X stands for the distribution (see the table
below for additional details).
XLSTAT_SimX syntax:
XLSTAT_SimX(VarName, Param1, Param2, Param3, Param4, Param5, TruncMode,

LowerBound, UpperBound, DefaultType, DefaultValue, Visible)
XLSTAT_SimX stands for one of the available distribution functions that are listed in the table
below. A variable based on the corresponding distribution is defined. See the table below to see
the available distributions.
VarName is a string giving the name of the variable for which the distribution is being defined.
The name of the variable is used in the report to identify the variable.
Param1 is an optional input (default is 0) that gives the value of the first parameter of the
distribution if relevant.
Param2 is an optional input (default is 0) that gives the value of the second parameter of the
Monte Carlo simulations 1039 Define a distribution

Param3 is an optional input (default is 0) that gives the value of the third parameter of the
Param4 is an optional input (default is 0) that gives the value of the fourth parameter of the
Param5 is an optional input (default is 0) that gives the value of the fifth parameter of the
TruncMode is an optional integer that indicates if and how the distribution is truncated. A 0
(default value) corresponds to no truncation. 1 corresponds to truncating the distribution
between two bounds that must then be specified. 2 corresponds to truncating between two
percentiles that must then be specified.
TruncLower is an optional value that gives the lower bound of the truncation.
TruncUpper is an optional value that gives the upper bound of the truncation.
DefaultType is an optional integer that chooses the default value of the variable: 0 (default
value) corresponds to the theoretical expected mean; 1 to the value given by the DefaultValue
argument.
DefaultValue is an optional value giving the default value displayed in the cell before any
simulation is performed. When no simulation process is ongoing, the default value will be
displayed in the Excel cell as the result of the function.
Visible is an optional input that indicates if the details of this variable should be displayed in the
simulation report. This option is only taken into account when the "Filter level for results" in the
Options dialog box of XLSTAT-Sim is set to "Activated" (see the Format tab). 0 deactivates the
display and 1 activates the display. Default value is 1.

Example:
=XLSTAT_SimNormal("Revenue Q1", 50000, 5000)
The function will associate to the cell where they are entered a normal distribution with mean
50000 and standard deviation 5000. The cell will show 50000 (the default value). If a report is
generated afterwards the results corresponding to that cell will be identified by "Revenue Q1".
The Param3, Param4 and Param5 are not entered because the Normal distribution has only two
parameters. As the other parameters are not entered, they are set to their default value.
Determination of the parameters
In general, the choice of law and parameters of the law is guided by an empirical knowledge of
the phenomenon, the results already available or working hypothesis.
To select the best suited law and the corresponding parameters you can use the Distribution
fitting tool of XLSTAT. If you have a sample of data, by the help of this tool you can find the best
parameters for a given distribution.

Random distributions available in XLSTAT-Sim
sin(πα) x α−1
f (x) = ( ) , with 0 < α < 1, x ∈ [0, 1]
πx 1−x
P (X = 1) = p, P (X = 0) = 1 − p, with p ∈ [0, 1]

1 − p.
1
f (x) = xα−1 (1 − x)β−1
B(α, β)
Γ(α)Γ(β)
with α, β > 0, x ∈ [0, 1] and B(α, β) =
Γ(α + β)
1 (x − c)α−1 (d − x)β−1
f (x) = , with α, β > 0, x ∈ [c, d]
B(α, β) (d − c)α+β−1
Γ(α)Γ(β)
Γ(α + β)
We have E(X) = (α+β)
and V (X) = (α+β+1)(α+β)2

P (X = x) = Cn+x−1
x−1
pn (1 − p)x , with n, x ∈ N, n > 0, p ∈ [0, 1]
n successes.
Γ(k + x)px
P (X = x) = , with x ∈ N , k, p > 0
x!Γ(k)(1 + p)k+x
(1/2)df /2 df2 −1 −x/2

f (x) = x e , with x > 0, df ∈ N∗
Γ(df /2)
e−λx
f (x) = λ x k k−1
, with x ≥ 0 and k, λ > 0 and k ∈ N
(k − 1)!

used).

df1 /2 df2 /2
1
( ) (1 − )
df1 x df1 x
f (x) =
2df22 (df1 +df2 −2)

testing hypotheses.
1 x−μ x−μ
f (x) = exp (− − exp (− )) , with β > 0
β β β
constant.
k−1 e−(x−μ)/β
β k Γ(k)

−1/k−1 −1/k
exp (− (1 + k ),
1 x−μ x−μ
f (x) = (1 + k ) ) with β > 0
β β β
2

(0.5772156649…).
(x−μ)
e− s
f (x) = , with s > 0
− (x−μ)
s(1 + e s )
1 − (ln(x)−μ)
2
f (x) = e 2
2σ , with x, σ > 0
xσ 2π
1 (ln(x)−μ)2
f (x) = e− 2σ 2 , with x, σ > 0
xσ 2π
We have:

And:
E(X) = m and V (X) = s2

1 (x−μ)2
f (x) = e− 2σ2 , with σ > 0
σ 2π
1 − x2
f (x) = e 2
2π
aba
xa+1
ab2
1 (x − a)α−1 (b − x)β−1
f (x) = , with α, β > 0, x ∈ [a, b]
B(α, β) (b − a)α+β−1
Γ(α)Γ(β)
Γ(α + β)
4m + b − 5a
α=
b−a
5b − a − 4m
β=
b−a
We E(X) = (b − a)α/(α + β)
have with V (X) = (b −
a) αβ/ ((α + β + 1) (α + β)2 ))
2

exp(−λ)λx
x!
phenomena.
Γ((df + 1/2))
f (x) = (1 + x2 /df )−(df +1)/2 , with df > 0
πdf Γ(df /2)
⎧
⎪
⎪
2(x−a)
⎪
f (x) = (d+c−b−a)(b−a) , x ∈ [a, b]
⎪
⎪
⎪
⎪
⎪
⎪
⎪
⎪
⎪
2
⎪
f (x) = (d+c−b−a) , x ∈ [b, c]
⎪
⎪
⎪
⎨ f (x) = 2(d−x)
, x ∈ [c, d]
⎪
⎪
⎪
(d+c−b−a)(d−c)
⎪
⎪
⎪
⎪
⎪
⎪
⎪
f (x) = 0, x < a, x>d
⎪
⎪
⎪
⎪
⎪
⎪

⎧
⎪
⎪
2(x−a)
⎪
f (x) = (b−a)(m−a) , x ∈ [a, m]
⎪
⎪
⎪
⎪
⎪
⎪
⎪
⎪ f (x) = 2(b−x)
(b−a)(b−m) , x ∈ [m, b]
⎨
⎪
⎪
⎪
⎪
⎪
f (x) = 0, x < a, x<b
⎪
⎪
⎪
⎪
⎪
⎪
⎩ with a < m < b

1
b−a
1
P [X = x] = , with (a, b, x) ∈ N3 , x ∈ [a, b]
b−a+1

β x β−1 −( xγ )β
f (x) = ( ) e , with x > 0, with β, γ > 0
γ γ
β−1
β x−μ
x−μ
γ
γ γ
Dialog box
: click this button to create the variable.
: click this button to close the dialog box without doing any modification.
General tab:
Variable name: Enter the name of the random variable or select a cell where the name is
available. If you select a cell, an absolute reference (for example A4) or a relative reference (for

example A4) to the cell is created, depending on your choice in the XLSTAT options. (See the
Options section for more details)
Distributions: Select the distribution that you want to use for the simulation. See the description
section for more information on the available distributions.
Parameters: Enter the value of the parameters of the distribution you selected.
Truncation: Activate this option to truncate the distribution.
Absolute: Select this option, if you want to enter the lower and upper bound of the
truncation as absolute values.
Percentile: Select this option, if you want to enter the lower and upper bound of the
truncation as percentile values.
Lower bound: Enter the value of the lower bound of the truncation.
Upper bound: Enter the value of the upper bound of the truncation.
Options tab:
Default cell value: Choose the default value of the random variable. This value will be returned
when no simulation model is running. The value may be defined by one of the following three
methods:
Expected value: This option selects the expected value of the distribution as the default
cell value.
Fixed value: Enter the default value.
Reference: Choose a cell in the active Excel sheet that contains the default value.
Display results: Activate this option to display the detailed results for the random variable in the
simulation report. This option is only active if you selected the "Activated" filter level in the
simulation preferences. (See the Options section for more details).
Results
The result is function call to XLSTAT_SimX with the selected parameters. The following formula
is generated in the active Excel cell:
= XLSTAT_SimX(VarName, Param1, Param2, Param3, Param4, Param5, TruncMode,

LowerBound, UpperBound, DefaultType, DefaultValue, Visible)
The background color and the font color in the Excel cell are applied according to your choices
in the XLSTAT-Sim options.

Define a scenario variable
Use this tool to define a variable which value varies between two known bounds during the
tornado analysis.
In this section:
Description
Dialog box
Results
Example
References
Description
This function allows to build a scenario variable that is used during the tornado analysis. For a
more detailed description on how a simulation model is constructed, please read the
A scenario variable is used for tornado analysis. This function gives you the possibility to define
a scenario variable by letting XLSTAT know the bounds between which it varies. To define the
scenario variable (physically, a cell on the Excel sheet), you need to create a call to the
XLSTAT_SimSVar function or to use the dialog box that will generate for you the formula calling
XLSTAT_SimSVar.
XLSTAT_SimSVar syntax
XLSTAT_SimSVar(SVarName, LowerBound, UpperBound, Type, Step, DefaultType,

DefaultValue, Visible)
SVarName is a string that contains the name of the scenario variable. This can be a reference
to a cell in the same Excel sheet. The name is used during the report to identify the cell.
LowerBound corresponds to the lower bound of the interval of possible values for the scenario
variable.
UpperBound corresponds to the upper bound of the interval of possible values for the scenario
variable.
Type is an integer that indicates the data type of the scenario variable. 1 stands for a
continuous variable and 2 for a discrete variable. This input is optional with default value 1.
Step is a number that indicates in the case of a discrete variable the step size between two
values to be examined during the tornado analysis. This input is optional with default value 1.
Monte Carlo simulations 1051 Define a scenario variable

DefaultType is an optional integer that chooses the default value of the variable: 0 (default
value) corresponds to the theoretical expected mean; 1 to the value given by the DefaultValue
argument.
DefaultValue is a value that that corresponds to the default value of the scenario variable. The
default value is returned as the result of this function.
Dialog box
General tab:
Variable name: Enter the name of the scenario variable or select a cell where the name is
available. If you select a cell, an absolute reference (for example A4) or a relative reference (for
example A4) to the cell is created, depending on your choice in the XLSTAT options. (See the
Options section for more details)
Lower bound: Enter the value of the lower bound or select a cell in the active Excel sheet that
contains the value of the lower bound of the interval in which the scenario variable varies.
Upper bound: Enter the value of the upper bound or select a cell in the active Excel sheet that
contains the value of the upper bound of the interval in which the scenario variable varies.
Data type:
Continuous: Choose this option to define a continuous scenario variable that can take
any value between the lower and upper bounds.
Discrete: Choose this option to define a discrete scenario variable.
Step: Enter the value of the step or select a cell in the active Excel sheet that contains the
value of the step.

Options tab:
Default cell value: Choose the default value of the random variable. This value will be returned
when no simulation model is running. The value may be defined by one of the following three
methods:
Expected value: This option returns the center of the interval as the default cell value.
Fixed value: Enter the default value.
Reference: Choose a cell in the active Excel sheet that contains the default value.
Display results: Activate this option to display the detailed results for the random variable in the
simulation report. This option is only active if you selected the "Activated" filter level in the
simulation preferences. (See the Options section for more details).
Results
The result is function call to XLSTAT_SimSVar with the selected parameters. The following
formula is generated in the active Excel cell:
=XLSTAT_SimSVar(SVarName, LowerBound, UpperBound, Type, Step, DefaultType,

DefaultValue, Visible)

Define a result variable
Use this tool in a simulation model to define a result variable which calculation is the real aim of
the simulation model.
In this section:
Description
Dialog box
Results
Description
This result variable is one of the two essential elements of a simulation model. For a more
detailed description on how a simulation model is constructed and calculated, please read the
Result variables can be used to define when a simulation process should stop during a run. If, in
the XLSTAT-Sim Options dialog box, you asked that the "Activated result variables" are used
the stop the simulations when, for example the mean has converged, then, if the ConvActiv
parameter of the result variable is set to 1, the mean of the variable will used to determine if the
simulation process has converged or not.
To define the result variable (physically, a cell on the Excel sheet), you need to create a call to
the XLSTAT_SimRes function or to use the dialog box that will generate for you the formula
calling XLSTAT_SimRes.
XLSTAT_SimRes syntax:
XLSTAT_SimRes (ResName, Formula, DefaultValue, ConvActiv, Visible)
ResName is a string that contains the name of the result variable or a reference to a cell where
the name is located. The name is used during the report to identify the result variable.
Formula is a string that contains the formula that is used to calculate the results. The formula
links directly or indirectly the random input variables and, if available the scenario variables, to
the result variable. This corresponds to an Excel formula without the leading "=".
DefaultValue of type number is optional and contains the default value of the result variable.
This value is not used in the computations.
ConvActiv is an integer that indicates if this result is checked during the convergence tests.
This option is only active, if the "Activated result variables" convergence option is activated in
the XLSTAT-Sim Options dialog box.
Monte Carlo simulations 1054 Define a result variable

Example:
=XLSTAT_SimRes( "Forecast N+1", B3+B4-B5)
This function defines in the active cell a result variable called "Forecast N +1" calculated as the
sum of cells B3 and B4 minus B5. The Visible parameter is not entered because it is only
necessary when the "Filter level for the results" is set to "Activated" (see the Options dialog box)
and because we want the result to be anyway visible.
Dialog box
General tab:
Variable name: Enter the name of the random variable or select a cell where the name is
available. If you select a cell, it depends on the selection in the options, whether an absolute (for
example A4) or a relative reference (for example A4) to the cell is created. (See the Options
section for more details)
Use to monitor convergence: Activate this option to include this result variable in the result
variables that are used to test for convergence. This option is only active, if you selected the
"Activated results variables" option in the XLSTAT-Sim convergence options. ConvActiv should
be 1 if you want the variable to be used to monitor the results. Default value is 1.
Display Results: Activate this option to display the detailed results for the result variable in the
simulation report. This option is only active, if you selected the restricted filter level in the
simulation preferences. (See the XLSTAT-Sim options for more details).
Results

A function call to XLSTAT_SimRes with the selected parameters and the following syntax will be
generated in the active Excel cell:
=XLSTAT_SimRes (ResName, Formula, DefaultValue, ConvActiv, Visible)

Define a statistic
Use this tool in a simulation model to define a statistic based on a variable of the simulation
model. The statistic is updated after each iteration of the simulation process. Results relative to
the defined statistics are available in the simulation report. A wide choice of statistics is
available.
In this section:
Description
Dialog box
Results
Description
This function is one of the four elements of a simulation model. For a more detailed description
on how a simulation model is constructed and calculated, please read the introduction on
XLSTAT-Sim.
This tool allows to create a function that calculates a statistic after each iteration of the
simulation process. The statistic is computed and stored. During the step by step simulations,
you can track how the statistic evolves. In the simulation report you can optionally see details on
the statistic. A wide choice of statistics is available.
To define the statistic function (physically, a cell on the Excel sheet), you need to create a call to
a XLSTAT_SimStatX/TheoX/SPCX function or to use the dialog box that will generate for you
the formula calling the function. X stands for the statistic as defined in the tables below. A
variable based on the corresponding statistic is created.
XLSTAT_SimStat/Theo/SPC Syntax
XLSTAT_SimStatX(StatName, Reference, Visible)
XLSTAT_SimTheoX(StatName, Reference, Visible)
XLSTAT_SimSPCX(StatName, Reference, Visible)
X stands for one of the selected statistic. The available statistics are listed in the tables below.
StatName is a string that contains the name of the statistic or a reference to a cell where the
name is located. The name is used during the report to identify the statistic.
Reference indicates the model variable to be tracked. This is a reference to a cell in the same
Excel sheet.
Monte Carlo simulations 1057 Define a statistic

Visible is an optional input that indicates if the details of this statistic should be displayed when
the "Filter level for results" in the Options dialog box of XLSTAT-Sim is set to "Activated" (see
the Format tab). 0 deactivates the display and 1 activates the display. Default value is 1.
Descriptive statistics
The following descriptive statistics are available:
Details and formulae relative to the above statistics are available in the description section of
the "Descriptive statistics" tool of XLSTAT.
Theoretical statistics
These statistics are based on the theoretical computation of the mean, variance and standard
deviation of the distribution, as opposed to the empirical computation based on the simulated
samples.

SPC
Statistics from the domain of SPC (Statistical Process Control) are listed hereunder. These
statistics are only available and calculated, if you have a valid license for the XLSTAT-SPC
module.
Dialog box
: click this button to create the statistic.

General tab:
Name: Enter the name of the statistic or select a cell where the name is available. If you select
a cell, it depends on the selection in the options, whether an absolute (for example A4) or a
relative reference (for example A4) to the cell is created. (See the Options section for more
details).
Reference: Choose a cell in the active Excel sheet that contains the simulation model variable
that you want to track with the selected statistic.
Statistic: Activate one of the following options and choose the statistic to compute:
Descriptive: Select one of the available statistics (See description section for more
details).
Theoretical: Select one of the available statistics (See description section for more
details).
SPC: Select one of the available statistics (See description section for more details).
Display Results: Activate this option to display the detailed results for statistic in the simulation
report. This option is only active, if you selected the restricted filter level in the simulation
preferences. (See the XLSTAT-Sim options for more details).
Results
A function call to XLSTAT_SimStat/Theo/SPC with the selected parameters and the following
syntax will be generated in the active Excel cell:
=XLSTAT_SimStat/Theo/SPC(DistName, Reference, Visible )

Run
Once you have designed the simulation model using the four tools "define a distribution",
"define a scenario variable", "define a result", and "define a statistic", you can click the icon
of "XLSTAT-SIM" toolbar to display the "Run" dialog box that lets you define additional options
before running the simulation model and displaying the report. A description of the results is
also available.
observations.
General tab:
Number of simulations: Enter the number of simulations to perform for the model (Default
value: 300).
Correlation/Covariance matrix: Activate this option to include a correlation or covariance

matrix in the simulation model. Column and row headers must be selected as they are used by
XLSTAT to know which variables are involved. As a matter of fact, column and row labels must
be identical to the names of the corresponding distribution fields of the simulation model.
Monte Carlo simulations 1061 Run

Labels included: Activate this option if the row and column labels are selected.
Options tab:
Tornado/Spider: Choose the options for the calculation of the tornado and spider analysis.
Central value: Choose how the central values around which the intervals to check during
the tornado and spider analysis needs to be computed for each variable.
Median: The default value of the distribution fields is the median of the simulated values.
Default cell value: The default value defined for the variables is used.
Number of points: Choose the number of points between the two bounds of the intervals
that are used for the tornado analysis.
Interval definition: Choose an option for the definition of the limits of the intervals of the
variables that are checked during the tornado/spider analyses.
Percentile of variable: Choose which two percentiles need to be used to determine the
bounds of the intervals for the tornado/spider analyses. You can choose between [25%,
75%], [10%, 90%], and [5%, 95%]. This option is only available if the median is the central
value.
% of deviation of value: Choose which bounds; computed as % of the central value

should be used as the bounds for the intervals. You can choose between [-25%, 25%],
[-10%, 10%], and [-5%, 5%].
SPC tab:
Calculate Process capabilities: Activate this option to calculate process capabilities for input
random variables, result variables and statistics.
Variable name s: Select the data that correspond to the names of the variables for which
you want to calculate process capabilities.
LSL: Select the data that correspond to the lower specification limit (LSL) of the process
for the variables for which the names have been selected.
USL: Select the data that correspond to the upper specification limit (USL) of the process
for the variables for which the names have been selected.
Target: Select the data that correspond to the target of the process for the variables for
which the names have been selected.

Confidence interval (%): If the calculation of the process capabilities is activated, please
enter the percentage range of the confidence interval to use for calculating the confidence
interval around the parameters. Default value: 95.
Outputs tab:
Correlations: Activate this option to display the correlation matrix between the variables. If the
"significant correlations in bold " option is activated, the correlations that are significant at the
selected significance level are displayed in bold.
Type of correlation: Choose the type of correlation to use for the computations (see the
Significance level (%): Enter the significance level for the test of on the correlations
(default value: 5%).
p-values: Activate this option to display the p-values corresponding to the correlations.
Sensitivity: Activate this option to display the results of the sensitivity analysis.
Tornado: Activate this option to display the results of the tornado analysis.
Spider: Activate this option to display the results of the spider analysis.
Simulation details: Activate this option to display the details on the iterations of the simulation.
Descriptive statistics: Activate this option to compute and display descriptive statistics for the
variables of the model.
Charts tab:
This tab is divided into three sub-tabs.
Histograms tab:

samples.
Intervals: Select one of the following options to define the intervals of the histogram:
Minimum: Activate this option to enter the minimum value of the histogram. If the
Automatic option is chosen, the minimum is that of the sample. Otherwise, it is the value
defined by the user.
Box plots tab:
Horizontal: Check this option to display box plots and scattergrams horizontally.
Vertical: Check this option to display box plots and scattergrams vertically.
Group plots: Check this option to group together the various box plots and scattergrams
on the same chart to compare them.
Minimum/Maximum: Check this option to systematically display the points corresponding

to the minimum and maximum (box plots).
Outliers: Check this option to display the points corresponding to outliers (box plots) with
a hollowed-out circle.
Normal P-P plots: Check this option to display P-P plots.
Correlations tab:

The "blue-red " option allows to represent low correlations with cold colors (blue is used
for the correlations that are close to -1) and the high correlations are with hot colors
The "Black and white " option allows to either display in black the positive correlations
and in white the negative correlations (the diagonal of 1s is display in grey color), or to
display in black the significant correlations, and in white the correlations that are not
significantly different from 0.
Scatter plots: Activate this option to display the scatter plots for all two by two combinations of
variables.
Matrix of plots: Check this option to display all possible combinations of variables in pairs
in the form of a two-entry table with the various variables displayed in rows and in
columns.
Histograms: Activate this option so that XLSTAT displays a histogram when the X and Y
Q-Q plots: Activate this option so that XLSTAT displays a Q-Q plot when the X and Y
ellipses correspond to a x% confidence interval (where x is determined using the
significance level entered in the General tab) for a bivariate normal distribution with the
same means and the same covariance matrix as the variables represented in abscissa
and ordinates.
Results
The first results are general results that display information about the model:
Distributions: This table shows for each input random variable in the model, its name, the
Excel cell where it is located, the selected distribution, the static value, the data type, the
truncation mode and bounds and the parameters of the distribution.
Scenario variables: This table shows for each input random variable in the model, its name,
the Excel cell where it is located, the default value, the type, the lower und upper limit and the
step size.
Result variables: This table shows for each result variable in the model, its name, the Excel
cell where it is located, and the formula for its calculation.

Statistics: This table shows for each statistic in the model, its name, the Excel cell that contains
it and the selected statistic.
Correlation/covariance matrix: If the option correlation/covariance matrix in the simulation

model has been activated, then this table displays the input correlation/covariance matrix.
Convergence: If the option convergence in the simulation options has been activated, then this
table displays for each result variable that has been selected for convergence checking, the
value and the variation of the lower and upper bound of the confidence interval for the selected
convergence criterion. Under the matrix information about the selected convergence criterion,
the corresponding threshold of variation, and the number of executed iterations of simulation
are displayed.
In the following section, details for the different model elements, distributions, scenario
variables, result variables and statistics, are displayed.
Descriptive statistics: For each type of variable, the statistics selected in the dialog box are
displayed in a table.
Descriptive statistics for the intervals: This table displays for each interval of the histogram
its lower bound, upper bound, the frequency (number of values of the sample within the
interval), the relative frequency (the number of values divided by the total number of values in
the sample), and the density (the ratio of the frequency to the size of the interval).
Sensitivity: A table with the correlations, the contributions and the absolute value of the
contributions between the input random variables is displayed for each result variable. The
contributions are then plotted on a chart.
Tornado: This table displays the minimum, the maximum and the range of the result variable
when the input random variables and the scenario variables vary in the defined ranges. Then
the minimum and the maximum are shown on a chart.
Spider: This table displays for all the points that are evaluated during the tornado analysis the
value of each result variable when the input random variables and scenario variables vary.
These values are then displayed in on the spider chart.
The correlation matrix and the table of the p-values are displayed so that you can see the
relationships between the input variables and the output variables. The correlation maps allow
identifying potential structures in the matrix, of to quickly identify interesting correlations.
Simulation details: A table showing the values of each variable at each iteration is displayed.

Power analysis
Compare means (Power and sample size)
Use this tool to compute power and sample size in a statistical test comparing means. T test, z
test and non parametric tests are available.
In this section:
Description
Dialog box
Results
Example
References
Description
XLSTAT includes several tests to compare means, namely the t test, the z test and other non
parametric tests like Mann-Whitney test. XLSTAT allows as well estimating the power of these
tests and calculates the number of observations required to obtain sufficient power.
When testing a hypothesis using a statistical test, there are several decisions to take:
The null hypothesis H0 and the alternative hypothesis Ha.
The statistical test to use.
The type I error also known as alpha. It occurs when one rejects the null hypothesis when
it is true. It is set a priori for each test and is 5%.
The type II error or beta is less studied but is of great importance. In fact, it represents the
probability that one does not reject the null hypothesis when it is false. We can not fix it upfront,
but based on other parameters of the model we can try to minimize it. The power of a test is
calculated as 1-beta and represents the probability that we reject the null hypothesis when it is
false.
We therefore wish to maximize the power of the test. The XLSTAT-Power module calculates the
power (and beta) when other parameters are known. For a given power, it also allows to
calculate the sample size that is necessary to reach that power.
The statistical power calculations are usually done before the experiment is conducted. The
main application of power calculations is to estimate the number of observations necessary to
properly conduct an experiment.
Power analysis 1067 Compare means (Power and sample size)

XLSTAT allows to compare:
A mean to a constant (with z-test, t-test and Wilcoxon signed rank test)
Two means associated with paired samples (with z-test, t-test and Wilcoxon signed rank
test)
Two means associated with independent samples (with z-test, t-test and Mann-Whitney
test)
We use the t-test when the variance of the population is estimated and the z-test when it is
known. In each case, the parameters will be different and will be shown in the dialog box. The
non parametric tests are used when the distribution assumption is not met.
Methods
The sections of this document dedicated to the t-test, the z-test and the non parametric tests
describe in detail the methods themselves.
The power of a test is usually obtained by using the associated non-central distribution. Thus,
for the t-test, the non-central Student distribution is used.
T-test for one sample
The power of this test is obtained using the non-central Student distribution with non-centrality
parameter:
∣ X − X0 ∣
N CP = ∣∣ ⋅ N ∣∣
∣ SD ∣
With X0 the theoretical mean and SD the standard deviation.
−X0
The part XSD is called the effect size.
T-test for two paired samples
The same formula as for the one sample case applies, but the standard deviation is calculated
differently, we have:
∣Xˉ −X ˉ2 ∣
N CP = ∣∣ 1 ⋅ N ∣∣
∣ SDDif f ∣
with
SDDif f = (SD12 + SD22 ) − 2 ⋅ Corr ⋅ SD1 ⋅ SD2

and Corr is the correlation between the two samples.
1 2
ˉ −X
X ˉ
The part SD is the effect size.
Dif f
T-test for two independent samples
In the case of two independent samples, the standard deviation is calculated differently and we
use the harmonic mean of the number of observations.
∣ Xˉ − Xˉ Nharmo ∣∣
∣
N CP = ∣ 1 2
⋅ ∣
∣ SDP ooled 2 ∣
∣ ∣
with
(N1 − 1) ⋅ SD12 − (N2 − 1) ⋅ SD22

SDP ooled =
N1 + N2 − 2
1 −X 2
The part X
SD is called effect size.
pooled
Z-test for one sample
In the case of the z-test, using the classical normal distribution with a parameter added to shift
the distribution.
∣ X − X0 ∣
N CP = ∣∣ ⋅ N ∣∣
∣ SD ∣
With X0 being the theoretical mean and SD being the standard deviation.
X −X0
The part SD is called effect size.
Z-test for two paired samples
The same formula applies as for the one sample case, but the standard deviation is calculated
differently, we have:
∣Xˉ1 − X
ˉ2 ∣
∣
N CP = ∣ ⋅ N ∣∣
∣ SDDif f ∣
with
SDDif f = (SD12 + SD22 ) − 2 ⋅ Corr ⋅ SD1 ⋅ SD2
and Corr is the correlation between the two samples.

1 2
ˉ −X
X ˉ
The part SD is called effect size.
Dif f
Z-test for two independent samples
In the case of two independent samples, the standard deviation is calculated differently and we
use the harmonic mean of the number of observations.
∣ Xˉ − Xˉ Nharmo ∣∣
∣ 1 2
N CP = ∣ ⋅ ∣
∣ SDP ooled 2 ∣
∣ ∣
with
(N1 − 1) ⋅ SD12 − (N2 − 1) ⋅ SD22

SDP ooled =
N1 + N2 − 2
X −X
The part SD1 2
is called effect size.
pooled
Non parametric tests
In the case of the non parametric cases, a method called ARE (asymptotic relative efficiency) is
used. This method helps to relate formulas used for the power of a t-test to those of the non
parametric approaches. It has been introduced by Lehmann (1975). A factor called ARE is
used. It has been shown that for mean comparisons this minimum value of the ARE is 0.864.
This value is equal to 0.955 if the data are normally distributed. XLSTAT-Power uses the
minimum ARE for the computations.
To compute power of the test, the used H0 distribution is the central Student distribution t(N,k -
2). The used H1 distribution is the noncentral Student distribution t(N,k - 2,ä), where the
noncentrality parameter is given by: ä = d*v((N1*N2*k)/(N1+N2)). Parameter k represents the
asymptotic relative efficiency and depends on the parent distribution. Parameter d is the effect
size defined like in the t-test case depending on the type of sample studied (independent, paired
or one-sample).
Calculating sample size
To calculate the number of observations required, XLSTAT uses an algorithm that searches for
the root of a function. It is called the Van Wijngaarden- Dekker-Brent algorithm (Brent, 1973).
This algorithm is adapted to the case where the derivatives of the function are not known. It tries
to find the root of:
power (N) - expected_power
We then obtain the size N such that the test has a power as close as possible to the desired
power.

Effect size
This concept is very important in power calculations. Indeed, Cohen (1988) developed this
concept. The effect size is a quantity that will allow calculating the power of a test without
entering any parameters but will tell if the effect to be tested is weak or strong.
In the context of comparisons of means, the conventions of magnitude of the effect size are:
d=0.2, the effect is small.
d=0.5, the effect is moderate.
d=0.8, the effect is strong.
XLSTAT-Power allows entering directly the effect size.
Dialog box
General tab:
Goal: Choose between computing power and sample size estimation.
Statistical test: Select the test you want to apply.
Alternative hypothesis: Select the alternative hypothesis to be tested.
Theoretical mean (when only one sample is used): Enter the value of the theoretical mean to
be tested.
Alpha: Enter the value of the type I error (alpha, between 0.001 and 0.999).
Power (when sample size estimation has been selected): Enter the value of the power to be
reached.

Sample size (group 1) (when power computation has been selected): Enter the size of the first
sample.
Sample size (group 2) (when power computation has been selected): Enter the size of the
second sample.
N1/N2 ratio (when sample size has been selected and when there are two samples): Enter the
ratio between the sizes of the first and the second samples.
Parameters: Select this option to enter the test parameters directly.
Effect size: Select this option to directly enter the effect size D (see the description part of this
help).
Mean (group 1): Enter the mean for group 1.
Mean (group 2): Enter the mean for group 2.
Std error (group 1): Enter the standard error for group 1.
Std error (group 2): Enter the standard error for group 2.
Correlation (when using paired samples): Enter the correlation between the groups.
Graphics tab:
Simulation plot: Activate this option if you want to plot different parameters of the test. Two
parameters can vary. All remaining parameters are used as they were defined in the General
tab.
Y axis: Select the parameter to be used on the Y axis of the simulation plot. You can either
choose the power or the sample size.
X axis: Select the parameter to be used on the X axis of the simulation plot. You can either
choose the power or the sample size, the type I error (alpha) or the effect size.
Interval size: Enter the minimum, maximum and interval size for the X axis of the simulation
plot.

Results
Results: This table displays the parameters of the test and the power or the required number of
observations. The parameters obtained by the calculation are in bold format. An explanation is
displayed below this table.
Intervals for the simulation plot: This table is composed of two columns: power and sample
size or alpha depending on the parameters selected in the dialog box. It helps building the
simulation plot.
Simulation plot: This plot shows the evolution of the parameters as defined in the graphics tab
of the dialog box.
Example
An example of power calculation based on a test is available on the Addinsoft website at
http://www.xlstat.com/demo-pwr.htm
An example of calculating the required sample size is available on the Addinsoft website at
http://www.xlstat.com/demo-spl.htm
References
Brent R. P (1973). Algorithms for Minimization Without Derivatives. Englewood Cliffs, NJ:
Prentice-Hall.
Cohen J. (19 88). Statistical Power Analysis for the Behavioral Sciences. Psychology Press, 2-
nd Edition.
Lehmann, E. L. (1975). Nonparametrics. Statistical methods based on ranks. San Francisco,

CA: Holden-Day.

Compare variances (Power and sample size)
Use this tool to compute power and sample size in a statistical test comparing variances.
In this section:
Description
Dialog box
Results
Example
References
Description
XLSTAT includes several tests to compare variances. XLSTAT can also calculate the power or
the number of observations required for a test based on Fisher's F distribution to compare
variances.
- The null hypothesis H0 and the alternative hypothesis Ha.
- The statistical test to use.
- The type I error also known as alpha. It occurs when one rejects the null hypothesis when it is
true. It is set a priori for each test and is 5%.
false.
XLSTAT allows to compare two variances. The parameters are shown in the dialog box.
Methods
Power analysis 1074 Compare variances (Power and sample size)

The sections of this document dedicated to the tests used to compare variances test describe in
detail the methods themselves.
The power of a test is usually obtained by using the associated non-central distribution. In that
case, we use the F distribution.
Several hypotheses can be tested, but the most common are the following (two- tailed):
H0: The difference between the variances is equal to 0.
Ha: The difference between the variances is different from 0.
The power computation will give the proportion of experiments that reject the null hypothesis.
The calculation is done using the F distribution with the ratio of the variances as parameter and
the sample sizes – 1 as degrees of freedom.
power.
Effect size
concept. The effect size is a quantity that will allow to calculate the power of a test without
Within the comparison of variances, it is the ratio between two variances to compare.
XLSTAT-Power allows to enter directly the effect size.
Dialog box

General tab:
be tested.
reached.
sample.
second sample.
help).
Variance (group 1): Enter the variance for group 1.
Variance (group 2): Enter the variance for group 2.

Graphics tab:
tab.
plot.
Results
simulation plot.
of the dialog box.
Example
http://www.xlstat.com/demo-pwr.htm.
http://www.xlstat.com/demo-spl.htm.
References
Brent R. P (1973) Algorithms for Minimization Without Derivatives. Englewood Cliffs, NJ:
Prentice-Hall.
Cohen J. (19 88) . Statistical Power Analysis for the Behavioral Sciences. Psychology Press, 2-
nd Edition.

Compare proportions (Power and sample size)
Use this tool to compute power and sample size in a statistical test comparing proportions.
In this section:
Description
Dialog box
Results
Example
References
Description
XLSTAT-Pro includes parametric tests and nonparametric tests to compare proportions. Thus
we can use the z-test, chi-square test, the sign test or the McNemar test. XLSTAT-Power can
calculate the power or the number of observations necessary for these tests using either exact
methods or approximations.
false.
A proportion to a test proportion (z-test with different approximations).
Power analysis 1078 Compare proportions (Power and sample size)

Two proportions (z-test with different approximations).
Proportions in a contingency table (chi-square test).
Proportions in a nonparametric way (the sign test and the McNemar test)
For each case, different input parameters are used and shown in the dialog box.
Methods
The sections of this document dedicated to the tests on proportions describe in detail the
methods themselves.
The power of a test is usually obtained by using the associated non-central distribution. For this
specific case we will use an approximation in order to compute the power.
Comparing a proportion to a test proportion
The alternative hypothesis in this case is: Ha: p1 − p0 = 0

Various approximations are possible:
- Approximation using the normal distribution: In this case, we will use the normal distribution
with means p0 and p1 and standard deviations
p0 (1 − p0 ) p1 (1 − p1 )
and
N N
- Exact calculation using the binomial distribution with parameters
p0 (1 − p0 ) p1 (1 − p1 )
and
N N
- Approximation using the beta distribution with parameters
((N − 1)p0 ; (N − 1)(1 − p0 )) and ((N − 1)p1 ; (N − 1)(1 − p1 ))

- Approximation using the method of the arcsin: This approximation is based on the arcsin
transformation of proportions: H(p0 ) and H(p1 ). The power is obtained using the normal
distribution:
Zp = N (H(p0 ) − H(p1 )) − Zreq
with Zreq being the alpha-quantile of the normal distribution.
Comparing two proportions
The alternative hypothesis in this case is: Ha: p1 − p2 = 0

Various approximations are possible:
- Approximation using the method of the arcsin: This approximation is based on the arcsin
transformation of proportions: H(p2 ) and H(p1 ). The power is obtained using the normal
distribution:
Zp = N (H(p2 ) − H(p1 )) − Zreq
with Zreq being the alpha-quantile of the normal distribution.
- Approximation using the normal distribution: In this case, we will use the normal distribution
with means p1 and p2 and standard deviations:
p1 (1 − p1 ) p2 (1 − p2 )
and
N N
Chi-square test
To calculate the power of the chi-square test in the case of a contingency table 2 * 2, we use
the non-central chi-square distribution with the value of the chi-square as non-centrality
parameter.
It therefore seeks to see whether two groups of observations have the same behavior based on
a binary variable.
We have:
Group 1 Group 2
Positive p1 p2
Negative 1 − p1 1 − p2
p1 , N1 and N2 have to be entered in the dialog box (p2 can be found from other parameters
because the test has only one degree of freedom).
Sign test
The sign test is used to see if the proportion of cases in each group is equal to 50%. It has the
same principle as the one proportion test against a constant. The constant being 0.5. Power is
computed using an approximation by the normal distribution or an exact method with the
binomial distribution.
We must therefore enter the sample size and the proportion in one group p1 (the other
proportion is such that p2 = 1 − p1 ).
McNemar test

The McNemar test on paired proportions is a specific case of testing a proportion against a
constant. Indeed, one can represent the problem with the following table:
Group 1 Group 2
Positive PP PN
Negative P NN
We have PP + NN + PN + NP = 1. We want to try to see the effect of a treatment; we are

therefore interested in NP and PN. The other values are not significant.
The test inputs are: Proportion P1 = NP and Proportion P2 = PN. With necessarily P1 + P2 <
1.
The effect is calculated only on a percentage of NP + PN of the sample. The proportion of
individuals that change from negative to positive is calculated as NP / (NP + NP). So we will try
to compare this figure to a value of 50% to see if we have more individuals who go from positive
to negative than individuals who go from negative to positive.
This test is well suited for medical applications.
power.
Dialog box

General tab:
be tested.
reached.
sample.
second sample.
Proportion 1: Enter the proportion for group 1.
Proportion 2: Enter the proportion for group 2.
Graphics tab:
tab.

plot.
Results
simulation plot.
of the dialog box.
Example
http://www.xlstat.com/demo-spl.htm
References
Prentice-Hall.
Cohen J. (1988). Statistical Power Analysis for the Behavioral Sciences. Psychology Press, 2-
nd Edition.

Compare correlations (Power and sample size)
Use this tool to compute power and sample size in a statistical test comparing Pearson
correlations.
In this section:
Description
Dialog box
Results
Example
References
Description
XLSTAT-Pro offers a test to compare correlations. XLSTAT-Power can calculate the power or
the number of observations necessary for this test.
false.
One correlation to 0.
One correlation to a constant.
Power analysis 1084 Compare correlations (Power and sample size)

Two correlations.
Methods
The section of this document dedicated to the correlation tests describes in detail the methods
themselves.
specific case we will use an approximation in order to compute the power.
Comparing on correlation to 0
The alternative hypothesis in this case is: Ha: r  0

=
The method used is an exact method based on the non-central Student distribution.
The non-centrality parameter used is the following:
r2
N CP = ⋅ N
1 − r2
r2
The part 1−r2 is called effect size.
Comparing one correlation to a constant
The alternative hypothesis in this case is: Ha: r  r0

=
The power calculation is done using an approximation by the normal distribution. We use the
Fisher Z-transformation:
1 1+r
Zr = log( )
2 1−r
The effect size is: Q = ∣Zr − Zr0 ∣
The power is then found using the area under the curve of the normal distribution to the left of
Zp:
Zp = Q ⋅ N − 3 − Zreq where Zreq is the quantile of the normal distribution for alpha.
Comparing two correlations
The alternative hypothesis in this case is: Ha: r1 − r2 = 0

The power calculation is done using an approximation by the normal distribution. We use the
Fisher Z-transformation:

1 1+r
Zr = log( )
2 1−r
The effect size is: Q = ∣Zr1 − Zr2 ∣
The power is then found using the area under the curve of the normal distribution to the left of
Zp :
N′ − 3
Zp = Q ⋅ − Zreq
2
where Zreq is the quantile of the normal distribution for alpha and
2(N1 − 3)(N2 − 3)
N′ = +3
N1 + N2 − 6
power.
Effect size
In the context of comparisons of correlations conventions of magnitude of the effect size are:
Q=0.1, the effect is small.
Q=0.3, the effect is moderate.
Q=0.5, the effect is strong.
XLSTAT-Power allows to enter directly the effect size
Dialog box

General tab:
be tested.
reached.
sample.
second sample.
help).
Correlation (group 1): Enter the correlation for group 1.
Correlation (group 2): Enter the correlation for group 2.

Graphics tab:
tab.
plot.
Results
simulation plot.
of the dialog box.
Example
References
Prentice-Hall.

Cohen J. (1988). Statistical Power Analysis for the Behavioral Sciences. Psychology Press, 2-
nd Edition.

Linear regression (Power and sample size)
Use this tool to compute power and necessary sample size in linear regression model.
In this section:
Description
Dialog box
Results
Example
References
Description
XLSTAT offers a tool to apply a linear regression model. XLSTAT estimates the power or
calculates the necessary number of observations associated with variations of R2 in the
framework of a linear regression.
false.
R2 value to 0.
Increase in R2 value when new predictors are added to the model to 0.
It means testing the following hypothesis:
Power analysis 1090 Linear regression (Power and sample size)

H0: R2 = 0 / Ha: R2 = 0
H0: Increase in R2 is equal to 0 / Ha: Increase in R2 is different from 0.
Effect size
In the context of a linear regression, conventions of magnitude of the effect size f 2 are:
f 2 =0.02, the effect is small.
f 2 =0.15, the effect is moderate.
f 2 .35, the effect is strong.

XLSTAT allows to enter directly the effect size but also allows to enter parameters of the model
that will help calculating the effect size. We detail the calculations below:
- Using variances: We can use the variances of the model to define the size of the effect. With
varexp being the variance explained by the explanatory variables that we wish to test and
varerror being the variance of the error or residual variance, we have:
varexp
f2 =
varerror
- Using the R2 (in the case H0: R2 = 0): We enter the estimated square multiple correlation
value (ρ2 ) to define the size of the effect. We have:
ρ2
f2 =
1 − ρ2
- Using the partial R2 (in the case H0: Increase in R2 = 0): We enter the partial R2 that is the
expected difference in R2 when adding predictors to the model to define the size of the effect.
We have:
Rpart 2
f2 =
1 − Rpart 2
- Using the correlations between predictors (in the case H0: R2 = 0): One must then select a
vector containing the correlations between the explanatory variables and the dependent
variable CorrY , and a square matrix containing the correlations between the explanatory
variables CorrX . We have:
−1
2 CorrYt (CorrX )CorrY
f = −1
1 − CorrYt (CorrX )CorrY

Once the effect size is defined, power and necessary sample size can be computed.
Methods
The section of this document dedicated to the linear regression describes in detail the method.
specific case we will use the Fisher non-central distribution to compute the power.
The power of this test is obtained using the non-central Fisher distribution with degrees of
freedom equal to: DF1 is the number of tested variables; DF2 is the sample size from which the
total number of explanatory variables included in model plus one is subtracted and the non-
centrality parameter is:
N CP = f 2 N
power.
Dialog box

General tab:
reached.
Sample size (when power computation has been selected): Enter the size of the first sample.
Number of tested predictors: Enter the number of predictors to be tested.
Total number of predictors (when testing H0: Increase in R²=0): Enter the total number of
predictors included in the model.
Determine effect size: Select the way effect size is computed.
Effect size f² (when effect size is entered directly): Enter the effect size (see the description part
of the help for more details).
Explained variance (when effect size is computed from variances): Enter the explained
variance by the tested predictors.
Error variance (when effect size is computed from variances): Enter the residual variance of
the global model.
Partial R² (when effect size is computed using the direct approach): Enter the expected
increase in R² when new covariates are added to the model.
rho² (when effect size is computed using the R²): Enter the expected theoretical value of the R².
Correlations tab:
This tab appears when the hypothesis to be tested is H0: R²=0 and when effect size is
computes with the correlations between predictors.
Correlations with Ys: Select a column corresponding to the correlations between the
predictors and the response variable Y. This vector must have a number of lines equal to the

number of explanatory variables. Do not select the text of the column but only the numerical
values.
Correlations between predictors: Select a Table corresponding to the correlations between

the explanatory variables. This table should be symmetrical, have 1 on the diagonal and have a
number of rows and columns equal to the number of explanatory variables. Do not select the
labels of the columns or of the rows, but only the numerical values.
Graphics tab:
tab.
plot.
Results
Inputs: This table displays the parameters used to compute effect size.
Results: This table displays the alpha, the effect size and the power or the required number of
simulation plot.
of the dialog box.
Example
References
Prentice-Hall.

Cohen J. (1988). Statistical Power Analysis for the Behavioral Sciences, Psychology Press, 2-
nd Edition.

Reading.

ANOVA/ANCOVA (Power and sample size)
Use this tool to compute power and necessary sample size in analysis of variance, repeated
measures analysis of variance or analysis of covariance model.
In this section:
Description
Dialog box
Results
Example
References
Description
XLSTAT-Pro offers tools to apply analysis of variance (ANOVA), repeated measures analysis of
variance and analysis of covariance (ANCOVA). XLSTAT- Power estimates the power or
calculates the necessary number of observations associated with these models.
false.
XLSTAT can therefore test:
In the case of a one-way ANOVA or more fixed factors and interactions, as well as in the
case of ANCOVA:
Power analysis 1096 ANOVA/ANCOVA (Power and sample size)

H0: The means of the groups of the tested factor are equal.
Ha: At least one of the means is different from another.
In the case of repeated measures ANOVA for a within-subjects factor:
H0: The means of the groups of the within subjects factor are equal.
In the case of repeated measures ANOVA for a between-subjects factor:
H0: Les The means of the groups of the between subjects factor are equal.
In the case of repeated measures ANOVA for an interaction between a within-subjects

factor and a between-subjects factor:
H0: The means of the groups of the within-between subjects interaction are equal.
Ha: At least one of the means is different from another:
Effect size
In the context of an ANOVA-type model, conventions of magnitude of the effect size f are:
f =0.1, the effect is small.
f =0.25, the effect is moderate.
f =0.4, the effect is strong.

XLSTAT allows to directly enter the effect size but also allows you to enter parameters of the
model that will calculate the effect size. We detail the calculations below:
Using variances: We can use the variances of the model to define the size of the effect.
With varexp being the variance explained by the explanatory factors that we wish to test
and varerror being the variance of the error or residual variance, we have:
varexp
f2 =
varerror
Using the direct approach: We enter the estimated value of η 2 which is the ratio between
the explained variance by the studied factor and the total variance of the model. For more
details on eta², please refer to Cohen (1988, chap. 8.2). We have:

η2
f=
1 − η2
Using the means of each group (in the case of one-way ANOVA or within subjects
repeated measures ANOVA): We select a vector with the averages for each group. It is
also possible to have groups of different sizes, in this case, you must also select a vector
with different sizes (the standard option assumes that all groups have equal size). We
have:
(mi−m)2
∑i k
f=
SDintra
with mi mean of group i, m mean of the means, k number of groups and SDintra within-group
standard deviation.
- When an ANCOVA is performed, a term has to be added to the model in order to take into
account the quantitative predictors. The effect size is then multiplied by
1
1 − ρ2
where ρ2 is the theoretical value of the square multiple correlation coefficient associated to the
quantitative predictors.
Once the effect size is defined, power and necessary sample size can be computed.
Methods
The section of this document dedicated to the different methods describes in detail the methods
themselves.
specific case we will use the Fisher non-central distribution to compute the power.
We first introduce some notations:
NbrGroup: Number of groups we wish to test.
N: sample size.
NumeratorDF: Numerator degrees of freedom for the F distribution (see bellow for more
details).
NbrRep: Number of repetition (measures) for repeated measures ANOVA.
ρ: Correlation between measures for repeated measures ANOVA.
ϵ: Geisser-Greenhouse non sphericity correction.

NbrPred: Number of predictors in an ANCOVA model.

For each method, we give the first and second degrees of freedom and the non- centrality
parameter:
One-way ANOVA:
DF 1 = NbrGroup − 1 DF 2 = N − N brGroup N CP = f 2 N
ANOVA with fixed effects and interactions:
DF 1 = N umeratorDF DF 2 = N − N brGroup N CP = f 2 N
Repeated measures ANOVA within-subjects factor:
N .N brRep
DF 1 = N brRep − 1 DF 2 = (N − N brGroup)(N brRep − 1) N CP = f 2 ϵ
1−ρ
Repeated measures ANOVA between-subjects factor:
N .N brRep
DF 1 = N brGroup − 1 DF 2 = N − N brGroup N CP = f 2 ϵ
1 − ρ(N brRep − 1)
Repeated measures ANOVA interaction between a within-subject factor and a between-
subject factor:
DF 1 = (N brRep − 1)(N brGroup − 1) DF 2 = (N − N brGroup)(N brRep − 1) N CP =
ANCOVA:
DF 1 = N umeratorDF DF 2 = N − N brGroup − N brP redictors N CP = f 2 N

power.
Numerator degrees of freedom
In the framework of an ANOVA with fixed factor and interactions or an ANCOVA; XLSTAT-Power
proposes to enter the number of degrees of freedom for the numerator of the non-central F
distribution. This is due to the fact that many different models can be tested and computing
numerator degrees of freedom is a simple way to test all kind of models.
Practically, the numerator degrees of freedom is equal to the number of group associated to the
factor minus one in the case of a fixed factor. When interactions are studied, it is equal to the
product of the degrees of freedom associated to each factor included in the interaction.

Suppose we have a 3-factor model, A (2 groups), B (3 groups), C (3 groups), 3 second order
interactions A*B, A*C and B*C and one third-order interaction A*B*C We have 3*3*2=18 groups.
To test the main effects A, we have: NbGroups=18 and NumeratorDF=(2-1)=1.
To test the interactions, eg A*B, we have NbGroups=18 and NumeratorDF=(2-1)(3-1)=2. If you

wish to test the third order interaction (A*B*C), we have NbGroups=18 and NumeratorDF=(2-1)
(3-1)(3-1)=4.
In the case of an ANCOVA, the calculations will be similar.
Dialog box
General tab:
reached.
Number of groups: Enter the total number of groups included in the model.
Number of tested predictors: Enter the number of predictors to be tested.
NumDF: Enter the number of degrees of freedom associated to the tested factor (Number of
groups -1 in the case of a first order factor). For more details, see the description part of this
help.

Correlation between measures: Enter the correlation between measures for repeated
measures ANOVA.
Sphericity correction: Enter the Geisser-Greenhouse epsilon for correction of non-sphericity

for repeated measures ANOVA. If the hypothesis of sphericity is not rejected, then epsilon=1.
Number of tested predictors: Enter the number of predictors in the ANCOVA model.
Effect size f (when effect size is entered directly): Enter the effect size (see the description part
of the help for more details).
Explained variance (when effect size is computed from variances): Enter the explained
variance by the tested factors.
Error variance (when effect size is computed from variances): Enter the residual variance of
the global model.
Within-group variance (when effect size is computed from variances): Enter the within-group
variance of the model.
Partial eta² (when effect size is computed using the direct approach): Enter the expected value
of eta². For more details, see the description part of this help.
Within-group standard deviation (when effect size is computed using the means): Enter the
expected within-group standard deviation of the model.
Means tab:
This tab appears when applying a one-way ANOVA or repeated measures ANOVA for a
between-subject factor.
Means: Select a column corresponding to the means of the groups. This vector must have a
number of lines equal to the number of measures (or repetition). Do not select the label of the
column but only the numerical values.
Unequal group size: Activate this option if the groups have unequal sizes. When activated,
select a vector corresponding to the group sizes. This vector must have a number of lines equal
to the number of measures (or repetition). Do not select the label of the column but only the
numerical values. This option cannot be reached when required sample size is estimated.

Graphics tab:
tab.
plot.
Results
Inputs: This table displays the parameters used to compute effect size.
Results: This table displays the alpha, the effect size and the power or the required number of
simulation plot.
of the dialog box.
Example
References
Prentice-Hall.
nd Edition.

Logistic regression (Power and sample size)
Use this tool to compute power and necessary sample size in a logistic regression model.
In this section:
Description
Dialog box
Results
Example
References
Description
XLSTAT-Pro offers a tool to apply logistic regression. XLSTAT-Power estimates the power or
calculates the necessary number of observations associated with this model.
false.
In the general framework of logistic regression model, the goal is to explain and predict the
probability P that an event appends (usually Y=1). P is equal to:
exp(β0 + β1 X1 + … + βk Xk )
P =
1 + exp(β0 + β1 X1 + … + βk Xk )
Power analysis 1103 Logistic regression (Power and sample size)

We have:
P
log( ) = β0 + β1 X1 + … + βk Xk
1−P
The test used in XLSTAT is based on the null hypothesis that the β1 coefficient is equal to 0.
That means that the X1 explanatory variable has no effect on the model. For more details on
logistic regression, please see the associated chapter of this help.
The hypothesis to be tested is:
H0 : β1 =0
Ha : β1 = 0
Power is computed using an approximation which depends on the type of variable.
If X1 is quantitative and has a normal distribution, the parameters of the approximation are:
P0 (baseline probability): The probability that Y=1 when all explanatory variables are set
to their mean value.
P1(alternative probability): The probability that X1 be equal to one standard error above
its mean value, all other explanatory variables being at their mean value.
Odds ratio: The ratio between the probability that Y=1, when X1 is equal to one standard
deviation above its mean and the probability that Y=1 when X1 is at its mean value.
The R2 obtained with a regression between X1 and all the other explanatory variables
included in the model.
If X1 is binary and follow a binomial distribution. Parameters of the approximation are:
P0 (baseline probability): The probability that Y=1 when X1 =0.
P1(alternative probability): The probability that Y=1 when X1 =1.
Odds ratio: The ratio between the probability that Y=1, when X1 =1 and the probability
that Y=1 when X1 =0.
The R² obtained with a regression between X1 and all the other explanatory variables
included in the model.
The percentage of observations with X1 =1.
These approximations depend on the normal distribution.

power.
Dialog box
General tab:
reached.
Baseline probability (P0): Enter the probability that Y=1 when all explanatory variables are at
their mean value or are equal to 0 when binary.
Alternative probability (P1): Enter the probability that Y=1 when X1 is equal to one standard
deviation above its mean value or is equal to 0 when binary.

Odds ratio: Enter the odds ratio (see the description part of this help).
R² of X1 with other Xs: Enter the R² obtained with a regression between X1 and the other
explanatory variables of the model.
Type of variable: Select the type of variable X1 to be analyzed (quantitative with normal
distribution or binary).
Percent of N with X1 =1: In the case of a binary X1 , enter the percentage of observations with
X1 =1.
Graphics tab:
tab.
plot.
Results
Inputs: This table displays the parameters used to compute power and required sample size.
Results: This table displays the alpha and the power or the required number of observations.
The parameters obtained by the calculation are in bold format. An explanation is displayed
below this table.
simulation plot.
of the dialog box.

Example
References
Prentice-Hall.
nd Edition.

Cox model (Power and sample size)
Use this tool to compute power and necessary sample size in a Cox proportional hazards ratio
model to treat failure time data with covariates.
In this section:
Description
Dialog box
Results
Example
References
Description
XLSTAT-Life offers a tool to apply the proportional hazards ratio Cox regression model.
XLSTAT-Power estimates the power or calculates the necessary number of observations
associated with this model.
false.
The Cox model is based on the hazard function which is the probability that an individual will
experience an event (for example, death) within a small time interval, given that the individual
has survived up to the beginning of the interval. It can therefore be interpreted as the risk of
Power analysis 1108 Cox model (Power and sample size)

dying at time t. The hazard function (denoted by λ(t, X) can be estimated using the following
equation:
λ(t, X) = λ0 (t)exp(β1 X1 + … + βp Xp ))
The first term depends only on time and the second one depends on X . We are only interested
by the second term. If all βi are equal to zero then there is no hazard factor. The goal of the
Cox model is to focus on the relations between the βi s and the hazard function.
The test used in XLSTAT is based on the null hypothesis that the β1 coefficient is equal to 0.
That means that the X1 covariate is not a hazard factor. For more details on Cox model, please
see the associated chapter of this help.
The hypothesis to be tested is:
H0 : β1 =0
Ha : β1 = 0
A Wald statistic is computed for the test:
β1
z=
var(β1 )
Power is computed using an approximation that depends on the normal distribution. Other
parameters used in this approximation are: the event rate, which is the proportion of uncensored
individuals, the standard deviation of X1 , the expected value of β1 known as B(log(hazard
ratio)) and the R2 obtained with the regression between X1 and the other covariates included in
the Cox model.
power.
Calculating B
The B(log(hazard ratio)) is an estimation of the coefficient β1 of the following equation:
λ(t∣X)
log( ) = β1 X1 + … + βk Xk
λ0 (t)

β1 is the change in logarithm of the hazard ratio when X1 is incremented of one unit (all other
explanatory variables remaining constant). We can use the hazard ratio instead of the log. For a
hazard ratio of 2, we will have B=ln(2)=0.693.
Dialog box
General tab:
reached.
Event rate: Enter the event rate (uncensored units rate).
B(log(Hazard ratio): Enter the estimation of the parameter B associated to X1 in the Cox
model.
Standard error of X1: Enter the standard error of X1.
R² of X1 with other Xs: Enter the R² obtained with a regression between X1 and the other
explanatory variables of the model.

Graphics tab:
tab.
plot.
Results
Inputs: This table displays the parameters used to compute power and required sample size.
Results: This table displays the alpha and the power or the required number of observations.
The parameters obtained by the calculation are in bold format. An explanation is displayed
below this table.
simulation plot.
of the dialog box.
Example
References
Brent R. P (1973) Algorithms for Minimization Without Derivatives. Englewood Cliffs, NJ:
Prentice-Hall.
Cohen J. (19 88) . Statistical Power Analysis for the Behavioral Sciences. Psychology Press, 2-
nd Edition.

Kalbfleisch J. D. and Prentice R. L. (2002). The Statistical Analysis of Failure Time Data. 2-nd

Sample size for clinical trials (Power and sample
size)
Use this tool to compute sample size and power for different kind of clinical trials: equivalence
trial, non-inferiority trial and superiority trial.
In this section:
Description
Dialog box
Results
Example
References
Description
XLSTAT enables you to compute the necessary sample size for a clinical trial.
Three types of trials can be studied:
Equivalence trials: An equivalence trial is where you want to demonstrate that a new
treatment is no better or worse than an existing treatment.
Superiority trials: A superiority trial is one where you want to demonstrate that one
treatment is better than another.
Non-inferiority trials: A non-inferiority trial is one where you want to show that a new
treatment is not worse than an existing treatment.
These tests can be applied to a binary outcome or a continuous outcome.
false.

Power analysis 1113 size)
Methods
The necessary sample size is obtained using simple approximation methods.
Equivalence test for a continuous outcome
The mean outcome is compared between two randomised groups. You must define a difference
between these means, d, within which you will accept that the two treatments being compared
are equivalent.
The sample size is obtained using:
f (α, β/2) ⋅ 2 ⋅ σ 2
n=
(d)2
With σ 2 being the variance of the outcome and:
f (α, β) = (Φ−1 (α) + Φ−1 (β))2
Equivalence test for a binary outcome
The percentage of patients that "survived" is compared between two randomised groups. You
must define a difference between these percentages, d, within which you will accept that the two
treatments being compared are equivalent.
f (α, β/2) ⋅ (P (std) ⋅ (100 − P (std)))

n=
(P (std) − d)2
With P (std) being the percentage for the treatments (we suppose these percentage are
equivalent for both treatments), d is defined by the user and:
f (α, β) = (Φ−1 (α) + Φ−1 (β))2

Non-inferiority test for a continuous outcome
The mean outcome is compared between two randomised groups. The null hypothesis is that
the experimental treatment is inferior to the standard treatment. The alternative hypothesis is
that the experimental treatment is non-inferior to the standard treatment. You must choose the

non-inferiority limit d, to be the largest difference that is clinically acceptable, so that a difference
bigger than this would matter in practice.
f (α, β) ⋅ 2 ⋅ σ 2
n=
(d)2
With σ 2 being the variance of the outcome and:
f (α, β) = (Φ−1 (α) + Φ−1 (β))2
Non-inferiority test for a binary outcome
The percentage of patients that "survived" is compared between two randomised groups. The
null hypothesis is that the percentage for those on the standard treatment is better than the
percentage for those on the experimental treatment by an amount d. The alternative hypothesis
is that the experimental treatment is better than the standard treatment or only slightly worse (by
no more than d). The user must define the non-inferiority limit (d) so that a difference bigger
than this would matter in practice. You should normally assume that the percentage 'success' in
both standard and experimental treatment groups is the same.
f (α, β) ⋅ (P (std) ⋅ (100 − P (std)) + P (new) ⋅ (100 − P (new)))

n=
(P (std) − P (new) − d)2
With P (std) being the percentage for the standard treatment and P (new) being the
percentage for the new treatment, d is defined by the user and:
f (α, β) = (Φ−1 (α) + Φ−1 (β))2
Superiority test for a continuous outcome
The mean outcome is compared between two randomised groups. We wish to know if the mean
associated to a new treatment is higher than the mean with the standard treatment.
f (α/2, β) ⋅ 2 ⋅ σ 2
n=
(μ1 − μ2 )2
With σ 2 being the variance, mu1 and mu2 being the means associated to each group of the
outcome and:
f (α, β) = (Φ−1 (α) + Φ−1 (β))2

When cross-over is present, a formula for adjusting the sample size is used:

n∗ 10000
n adjusted =
(100 − c1 − c2 )
With c1 and c2 being the cross-over percentage in each group.
Superiority test for a binary outcome
The percentage of patients that "survived" is compared between two randomised groups. We
wish to know if the percentage associated to a new treatment is higher than the percentage with
the standard treatment.
f (α/2, β) ⋅ (P (std) ⋅ (100 − P (std)) + P (new) ⋅ (100 − P (new)))

n=
(P (std) − P (new))2
With P (std) being the percentage for the standard treatment and P (new) being the
percentage for the new treatment and:
f (α, β) = (Φ−1 (α) + Φ−1 (β))2

When cross-over is present, a formula for adjusting the sample size is used:
n∗ 10000
n adjusted =
(100 − c1 − c2 )
With c1 and c2 being the cross-over percentage in each group.
Calculating power
To calculate the power for a fixed sample size, XLSTAT uses an algorithm that searches the
beta (1-power) so that:
Sample size (beta) – expected sample size =0
We then obtain the power (1-beta) such that the test needs a sample size as close as possible
to the desired sample size.
Dialog box

General tab:
Clinical trial: Select the type of clinical trial: Equivalence, non- inferiority or superiority trials.
Outcome variable: Select the type of outcome variable (continuous or binary).
reached.
Sample size (when power computation has been selected): Enter the size of the total trial.
The available options will differ with respect to the chosen trial:
Equivalence trial with continuous outcome
Std deviation: Enter the standard deviation of the outcome.
Equivalence limit d: Enter the equivalence limit d.
Equivalence trial with binary outcome
% of success for both groups: Enter the % of success for both groups.
Equivalence limit d: Enter the equivalence limit d.
Non inferiority trial with continuous outcome
Non inferiority limit d: Enter the non inferiority limit d.
Non inferiority trial with binary outcome

% of success for control group: Enter the % of success for the control group.
% of success for treatment group: Enter the % of success for the treatment group.
Non inferiority limit d: Enter the non inferiority limit d.
Superiority trial with continuous outcome
Mean for control group: Enter the mean for the control group.
Mean for treatment group: Enter the mean for the treatment group.
% cross over for control group:: Enter the percentage of cross-over for the control group.
% cross over for treatment group:: Enter the percentage of cross-over for the treatment
group.
Superiority trial with binary outcome
% of success for control group: Enter the % of success for the control group.
% of success for treatment group: Enter the % of success for the treatment group.
% cross over for control group:: Enter the percentage of cross-over for the control group.
% cross over for treatment group:: Enter the percentage of cross-over for the treatment
group.
Graphics tab:
tab.
Y axis: Select the parameter to be used on the Y axis of the simulation plot.
X axis: Select the parameter to be used on the X axis of the simulation plot.

plot.
Results
simulation plot.
of the dialog box.
Example
An example of calculating the required sample size for clinical trials is available on the Addinsoft
website at
http://www.xlstat.com/demo-spltrial.htm
References
Blackwelder W.C. (1982). Providing the null hypothesis in Clinical trials. Control. Clin. Trials, 3,
345-353.
nd Edition.
Pocock S.J. (1983). Clinical trials : a practical approach, Wiley.

Statistical Process Control
Subgroup Charts
Use this tool to supervise production quality, in the case where you have a group of
measurements for each point in time. The measurements need to be quantitative data. This tool
is useful to recap the mean and the variability of the measured production quality.
Integrated in this tool, you will find Box-Cox transformations, calculation of process capability
and the application of rules for special causes and Westgard rules (an alternative set of rules to
identify special causes) to complete your analysis.
In this section:
Description
Dialog box
Results
Example
References
Description
Control charts were first mentioned in a document by Walter Shewhart that he wrote during his
time working at Bell Labs in 1924. He described his methods completely in his book (1931).
For a long time, there was no significant innovation in the area of control charts. With the
development of CUSUM, UWMA and EWMA charts in 1936, Deming expanded the set of
available control charts.
Control charts were originally used in area of goods production. Therefore the wording is still
from that domain. Today this approach is being applied to a large number of different fields, for
instance services, human resources, and sales. In the following chapters we will use the
wording from the production and shop floors.
Subgroup charts
The subgroup charts tool offers you the following chart types alone or in combination:
X (X bar)
R
Statistical Process Control 1120 Subgroup Charts

S
S²
An X bar chart is useful to follow the mean of a production process. Mean shifts are easily
visible in the diagrams.
An R chart (Range chart) is useful to analyze the variability of the production. A large difference
in production, caused for example by the use of different production lines, will be easily visible.
S and S² charts are also used to analyze the variability of production. The S chart draws the
standard deviation of the process and the S² chart draws the variance (which is the square of
the standard deviation).
Note 1: If you want to investigate smaller mean shifts, then you can also use CUSUM group
charts which are, by the way, often preferred to subgroup control charts.
Note 2: If you have only one measurement for each point in time, then please use the control
charts for individuals.
Note 3: If you have measurements in qualitative values (for instance ok, not ok, conform not
conform), then use the control charts for attributes.
This tool offers you the following options for the estimation of the standard deviation (sigma or σ
) of the data set, given k subgroups and ni (i = 1, … , k) measurements per subgroup:
- Pooled standard deviation: sigma is computed using the k within-subgroup variances:
k
∑ (ni − 1)s2i k
s= i=1
k
/c4 (1 + ∑(ni − 1))
∑ (ni − 1) i=1
i=1
where c4 is the control chart constant according to Burr (1969).
- R bar: The estimator for sigma is calculated based on the average range of the k subgroups.
s = R /d2
where d2 is the control chart constant according to Burr (1969).
- S bar: The estimator for sigma is calculated based on the average of the standard deviations
of the k subgroups:
k
1
s= ∑ s2i /c4
k i=1

Process capability
Process capability describes a process and informs if the process is under control and if values
taken by the measured variables are inside the specification limits of the process. In the latter
case, on says that the process is "capable".
During the interpretation of the different indicators for the process capability please pay attention
to the fact that some indicators suppose normality or at least symmetry of the distribution of the
measured values. By the use of a normality test, you can verify these premises (see the
Normality Tests in XLSTAT).
If the data are not normally distributed, you have the following possibilities to obtain results for
the process capabilities.
- Use the Box-Cox transformation to improve the normality of the data set. Then verify again the
normality using a normality test.
- Use the process capability indicator Cp 5.15.
Let m, s, LSL, U SL be respectively the estimated mean, standard deviation, lower

specification limit, upper specification limit of the process, and T be the selected target. Let μ
and σ be the true mean and standard deviation of the process. XLSTAT allows to compute the
following performance indicators to evaluate the process capability:
Cp: The short term process capability is defined as:
U SL − LSL
Cp =
6s
Cpl: The short term process capability with respect to the lower specification is defined as:
m − LSL
Cpl =
3s
Cpu: The short term process capability with respect to the upper specification is defined
as:
U SL − m
Cpu =
3s
Cpk: The short term process capability supposing a centered distribution is defined as:
Cpk = min(Cpl, Cpu)

Pp: The long term process capability is defined as:
U SL − LSL
Pp =
6σ
Ppl: The long term process capability with respect to the lower specification is defined as:
m − LSL
P pl =
3σ

Ppu: The long term process capability with respect to the upper specification is defined
as:
U SL − m
P pu =
3σ
Ppk: The long term process capability supposing a centered distribution is defined as:
P pk = min(P pl, P pu)

Cpm: The short term process capability according to Taguchi. This value can be
calculated, if the target value has been specified. It is defined as:
U SL − LSL
Cpm =
2
6 s2 + (m − T )
Cpm Boyles: The short term process capability according to Taguchi improved by Boyles
(1991). This value can be calculated, if the target value has been specified. It is defined
as:
U SL − LSL
Cpm Boyles =
6 (n − 1)s2 /n + (m − T )2
Cp 5.15: The short term process capability is defined as:

U SL − LSL
Cp 5.15 =
5.15s
Cpk 5.15: The short term process capability supposing a centered distribution is defined
as:
(U SL − LSL)/2 − ∣m − (U SL + LSL)/2∣
Cpk 5.15 =
2.57s
Cpmk: The short term process capability according to Pearn. This value can be
calculated, if the target value has been specified. It is defined as:
s ⋅ Cpk
Cpmk =
s2 + (m − T )2
Cs Wright: The process capability according to Wright. This value can be calculated, if the
target value has been specified. It is defined as:

(U SL − LSL)/2 − ∣m − T ∣
Cs =
n ∣ n2 m −1/2 ∣
3 1
n ∑ (xi − T )2 + ∣∣ (n−1)(n−2)
3
× ( n−1
n
× m2
c24 ) ∣
∣
i=1 ∣ ∣
with
n
mr = ∑ (xi − T )r
i=1
1/2
2 n − 1 −1
c4 = [ ]
n
Γ( )/Γ( )
n−1 2 2
Z below: The amount of standard deviations between the mean and the lower
specification limit is defined as:
Zbelow = (m − LSL)/s
Z above: The amount of standard deviations between the mean and the upper
Zabove = (U SL − m)/s
Z total: The amount of standard deviations between the mean and the lower or upper
respectively specification limit is defined as:
Ztotal = Φ−1 (p(not conform)total)

p(not conform) below: The probability of producing a defect product below the lower
p(not conform)below = Φ(Zbelow)
p(not konform) above: The probability of producing a defect product above the upper
p(not conform)above = Φ(Zabove)
p(not conform) total: The probability of producing a defect product below or above the
specification limits is defined as:
p(not conform)total = p(not conform)below + p(not conform)above

PPM below: The number of defect products below the lower specification limit during one
million items produced is defined as:
P P M below = p(notconf orm)below × 106

PPM above: The number of defect products above the upper specification limit during one
million items produced is defined as:
P P M above = p(notconf orm)above × 106

PPM total: The number of defect products below or above the specification limits during
one million items produced is defined as:
P P M total = P P M below + P P M above
Box-Cox transformation
Box-Cox transformation is used to improve the normality of the time series; the Box-Cox
Yt = {
Xtλ −1
λ , Xt ≥ 0, λ > 0
ln(Xt ), Xt > 0, λ = 0
Where the series {Xt } being transformed into series {Yt }, (t=1,…,n):
Note: if λ < 0, the first equation is still valid, but Xt must be strictly positive. XLSTAT accepts a
fixed value of λ, or it can find the value that maximizes the likelihood value, the model being a
simple linear model with the time as sole explanatory variable.
Chart rules
XLSTAT offers you the possibility to apply rules for special causes and Westgard rules. Two sets
of rules are available in order to interpret control charts. You can activate and deactivate
separately the rules in each set.
Dialog box

observations.
Mode tab:
Chart family: Select the family that you want to use:
Subgroup charts: Activate the option if you have a data set with several measurements
for each point in time.
Individual charts: Activate this option if you have a data set with one quantitative
measurement for each point in time.
Attribute charts: Activate this option if you have a data set with one qualitative
measurement for each point.
Time weighted: Activate this option if you want to use a time weighted chart like UWMA,
EWMA or CUSUM.
At this stage, the subgroup charts family should be selected. If not, you should switch to the
help corresponding to the selected chart family. The options below correspond to the subgroups
charts
Chart type: Select the type of chart you want to use:
X bar chart: Activate this option if you want to calculate the X bar chart to analyze the
mean of the process.
R chart: Activate this option if you want to calculate the R chart to analyze variability of
the process.
S chart: Activate this option if you want to calculate the S chart to analyze variability of
the process.
S² chart: Activate this option if you want to calculate the S² chart to analyze variability of
the process.
X bar R chart: Activate this option if you want to calculate the X bar chart together with
the R chart to analyze the mean value and variability of the process.
X bar S chart: Activate this option if you want to calculate the X bar chart together with
the S chart to analyze the mean value and variability of the process.
X bar S² chart: Activate this option if you want to calculate the X bar chart together with
the S² chart to analyze the mean value and variability of the process.
General tab:

Columns/Rows: Activate this option for XLSTAT to take each column (in column mode)
or each row (in row mode) as a separate measurement that belongs to the same
subgroup.
One column/row: Activate this option if the measurements of the different subgroups are
all on the same column (column mode) or one row (row mode). To assign the different
measurements to their corresponding subgroup, please enter a constant group size or
select a column or row with the group identifier in it.
Data: If the data format "One column/row" is selected, please choose the unique column or row
that contains all the data. The assignment of the data to their corresponding subgroup must be
specified using the Groups field or setting the common subgroup size. If you select the data
"Columns/rows" option, please select a data area with one column/row per measurement in a
subgroup.
Groups: If the data format "One column/row" is selected, then activate this Option to select a
column/row that contains the group identifier. Select the data that identify for each element of
the data selection the corresponding group.
Common subgroup size: If the data format "One column/row" is selected and the subgroup
size is constant, then you can deactivate the groups option and enter in this field the common
subgroup size.
Phase: Activate this option to supply one column/row with the phase identifier.
Column/Row labels: Activate this option if the first row (column mode) or column (row mode) of
the data selections contains a label.
Options tab:
Upper control limit:

Bound: Activate this option, if you want to enter a maximum value to accept for the upper
control limit of the process. This value will be used when the calculated upper control limit
is greater than the value entered here.
Value: Enter the upper control limit. This value will be used in place of the calculated
upper control limit.
Lower control limit:
Bound: Activate this option, if you want to enter a minimum value to accept for the lower
control limit of the process. This value will be used when the calculated lower control limit
is greater than the value entered here.
Value: Enter the lower control limit. This value will be used and overrides the calculated
upper control limit.
Calculate process capabilities: Activate this option to calculate process capabilities based on
the input data (see the description section for more details).
USL: If the calculation of the process capabilities is activated, please enter here the upper
specification limit (USL) of the process.
LSL: If the calculation of the process capabilities is activated, please enter here the lower
specification limit (LSL) of the process.
Target: If the calculation of the process capabilities is activated, activate this option to add
the target value of the process.
Confidence interval (%):If the "Calculate process capabilities" option is activated, please
interval around the process capabilities. Default value: 95.
value of the Lambda parameter, or decide to let XL STAT optimize it (see the description for
further details).
k Sigma: Activate this option to enter the distance between the upper and the lower control limit
and the center line of the control chart. The distance is fixed to k times the factor you enter
multiplied by the estimated standard deviation. Corrective factors according to Burr (1969) will
be applied.
alpha: Activate this option to define the size of the confidence range around the center line of
the control chart. 100 - alpha % of the distribution of the control chart is inside the control limits.
Corrective factors according to Burr (1969) will be applied.

Mean: Activate this option to enter a value for the center line of the control chart. This value
should be based on historical data.
Sigma: Activate this option to enter a value for the standard deviation of the control chart. This
value should be based on historical data. If this option is activated, then you cannot choose an
estimation method for the standard deviation in the "Estimation" tab.
Estimation tab:
Method for Sigma: Select an option to determine the estimation method for the standard
deviation of the control chart (see the description for further details):
Pooled standard deviation
R-bar
S-bar
Outputs tab:
Display zones: Activate this option to display beside the lower and upper control limit also the
limits of the zones A and B.
Normality Tests: Activate this option to check normality of the data. (see the Normality Tests
tool for further details).
Test special causes: Activate this option to analyze the points of the control chart according to
the rules for special causes. You can activate the following rules independently:
1 point more than 3s from center line
9 points in a row on same side of center line
6 points in a row, all increasing or all decreasing
14 points in a row, alternating up and down
2 out of 3 points > 2s from center line (same side)
15 points in a row within 1s of center line (either side)
8 points in a row > 1s from center line (either side)
All: Click this button to select all options.

None: Click this button to deselect all options.
Apply Westgard rules: Activate this option to analyze the points of the control chart according
to the Westgard rules. You can activate the following rules independently:
Rule 1 2s
Rule 1 3
Rule 2 2s
Rule 4s
Rule 4 1s
Rule 10 X
All: Click this button to select all options.
None: Click this button to deselect all options.
Charts tab:
Display charts: Activate this option to display the control charts graphically.
Continuous line: Activate this option to connect the points in the control chart.
Needles view: Activate this option to display for each point of the control chart, the minimum
and maximum of the corresponding subgroup.
Box view: Activate this option to display the control charts using bars.
Connect through missing: Activate this option to connect the points, even when missing
values separate the points.
Normal Q-Q plots: Check this option to display Q-Q plots based on the normal distribution.
density function.
Run Charts: Activate this option to display a chart of the latest data points. Each individual
measurement is displayed.
Number of observations: Enter the maximum number of the last observations to be

displayed in the Run chart.
Results
Estimation:

Estimated mean: This table displays the estimated mean values for the different phases.
Estimated standard deviation: This table displays the estimated standard deviation values for
the different phases.
parameter has been optimized. It displays the estimator for Lambda.
Process capabilities:
Process capabilities: These tables are displayed, if the "process capability" option has been
selected. There is one table for each phase. A table contains the following indicators for the
process capability and if possible the corresponding confidence intervals: Cp, Cpl, Cpu, Cpk,
Pp, Ppl, Ppu, Ppk, Cpm, Cpm (Boyle), Cp 5.5, Cpk 5.5, Cpmk, and Cs (Wright).
For Cp, Cpl, and Cpu, information about the process performance is supplied and for Cp a
status information is given to facilitate the interpretation.
Cp values have the following status based on Ekvall and Juran (1974):
"not adequate" if Cp <1
"adequate" if 1 ≤ Cp ≤ 1.33
"more than adequate" if Cp > 1.33
Based on Montgomery (2001), Cp needs to have the following minimal values for the process
performance to be as expected:
1.33 for existing processes
1.50 for new processes or for existing processes when the variable is critical
1.67 for new processes when the variable is critical
Based on Montgomery (2001), Cpu and Cpl need to have the following minimal values for
process performance to be as expected:

Capabilities: This chart contains information about the specification and control limits. A line
between the lower und upper limits represents the interval with an additional vertical mark for
the center line. The different control limits of each phase are drawn separately.
Chart information:
The following results are displayed separately for each requested chart. Charts can be selected
alone or in combination with the X bar chart.
X bar/ R/ S/ S² chart: This table contains information about the center line and the upper and
lower control limits of the selected chart. There will be one column for each phase.
Observation details: This table displays detailed information for each subgroup. For each
subgroup the corresponding phase, the size, the mean, the minimum and the maximum values,
the center line, and the lower and upper control limits are displayed. If the information about the
zones A, B and C are activated, then the lower and upper control limits of the zones A and B are
displayed as well.
Rule details: If the rules options are activated, a detailed table about the rules will be displayed.
For each subgroup, there is one row for each rule that applies. "Yes" indicates that the
corresponding rule was fired for the corresponding subgroup and "No" indicates that the rule
does not apply.
X bar/ R/ S/ S² chart: If the charts are activated, then a chart containing the information of the
two tables above is displayed. Each subgroup is displayed. The center line and the lower and
upper control limits are displayed as well. If the corresponding options have been activated, the
lower and upper control limits for the zones A and B are included and there are labels for the
subgroups for which rules were fired. A legend with the activated rules and the corresponding
rule number is displayed below the chart.
Normality tests:
For each of the four tests, the statistics relating to the test are displayed including, in particular,
If requested, a Q-Q plot is then displayed.

Run chart: The chart of the last data points is displayed.
Example
A tutorial explaining how to use the SPC subgroup charts tool is available on the Addinsoft web
site. To consult the tutorial, please go to:
http://www.xlstat.com/demo-spc1.htm
References
Boyles R.A. (1991). The Taguchi capability index. Journal of Quality Technology, 23, 17–26.
Burr I. W. (1967). The effect of non-normality on constants for X and R charts. Industrial Quality
control, 23(11), 563-569.
Burr I. W. (1969). Control charts for measurements with varying sample sizes. Journal of
Quality Technology, 1(3), 163-167.
Deming W. E. (1993). The New Economics for Industry, Government, and Education.
Cambridge, MA: Center for Advanced Engineering Study, Massachusetts Institute of
Technology.
Ekvall D. N. (1974). Manufacturing Planning. In Quality Control Handbook,. 3rd Ed. (J. M.
Juran, et al. eds.) pp. 9-22-39, McGraw-Hill Book Co., New York.
Montgomery D.C. (2001). Introduction to Statistical Quality Control, 4th edition, John Wiley &
Sons.
Nelson L.S. (1984). The Shewhart Control Chart - Tests for Special Causes. Journal of Quality
Technology, 16, 237-239.
Pyzdek Th. (2003). The Six Sigma Handbook Revised and Expanded, McGraw Hill, New York.
Ryan Th. P. (2000). Statistical Methods for Quality Improvement, Second Edition, Wiley Series
in probability and statistics, John Wiley & Sons, New York.
Shewhart W. A. (1931). Economic Control of Quality of Manufactured Product, Van Nostrand,

New York.
Wright, P.A. (1995). A process capability index sensitive to skewness. Journal of Statistical
Computation and Simulation, 52, 195–203.

Individual Charts
Use this tool to supervise the production quality, in the case where you have a single
measurement for each point in time. The measurements need to be quantitative variables.
This tool is useful to recap the moving mean and median and the variability of the production
quality that is being measured.
and the application of rules for special causes and Westgard rules (an alternative rule set to
identify special causes) available to complete your analysis.
In this section:
Description
Dialog box
Results
Example
References
Description
instance services, human resources, and sales. In the following lines, we use the wording from
the production and shop floors.
Individual charts
The individual charts tool offers you the following chart types alone or in combination:
- X Individual
- MR moving range
An X individual chart is useful to follow the moving average of a production process. Mean shifts
are easily visible in the diagrams.
Statistical Process Control 1134 Individual Charts

An MR chart (moving range diagram) is useful to analyze the variability of the production. Large
difference in production, caused by the use of different production lines, will be easily visible.
Note 1: If you want to investigate smaller mean shifts, then you can also use CUSUM individual
charts which are often preferred in comparison with the individual control charts, because they
can detect smaller mean shifts.
Note 2: If you have more than one measurement for each point in time, then you should use the
control charts for subgroups.
Note 3: If you have measurements in qualitative values (for instance ok, not ok, conform not
conform), then use the control charts for attributes.
This tool offers you the following options for the estimation of the standard deviation (sigma) of
the data set, given n measurements:
- Average moving range: The estimator for sigma is calculated based on the average moving
range using a window length of m measurements.
s^ = m/d2
- Median moving range: The estimator for sigma is calculated based on the median of the
moving range using a window length of m measurements.
s^ = median/d4
- standard deviation: The estimator for sigma is calculated based on the standard deviation s of
the n measurements.
s^ = s/c4
Process capability
Process capability describes a process and informs if the process is under control and the
distribution of the measured variables are inside the specification limits of the process. If the
distributions of the measured variables are in the technical specification limits, then the process
is called "capable".
Normality Tests in XLSTAT-Pro).

- Use the Box-Cox transformation to improve the normality of the data set. Then verify again the
- Use the process capability indicator Cp 5.15.
Yt = {
Xtλ −1
λ
, Xt ≥ 0, λ > 0
ln(Xt ), Xt > 0, λ = 0
Where the series {Xt } being transformed into series {Yt }, (t=1,…,n):
Note: if λ < 0 the first equation is still valid, but Xt must be strictly positive. XLSTAT accepts a
Chart rules
XLSTAT offers you the possibility to apply rules for special causes and Westgard rules on the
data set. Two sets of rules are available in order to interpret control charts. You can activate and
deactivate separately the rules in each set.
Dialog box

observations.
Mode tab:
Chart family: Select the type of chart family that you want to use:
Subgroup charts: Activate this option if you have a data set with several measurements
EWMA or CUSUM.
At this stage, the individual charts family is selected. If you want to switch to another chart
family, please change the corresponding option and call the help function again if you want to
obtain more details on the available options. The options below correspond to the subgroups
charts
Chart type: Select the type of chart you want to use:
X Individual chart: Activate this option if you want to calculate the X individual chart to
analyze the mean of the process.
MR Moving Range chart: Activate this option if you want to calculate the MR chart to
analyze variability of the process.
X-MR Individual/Moving Range chart: Activate this option if you want to calculate the X
Individual chart together with the MR chart to analyze the mean value and variability of the
process.
General tab:
Data: Please choose the unique column or row that contains all the data.

Options tab:
control limit of the process. This value will be used when the calculated upper control limit is
greater than the value entered here.
Value: Enter the upper control limit. This value will be used and overrides the calculated upper
control limit.
Bound: Activate this option, if you want to enter a minimum value to accept for the lower control
limit of the process. This value will be used when the calculated lower control limit is greater
than the value entered here.
Value: Enter the lower control limit. This value will be used in place of the calculated upper
control limit.
Calculate Process capabilities: Activate this option to calculate process capabilities based on
Target: If the calculation of the process capabilities is activated, activate this option to add the
target value of the process.
Confidence interval (%):If the "Calculate Process Capabilities" option is activated, please enter
the percentage range of the confidence interval to use for calculating the confidence interval
around the parameters. Default value: 95.

value of the Lambda parameter, or decide to let XL STAT optimize it (see the description for
further details).
be applied.
alpha: Activate this option to enter the size of the confidence range around the center line of the
control chart. The alpha is used to compute the upper and lower control limits. 100 – alpha % of
the distribution of the control chart is inside the control limits. Corrective factors according to
Burr (1969) will be applied.
Estimation tab:
Average Moving Range
Median Moving Range
MR Length: Change this value to modify the number of observations that are taken into
account in the moving range.
Standard deviation: The estimator of sigma is calculated using the standard deviation of
the n measurements.
Outputs tab:

Rule 1 2s
Rule 1 3
Rule 2 2s
Rule 4s
Rule 4 1s
Rule 10 X
Charts tab:
Connect through missing: Activate this option to connect the points in the control charts, even
when missing values are between the points.

density function.
Number of observations: Enter the maximal number of the last observations to be displayed in
the Run chart.
Results
Estimation:
Process capability:
- "not adequate" if Cp <1
- "adequate" if 1 ≤ Cp ≤ 1.33
- "more than adequate" if Cp > 1.33

- 1.33 for existing processes
- 1.50 for new processes or for existing processes when the variable is critical
- 1.67 for new processes when the variable is critical
- 1.25 for existing processes
- 1.45 for new processes or for existing processes when the variable is critical
- 1.60 for new processes when the variable is critical
Chart information:
alone or in combination with the X individual chart.
X Individual / MR moving range chart: This table contains information about the center line
and the upper and lower control limits of the selected chart. There will be one column for each
phase.
Observation details: This table displays detailed information for each observation. For each
observation, the corresponding phase, the mean or median, the center line, the lower and upper
control limits are displayed. If the information about the zones A, B and C are activated, then the
lower and upper control limits of the zones A and B are displayed as well.
For each observation, there is one row for each rule that applies. "Yes" indicates that the
corresponding rule was fired, and "No" indicates that the rule does not apply.
X Individual / MR moving range Chart: If the charts are activated, then a chart containing the
information of the two tables above is displayed. Each observation is displayed. The center line
and the lower and upper control limits are displayed as well. If the corresponding options have
been activated, the lower and upper control limits for the zones A and B are included and there
are labels for the observations for which rules were fired. A legend with the activated rules and
the corresponding rule number is displayed below the chart.
Normality tests:

Example
A tutorial explaining how to use the SPC subgroup charts tool is available on the Addinsoft web
site at:
References
control, 23(11), 563-569.
Burr, I. W. (1969). Control charts for measurements with varying sample sizes. Journal of
Deming, W. E. (1993). The New Economics for Industry, Government, and Education.
Technology.
Ekvall D. N. (1974). Manufacturing Planning. In Quality Control Hand-. book,. 3rd Ed. (J. M.
Juran, et al. eds.) pp. 9-22-39, McGraw-Hill Book Co., New York
Montgomery D.C. (2001). Introduction to Statistical Quality Control, 4th edition, John Wiley &
Sons.

New York.

Attribute charts
Use this tool to supervise the production quality, in the case where you have a single
measurement for each point in time. The measurements are based on attribute or attribute
counts of the process.
This tool is useful to recap the categorical variables of the measured production quality.
In this section:
Description
Dialog box
Results
Example
References
Description
Attribute charts
The attribute charts tool offers you the following chart types:
P chart
NP chart
C chart
U chart
Statistical Process Control 1144 Attribute charts

These charts analyze either "nonconforming products" or "nonconformities". They are usually
used to inspect the quality before delivery (outgoing products) or the quality at delivery
(incoming products). Not all the products need to be necessarily inspected.
Inspections are done by inspection units having a well defined size. The size can be 1 in the
case of the reception of television sets at a warehouse. The size would be 24 in the case of
peaches delivered in crates of 24 peaches.
P and NP charts allow to analyze the fraction respectively the absolute number of
nonconforming products of a production process. For example, we can count the number of
nonconforming television sets, or the number of crates that contain at least one bruised peach.
C and U chart analyze the fraction respectively the absolute number of occurrences of
nonconformities in an inspection unit. For example, we can count the number of defect
transistors for each inspection unit (there might be more than one transistor not working in one
television set), or the number of bruised peaches per crate.
A P chart is useful to follow the fraction of non conforming units of a production process.
An NP chart is useful to follow the absolute number of non conforming units of a production
process.
A C chart is useful in the case of a production having a constant size for each inspection unit. It
can be used to follow the absolute number of the non conforming items per inspection.
A U chart is useful in the case of a production having a non constant size of each inspection
unit. It can be used to follow the fraction of the non conforming items per inspection.
Process capability
Use the Box-Cox transformation to improve the normality of the data set. Then verify again the
Use the process capability indicator Cp 5.5.

Yt = {
Xtλ −1
λ , (Xt ≥ 0, λ = 0) ou (Xt ≥ 0, λ > 0),
ln(Xt ), Xt > 0, λ = 0,
Where the series Xt being transformed into series Yt , t = 1, … , n.
Note: if λ < 0, the first equation is still valid, but Xt must be strictly positive. XLSTAT accepts a
Chart rules
Dialog box
observations.
Mode tab:

Time weighted control charts: Activate this option if you want to use a time weighted
chart like UWMA, EWMA or CUSUM.
At this stage, the attribute charts family is selected. If you want to switch to another chart family,
please change the corresponding option and call the help function again if you want to obtain
more details on the available options. The options below correspond to the subgroups charts
Chart type: Select the type of chart you want to use (see the description section for more
details):
P chart
NP chart
C chart
U chart
General tab:
Data: Please choose the unique column or row that contains all the data.
Options tab:

Upper control limit (UCL):
control limit.
Lower control limit (LCL):
Value: Enter the lower control limit. This value will be used and overrides the calculated upper
control limit.
Confidence interval (%):If the "Calculate Process Capabilities" option is activated, please enter
the percentage range of the confidence interval to use for calculating the confidence interval
around the parameters. Default value: 95.
Box-Cox transformation: Activate this option to compute the Box-Cox transformation. You can
either fix the value of the Lambda parameter, or decide to let XL STAT optimize it (see the
be applied.
alpha (%): Activate this option to enter the size of the confidence range around the center line
of the control chart. The alpha is used to compute the upper and lower control limits. 100 –
alpha % of the distribution of the control chart is inside the control limits. Corrective factors
according to Burr (1969) will be applied.

P bar / C bar / U bar: Activate this option to enter a value for the center line of the control chart.
This value should be based on historical data.
Outputs tab:
1 point more than 3s from center line.
9 points in a row on same side of center line.
6 points in a row, all increasing or all decreasing.
14 points in a row, alternating up and down.
2 out of 3 points > 2s from center line (same side).
4 out of 5 points > 1s from center line (same side).
15 points in a row within 1s of center line (either side).
8 points in a row > 1s from center line (either side).
Rule 1 2s.
Rule 1 3.
Rule 2 2s.
Rule 4s.
Rule 4 1s.
Rule 10 X.

Charts tab:
density function.
Number of observations: Enter the maximal number of the last observations to be displayed in
the Run chart.
Results
Estimation:
Process capability:

"not adequate" if Cp < 1,
"adequate" if 1 <= Cp <= 1.33,
"more than adequate" if Cp > 1.33.
1.33 for existing processes,
1.50 for new processes or for existing processes when the variable is critical,
1.67 for new processes when the variable is critical.
1.25 for existing processes,
1.45 for new processes or for existing processes when the variable is critical,
1.60 for new processes when the variable is critical.
Chart information:
alone or in combination with the X attribute chart.
P / NP / C / U chart: This table contains information about the center line and the upper and
lower control limits of the selected chart. There will be one column for each phase.
Observation details: This table displays detailed information for each observation. For each
observation the corresponding phase, the value for P, NP, C or U, the subgroup size, the center
line, the lower and upper control limits are displayed. If the information about the zones A, B and

C are activated, then the lower and upper control limits of the zones A and B are displayed as
well.
For each subgroup there is one row for each rule that applies. "Yes" indicates that the
P / NP / C / U Chart: If the charts are activated, then a chart containing the information of the
two tables above is displayed. The center line and the lower and upper control limits are
displayed as well. If the corresponding options have been activated, the lower and upper control
limits for the zones A and B are included and there are labels for the subgroups for which rules
were fired. A legend with the activated rules and the corresponding rule number is displayed
below the chart.
Normality tests:
Example
A tutorial explaining how to use the attributes charts tool is available on the Addinsoft web site.
To consult the tutorial, please go to:
References
control, 23(11), 563-569.
Deming, W. E. (1993). The New Economics for Industry, Government, and Education.
Technology.

Ekvall D. N. ( 1974). Manufacturing Planning. In Quality Control Hand-. book,. 3rd Ed. (J. M.
Juran, et al. eds.) pp. 9-22-39, McGraw-Hill Book Co., New York
Montgomery D.C. (2001), Introduction to Statistical Quality Control, 4th edition, John Wiley &
Sons.
Nelson L.S. (1984), "The Shewhart Control Chart - Tests for Special Causes," Journal of
Quality Technology, 16, 237-239.

New York.

Time Weighted Charts
Use this tool to supervise production quality, in the case where you have a group of
measurements or a single measurement for each point in time. The measurements need to be
quantitative variables.
This tool is useful to recap the mean and the variability of the measured production quality.
In this section:
Description
Dialog box
Results
Example
References
Description
Time Weighted charts
The time weighted charts tool offers you the following chart types:
CUSUM or CUSUM individual
UWMA or UWMA individual
EWMA or EWMA individual
Statistical Process Control 1154 Time Weighted Charts

A CUSUM, UWMA or EWMA chart is useful to follow the mean of a production process. Mean
shifts are easily visible in the diagrams.
UWMA and EWMA charts
These charts are not directly based on the raw data. They are based on the smoothed data.
In the case of UWMA charts, data are smoothed using a uniform weighting in a moving window.
Then the chart is analyzed like Shewhart charts.
In the case of EWMA charts, the data is smoothed using a exponentially weighting. Then the
chart is analyzed like Shewhart charts.
CUSUM charts
These charts are not directly based on the raw data. They are based on the normalized data.
These charts help to detect mean shifts of at a user defined granularity. The granularity is
defined by the design parameter k . k is the half of the mean shift to be detected. To detect a 1
sigma shift, k is set to 0.5.
Two kinds of CUSUM charts can be drawn: one and two sided charts. In the case of a one sided
CUSUM chart, upper and lower cumulated sums SH and SL are recursively calculated.
SHi = max(0, (zi − k) + SHi−1 )
SLi = min(0, (zi + k) + SLi−1 )
If SH or SL is bigger than the threshold h, then a mean shift is detected. The value of h can
be chosen by the user (h is usually set to 4 or 5).
The initial value of SH and SL at the beginning of the calculation and after detecting a mean
shift is usually 0. Using the option FIR (Fast Initial Response) can change this initial value to a
user defined value.
In the case of a two sided CUSUM chart the normalized data are calculated. The upper and
lower control limits are called "U mask" or "V mask". These names are related to the shape
that the control limits draws on the chart. For a given data point the maximal upper and lower
limits for mean shift detection are calculated backwards and drawn in the chart in a U or V
mask format. The default data point for the origin of the mask is the last data point. The user
can change this by the option origin.
This tool offers you the following options for the estimation of the standard deviation (sigma) of
the data set, given k subgroups and ni (i = 1, … , k) measurements per subgroup:
Pooled standard deviation: sigma is computed using the k within-subgroup variances:

k
∑ (ni − 1) s2i k
s^ = i=1
k
/c4 (1 + ∑ (ni − 1))
∑ (ni − 1) i=1
i=1
R bar: The estimator for sigma is calculated based on the average range of the k
^ = R /d2 where d2 is the control chart constant according to Burr (1969).
subgroups. s
S bar: The estimator for sigma is calculated based on the average of the standard
k
deviations of the k subgroups: S^ = 1
k
∑ s2i /c4
i=1
In the case of n Individual measurements:
Average moving range: The estimator for sigma is calculated based on the average
^ = m /d2 , where d2 is the
moving range using a window length of m measurements. s
control chart constant according to Burr (1969).
Median moving range: The estimator for sigma is calculated based on the median of the
moving range using a window length of m measurements. s ^ = median /d4 where d4 is
the control chart constant according to Burr (1969).
standard deviation: The estimator for sigma is calculated based on the standard
deviation of the n measurements: s^ = s/c4 wherec4 is the control chart constant
according to Burr (1969).
Process capability
Use the Box-Cox transformation to improve the normality of the data set. Then verify
again the normality using a normality test.
Use the process capability indicator Cp 5.5.
Box-Cox transformation: Box-Cox transformation is used to improve the normality of the time
series; the Box-Cox transformation is defined by the following equation:

Yt = {
Xtλ −1
λ
, (Xt > 0, λ = 0) or (Xt ≥ 0, λ > 0)
ln (Xt ) , Xt > 0, λ = 0
Where the series {Xt } being transformed into series {Yt }, (t = 1, … , n):
Note: if l < 0 the first equation is still valid, but Xt must be strictly positive. XLSTAT accepts a
fixed value of l, or it can find the value that maximizes the likelihood value, the model being a
Chart rules
Dialog box
observations.
Mode tab:

EWMA or CUSUM.
At this stage, the time weighted charts family is selected. If you want to switch to another chart
family, please change the corresponding option and call the help function again if you want to
obtain more details on the available options. The options below correspond to the subgroups
charts
Chart type: Select the type of chart you want to use (see the description section for more
details):
CUSUM chart
CUSUM individual chart
UWMA chart
UWMA individual chart
EWMA chart
EWMA individual chart
General tab:
Columns/Rows: Activate this option for XLSTAT to take each column (in column mode)
or each row (in row mode) as a separate measurement that belongs to the same
subgroup.
One column/Row: Activate this option, if the measurements of subgroups continuously

follow one after the other in one column or one row. To assign the different measurements
to their corresponding subgroup, please enter a constant group size or select a column or
row with the group identifier in it.
Data: If the data format « One column/row » is selected, please choose the unique column or
row that contains all the data. The assignment of the data to their corresponding subgroup must
be specified using the Groups field or setting the common subgroup size. If you select the data
« Columns/rows » option, please select a data area with one column/row per measurement in a
subgroup.
Groups: If the data format « one column/row » is selected, then activate this Option to select a
column/row that contains the group identifier. Select the data that identifies for each element of
the data selection the corresponding group.

Common subgroup size: If the data format « One column/row » is selected and the subgroup
size is constant, then you can deactivate the groups option and enter in this field the common
subgroup size.
Standardize: In the case of a CUSUM chart, please activate this option to display the
cumulated sums and the control limits normalized.
Target: In the case of a CUSUM chart, please activate this option to enter the target value that
will be used during the normalization of the data. Default value is the estimated mean.
Weight: In the case of a EWMA chart, please activate this option to enter the weight factor of
the exponential smoothing.
MA Length: In the case of a UWMA chart, please activate this option to enter the length of the
window of the moving average.
Options tab:
control limit.

Value: Enter the lower control limit. This value will be used and overrides the calculated upper
control limit.
Confidence interval (%): If the "Calculate Process Capabilities" option is activated, please
interval around the parameters. Default value: 95.
value of the λ parameter, or decide to let XLSTAT optimize it (see the description for further
details).
be applied.
alpha: Activate this option to enter the size of the confidence range around the center line of the
control chart. The alpha is used to compute the upper and lower control limits. (100 − α)% of
the distribution of the control chart is inside the control limits. Corrective factors according to
Burr (1969) will be applied.
Estimation tab:

Pooled standard deviation: The standard deviation is calculated using all available
measurements. That means having n subgroups with k measurements for each subgroup,
all the n * k measurements will be weighted equally to calculate the standard deviation.
R bar: The estimator of sigma is calculated using the average range of the n subgroups.
S bar: The estimator of sigma is calculated using the average standard deviation of the n
subgroups.
Average Moving Range: The estimator of sigma is calculated using the average moving
range using a window length of m measurements.
Median Moving Range: The estimator of sigma is calculated using the median of the
moving range using a window length of m measurements.
MR Length: Activate this option to change the window length of the moving range.
Standard deviation: The estimator of sigma is calculated using the standard deviation of
the n measurements.
Design tab:
This tab is only active, if CUSUM charts are selected.
Scheme: Choose one of the following options depending on the kind of chart that you want (see
the description for further details):
One sided (LCL/UCL): The upper and lower cumulated sum are calculated separately for
each point.
FIR: Activate this option to change the initial value of the upper and lower cumulated sum.
Default value is 0.
Two sided (U-Mask): The normalized values are displayed. Starting from the origin point
the upper and lower limits for the mean shift detection a displayed backwards in form of a
mask.
Origin: Activate this option to change the origin of the mask. Default value is the last data
point.
Design: In this section you can determine the Parameter of the mean-shift detection (see the
description for further details):
h: Enter the threshold for the upper and lower cumulated sum or mask from above which
a mean shift is detected.

k: Enter the granularity of the mean shift detection. K is the half of the mean shift to be
detected. Default value is 0.5 to detect 1 sigma mean shifts.
Outputs tab:
Rule 1 2s
Rule 1 3
Rule 2 2s
Rule 4s
Rule 4 1s
Rule 10 X

Charts tab:
density function.
Number of observations: Enter the maximal number of the last observations to be

displayed in the Run chart.
Results
Estimation:
Process capabilities:

"not adequate" if Cp < 1
"adequate" if 1 <= Cp <= 1.33
"more than adequate" if Cp > 1.33
Chart information:
The following results are displayed separately for the requested chart.
UWMA / EWMA / CUSUM chart: This table contains information about the center line and the
upper and lower control limits of the selected chart. There will be one column for each phase.
Observation details: This table displays detailed information for each subgroup. For each
subgroup the corresponding phase, the values according to the selected diagram type, the
center line, the lower and upper control limits are displayed. If the information about the zones
A, B and C are activated, then the lower and upper control limits of the zones A and B are
displayed as well.

For each subgroup there is one row for each rule that applies. "Yes" indicates that the
UWMA / EWMA / CUSUM Chart: If the charts are activated, then a chart containing the
information of the two tables above is displayed. The center line and the lower and upper
control limits are displayed as well. If the corresponding options have been activated, the lower
and upper control limits for the zones A and B are included and there are labels for the
Normality tests:
Example
A tutorial explaining how to use the SPC time weighted charts tool is available on the Addinsoft
web site. To consult the tutorial, please go to:
References
Burr, I. W. (1967). The effect of non-normality on constants for X and R charts. Industrial Quality
control, 23(11), 563-569.
Technology.
Ekvall D. N. (1974). Manufacturing Planning. In Quality Control Handbook,. 3rd Ed. (J. M.

Sons.

New York.

Pareto plots
Use this tool to calculate descriptive statistics and display Pareto plots (bar and pie charts) for a
set of qualitative variables.
In this section:
Description
Dialog box
Example
References
Description
A Pareto chart draws its name from an Italian economist, but J. M. Juran is credited with being
the first to apply it to industrial problems.
The causes that should be investigated (e. g., nonconforming items) are listed and percentages
assigned to each one so that the total is 100 %. The percentages are then used to construct the
diagram that is essentially a bar or pie chart. Pareto analysis uses the ranking causes to
determine which of them should be pursued first.
XLSTAT offers you a large number of descriptive statistics and charts which give you a useful
and relevant insight of your data.
Descriptive statistics for qualitative data:
For a sample made up of N qualitative values, we define:
n to be the number of non-missing values, and w1 , w2 , … wn to be the sub-sample of
weights for the non-missing values.
Sum of weights*: The sum of the weights, Sw . When all the weights are 1, Sw = n.
Mode*: The mode of the sample analyzed. In other words, the most frequent category.
Frequency of mode*: The frequency of the category to which the mode corresponds.
Statistical Process Control 1167 Pareto plots

Category: The names of the various categories present in the sample.
Frequency by category*: The frequency of each of the categories.
Relative frequency by category*: The relative frequency of each of the categories.
Cumulated relative frequency by category*: The cumulated relative frequency of each

of the categories.
Several types of chart are available for qualitative data:
Charts for qualitative data:
Bar charts: Check this option to represent the frequencies or relative frequencies of the
various categories of qualitative variables as bars.
Pie charts: Check this option to represent the frequencies or relative frequencies of the
various categories of qualitative variables as pie charts.
Double pie charts: These charts are used to compare the frequencies or relative
frequencies of sub-samples with those of the complete sample.
Doughnuts: this option is only checked if a column of sub-samples has been selected.
Stacked bars: this option is only checked if a column of sub-samples has been selected.
Dialog box

observations.
General tab:
Causes: Select a column (or a row in row mode) of qualitative data that represent the list of
causes you want to calculate descriptive statistics for.
Frequencies: Check this option, if your data is already aggregated in a list of causes and a
corresponding list of frequencies of these causes. Select here the list of frequencies that
correspond to the selected list of causes.
Sub-sample: Check this option to select a column showing the names or indexes of the sub-
Sample labels: Check this option if the first line of the selections (qualitative date, sub-samples,
and weights) contains a label.
Options tab:
Charts: Check this option to display the charts.
Compare to total sample: this option is only checked if a column of sub- samples has been
selected. Check this option so that the descriptive statistics and charts are also displayed for the
total sample.

Sort up: Check this option to sort the data upwards.
Combine categories: Select the option that determine if and how categories of the qualitative
data should be combined.
None: Choose this option to not combine any categories.
Frequency less than: Choose this option to combine categories having a frequency
smaller that the user defined value.
% smaller than: Choose this option to combine categories having a % smaller that the
user defined value.
Smallest categories: Choose this option to combine the m smallest categories. The
value m is defined by the user.
Cumulated %: Choose this option to combine all categories, as soon as the cumulative %
of the Pareto plot is bigger than the user defined value.
Outputs tab:
Qualitative data: Activate the options for the descriptive statistics you want to calculate. The
Charts tab:
Bar charts: Check this option to represent the frequencies or relative frequencies of the various
categories of qualitative variables as bars.
Pie charts: Check this option to represent the frequencies or relative frequencies of the various
categories of qualitative variables as pie charts.
Doubles: this option is only checked if a column of sub-samples has been selected.
Doughnuts: this option is only checked if a column of sub-samples has been selected. These
Stacked bars: this option is only checked if a column of sub-samples has been selected. These

Values used: choose the type of data to be displayed:
Frequencies: choose this option to make the scale of the plots correspond to the
frequencies of the categories.
Relative frequencies: choose this option to make the scale of the plots correspond to the
relative frequencies of the categories.
Example
An example showing how to create Pareto charts is available on the Addinsoft website:
http://www.xlstat.com/demo-pto.htm
References
Juran J.M. (1960). Pareto, Lorenz, Cournot, Bernouli, Juran and others. Industrial Quality-
Control, 17(4), 25.
Pareto V. (1906). Manuel d’Economie Politique. 1. Edition, Paris.

Gage R&R for quantitative variables (Measurement
System Analysis)
Use this tool to control and validate your measurement method and measurement systems, in
the case where you have several quantitative measures taken by one or more operators on
several parts.
In this section:
Description
Dialog box
Results
Example
References
Description
Measurement System Analysis (MSA) or Gage R&R (Gage Repeatability and Reproducibility) is
a method to control and judge a measurement process. It is useful to determine which sources
are responsible for the variation of the measurement data. Variability can be caused by the
measurement system, the operator or the parts. Gage R&R applied to quantitative
measurements is based on two common methods: ANOVA and R control charts.
The word "gage" (or gauge) refers to the fact that the methodology is aimed at validating
instruments or measurement methods.
A measurement is "repeatable" if the measures taken by a given operator for the same object
(product, unit, part, or sample, depending of the field of application) repeatedly, do not vary
above a given threshold. If the repeatability of a measurement system is not satisfactory, one
should question the quality of the measurement system, or train the operators that do not obtain
repeatable results if the measurement system does not appear to be responsible for the high
variability.
A measurement is "reproducible" if the measures obtained for a given object (product, unit, part,
or sample, depending of the field of application) by several operators do not vary above a given
threshold. If the reproducibility of a measurement system is not satisfactory, one should train the
operators so that their results are more homogeneous.
The goal of a Gage R&R analysis is to identify the sources of variability and to take the
necessary actions to reduce them if necessary.
When the measures are quantitative data, two alternative methods are available for Gage R&R
analysis. This first is based on analysis of variance (ANOVA) and on R control charts (Range
and average).

Statistical Process Control 1172 System Analysis)
In the descriptions below, ^ 2Repeatability stands for the variance corresponding to repeatability.
σ
The lower it is, the more repeatable the measurement (an operator gives coherent results for a
given part). Its computation is different for the ANOVA and for the R control charts.
^ 2 Reproducibility is the fraction of the total variance that corresponds to reproducibility. The lower
σ
it is, the more reproducible the measurement (the various operators given consistent
measurements for a given part).Its computation is different for the ANOVA and for the R control
charts.
^ 2R&R is the variance of the gage R&R. The computation is always the sum of the two previous
σ
variances σ ^ 2R&R = σ^ 2Repeatability + σ
^ 2 Reproducibility .
ANOVA
When the ANOVA model is used in R&R analysis, one can statistically test whether the
variability of the measures is related to the operators, and/or to the parts being measured
themselves, and/or to an interaction between both (some operators might give for some parts
significantly higher or lower measures), or not. Two designs are available when doing gage R&R
analysis: the crossed design (balanced) and the nested design. XLSTAT includes as of today
the crossed design.
Crossed design:
A balanced ANOVA with the two factors Operator and Part is carried out. You can choose
between a reduced ANOVA model that involves only the main factors, or a full model that
includes the interaction term as well (Part*Operator).
For a crossed ANOVA, the data must satisfy the needs of a balanced ANOVA. That means that
for a given factor, you have equal frequencies for all categories, and each operator must have
measured each part. In the case of a full ANOVA, the F statistics are calculated as follows:
Foperator = M SEoperator /M SEpart∗operator
Fpart = M SEpart /M SEpart∗operator

where MSE stands for mean squared error.
If the p-Value of the interaction Operator*Part is bigger or equal to the user defined threshold
(usually 25 %), the interaction term is removed from the model. We then have a reduced model.
In the case of a crossed ANOVA with interaction, the variances are defined as follows:

^ 2 = M SEError
σ
^ 2part∗operator = (M SEpart∗operator − M SEError ) /nRep
σ
^ 2operator = (M SEoperator − M SEpart∗operator ) /(nP art.nRep)
σ
^ 2part = (M SEpart − M SEpart∗operator ) /(nOperator.nRep)
σ
^ 2Repeatability = σ
σ ^2
^ 2 Reproducibility = σ
σ ^ 2operator + σ
^ 2part∗operator
^ 2R&R = σ
σ ^ 2Repeatability + σ
^ 2 Reproducibility
In the case of a reduced model (without interaction), the variances are defined as follows:
^ 2 = M SEError
σ
^ 2part∗operator = 0
σ
^ 2operator = (M SEoperator ) /(nP art.nRep)
σ
^ 2part = (M SEpart ) /(nOperator.nRep)
σ
σ ^2
^ 2 Reproducibility = σ
σ ^ 2operator + σ
^ 2part∗operator
^ 2R&R = σ
^ 2 Reproducibility
where MSE stands for mean squared error, nRep is the number of repetitions, nP art is the
number of parts, and nOperator is the number of operators.
Nested design:
A nested ANOVA with the two factors Operator and Part(Operator) is carried out.
For a nested ANOVA, the data must satisfy the following prerequisites: for a given factor, you
must have equal frequencies for all categories, and a part is checked by only one operator. The
F statistics are calculated as follows:
Foperator = M SEoperator /M SEpart(operator)
Fpart(operator) = M SEpart(operator) /M SEError

where MSE stands for mean squared error.
^ 2 = M SEError
σ
σ ^2
^ 2 Reproducibility = (M SEoperator − M SEpart(operator) ) /(nP art.nRep)
σ
^ 2R&R = σ
^ 2 Reproducibility

where MSE stands for mean squared error, nRep is the number of repetitions, nP art is the
number of parts, and nOperator is the number of operators.
R charts
While less powerful than the ANOVA method, the Gage R&R analysis based on Range and
Average analysis, is easy to compute and produces control charts (R charts). As the ANOVA
method, it allows to compute the repeatability and the reproducibility of the measurement
process. To use this method you need to have several parts, operators and repetitions (typically
10 parts, 3 operators, and 2 repetitions).
Based on the R chart, the different variances can be calculated as follows:
ˉ /d∗2 (nRep, nP art ∗ nOperator)

^ 2Repeatability = R
σ
2
Max(μP art ) − Min(μP art ) ^ 2Repeatability
σ
^ 2 Reproducibility
σ =( ) −
d∗2 (nOperator, 1) nP art ∗ nOperator
^ 2R&R
σ =σ 2
^ Repeatability + σ 2
^ Reproducibility
2
Max(μOperator ) − Min(μOperator )
=(
^ 2part
σ )
d∗2 (nP art, 1)
^2 = σ
σ ^ 2R&R + σ
^ 2part
where Max(μP art (respectively Operator) ) − Min(μP art (respectively Operator) )

is the difference between the maximum and the minimum across operators (respectively parts)
of the averages for each part (respectively operators), nRep is the number of repetitions,
nP art is the number of parts, nOperator is the number of operators and d∗2 (m, k) is the
control chart constant according to Burr (1969).
During the computation of the repeatability, we see that the mean amplitude of the Range chart
is used. The variability of the parts and the reproducibility are based on the mean values of the
Xˉ chart.
Indicators
XLSTAT offers several indicators derived from the variances to describe the measurement
system.
The study variation for the different sources is calculated as product of the corresponding
standard deviation of the source and the used defined factor k Sigma:
Study variation = k ∗σ
^
The tolerance in percent is defined as the ratio of the variance in the study and the user defined
tolerance:
% tolerance = Study variation / tolerance

The process sigma in percent is defined as ratio of the standard deviation of the source and the
user defined historic process sigma:
% process = standard deviation of the source / process sigma
Precision to tolerance ratio (P/T):
k∗σ ^ 2R&R
P /T =
tolerance
Rho P (Rho Part):
^ 2P art
σ
ρP art =
^2
σ
Rho M:
^ 2R&R
σ
ρM =
σ^2
Signal to noise ratio (SNR):
2ρP art
SN R =
1 − ρP art
Discrimination ratio (DR):
1 + ρP art
DR =
1 − ρP art
Bias:
Bias = μM easurements − target

Bias in percent:
Bias% = (μM easurements − target)/tolerance

Resolution:
^ 2R&R
Resolution = Bias + 3 ∗ σ
Dialog box

observations.
General tab:
Y / Measurement: Choose the unique column or row that contains all the data. The assignment
of the data to their corresponding subgroup must be specified using the Operator and the Parts
field.
X / Operator: Select the data that identify for each element of the data selection the
corresponding operator.
Parts: Select the data that identify for each element of the data selection the corresponding
part.
Method: Choose the method to be used:
ANOVA: Activate this option, to calculate variances based on an ANOVA analysis.
R chart: Activate this option, to calculate variances based on an R chart.
Variable-category labels: Activate this option to display in the results the modalities in the form
of variable name – category name.
Sort categories alphabetically: Activate this option to sort the categories of the variables in
alphabetic order.

Options tab:
k Sigma: Enter the user defined dispersion. Default value is 6.
Tolerance interval: Activate this option to define the amplitude of the tolerance interval (also
U SL − LSL).
value should be based on historical data.
Target: Activate this option to add the reference value of the measurements.
ANOVA: Choose the ANOVA model that should be used for the analysis:
reduced
crossed
Significance level (%): Enter the threshold below which the interaction of the crossed
model should be taken into account. Default value is 5.
nested
Estimation tab:
Method for Sigma: Select the method for estimating the standard deviation of the control chart
(see the description for further details):
Pooled standard deviation
R-bar
S-bar
Outputs tab:
Variance components: Activate this option to show the table that displays the various variance
components.
Status indicator: Activate this option to display the status indicators for the assessment of the
measurement system.
Analysis of variance: Activate this option to display the variance analysis table.
Display zones: Activate this option to display, beside the lower and upper control limit, the limits
of the A and B zones.

Charts tab:
Continuous line: Activate this option to connect the points on the control chart.
Needles view: Activate this option to display for each point of the control chart, the minimum
and maximum of the corresponding subgroup.
Connect through missing: Activate this option to connect the points, even when missing
values separate the points.
section of the univariate plots for more details.
Minimum/Maximum: Check this option to systematically display the points corresponding

to the minimum and maximum (box plots).
Outliers: Check this option to display the points corresponding to outliers (box plots) with
a hollowed-out circle.
Label position: Select the position where the labels have to be placed on the box plots
and scattergrams plots.
Results
Variance components:
The first table and the corresponding chart display the variance split into its different sources.
The contributions to the total variance and to the variance in the study, which is calculated using
the user defined dispersion value, are given afterwards.
If a tolerance interval was defined, then the distribution of the variance by the variance
according to the tolerance interval is displayed as well.
If a process sigma has been defined, then the distribution of the variance by the variance
according to the process sigma is displayed as well.
The next table shows a detailed distribution of the variance by the different sources. Absolute
values of the variance components and the percentage of the total variance are displayed.

The third table shows the distribution of the standard deviation for the different sources. It
displays the absolute values of the variance components, the study variation that is calculated
as the product of the standard deviation and the dispersion, the percentage of the study
variation, the tolerance variability, which is defined as the ratio between variability of the study
and the process sigma, and the percentage of the process variability.
Status indicator:
The first table shows information for the assessment of the measurement system. The Precision
to tolerance ratio (P/T), Rho P, Rho M, Signal to noise ratio (SNR), Discrimination ratio (DR),
absolute bias, and percentage and the resolution are displayed. The definition of the different
indicators is given in the section description.
P/T values have the following status:
"more than adequate" if P/T <= 0.1
"adequate" if 0.1 < P/T <= 0.3
"not adequate" if P/T > 0.3
SNR values have the following status:
"not acceptable" if SNR < 2
"not adequate" if 2 <= SNR <= 5
"adequate" if SNR > 5

part).

n
∑ wi (yi − yî )2 n
1
2
R =1− i=1
n where yˉ = ∑ wi yi
n i=1
∑ wi (yi − yˉ)2
i=1
^ 2 = 1 − (1 − R2 ) W − 1
R
W −p−1
used in the model.

x
1
M SE = ∗
∑ wi (yi − yî )2
W − p i=1
Analysis of variance:
The variance analysis table is used to evaluate the explanatory power of the explanatory
variables. The explanatory power is evaluated by comparing the fit (as regards least squares) of
the final model with the fit of the rudimentary model whose independent variable would be a
constant equal to the mean.
Chart information:
alone or in combination with the X bar chart.
X bar/ R chart: This table contains information about the center line and the upper and lower
control limits of the selected chart. There will be one column for each phase.
Observation details: This table displays detailed information for each subgroup (a subgroup
corresponds to a pair of Operator*Part). For each subgroup the corresponding phase, the size,
the mean, the minimum and the maximum values, the center line, and the lower and upper
control limits are displayed. If the information about the zones A, B and C are activated, then the
lower and upper control limits of the zones A and B are displayed as well.

X bar/ R chart: If the charts are activated, then a chart containing the information of the two
tables above is displayed. Each subgroup is displayed. The center line and the lower and upper
control limits are displayed as well. If the corresponding options have been activated, the lower
and upper control limits for the zones A and B are included and there are labels for the
Finally the mean charts for each operator, for each part and for the interaction Operator*Part are
displayed.
Example
A tutorial explaining how to use the Gage R&R tool is available on the Addinsoft web site. To
http://www.xlstat.com/demo-rrx.htm
References
control, 23(11), 563-569.
Technology.
Sons.

New York.

Gage R&R for Attributes (Measurement System
Analysis)
Use this tool to control and validate your measurement method and measurement systems, in
the case where you have qualitative measurements (attributes) nominal or ordinal
measurements taken by one or more operators on several parts.
In this section:
Description
Dialog box
Results
References
Description
Measurement System Analysis (MSA) or Gage R&R (Gage Repeatability and Reproducibility) is
a method to control and judge a measurement process. It is useful to determine which sources
are responsible for the variation of the measurement data. The word "gage" (or gauge) refers to
the fact that the methodology is aimed at validating instruments or measurement methods.
Attributes data are quality characteristics (or attributes) than can be categorized and counted.
Data can be nominal, that is have multiple levels without natural ordering, or ordinal, that is have
at least three levels and natural ordering.
In contrast to the Gage R&R for quantitative measurements, the analysis based on attributes
gives information on the "agreement" and on the "correctness". The concepts of variance,
repeatability and reproducibility are not relevant in this case.
A high "agreement" of the measures taken by a given operator for the same object (product,
unit, part, or sample, depending of the field of application) repeatedly, shows that the operator is
consistent. If the agreement of a measurement system is low, one should question the quality of
the measurement system or protocol, or train the operators that do not obtain a high agreement,
if the measurement system does not appear to be responsible for the lack of agreement.
A high "correctness" of the measures taken by an operator for the same object (product, unit,
part, or sample, depending of the field of application) in comparison to the given reference or
standard value shows that the operator comes to correct results. If the correctness of a
measurement system is low, one should train the operators so that their results are more
correct.
The goal of a Gage R&R analysis for attributes is to identify the sources of low agreement and
low correctness, and to take the necessary actions if necessary.
The Gage R&R analysis for attributes is based on the following statistics to evaluate the
agreement and correctness:

Statistical Process Control 1183 Analysis)
Agreement statistics
Kappa coefficients
Kendall coefficients
If possible, the following comparisons are performed:
Within operator
Between operators
Each operator versus reference
All Operators versus reference
The reference (or standard) corresponds to the measurements reported by an expert or a

method that is considered as highly reliable.
Agreement statistics
It is possible to calculate these statistics in all of the sections. In each section, the number of
part inspected, the number of matched scores and the ratio of matched scores together with
percentage of matched scores and confidence interval are displayed.
In the within operator section, XLSTAT computes for each operator the number of cases where
he agrees with himself for a given part across all repetitions.
In the between operator section, XLSTAT computes the number of cases where all operators
agree for a given part across all repetitions.
In the Operator vs. reference section, XLSTAT gives the number of cases where an operator
agrees with the reference across all repetitions.
In the all operators vs. reference section, XLSTAT computes the number of cases where all
operators agree with the reference across all repetitions.
Kappa coefficients
Cohen’s and Fleiss’ Kappa are well suited for qualitative variables. These coefficients are
calculated on contingency tables obtained from paired samples. The Fleiss’ kappa is a
generalization of the Cohen’s kappa. The kappa coefficient varies between -1 and 1. The higher
the value of kappa, the stronger the agreement/correctness.
In the case of within operator analysis, Cohen’s kappa can only be computed if there are exactly
two trials.
In the case of between operators analysis, Cohen’s kappa can only be computed for two
operators with single trial.
Kendall coefficients

These indicators are available for ordinal variables with at least 3 categories.
The Kendall’s coefficient of concordance measures on a 0 (no agreement) to 1 (perfect

agreement) scale the degree of concordance between two ordinal variables.
The Kendall’s correlation coefficient, also referred to as Kendall tau or tau-b, allows to measure
on a -1 to 1 scale the degree of concordance between two ordinal variables.
Dialog box
observations.
General tab:
Data format: Choose the data format:
Observations/variables table: Activate this option if the data contain one column for all
measurements.
Multipla columns: Activate this option if the data contain one column per operator and
repetition.
If the observations/variables table format is selected:
Measurement: Choose the unique column or row that contains all the measurement data.
Choose the data type:

Ordinal: Activate this option if the measurement data is ordinal.
Nominal: Activate this option if the measurement data is nominal.
Operator: Select the column or row that identify for each element of the data selection the
corresponding operator.
Parts: Select the column or row that identify for each element of the data selection the
corresponding part.
Reference: Activate this option, if reference or standard values are available. Select the column
or row that indicate for each measurement the reference values.
If the multiple columns format is selected:
Measurement: Choose the table that contains all the measurement data.
Choose the data type:
Ordinal: Activate this option if the measurement data is ordinal.
Nominal: Activate this option if the measurement data is nominal.
Number of operator s: Enter the number of operators who evaluated the parts.
Number of repetitions: Enter the number of repetitions.
Parts: Select the column or row that identify for each element of the data selection the
corresponding part.
Reference: Activate this option, if reference or standard values are available. Select the column
or row that indicate for each measurement the reference values.
Range: Activate this option to display the results starting from a cell in an existing worksheet.
Then select the corresponding cell.
Options tab:

Statistics:
Fleiss’ kappa: Activate this option if you want Fleiss’ kappa to be computed
Cohen’s kappa: Activate this option if you want Cohen’s kappa to be computed
Kendall’s coefficient of concordance: Activate this option if you want Kendall’s

coefficient of concordance to be computed (this option is only available for ordinal data)
Kendall’s correlation coefficient: Activate this option if you want Kendall’s correlation
coefficient to be computed (this option is only available for ordinal data and when a
reference is available)
Confidence interval (%) : Enter the confidence interval (default value: 95)
Outputs tab:
Agreement: Activate this option to display the tables with the agreement statistics.
Charts tab:
Agreement charts: Activate this option to display the charts that show the mean values and
their corresponding confidence intervals for the agreement statistics.
Within operator: Activate this option to display the agreement chart for each operator
over replicates.
Operator versus reference: Activate this option to display the agreement chart for each
operator compared to the reference.
Results
The tables with the selected statistics will be displayed.
The results are divided into the following four sections:
Within operator
Between operators
Operator versus reference
All Operators versus reference
Within each section, the following indicators are displayed, as far as the calculation is wanted
and possible:

Areement statistics
Kappa statistics
Kendall statistics
References
Agresti A. and Caffo, B. (2000). Simple and effective confidence intervals for proportions and
differences of proportions result from adding two successes and two failures. The American
Statistician, 54, 280-288.
control, 23(11), 563-569.
Technology.
Sons.

New York.

Design of Experiments
Screening designs
Use this module to generate a design to analyze the effect of 2 to 35 factors on one or more
responses. This family of screening design is used to find the most influencing factors out of all
the studied factors.
In this section:
Description
Dialog box
Results
Example
References
Description
The family of screening designs aims for the study of the effect of two or more factors. In
general, factorial designs are the most efficient for this type of study. But the number of
necessary tests is often too large when using factorial designs. There are other possible types
of designs in order to take into account the limited number of experiments that can be carried
out.
This tool integrates a large base of several hundred orthogonal design tables. Orthogonal
design tables are preferred, as the ANOVA analysis will be based on a balanced design.
Designs that are close to the design described by user input will be available for selection
without having to calculate for an optimal design. All existing orthogonal designs are available
for up to 35 factors having each between 2 and 7 categories. Most common families like full
factorial designs, Latin square and Placket and Burman designs are included.
If the existing orthogonal designs in the knowledge base do not satisfy your needs, it is possible
to search for D-Optimal designs. However, these designs might not be orthogonal.
Model
This tool generates designs that can be analyzed using an additive model without interactions
for the estimation of the mean factor effects. If p is the number of factors, the ANOVA model is
written as follows
p
yi = β0 + ∑ βk(i,j),j + ϵi
j=1
Design of Experiments 1189 Screening designs

Common designs
When starting the creation of an experimental design, the internal knowledge base is searched
for common orthogonal designs that are close to the problem. A distance measure d between
your problem and each common design is calculated in the following way:
pi = number of factors with i categories in the problem
ci = number of factors with i categories in the common design
pexp = number of experiments in the problem
cexp = number of experiments in the common design
d(c, p) = ∑7i=2 ∣ci − pi ∣ + cexp − pexp (1)
All common designs having the same number of factors as the problem and having a distance
d < 20 are proposed in a selection list.
The formal name for common designs is written in the following way:
Ln (pc11 , ..., pcmm )

Where
n = number of experiments
ci = number of categories of the group of factors pi
pi = number of factors having ci categories

A common name for each design is displayed in the list if available.
Optimization
This tool implements an exchange algorithm with 3 excursions to search for d-optimal designs.
The internal representation of the design matrix uses the following encoding. For a factor fi
having ci categories, ci − 1 columns k1 , ..., kci −1 are added in the design matrix X in the
following way for the different category values of fi :

The complete design matrix X is composed of n lines, where n is the number of experiences.
The matrix contains a first column with 1 in each line and ci − 1 columns for each factor fi in
the design, where ci is the number of categories of the corresponding factor fi .
X is the encoded design matrix, where every line represents the encoded experiment
corresponding to the experimental design.
The criterion used for the optimization is defined as:
c = log10 (det(X t X)) (2)

With
X t X = information matrix
X = encoded design matrix

This criterion is named in the results as follows:
c = Log(∣I∣)
The following common used criterion is also displayed in the results:
Log(∣I∣1/p )
When comparing experimental designs that have a different number of experiences, the
normalized log is used to be able to compare the different criteria values:
1
N orm. log = log10 ((det (X t X))1/p ) (3)
N
This criterion is named in the results as follows:
N orm. log = Log(∣1/n ∗ I∣∣1/p )

This measure allows comparing the optimality of different experimental designs, even if the
number of experiences is different.
The implemented algorithm offers 3 different starting options:
Random: A valid initial partition is generated using random numbers.
Simultaneous: A small number of experiences (n = 5) is generated by random. The rest of the

initial partition is added maximizing the optimization criteria of the exchange algorithm.
User defined: The user selects the initial partition to be used.
In the first two cases a number of repetitions should be selected in order to find a good local
optimum.

Output
This tool will provide a new design for testing. Optional experiment sheets for each individual
test might be generated on separated Excel sheets for printing. After having carried out the
experiments, complete the corresponding cells in the created experimental design in the
corresponding Excel sheet.
A hidden sheet with important information about the design is included in your Excel file in order
to have all necessary information for the XLSTAT analysis for screening designs ready. In this
way incorrect analysis of an experimental design is inhibited. Therefore please carry out your
analysis of your experimental design in the same Excel workbook where you created the design
itself.
Dialog box
observations.
General tab:
Model name: Choose a short model name for the design. This name will be used for the name
of the Excel sheets and during the selections of the analysis to create the link between the
design and the analysis of the model.
Number of factors: Choose the number of factors to be studied in the design. The possible
range is between 2 and 35 factors.

Minimum number of experiments: Enter the minimum number of experiments to be carried
out during the experimental design.
Maximum number of experiments: Enter the maximum number of experiments to be carried

out during the experimental design.
Number of responses: Enter the number of responses that you want to analyze with the
design.
Repetitions: Activate this option to choose the number of repetitions of the design.
Randomize: Activate this option to change the order of the lines of the design into a random
order.
Print experiment sheets: Activate this option in order to generate for each individual
experiment a separate Excel sheet with information about the experiment. This can be useful
when printed out for the realization of the experiment.
Options tab:
Method: Choose the method you want to use to generate the design.
Automatic: This method allows to search for an optimal design.
Initial partition: Choose how the initial partition is generated. The available methods are
random and simultaneous, and user defined. In the latter case, you must select the
design of experiments that will be used to start the search for the optimal design.
Repetitions: In the case of a random initial partition, enter the number of the repetitions to
perform.
Initial design: In the case of a user defined initial partition, select the range in the Excel
sheet that contains the initial design. The header line with the factor names have to be
included in the selection.
Stop conditions:
Iterations: Enter the maximum number of iterations for the algorithm. The
calculations are stopped when the maximum number of iterations has been

Convergence: Enter the maximum value of the evolution in the criterion from one
iteration to another which, when reached, means that the algorithm is considered to
equal to the number of combinations C(n, k) = [(n−k)!k!]n!
, where n is the number of
experiments of the full experimental design and k the maximum number of experiments to
include in the design. It is recommended to gradually increase the value of k , the maximum
number of experiments in the design.
Common designs: Choose this option to select one of the available common designs.
Factors tab:
Selection: Select one of the two following options to determine the selection mode for this
window:
Manual selection: All information about the factors will be inserted directly into the text
fields of the window.
Sheet selection: All information about the factors will be selected as ranges in the Excel
sheet. In This case a column with as much entries as the number of factors is expected.
Short name: Enter a short name for the factors composed of some characters. If manual
selection is activated, there is a text field for each factor. If sheet selection is activated, please
choose a range in the Excel sheet that contains one field with a value for each factor. The order
of the different factors must be the same for all the selections in this window. Header lines must
not be included in the selection. The first row of the selected range must contain data values.
Long name: Enter a long name for the factors composed of some characters. If manual
selection is activated, there is a text field for each factor. If sheet selection is activated, please
choose a range in the Excel sheet that contains one field with a value for each factor. The order
of the different factors must be the same for all the selections in this window. Header lines must
not be included in the selection. The first row of the selected range must contain data values.
Unit: Enter a description of the unit of the factors. If manual selection is activated, there is a text
field for each factor. If sheet selection is activated, please choose a range in the Excel sheet
that contains one field with a value for each factor. The order of the different factors must be the
same for all the selections in this window. Header lines must not be included in the selection.
The first row of the selected range must contain data values.
Unit (symbol): Enter the physical unit of the factors. If manual selection is activated, there is a
text field for each factor. If sheet selection is activated, please choose a range in the Excel
sheet that contains one field with a value for each factor. The order of the different factors must
be the same for all the selections in this window. Header lines must not be included in the
selection. The first row of the selected range must contain data values.

Number of categories: Enter the number of categories of the factors. If manual selection is
activated, there is a text field for each factor. If sheet selection is activated, please choose a
range in the Excel sheet that contains one field with a value for each factor. The order of the
different factors must be the same for all the selections in this window. Header lines must not be
included in the selection. The first row of the selected range must contain data values.
Category labels: Activate this option, if you have labels of the categories available. Select
columns with a list of labels of the categories in the Excel sheet. If manual selection is activated,
there is a text field for each factor. If sheet selection is activated, please choose a range in the
Excel sheet that contains one field with a value for each factor. The order of the different factors
must be the same for all the selections in this window. Header lines must not be included in the
Responses tab:
window:
Manual selection: All information about the responses will be inserted directly into the
text fields of the window.
Sheet selection: All information about the responses will be selected as ranges in the
Excel sheet. In This case a column with as much entries as the number of factors is
expected.
Short name: Enter a short name for the responses composed of some characters. If manual
selection is activated, there is a text field for each response. If sheet selection is activated,
please choose a range in the Excel sheet that contains one field with a value for each response.
The order of the different responses must be the same for all the selections in this window.
Header lines must not be included in the selection. The first row of the selected range must
contain data values.
Long name: Enter a long name for the responses composed of some characters. If manual
Unit: Enter a description of the unit of the responses. If manual selection is activated, there is a
text field for each response. If sheet selection is activated, please choose a range in the Excel
sheet that contains one field with a value for each response. The order of the different response
Unit (symbol): Enter the physical unit of the responses. If manual selection is activated, there is
a text field for each response. If sheet selection is activated, please choose a range in the Excel

Outputs tab:
Optimization summary: Activate this option to display the optimization summary.
Details of iterations: Activate this option to display the details of iterations.
Burt table: Activate this option to display the Burt table of the experimental design.
Encoded design: Activate this option to display the encoded experimental design in the case of
a d-optimal design.
Sort up: Activate this option to sort the categories in increasing order, the sort criterion being
the value of the category. If this option is activated, the sort is ascending.
Sort the categories alphabetically: Activate this option so that the categories of all the
variables are sorted alphabetically.
as a suffix.
Charts tab:
Evolution of the criterion: Activate this option for the evolution chart of the chosen criterion.
3D view of the Burt table: Activate this option to display a 3D visualization of the Burt table.
Screening designs / Common designs dialog box:
you want to use. Thus, a list of fractional factorial designs is presented with their respective
distance to the design that was to be generated. If you select a design and you click Select,
then the selected design will appear. If no design fits your needs, click on the "optimize" button,
and an algorithm will give you a design corresponding exactly to the selected factors.
Screening designs / optimal dialog box:
you want to use. This dialog box is displayed, if the option "optimize" was selected, and if the
minimum number of experiments is strictly less than the maximum number of experiments.
Thus, a list of fractional factorial designs is presented with an optimal design for each number of
experiments. The list contains for each design the number of experiments, the logarithm of the
determinant of the information matrix and the normalized logarithm of that determinant. The

histogram on the right displays the normalized logarithm for the designs, which are sorted in an
ascending number of experiments from the left to the right. The selected design in the list on the
left will appear red in the histogram on the right. If you select a design and you click Select, then
the selected design will appear in your analysis.
Results
If an Optimization was selected, then the following sections are displayed:
The start and end time, and the duration of the optimization are displayed.
Optimization summary: If the minimum number of experiments is strictly inferior to the

maximum number of experiments, then a table with information for each number of experiments
is displayed. This table displays for each optimization run the number of experiments, the
criterion log(determinant), the criterion norm.log(determinant) and the criterion
Log(∣I∣1/p ). The best result is displayed in bold in the first line. The criterion
norm.log(determinant) is shown in a chart.
Statistics for each iteration: This table shows for the selected experimental design the
evolution of the criterion during the iterations of the optimization. If the corresponding option is
activated in the Charts tab, a chart showing the evolution of the criterion is displayed.
Then a second table is displayed, if the minimum number of experiments is strictly inferior to the
maximum number of experiments. This table displays for each optimization run the number of
experiments, the number of iteration steps during the optimization, the criterion log(determinant)
and the criterion norm. log(determinant). The best result is displayed in bold in the first line.
Burt table: The Burt table is displayed only if the corresponding option is activated in the dialog
box. The 3D bar chart that follows is the graphical visualization of this table.
Variables information: This table shows the information about the factors. For each factor the
short name, long name, unit and physical unit are displayed.
Then the Model name is displayed, in order to select this field as identification when performing
the analysis of the generated design.
Experimental design: This table displays the complete experimental design. Additional
columns include information on the factors and on the responses, a label for each experiment,
the sort order, the run order and the repetition.
Endoded design ; This table shows the encoded experimental design. This table is only
displayed in the case of a d-optimal experimental design.
If the generation of experiment sheets was activated in the dialog box and if there are less
than 200 experiments to be carried out, an experiment sheet is generated for each line of the
experimental design on separate Excel sheets.
These sheets start with the report header of the experimental design and the model name to
simplify the identification of the experimental design that this sheet belongs to. Then the running
number of the experiment and the total number of experiments are displayed. The values of the

additional columns of the experimental design, i. e. sort order, run order, and repetition are
given for the experiment.
Last, the information on the experimental conditions of the factors is displayed with fields so that
the user can enter the results obtained for the various responses. Short names, long names,
units, physical units and values are displayed for each factor.
These sheets can be printed out or can be used in electronic format to assist during the
realization of the experiments.
Example
A tutorial on the generation and analysis of a screening design is available on the Addinsoft
website:
http://www.xlstat.com/demo-doe1.htm
References
Louvet, F. and Delplanque L. (2005). Design Of Experiments: The French touch, Les plans
d’expériences : une approche pragmatique et illustrée, Alpha Graphic, Olivet, 2005.
Montgomery D.C. (2005), Design and Analysis of Experiments, 6th edition, John Wiley & Sons.
Myers, R. H., Khuri, I. K. and Carter W. H. Jr. (1989). Response Surface Methodology: 1966 –
1988, Technometrics, 31, 137-157.

Analysis of a screening design
Use this tool to analyze a screening design of 2 to 35 factors and a user defined number of
results. A linear model with or without interactions will be used for the analysis
In this section:
Description
Dialog box
Results
Example
References
Description
Analysis of a screening design uses the same conceptual framework as linear regression and
variance (ANOVA). The main difference comes from the nature of the underlying model. In
ANOVA, explanatory variables are often called factors.
If p is the number of factors, the ANOVA model is written as follows

p
yi = β0 + ∑ βk(i,j),j + ϵi (1)
j=1
where Yi is the value observed for the dependent variable for observation i, k(i, j) is the index
of the category of factor j for observation i, and ϵi is the error of the model.
linear regression model, the Yi s are the expression of random variables with mean μi and
variance s2 , where
p
μi = β0 + ∑ βk(i,j),j
j=1
Durbin Watson test.
Design of Experiments 1199 Analysis of a screening design

For more information on ANOVA and linear regression please consider the corresponding
sections in the online help.
Balanced and unbalanced ANOVA
We talk of balanced ANOVA when for each factor (and interaction if available) the number of
observations within each category is the same. When this is not true, the ANOVA is said to be
unbalanced. XLSTAT can handle both cases.
If you are in a balanced or an unbalanced case of ANOVA depend on the experimental design
you have chosen.
Constraints
a1=0: the parameter for the first category is null. This choice allows us force the effect of the
Note: The option a1 = 0 is always applied when using this module you cannot change this
option.
Multi-response and desirability
In the case of many response values y1 , ..., ym it is possible to optimize each response value
individually and to create a combined desirability function and analyze its values. Proposed by
Derringer and Suich (1980), this approach is to first convert each response yi into an individual
desirability function di that varies over the range 0 ≤ di ≤ 1.
When yi has reached its target, then di = 1. If yi is outside an acceptable region around the
target, then di = 0. Between these two extreme cases, intermediate values of di exist as
shown below.
The 3 different optimization cases for di are present with the following definitions:
L = lower value. Every value smaller than L has di = 0
U = upper value. Every value bigger than U has di = 0.
T (L) = left target value.

T (R) = right target value. Every value between T (L) and T (R) has di = 1.
s, t = weighting parameters that define the shape of the optimization function between L and
T (L) and T (R) and U .
The following equation has to be respected when defining L, U , T (L) and T (R):
L ≤ T (L) ≤ T (R) ≤ U
Maximize the value of yi :
⎧ 0 yi < L
di = ⎨ ( T (L)−L )
yi −L s
⎩
L ≤ yi ≤ T (L)
1 yi > T (L)
Minimize the value of yi :
⎧ 1 yi < T (R)
di = ⎨ ( U −T (R) )t
U −yi
⎩
T (R) ≤ yi ≤ U
0 yi > U
Two sided desirability function as shown below to target a certain interval of yi :

⎧
⎪
0 yi < L
⎪ ( i
⎪
⎪ T (L)−L )
y −L s
L ≤ yi ≤ T (L)
di = ⎨ 1 T (L) < yi < T (R)
⎪
⎪
⎪
⎪ U −T (R)
⎩
U −yi
( )t T (R) ≤ yi ≤ U
0 yi > U
The design variables are chosen to maximize the overall desirability D

1
D = (dw w2 wm w1 ⋅w2 ⋅...⋅wm
1 ⋅ d2 ⋅ ... ⋅ dm )
1
Where 1 ≤ wi ≤ 10 are weightings of the individual desirability functions. The bitter wi , the
more important is di taken into account during the optimization.
Dialog box
observations.
General tab:
Model name: Select the corresponding cell in the Excel sheet with the generated design that
you want to analyze. The Model name is used as part of the names of Excel sheets and during
the selection of the analysis in order to make the link between the design and the analysis of the
results of the design.
Y / results: Select the columns of the experimental design that contain the results. These
columns should now hold the results of the experiments carried out. If several result variables

have been selected, XLSTAT carries out calculations for each of the variables separately, and
then an analysis of the desirability is carried out. If a column header has been selected, check
Experimental design: Activate this option, if you made changes to the values of the generated
experimental design. Then the changes will be shown in the results.
If you have the possibility to select the additional columns (the columns on the left of the factor
columns of the generated experimental design) and the columns with factors of the
experimental design and you want to select them for comparison with the original experimental
design. It is important include into the selection the column with the sort order information. Using
this option includes changes to the experimental design in the factor columns into the analysis.
If this option is not activated, the experimental design at the moment of its generation is used for
the analysis. The selected data has to be numerical. If a column header has been selected,
Variable labels: This option is always activated. The first row of the selected data (data and
observation labels) must contain a label.
Sort up: Activate this option to sort the categories in increasing order, the sort criterion being
the value of the category. If this option is activated, the sort is ascending.
Responses tab:
window:
expected.

Aim: Choose the aim of the optimization. You have the choice between Minimum, Optimum and
Maximum. If manual selection is activated, there is a text field for each response. If sheet
selection is activated, please choose a range in the Excel sheet that contains one field with a
value for each response. The order of the different responses must be the same for all the
selections in this window. Header lines must not be included in the selection. The first row of the
selected range must contain data values.
If the selected aim is Optimum or Maximum, then the following two fields are activated.
Lower: Enter the value of the lower bound, below which the desirability is 0. If manual selection
is activated, there is a text field for each response. If sheet selection is activated, please choose
a range in the Excel sheet that contains one field with a value for each response. The order of
the different responses must be the same for all the selections in this window. Header lines
must not be included in the selection. The first row of the selected range must contain data
values.
Target (left): Enter the value of the lower bound, above which the desirability is 1. The
desirability function increases monotonously from 0 to 1 between the lower bound and the left
target. If manual selection is activated, there is a text field for each response. If sheet selection
is activated, please choose a range in the Excel sheet that contains one field with a value for
each response. The order of the different responses must be the same for all the selections in
this window. Header lines must not be included in the selection. The first row of the selected
range must contain data values.
If the selected aim is Minimum or Optimum, then the following two fields are activated.
Target (right): Enter the value of the upper bound, below which the desirability is 1. The
desirability function decreases monotonously from 1 to 0 between the right target and the upper
bound. If manual selection is activated, there is a text field for each response. If sheet selection
Upper: Enter the value of the upper bound, above which the desirability is 0. If manual selection
values.

s: Activate this option, if the increasing desirability function should have a non linear shape.
Enter the value of the shape parameter, which should be a value between 0.01 and 100.
Examples are shown in the graphic in the window at the right. If manual selection is activated,
there is a text field for each response. If sheet selection is activated, please choose a range in
the Excel sheet that contains one field with a value for each response. The order of the different
responses must be the same for all the selections in this window. Header lines must not be
t: Activate this option, if the decreasing desirability function should have a non linear shape.
Weight: Activate this option, if the responses should have an exponent different from 1 during
the calculation of the desirability function. Enter the value of the shape parameter, which should
be a value between 0.01 and 100. If manual selection is activated, there is a text field for each
response. If sheet selection is activated, please choose a range in the Excel sheet that contains
one field with a value for each response. The order of the different responses must be the same
for all the selections in this window. Header lines must not be included in the selection. The first
row of the selected range must contain data values.
Outputs tab:
selected.
Experimental design: Activate this option to display the table with the experimental design.
for the model.
Contribution: Activate this option to display the contribution of the factors to the model.
the observations.

Cook's D: Activate this option to calculate and display Cook's distances in the table of
predictions and residuals.
Charts tab:

and (4).
Pareto plots: Activate this option, to display the chart that represents the contribution of the
factors to the response in a Pareto plot.
Results
Descriptive statistics: These tables show the simple statistics for all the variables selected.
The number of observations, missing values, the number of non-missing values, the mean and
the standard deviation (unbiased) are displayed. For qualitative explanatory variables the
names of the various categories are displayed together with their respective frequencies.
Then the Model name is displayed, in order to select this field as identification later on during
Experimental design: In this table the complete experimental design is shown. There are
additional columns, columns for the factors and columns for the responses displayed. The
additional columns contain a label for each experiment, the sort order, the run order, the block
number and the point type.

If changes were made to the values between the generation of the experimental design and the
analysis, these values are displayed in bold.
After that the parameters of the desirability function are displayed, if there is more than one
response present in the design. The table shows for each response the short name, long name,
unit, physical unit, aim, lower bound, left target value, right target value, upper bound, shape
parameters s and t and the weight parameter.
If mean charts have been requested, the corresponding results are then displayed.
Then for each response und the global desirability function, the following tables and charts are
displayed.

part).
n
∑ wi (yi − yî )2 n
1
2
R =1− i=1
n with yˉ = ∑ wi yi ,
n i=1
i=1
^ 2 = 1 − (1 − R2 ) W − 1
R
W −p−1
used in the model.

n
1
M SE = ∑ w (y − yî )2
W − p∗ i=1 i i

n
1 ∣ yi − yî ∣
M AP E = ∑ wi
∣
∣ yi ∣
∣
W − p∗ i=1 ∣ ∣
n
∑ [(yi − yî ) − (yi−1 − yî−1 )]2
i=2
DW = n
∑ wi (yi − yî )2
i=1
SSE
Cp = + 2p∗ − W
^
σ
explanatory variables. The nearer the Cp coefficient is to p∗ , the less the model is biased.
SSE
AIC = W ln( ) + 2p∗
W
criterion.
SSE
W

(1 − R2 )(W + p∗ )
PC =
W − p∗
n
i=1
where y
Press
Press RMCE =
W − p∗
Q²: The Q2 statistic is displayed. It is defined as
P ressRM SE
Q2 = 1 −
SSE
The closer Q2 is to 1, the better and more robust is the model.
Then the contributions and the corresponding Pareto plot are displayed, if the corresponding
option has been activated and all the factors are binary.
variable, the model's prediction, the residuals, the confidence intervals together with the fitted

prediction and Cook's D if the corresponding options have been activated in the dialog box. Two
values being larger.
The three charts displayed next respectively show the evolution of the standardized residuals
outside the interval ] − 2, 2[ given that the latter, assuming that the sample is normally
distributed, should contain about 95% of the data.
Example
A tutorial on the generation and the analysis of a screening design is available on the Addinsoft
website:
References
Derringer R. and Suich R. ( 1980). Simultaneous optimization of several response variables,
Journal of Quality Technoloty, 12, 214-219.
1988, Technometrics, 31, 137-157.

Surface response designs
Use this module to generate a design to analyze the surface response for 2 to 6 factors and one
or more responses.
In this section:
Description
Dialog box
Results
Example
References
Description
The family of surface response design is used for modeling and analysis of problems in which a
response of interest is influenced by several variables and the objective is to optimize this
response.
Remark: In contrast to this, screening designs aim to study the input factors, not the response
value.
For example, suppose that an engineer wants to find the optimal levels of the pressure (x1 ) and
the temperature (x2 ) of an industrial process to produce concrete, which should have a
maximum hardness y.
y = f (x1 , x2 ) + ϵi (1)
Model
This tool supposes a second-order model. If k is the number of factors, the quadratic model is
written as follows:
k k
Y = β0 + ∑ βi xi + ∑ βii x2i + ∑ ∑ βij xi xj + ϵ (2)
i=1 i=1 i<j
Design
The tool offers the following design approaches for surface modeling:
Full factorial design with 2 levels: All combinations of 2 values for each factor (minimum and
maximum) are generated in the design. The number of experiments n for k factors is given as:
Design of Experiments 1211 Surface response designs

n = 2k
Full factorial design with 3 levels: All combinations of 3 values for each factor (minimum,
mean and maximum) are generated in the design. The number of experiments n for k factors is
given as:
n = 3k
Central composite design: Proposed by Box G.E.P. and Wilson K.B. (1951), the points of
experiments are generated on a sphere around the center point. The number of different factor
levels is minimized. The center point is repeated in order to maximize the prediction precision
around the supposed optimum. The number of repetitions n0 of the center point is calculated by
the following formulas for k factors based on the uniform precision:
(k + 3) + 9k 2 + 14k − 7
γ=
4(k + 2)
and
n0 = f loor(γ( 2 + 2)2 − 2k − 2k)

, where floor designates the biggest integer value smaller than the argument. The number of
experiments n for k factors is given as:
n = 2k + 2k + 1
Box-Behnken: This design was proposed by Box G.E.P. and Behnken D.W (1960) and is
based on the same principles as the central composite design, but with a smaller number of
experiments. The number of experiments n for k factors is given as:
n = 2k 2 − 2k + 1
Doehlert: This design was proposed by Doehlert D.H. (1970) and is based on the same
principles as the central composite and Box-Behnken design, but with a smaller number of
experiments. This design has a larger amount of different factor levels for several factors of the
design and might therefore be difficult to use. The number of experiments n for k factors is
given as:
n = k2 + k + 1
The following table displays the number of different experiments for each of the 4 design
choices and a given number of factors k to be analyzed. In this calculation, the center point is
only present one time.

Output
to have all necessary information for the XLSTAT analysis for response surface designs is
ready. In this way incorrect analysis of an experimental design is inhibited. Therefore please
carry out your analysis of your experimental design in the same Excel workbook where you
created the design itself.
Dialog box
General tab:
Model name: Choose a short model name for the design. This name is used for the name of
the Excel sheets and to relate the design to the analysis of the model.

Experimental design: Choose the design that you want to use. Depending on the number of
factors several alternative designs are suggested among which the "central composite design"
and the "full factorial design with 3 levels".
Force the number of repetitions of the central point: In the case of a central composite
design, you have the possibility to change the number of the repetitions of the central point.
Activate this option to force the number of repetitions of the central point.
design.
order.
Display experiment sheets: Activate this option in order to generate for each individual
Factors tab:
Information on factors: Select one of the two following options to determine how the
information on the factors is entered:
Enter manually: All information on the factors is directly entered in the text fields of the
dialog box.
Select on a sheet: All information on the factors is selected in the Excel sheet. In this
case you must select columns with as many rows as there are factors.
Format: Select one of the two following options to determine the way the factor intervals are
entered:

Range: Select this option, if you want to enter for each factor the minimum and maximum
value of the interval to be studied.
Center + Step: Select this option, if you want to enter for each factor the center and the
maximum step size between two values.
Short name: Enter a few letters name for each factor. If manual selection has been chosen,
enter the name in the corresponding field for each factor. If sheet selection is activated, select
on the Excel sheet a range that contains the short name for each factor. The order of the
different factors must be the same for all the selections in this window. Headers must not be
Long name: Enter the full name for each factor. If manual selection has been chosen, enter the
name in the corresponding field for each factor. If sheet selection is activated, select on the
Excel sheet a range that contains the long name for each factor. The order of the different
factors must be the same for all the selections in this window. Headers must not be included in
the selection.
Unit: Enter a description that corresponds to the unit of each factor (for example "degrees
Celcius"). If manual selection has been chosen, enter the name in the corresponding field for
each factor. If sheet selection is activated, select on the Excel sheet a range that contains the
description of the unit for each factor. The order of the different factors must be the same for all
the selections in this window. Headers must not be included in the selection.
Unit (symbol): Enter the physical unit of the factors (for example "°C"). If manual selection has
been chosen, enter the name in the corresponding field for each factor. If sheet selection is
activated, select on the Excel sheet a range that contains the physical unit for each factor. The
order of the different factors must be the same for all the selections in this window. Headers
must not be included in the selection.
If the format "Amplitude" option is activated, the following two fields are visible and must be filled
in.
Minimum: Enter the minimum of the range to be studied for each factor. If manual selection has
activated, select on the Excel sheet a range that contains the minimum of each factor. The order
of the different factors must be the same for all the selections in this window. Headers must not
be included in the selection.
Maximum: Enter the maximum of the range to be studied for each factor. If manual selection
has been chosen, enter the name in the corresponding field for each factor. If sheet selection is
activated, select on the Excel sheet a range that contains the maximum of each factor. The
If the "Center + Step" option is activated, the following two fields are visible.
Center: Enter the central value of the range to be studied for each factor. If manual selection
activated, select on the Excel sheet a range that contains the central value for each factor. The

Step: Enter the step size between two successive values of the range to be studied for each
factor. If manual selection has been chosen, enter the name in the corresponding field for each
factor. If sheet selection is activated, select on the Excel sheet a range that contains the step
size between two successive values for each factor. The order of the different factors must be
the same for all the selections in this window. Headers must not be included in the selection.
Responses tab:
Information on responses: Select one of the two following options to determine how the
information on the responses is entered:
Enter manually: All information on the responses is directly entered in the text fields of
the dialog box.
Select on a sheet: All information on the responses is selected in the Excel sheet. In this
case you must select columns with as many rows as there are responses.
Short name: Enter a few letters name for each response. If manual selection has been chosen,
enter the name in the corresponding field for each response. If sheet selection is activated,
select on the Excel sheet a range that contains the short name for each response. The order of
the different responses must be the same for all the selections in this window. Headers must not
Long name: Enter the full name for each response. If manual selection has been chosen, enter
the name in the corresponding field for each response. If sheet selection is activated, select on
the Excel sheet a range that contains the long name for each response. The order of the
different responses must be the same for all the selections in this window. Headers must not be
Results

additional columns of the experimental design, i. e. sort order, run order and repetition are given
for the experiment.
Example
A tutorial on the generation and analysis of a surface response design is available on the
Addinsoft website:
References
Box G. E. P. and Behnken D. W. (19 60). Some new three level designs for the study of
quantitative variables, Technometrics, 2, Number 4, 455-475.
Box G. E. P. and Wilson K. B. (19 51). On the experimental attainment of optimum conditions,
Journal of Royal Statistical Society, 13, Serie B, 1-45.
Doehlert D. H. (19 70). Uniform shell designs, Journal of Royal Statistical Society, 19, Serie C,
231-239.
1988, Technometrics, 31, 137-157.

Analysis of a Surface response design
Use this tool to analyze a surface response design for 2 to 6 factors and a user defined number
of results. A second order model is used for the analysis.
In this section:
Description
Dialog box
Results
Example
References
Description
The analysis of a surface response design uses the same statistical and conceptual framework
as linear regression. The main difference comes from the model that is used. A quadratic form
is used as a model
If k is the number of factors, the quadratic model is written as follows:

k k
Y = β0 + ∑ βi xi + ∑ βii x2i + ∑ ∑ βij xi xj + ϵ (1)
i=1 i=1 i<j
For more information on ANOVA and linear regression please consider the corresponding
sections in the online help.
shown below.
Design of Experiments 1218 Analysis of a Surface response design

L ≤ T (L) ≤ T (R) ≤ U
⎧ 0 yi < L
di = ⎨ ( T (L)−L )
⎩
yi −L s
L ≤ yi ≤ T (L)
1 yi > T (L)
⎧ 1 yi < T (R)
di = ⎨ ( U −T (R) )t
U −yi
⎩
T (R) ≤ yi ≤ U
0 yi > U

⎧
⎪
0 yi < L
⎪
⎪
⎪ ( T (L)−L )
yi −L s
L ≤ yi ≤ T (L)
di = ⎨ 1 T (L) < yi < T (R)
⎪
⎪
⎪
⎪ U −T (R)
⎩
U −yi
( )t T (R) ≤ yi ≤ U
0 yi > U

1
D = (dw w2 wm w1 ⋅w2 ⋅...⋅wm
1 ⋅ d2 ⋅ ... ⋅ dm )
1
Dialog box
observations.

General tab:
Responses tab:
window:
expected.

values.

values.
be a value between 0.01 and 100. Examples are shown in the graphic in the window at the
right. If manual selection is activated, there is a text field for each response. If sheet selection is
activated, please choose a range in the Excel sheet that contains one field with a value for each
response. The order of the different responses must be the same for all the selections in this
window. Header lines must not be included in the selection. The first row of the selected range
must contain data values.
Outputs tab:
selected.
for the model.
the observations.

Studendized residuals: Activate this option to calculate and display studentized

residuals in the table of predictions and residuals
Charts tab:

and (4).
Contour plot: Activate this option to display charts the represent the desirability function in
contour plots in the case of a model with 2 factors.
Trace plot: Activate this option to display charts the represent the trace of the desirability
function for each of the factors, with the other factors set to the mean value.
Results
Descriptive statistics: The tables of descriptive statistics show the simple statistics for all the
values, the mean and the standard deviation (unbiased) are displayed. For qualitative
explanatory variables the names of the various categories are displayed together with their
respective frequencies.

displayed.

part).
n
∑ wi (yi − yî )2 n
1
2
R =1− i=1
n i=1
i=1

^ 2 = 1 − (1 − R2 ) W − 1
R
W −p−1
used in the model.

n
1
M SE = ∗
∑ wi (yi − yî )2
W − p i=1

n
1 ∣ yi − yî ∣
M AP E = ∑ wi
∣
∣ yi ∣
∣
W − p∗ i=1 ∣ ∣
n
∑ [(yi − yî ) − (yi−1 − yî−1 )]2
i=2
DW = n
∑ wi (yi − yî )2
i=1
SSE
Cp = + 2p∗ − W
^
σ
SSE
AIC = W ln( ) + 2p∗
W
criterion.

SSE
W
(1 − R2 )(W + p∗ )
PC =
W − p∗
n
i=1
where y
Press
Press RMCE =
W − p∗
P ressRM SE
Q2 = 1 −
SSE

Then the contour plot is displayed, if the design has two factors and the corresponding option
is activated. The contour plot is shown as a two dimensional projection and as a 3D chart. Using
these charts it is possible to analyze the dependence of the two factors simultaneously.
Then the trace plots are displayed, if the corresponding option is activated. The trace plots
show for each factor the response variable as a function of the factor. All other factors are set to
their mean value. These charts are shown in two options: with the standardized factors and with
the factors in original values. Using these plots the dependence of a response on a given factor
can be analyzed.
Example
A tutorial on the generation and the analysis of a surface response design is available on the
Addinsoft website:
References
Derringer R. and Suich R. ( 1980). Simultaneous optimization of several response variables,
Journal of Quality Technoloty, 12, 214-219.

1988, Technometrics, 31, 137-157.

Mixture designs
Use this module to generate a mixture design for 2 to 6 factors.
In this section:
Description
Dialog box
Results
Example
References
Description
Mixture designs are used to model the results of experiments where these relate to the
optimization of formulations. The resulting model is called "mixture distribution"
Mixture designs differ from factorial designs by the following characteristics:
The factors studied are proportions which sum is equal to 1
Construction of the design of experiments is subjected to constraints because the factors

may not evolve independently of each other (the sum of the proportions being 1).
Experimental space of a mixture
When the concentrations of the n components are not submitted to any constraint, the
experimental design is a simplex, that is to say, a regular polyhedron with n vertices in a space
of dimension n − 1. For example, for a mixture of three components, the experimental field is
an equilateral triangle; for 4 constituents it is a regular tetrahedron.
Creating mixture designs therefore consist of positioning regularly the experiences in the
simplex to optimize the accuracy of the model. The most conventional designs are Scheffé’s
designs, Scheffé-centroid designs, and augmented designs.
If constraints on the components of the model are introduced by defining a minimum amount or
a maximum amount not to exceed, then, the experimental domain can be a simplex, an inverted
simplex (also called simplex B) or a any convex polyhedron. In the latter case, the simplex
designs are no longer usable.
To treat irregular domains, algorithmic experimental designs are used: the optimality criterion
used in XLSTAT is the D-optimality.
Design of Experiments 1230 Mixture designs

Warning: if the number of components is important and there are many constraints on the
components, it is possible that the experimental domain does not exist.
The Scheffé simplex networks are the easiest designs to build. They allow to build models of
any degree m. These matrices are related to a canonical model having a high number of
coefficients (Full Canonical Model).
||Degree of the model ||| ---|---|---|--- Constituents | 2 | 3 | 43 | 6 | 10 | 15

4 | 10 | 20 | 35
5 | 15 | 35 | 70
6 | 21 | 56 | 126
8 | 36 | 120 | 330
10 | 55 | 220 | 715
To improve the sequentiality of the experiments, Scheffé proposed to add points to the center of
experimental space. These experimental designs are known Simplex Centroid Designs.
These mixture designs allow to construct a reduced polynomial model, which comprises only
product termps of the components. The number of experiments thus increases less rapidly than
in the case of a Scheffé’s simplex. Centered simplexes add additional mixtures in the center of
the experimental space compared to conventional simplexes. This has the effect of improving
the quality of predictions in the center of the field.
Output
to have all necessary information for the XLSTAT analysis for response surface designs is
ready. In this way incorrect analysis of an experimental design is inhibited. Therefore please
carry out your analysis of your experimental design in the same Excel workbook where you
created the design itself.
Dialog box

General tab:
Model name: Choose a short model name for the design. This name is used for the name of
the Excel sheets and to relate the design to the analysis of the model.
Experimental design: Choose the design that you want to use among Scheffé’s simplex,
centered Scheffé’s simplex, augmented simplex.
Degree of the model: In the case of a Scheffé’s simplex, it is possible to choose the number of
degrees of the model (from 1 to 4). The higher the degree of the model, the more the number of
experiments increases.
design.
order.
Display experiment sheets: Activate this option in order to generate for each individual
Factors tab:
Information on factors: Select one of the two following options to determine how the
information on the factors is entered:

Enter manually: All information on the factors is directly entered in the text fields of the
dialog box.
Select on a sheet: All information on the factors is selected in the Excel sheet. In this
case you must select columns with as many rows as there are factors.
Format: Select one of the two following options to determine the way the factor intervals are
entered:
Range: Select this option, if you want to enter for each factor the minimum and maximum
value of the interval to be studied.
Center + Step: Select this option, if you want to enter for each factor the center and the
maximum step size between two values.
Short name: Enter a few letters name for each factor. If manual selection has been chosen,
enter the name in the corresponding field for each factor. If sheet selection is activated, select
on the Excel sheet a range that contains the short name for each factor. The order of the
different factors must be the same for all the selections in this window. Headers must not be
Long name: Enter the full name for each factor. If manual selection has been chosen, enter the
name in the corresponding field for each factor. If sheet selection is activated, select on the
Excel sheet a range that contains the long name for each factor. The order of the different
factors must be the same for all the selections in this window. Headers must not be included in
the selection.
Unit: Enter a description that corresponds to the unit of each factor (for example "degrees
Celcius"). If manual selection has been chosen, enter the name in the corresponding field for
each factor. If sheet selection is activated, select on the Excel sheet a range that contains the
description of the unit for each factor. The order of the different factors must be the same for all
the selections in this window. Headers must not be included in the selection.
Unit (symbol): Enter the physical unit of the factors (for example "°C"). If manual selection has
activated, select on the Excel sheet a range that contains the physical unit for each factor. The
If the format "Amplitude" option is activated, the following two fields are visible and must be filled
in.
Minimum: Enter the minimum of the range to be studied for each factor. If manual selection has
activated, select on the Excel sheet a range that contains the minimum of each factor. The order
of the different factors must be the same for all the selections in this window. Headers must not
Maximum: Enter the maximum of the range to be studied for each factor. If manual selection

activated, select on the Excel sheet a range that contains the maximum of each factor. The
If the "Center + Step" option is activated, the following two fields are visible.
Center: Enter the central value of the range to be studied for each factor. If manual selection
activated, select on the Excel sheet a range that contains the central value for each factor. The
Step: Enter the step size between two successive values of the range to be studied for each
factor. If manual selection has been chosen, enter the name in the corresponding field for each
factor. If sheet selection is activated, select on the Excel sheet a range that contains the step
size between two successive values for each factor. The order of the different factors must be
the same for all the selections in this window. Headers must not be included in the selection.
Responses tab:
Information on responses: Select one of the two following options to determine how the
information on the responses is entered:
Enter manually: All information on the responses is directly entered in the text fields of
the dialog box.
Select on a sheet: All information on the responses is selected in the Excel sheet. In this
case you must select columns with as many rows as there are responses.
Short name: Enter a few letters name for each response. If manual selection has been chosen,
enter the name in the corresponding field for each response. If sheet selection is activated,
select on the Excel sheet a range that contains the short name for each response. The order of
the different responses must be the same for all the selections in this window. Headers must not
Long name: Enter the full name for each response. If manual selection has been chosen, enter
the name in the corresponding field for each response. If sheet selection is activated, select on
the Excel sheet a range that contains the long name for each response. The order of the
different responses must be the same for all the selections in this window. Headers must not be

Results
additional columns of the experimental design, i. e. sort order, run order and repetition are given
for the experiment.
Example
A tutorial on the generation and analysis of a mixture design is available on the Addinsoft
website:
http://www.xlstat.com/demo-mixture.htm
References
Droesbeke J.J., Fine J. and Saporta G. (1997). Plans d'Expériences - Application Industrielle.
Editions Technip.
Scheffé H. (1958). Experiments with mixture. Journal of Royal Statistical Society, B, 20, 344-
360.
Scheffé H. (1958). Simplex-centroid design for experiments with mixtures. Journal of Royal
Statistical Society, B, 25, 235-263.
Louvet F. and Delplanque L. (2005). Design Of Experiments: The French touch, Les plans
d’expériences : une approche pragmatique et illustrée, Alpha Graphic, Olivet.

Analysis of a mixture design
Use this tool to analyze a mixture design for 2 to 6 factors.
In this section:
Description
Dialog box
Results
Example
References
Description
The analysis of a mixture design is based on the same principle as linear regression. The major
difference comes from the model that is used. Several models are available.
By default, XLSTAT associates a reduced model (Simplified Canonical Model) to centroïd

simplexes. However, it is possible to change the model if the number of degrees of freedom is
sufficient (by increasing the number of repetitions of the experiments). Otherwise, an error
message will be displayed informing you that the number of experiments is too small for all the
model coefficients to be estimated.
To fulfil the constraint associated to a mixture design, a polynomial model with no intercept is
used. We distinguish two types of models, simplified (special) models and full models (from
level 3).
The model equations are:
- Linear model (level 1):
Y = ∑ βi xi
i
- Quadratic model (level 2):
Y = ∑ βi xi + ∑ ∑ βij xi xj
i i i<j
- Cubic model (level 3):
Y = ∑ βi xi + ∑ ∑ βij xi xj + ∑ ∑ δij xi xj (xi − xj ) + ∑ ∑ βijk xi xj (xk )

i i i<j j i<j k j<k
Design of Experiments 1236 Analysis of a mixture design

- Simplified cubic model (special):
Y = ∑ βi xi + ∑ ∑ βij xi xj + ∑ ∑ βijk xi xj (xk )

i i i<j k j<k
XLSTAT allows to apply models up to level 4.
Estimation of these models is done with classical regression. For more details on ANOVA and
linear regression, please refer to the chapters of this help associated to these methods.
shown below.
L ≤ T (L) ≤ T (R) ≤ U

⎧ 0 yi < L
di = ⎨ ( T (L)−L )
yi −L s
⎩
L ≤ yi ≤ T (L)
1 yi > T (L)
⎧ 1 yi < T (R)
di = ⎨ ( U −T (R) )t
U −yi
⎩
T (R) ≤ yi ≤ U
0 yi > U
⎧
⎪
0 yi < L
⎪
⎪
⎪ ( T (L)−L )
yi −L s
L ≤ yi ≤ T (L)
di = ⎨ 1 T (L) < yi < T (R)
⎪
⎪
⎪
⎪
⎩
U −y
( U −T (R)
i
)t T (R) ≤ yi ≤ U
0 yi > U

1
D = (dw w2 wm w1 ⋅w2 ⋅...⋅wm
1 ⋅ d2 ⋅ ... ⋅ dm )
1
Dialog box
observations.
General tab:

Responses tab:
window:
expected.

values.
values.

be a value between 0.01 and 100. Examples are shown in the graphic in the window at the
right. If manual selection is activated, there is a text field for each response. If sheet selection is
activated, please choose a range in the Excel sheet that contains one field with a value for each
response. The order of the different responses must be the same for all the selections in this
window. Header lines must not be included in the selection. The first row of the selected range
must contain data values.
Outputs tab:
selected.
for the model.
the observations.
Studendized residuals: Activate this option to calculate and display studentized

residuals in the table of predictions and residuals
Charts tab:


and (4).
Ternary diagram: Activate this option to display a ternary diagram.
Results
Descriptive statistics: The tables of descriptive statistics show the simple statistics for all the
values, the mean and the standard deviation (unbiased) are displayed. For qualitative
explanatory variables the names of the various categories are displayed together with their
respective frequencies.
displayed.


part).
n
∑ wi (yi − yî )2 n
1
2
R =1− i=1
n i=1
i=1
^ 2 = 1 − (1 − R2 ) W − 1
R
W −p−1
used in the model.

n
1
M SE = ∗
∑ wi (yi − yî )2
W − p i=1

n
1 ∣ yi − yî ∣
M AP E = ∑ w ∣
i∣
∣
∣
W − p∗ i=1 ∣ yi ∣

n
∑ [(yi − yî ) − (yi−1 − yî−1 )]2
i=2
DW = n
∑ wi (yi − yî )2
i=1
SSE
Cp = + 2p∗ − W
^
σ
SSE
AIC = W ln( ) + 2p∗
W
criterion.

SSE
W
(1 − R2 )(W + p∗ )
PC =
W − p∗
n
i=1

where y
Press
Press RMCE =
W − p∗
P ressRM SE
Q2 = 1 −
SSE

outside the interval ] − 2, 2[ given that the latter, assuming that the sample is normally
distributed, should contain about 95% of the data.
For each combination of factors, we draw a ternary diagram. This graph shows a response
surface on one of the faces of the polyhedron to which the experimental space corresponds.
These graphs facilitate the interpretation of the model and allow to identify the optimal
configurations.
Example
A tutorial on the generation and the analysis of a mixture design is available on the Addinsoft
website:
http://www.xlstat.com/demo-mixture.htm
References
Droesbeke J.J., Fine J. and Saporta G. (1997). Plans d'Expériences - Application Industrielle.
Editions Technip.
Scheffé H. (1958). Experiments with mixture. Journal of Royal Statistical Society, B, 20, 344-
360.
Scheffé H. (1958). Simplex-centroid design for experiments with mixtures. Journal of Royal
Statistical Society, B, 25, 235-263.
Louvet F. and Delplanque L. (2005). Design Of Experiments: The French touch, Les plans
d’expériences : une approche pragmatique et illustrée, Alpha Graphic, Olivet.

Survival analysis
Kaplan-Meier analysis
Use this tool to build a population survival curve, and to obtain essential statistics such as the
median survival time. Kaplan-Meier analysis, which main result is the Kaplan-Meier table, is
based on irregular time intervals, contrary to the Life table analysis, where the time intervals are
regular.
In this section:
Description
Dialog box
Results
Example
References
Description
The Kaplan Meier method (also called product-limit) analysis belongs to the descriptive methods
of survival analysis, as does Life table analysis. The life table analysis method was developed
first, but the Kaplan-Meier method has been shown to be superior in many cases.
Kaplan-Meier analysis allows to quickly obtain a population survival curve and essential
statistics such as the median survival time. Kaplan-Meier analysis, which main result is the
Kaplan-Meier table, is based on irregular time intervals, contrary to the Life table analysis,
where the time intervals are regular.
Kaplan-Meier analysis is used to analyze how a given population evolves with time. This
technique is mostly applied to survival data and product quality data. There are three main
reasons why a population of individuals or products may evolve: some individuals die (products
fail), some other go out of the surveyed population because they get healed (repaired) or
because their trace is lost (individuals move from location, the study is terminated, …). The first
type of data is usually called "failure data", or "event data", while the second is called "censored
data".
There are several types of censoring of survival data:
Left censoring: when an event is reported at time t=t(i), we know that the event occurred
at t < t(i).
Right censoring: when an event is reported at time t=t(i), we know that the event occurred
at t > t(i), if it ever occurred.
Survival analysis 1248 Kaplan-Meier analysis

Interval censoring: when an event is reported at time t=t(i), we know that the event
occurred during [t(i-1); t(i)].
Exact censoring: when an event is reported at time t=t(i), we know that the event occurred
exactly at t=t(i).
The Kaplan Meier method requires that the observations are independent. Second, the
censoring must be independent: if you consider two random individuals in the study at time t-1,
if one of the individuals is censored at time t, and if the other survives, then both must have
equal chances to survive at time t. There are four different types of independent censoring:
Simple type I: all individuals are censored at the same time or equivalently individuals are
followed during a fixed time interval.
Progressive type I: all individuals are censored at the same date (for example, when the
study terminates).
Type II: the study is continued until n events have been recorded.
Random: the time when a censoring occurs is independent of the survival time.
The Kaplan Meier analysis allows to compare populations, through their survival curves. For
example, it can be of interest to compare the survival times of two samples of the same product
produced in two different locations. Tests can be performed to check if the survival curves have
arisen from identical survival functions. These results can later be used to model the survival
curves and to predict probabilities of failure.
Confidence interval
Computing confidence intervals for the survival function can be done using three different
methods :
Greenwood’s method:
Var(S(T ))
S(T ) ± z1−α/2
S 2 (T )
Exponential Greenwood’s method:
exp(− exp(log(− log(S(T ))) ± z1−α/2 var(S(T )) ))
Log-transformed method: S(T )1/θ , S(T )θ with
⎛ z1−α/2 ⎞
Var(S(T ))
S 2 (T )
θ = exp
⎝ log(S(T )) ⎠
These three approaches give similar results, but the last ones will be preferred when samples
are small.

Dialog box
General tab:
Date data: Select the data that correspond to the times or the dates when the events or the
censoring are recorded. If a column header has been selected on the first row, check that the
Weighted data: Activate this option if for a given time, several events are recorded on the same
row (for example, at time t=218, 10 failures and 2 censured data have been observed). If you
activate this option, the "Event indicator" field replaces the "Status variable" field, and the
"Censoring indicator" field replaces the "Event code" and "Censured code" boxes.
Status indicator: Select the data that correspond to an event or censoring data. This field is not
available if the "Weighted data" option is checked. If a column header has been selected on the
first row, check that the "Column labels" option has been activated.
Event code: Enter the code used to identify an event data within the Status variable. Default
value is 1.
Censored code Event code: Enter the code used to identify an event data within the Status
variable. Default value is 1.
Censored code: Enter the code used to identify a censored data within the Status variable.
Default value is 0.
Event indicator: Select the data that correspond to the counts of events recorded at each time.
Note: this option is available only if the "weighted data" option is selected. If a column header
has been selected on the first row, check that the "Column labels" option has been activated.

Censoring indicator: Select the data that correspond to the counts of right-censored data
recorded at a given time. Note: this option is available only if the "weighted data" option is
selected. If a column header has been selected on the first row, check that the "Column labels"
Options tab:
Confidence interval: Choose the method to use to compute the confidence interval to be
displayed in the outputted table.
Data options tab:
Missing data:
Groups:
observation belongs, if you want that XLSTAT performs the analysis on each group separately.
Compare: Activate this option if want to compare the survival curves, and perform the
comparison tests.
Filter: Activate this option and select the data that describe to which group each observation
belongs, if you want that XLSTAT performs the analysis for some groups that you will be able to
select in a separate dialog box during the computations. If the "By group analysis" option is also
activated, XLSTAT will perform the analysis for each group separately, only for the selected
subset of groups.

Charts tab:
Survival distribution function: Activate this option to display the charts corresponding to the
survival distribution function.
-Log(SDF): Activate this option to display the –Log() of the survival distribution function (SDF).
Log(-Log(SDF)): Activate this option to display the Log(–Log()) of the survival distribution
function.
Censored data: Activate this option to identify on the charts the times when censored data
have been recorded (the identifier is a hollowed circle "o").
Results
Basic statistics: This table displays the total number of observations, the number of events,
and the number of censored data.
Kaplan-Meier table: This table displays the various results obtained from the analysis,
including:
Interval start lime: lower bound of the time interval.
At risk: number of individuals that were at risk.
Events: number of events recorded.
Censored: number of censored data recorded.
Proportion failed: proportion of individuals who "failed" (the event did occur).
Survival rate: proportion of individuals who "survived" (the event did not occur).
Survival distribution function (SDF): Probability of an individual to survive until at least

the time of interest. Also called cumulative survival distribution function, or survival curve.
Survival distribution function standard error: standard error of the previous
Survival distribution function confidence interval : confidence interval of the previous.
Mean and Median residual lifetime: A first table displays the mean residual lifetime, the
standard error, and a confidence range. A second table displays statistics (estimator, and
confidence range) for the 3 quartiles including the median residual lifetime (50%). The median
residual lifetime is one of the key results of the Kaplan-Meier analysis as it allows to evaluate
the time remaining for half of the population to "fail".
Charts: Depending on the selected options, up to three charts are displayed: Survival
distribution function (SDF), -Log(SDF) and Log(-Log(SDF)).

If the "Compare" option has been activated in the dialog box, XLSTAT displays the following
results:
Test of equality of the survival functions: This table displays the statistics for three different
tests: the Log-rank test, the Wilcoxon test, and the Tarone Ware test. These tests are based on
a Chi-square test. The lower the corresponding p-value, the more significant the differences
between the groups.
Charts: Depending on the selected options, up to three charts with one curve for each group
are displayed: Survival distribution function (SDF), -Log(SDF), Log(-Log(SDF)).
Example
An example of survival analysis based on the Kaplan-Meier method is available on the
Addinsoft website:
http://www.xlstat.com/demo-km.htm
References
Brookmeyer R. and Crowley J. (1982). A confidence interval for the median survival time.
Collett D. (1994). Modeling Survival Data In Medical Research. Chapman and Hall, London.
Cox D.R. and Oakes D. (1984). Analysis of Survival Data. Chapman and Hall, London.
Elandt-Johnson R.C. and Johnson N.L. (1980). Survival Models and Data Analysis. John
Kalbfleisch J.D. and Prentice R.L. (1980). The Statistical Analysis of Failure Time Data. John

Life tables
Use this tool to build a survival curve for a given population, and to obtain essential statistics
such as the median survival time. Life table analysis, which main result is the life table (also
named actuarial table), works on regular time intervals, contrary to the Kaplan Meier analysis,
where the time intervals are taken as they are in the data set. XLSTAT enables you to take into
account censored data, and grouping information.
In this section:
Description
Dialog box
Results
Example
References
Description
Life table analysis belongs to the descriptive methods of survival analysis, as well as Kaplan
Meier analysis. The life table analysis method was developed first, but the Kaplan-Meier method
has been shown to be superior in many cases.
Life table analysis allows to quickly obtain a population survival curve and essential statistics
such as the median survival time. Life table analysis, which main result is the life table (also
called actuarial table) works on regular time intervals, contrary to the Kaplan Meier analysis,
where the time intervals are taken as they are in the data set.
Life table analysis allows to analyze how a given population evolves with time. This technique is
mostly applied to survival data and product quality data. There are three main reasons why a
population of individuals or products may evolve: some individuals die (products fail), some
other go out of the surveyed population because they get healed (repaired) or because their
trace is lost (individuals move from location, the study is terminated, …). The first type of data is
usually called "failure data", or "event data", while the second is called "censored data".
Left censoring: when an event is reported at time t=t(i), we know that the event occurred at t <
t(i).
Right censoring: when an event is reported at time t=t(i), we know that the event occurred at t >
t(i), if it ever occurred.
Interval censoring: when an event is reported at time t=t(i), we know that the event occurred
during [t(i-1); t(i)].
Survival analysis 1254 Life tables

Exact censoring: when an event is reported at time t=t(i), we know that the event occurred
exactly at t=t(i).
The life table method requires that the observations are independent. Second, the censoring
must be independent: if you consider two random individuals in the study at time t-1, if one of
the individuals is censored at time t, and if the other survives, then both must have equal
chances to survive at time t. There are four different types of independent censoring:
Progressive type I: all individuals are censored at the same date (for example, when the study
terminates).
The life table method allows to compare populations, through their survival curves. For example,
it can be of interest to compare the survival times of two samples of the same product produced
in two different locations. Tests can be performed to check if the survival curves have arisen
from identical survival functions. These results can later be used to model the survival curves
and to predict probabilities of failure.
Dialog box
General tab:

value is 1.
Default value is 0.
Options tab:
Time intervals:
Constant width: Activate this option if want to enter the constant interval width. In this
case, the lower bound is automatically set to 0.

User defined: Activate this option to define the intervals that should be used to perform
the life table analysis. Then select the data that correspond to the lower bound of the first
interval and to the upper bounds of all the intervals.
Data options tab:
Missing data:
Groups:
comparison tests.
subset of groups.
Charts tab:
function.
Results
Life table: This table displays the various results obtained from the analysis, including:
Interval: Time interval.

At risk: Number of individuals that were at risk during the time interval.
Events: Number of events recorded during the time interval.
Censored: Number of censored data recorded during the time interval.
Effective at risk: Number of individuals that were at risk at the beginning of the interval
minus half of the individuals who have been censored during the time interval.
Survival rate: Proportion of individuals who "survived" (the event did not occur) during the
time interval. Ratio of individuals who survived over the individuals who were "effective at
risk".
Conditional probability of failure: Ratio of individuals who failed over the individuals
who were "effective at risk".
Standard error of the conditional probability: Standard error of the previous.
Survival distribution function (SDF): Probability of an individual to survive until at least

the time interval of interest. Also called survivor function.
Standard error of the survival function: standard error of the previous.
Probability density function: estimated density function at the midpoint of the interval.
Standard error of the probability density: standard error of the previous.
Hazard rate: estimated hazard rate function at the midpoint of the interval. Also called
failure rate. Corresponds to the failure rate for the survivors.
Standard error of the hazard rate: Standard error of the previous.
Median residual lifetime: Amount of time remaining to reduce the surviving population
(individuals at risk) by one half. Also called median future lifetime.
Median residual lifetime standard error: Standard error of the previous.
Median residual lifetime: Table displaying the median residual lifetime at the beginning of the
experiment, and its standard error. This statistic is one of the key results of the life table analysis
as it allows to evaluate the time remaining for half of the population to "fail".
Charts: Depending on the selected options, up to five charts are displayed: Survival distribution
function (SDF), Probability density function, Hazard rate function, -Log(SDF), Log(-Log(SDF)).
results:

between the groups.
Charts: Depending on the selected options, up to five charts with one curve for each group are
displayed: Survival distribution function (SDF), Probability density function, Hazard rate function,
-Log(SDF), Log(-Log(SDF)).
Example
An example of survival analysis by the mean of life tables is available on the Addinsoft website:
http://www.xlstat.com/demo-life.htm
References

Nelson-Aalen analysis
Use this tool to build cumulative hazard curves using the Nelson-Aalen method. The Nelson-
Aalen method allows to estimate the hazard functions based on irregular time intervals, contrary
to the Life table analysis, where the time intervals are regular.
In this section:
Description
Dialog box
Results
Example
References
Description
The Nelson-Aalen analysis method belongs to the descriptive methods for survival analysis.
With the Nelson-Aalen approach you can quickly obtain a curve of cumulative hazard. The
Nelson-Aalen method enables to estimate the hazard functions based on irregular time
intervals.
Nelson-Aalen analysis is used to analyze how a given population evolves with time. This
technique is mostly applied to survival data and product quality data. There are three main
reasons why a population of individuals or products may evolve: some individuals die (products
fail), some other go out of the surveyed population because they get healed (repaired) or
because their trace is lost (individuals move from location, the study is terminated, …). The first
type of data is usually called "failure data", or "event data", while the second is called "censored
data".
Left censoring: when an event is reported at timet = t(i), we know that the event
occurred at t < t(i).
Right censoring: when an event is reported at time t = t(i), we know that the event
occurred at t > t(i), if it ever occurred.
Interval censoring: when an event is reported at time t = t(i), we know that the event
occurred during [t(i − 1); t(i)].
Exact censoring: when an event is reported at time t = t(i), we know that the event
occurred exactly at t = t(i).
Survival analysis 1260 Nelson-Aalen analysis

The Nelson-Aalen method requires that the observations are independent. Second, the
censoring must be independent: if you consider two random individuals in the study at time t −
1, if one of the individuals is censored at time t, and if the other survives, then both must have
study terminates).
The Nelson-Aalen analysis allows to compare populations, through their hazards curves.
Nelson-Aalen estimator should be preferred to Kaplan-Meier estimator when analyzing
cumulative hazard functions. When analyzing cumulative survival functions, Kaplan-Meier
estimator should be preferred.
di
The cumulative hazard function is: H(T ) = ∑ ri
Ti ≤T
with di being the number of observation falling at time Ti and ri , the number of observation at
risk (still in the study) at time Ti .
Several different variance estimators are available:
Simple: var(H(T )) = ∑ di
ri2
Ti ≤T
di (ri −di )
Plug-in: var(H(T )) = ∑ ri3
Ti ≤T
di (ri −di )
Binomial: var(H(T )) = ∑ ri2 (ri −1)
Ti ≤T
Confidence intervals can also be obtained :
Greenwood’s method: H(T ) ± z1−α/2 Var(H(T ))

z1−α/2 var(H(T ))
Log-transformed method: H(T )/ϕ, H(T ) × ϕ with ϕ = exp( H(T ) )
The second one will be preferred with small samples.
Dialog box

General tab:
value is 1.
Default value is 0.

Labels included: Activate this option if the column labels have been selected.
Options tab:
Variance: Choose the method to use to compute the variance to be displayed in the outputted
table.
Confidence interval: Choose the method to use to compute the confidence interval to be
displayed in the outputted table.
Data options tab:
Missing data:
Groups:
comparison tests.
subset of groups.
Charts tab:
Cumulative hazard function: Activate this option to display the charts corresponding to the
cumulative hazard function.

Log(Cumulative hazard function ): Activate this option to display the Log() of the cumulative
hazard function.
Results
Nelson-Aalen table: This table displays the various results obtained from the analysis,
including:
Events: number of events recorded.
Cumulative hazard function: hazard associated with an individual at the considered

time.
Cumulative hazard function error: standard error of the previous
Cumulative hazard function confidence interval: confidence interval of the previous
Survival distribution function: probability for an individual to survive until the considered
time (calculated as S(T ) = exp(−H(T ))).
Charts: Depending on the selected options, up to three charts are displayed: Cumulative
hazard function, survival distribution function, and Log(Hazard function).
results:
between the groups.
Charts: Depending on the selected options, up to three charts with one curve for each group
are displayed: Cumulative hazard function, survival distribution function, and Log(Hazard
function).

Example
An example of survival analysis based on the Nelson-Aalen method is available on the
Addinsoft website:
http://www.xlstat.com/demo-na.htm
References

Cumulative incidence
Use this tool to analyze survival data when competing risks are present. The cumulative
incidence allows to estimate the impact of an event when several competitive events may occur.
The time intervals should not necessarily be regular. XLSTAT allows the treatment of censored
data with competing risks and to compare different groups within the population.
In this section:
Description
Dialog box
Results
Example
References
Description
The cumulative incidence allows estimating the impact when several competitive events may
occur. It is usually called competing risks case. The time intervals should not necessarily be
regular. XLSTAT allows the treatment of censored data in competing risks and to compare
different groups within the population.
For a given period, the cumulative incidence is the probability that an observation still included
in the analysis at the beginning of this period will be affected by an event during the period. It is
especially appropriate in the case of competing risks, that is to say, when several types of
events may occur.
This technique is used for the analysis of survival data, whether individuals (cancer research, for
example) or products (resistance time of a production tool, for example): some individuals die
(in this case we will have 2 causes of death: from the disease or an other cause), the products
break (in this case we can model different breaking points), but others leave the study because
they heal, you lose track of them (moving for example) or because the study was discontinued.
The first type of data is usually called "failure data", or "event data", while the second is called
"censored data".
Left censoring: when an event is reported at time t = t(i), we know that the event
occurred at t × t(i).
Right censoring: when an event is reported at time t = t(i), we know that the event
occurred at t × t(i), if it ever occurred.
Interval censoring: when an event is reported at time t = t(i), we know that the event
occurred during [t(i − 1); t(i)].
Survival analysis 1266 Cumulative incidence

Exact censoring: when an event is reported at time t = t(i), we know that the event
occurred exactly at t = t(i).
The cumulative incidence method requires that the observations are independent. Second, the
censoring must be independent: if you consider two random individuals in the study at time t −
1, if one of the individuals is censored at time t, and if the other survives, then both must have
study terminates).
When working with competing risks, the different types of events can happen only once, after
the event has occurred, the observation is withdrawn from the analysis. We can calculate the
risk of occurrence of an event in the presence of competitive events. XLSTAT allows you to
compare the types of events but also to take account of groups of observations (depending on
the treatment administered, for example).
= ∑ S^(Tj−1 ) nkjj for event k at time T . With

d
The cumulative incidence function is: Ik (T )
Tj ≤T
S^(Tj−1 ) being the survival distribution function obtained using the Kaplan-Meier estimator, dkj
being the number of observation failing with event k at time Tj and nj , the number of
observation at risk (still in the study) at time Tj .
Variance estimator is:
V ar(Ik (T )) = ∑ [(Ik (T ) − Ik (Tj ))2 ]

dj
Tj ≤T
nj (nj − dj )
+ ∑ [(S^(Tj−1 )) ]
2 (n − d ) d
j j kj
nj n2j
Tj ≤T
− 2 ∑ [(Ik (T ) − Ik (Tj )) S^(Tj−1 ) 2 ]

dj
T ≤T
nj
j
Confidence intervals are obtained using:
exp( )
±zα/2 V ar(Ik (T ))
Ik (T )log(Ik (T ))
Ik (T )

Gray test for group comparison
Gray test is used to compare groups in a cumulative incidence framework. When competing
risks are present, a classic comparison of groups test cannot be applied. Gray developed a test
for that case. It is based on a k-sample test that compares the cumulative incidence of a
particular type of failure among different groups. For a complete presentation of that test, see
Gray (1988).
A p-value for each failure type is obtained for all the groups being studied.
Dialog box
General tab:
Default value is 0.

Labels included: Activate this option if the column labels have been selected.
Groups: Activate this option if you want to group the data. Then select the data that correspond
to the group to which each observation belongs.
Gray test: Activate this option if you want to perform a Gray test to compare cumulative
incidence associated to groups of observations for each failure type.
Options tab:
Missing data tab:
Charts tab:
Cumulative incidence function: Activate this option to display the charts corresponding to the
cumulative incidence function.
Results
Each table and plots are displayed for each event type.
Cumulative incidence: This table displays the various results obtained from the analysis,
including:

Events i: number of events of type i recorded.
All types of events: number of events of all types recorded.
Cumulative incidence: Cumulative incidence obtained for event i at the considered time.
Cumulative incidence standard error: standard error of the previous
Cumulative incidence confidence interval: confidence interval of the previous
Cumulative Survival function: This table displays the various results obtained from the
analysis, including:
Events i: number of events of type i recorded.
All types of events: number of events of all types recorded.
Cumulative survival function: Cumulative survival function obtained for event i at the
considered time.
Cumulative survival function standard error: standard error of the previous
Cumulative survival function confidence interval: confidence interval of the previous
Charts: Depending on the selected options, up to three charts are displayed: Cumulative
incidence and cumulative survival function.
Gray test: For each failure type the Gray test statistic and the associated degrees of freedom
and p-values are displayed.
Example
An example of survival analysis based on the cumulative incidence method is available on the
Addinsoft website:
http://www.xlstat.com/demo-cui.htm
References

Gray R.J. (1988) A class of K-sample tests for comparing the cumulative incidence of a
competing risk. The Annals of statistics, 16(3), 1141-1154.

Cox Proportional Hazards Model
Use Cox proportional hazards, also known as Cox regression, to model a survival time using
quantitative and/or qualitative covariates.
In this section:
Description
Dialog box
Results
Example
References
Description
Cox proportional hazards model is a frequently used method in the medical domain (when a
patient will get well or not).
The principle of the proportional hazards model is to link the survival time of an individual to
covariates. For example, in the medical domain, we are seeking to find out which covariate has
the most important impact on the survival time of a patient.
Models
The Cox model is a well-recognized statistical technique for exploring the relationship between
the survival of a patient and several explanatory variables. The Cox model provides an estimate
of the treatment effect on survival after adjustment for other explanatory variables. It allows us
to estimate the hazard (or risk) of death, or other event of interest, for individuals, given their
prognostic variables.
Interpreting a Cox model involves examining the coefficients for each explanatory variable. A
positive regression coefficient for an explanatory variable means that the hazard is higher.
Conversely, a negative regression coefficient implies a better prognosis for patients with higher
values of that variable.
Cox’s method does not assume any particular distribution for the survival times, but it rather
assumes that the effects of the different variables on survival are constant over time and are
additive in a particular scale.
Survival analysis 1272 Cox Proportional Hazards Model

The hazard function is the probability that an individual will experience an event (for example,
death) within a small-time interval, given that the individual has survived up to the beginning of
the interval. It can therefore be interpreted as the risk of dying at time t. The hazard function
(denoted by λ(t, X) can be estimated using the following equation:
λ(t, X) = λ0 (t) exp(βX)
The first term only depends on time and the second one depends on X . We are only interested
on the second term.
If we only estimate the second term, a very important hypothesis has to be verified: the
proportional hazards hypothesis. It means that the hazard ratio between two different
observations does not depend on time.
Cox developed a modification of the likelihood function called partial likelihood to estimate the
coefficients β not taking into account the time dependant term of the hazard function:
n
⎛ ⎞
log (L(β)) = ∑ βXi − log ∑ exp (βXj )
i=1 ⎝ j:t(j) ≥t(i) ⎠
To estimate the β parameters of the model (the coefficients of the linear function), we try to
maximize the partial likelihood function. Contrary to linear regression, an exact analytical
solution does not exist. So, an iterative algorithm has to be used. XLSTAT uses a Newton
Raphson algorithm. The user can change the maximum number of iterations and the
convergence threshold if desired.
Strata
When the proportional hazards hypothesis does not hold, the model can be stratified. If the
hypothesis holds on sub-samples, then the partial likelihood is estimated on each sub-sample
and these partial likelihoods are summed in order to obtain the estimated partial likelihood. In
XLSTAT, strata are defined using a qualitative variable.
Qualitative variables
Qualitative covariates are treated using a complete disjunctive table. In order to have
independent variables in the model, the binary variable associated to the first modality of each
qualitative variable has to be removed from the model. In XLSTAT, the first modality is always
selected and, thus, its effect corresponds to a standard. The impact of the other modalities are
obtained relatively to the omitted modality.
Ties handling
The proportional hazards model has been developed by Cox (1972) in order to treat continuous
time survival data. However, frequently in practical applications, some observations occur at the

same time. The classical partial likelihood cannot be applied. With XLSTAT, you can use two
alternative approaches in order to handle ties:
Breslow’s method (1974) (default method): The partial likelihood has the following form:
T di ⎛ ⎞
log (L(β)) = ∑ β ∑ Xl − di log ∑ exp (βXj )
i=1 l=1 ⎝ j:t(j) ≥t(i) ⎠
where T is the number of times and di is the number of observations associated to time t(i).
Efron’s method (1977): The partial likelihood has the following form:
T di di −1
⎛ r i
d
⎞
log (L(β)) = ∑ β ∑ Xl − ∑ log ∑ exp (βXj ) − ∑ exp (βXj )
i=1 l=1 r=0 ⎝ j:t(j) ≥t(i) di j=1 ⎠
where T is the number of times and di is the number of observations associated to time t(i) .
If there are no ties, partial likelihoods are equivalent to Cox partial likelihood.
Residuals
Diagnostic procedures for model verification are an important part of a modeling process, and
many of these procedures are based on residuals. In survival analysis, and particularly when
constructing a Cox proportional hazard model, several types of residuals are used for different
purposes.
Martingale residuals are used to examine the overall quality of the fit of a Cox model. They are
defined as follows:
Mi = di − Λ0 (ti ) exp(xi β)
Where
di
Λ0 = ∑
ti <t
∑j∈Rt(i) exp(xj β)
is the cumulative risk function.
According to Therneau et al., a problem of these residuals is that they are biased. In addition,
they have a maximum value of 1 and a minimum value of −∞
To solve these problems, Therneau et al. have proposed residuals of deviance. They are used
for the detection of poorly predicted observations. They are more symmetric around 0 than the
Martingale residuals and are defined as follows:
Di = sign(Mi ) −2(Mi + di log(di − Mi ))
Where Mi is the Martingale residual, and sign represents the sign function.

Observations which correspond to an important residual of deviance are those which are not
well adapted to the model, and which can be considered as aberrant observations.
Schoenfeld residuals have been proposed by Schoenfeld as a partial residual which is essential
for verifying the proportional hazards hypothesis. He defined these residuals as the difference
between the observed value xik and its conditional expectation knowing the number of
individuals still at risk at time ti : Ri .
sik = di (xik − xˉk )

Where
∑j∈R(ti ) xjk exp(xβ)

xˉk =
∑j∈R(ti ) exp(xβ)
A graph of sik against t will be centered on 0 if the proportional risks are verified E(sik ) = 0.
Score residuals are used to determine influential observations. They are defined as follows:
scoreik = di (xik − xˉk (ti )) − ∑ (xik − xˉk (tn )) exp(xi β)(Λ0 (tn−1 ))
tn <ti
Where
∑j∈R(ti ) xjk exp(xβ)

xˉk =
∑j∈R(ti ) exp(xβ)
Proportionality test
A central hypothesis of the Cox proportional risk model is that the risk ratio is constant over
time. The violation of this hypothesis may lead to a bias in the estimation of the coefficients of
the regression. There are different methods to verify if this hypothesis holds.
In XLSTAT, it is possible to verify this hypothesis using the Schoenfeld residuals. Grambsch and
Therneau have shown that a normalized version of these residuals approximates the variation
of the regression coefficient at time k :E(s∗ik ) + β^k ≈ βk (ti ).
Where s∗ik is the normalized Schoenfeld residue of the covariable k at time i : s∗ik =
V −1 (β, t)Sik
Where V (β, t) is the variance of the vector of estimates β at time t.
Thus, we can test the proportionality of the predictors by creating an interaction with time or a
transformation of time (in XLSTAT, the Kaplan-Meier estimator is used as a time transformation).
For each variable, we test the nullity of the expectation of the Schoenfeld residuals: H0 :
βj (t) = βj against H1 : βj (t) = βj .

A p-value < α indicates a violation of the proportionality hypothesis.
The global test makes it possible to verify this hypothesis for the whole model: H0 : β(t) = β
against H1 : β(t) =
 β.
Indices to validate the model
XLSTAT-Life allows you to display indices that help validating the model. They are obtained
through bootstraping. As a consequence, for each index you obtain the mean, the standard
error, as well as a confidence interval.
The available indices are:
R2 (Cox and Snell) : This coefficient, as the classical R2 , takes values between 0 and 1,
and measure the goodness of fit of the model. It equals 1 minus the likelihood ratio that
compares the likelihood of the model of interest and the likelihood of the independent
model;
R2 (Nagelkerke) : This coefficient, as the classical R2 , takes values between 0 and 1, and
measure the goodness of fit of the model. It is equal to the ratio of the Cox and Snell R2 ,
divided by 1 minus the likelihood of the independent model;
Shrinkage index: This index allows quantifying the overfitting of the model. When it is
lower than 0.85, on can say that there is some overfitting in the model, and that one
should reduce the number of parameters in the model.
The c index: The concordance index (or general discrimination index) allows evaluating
the predictive quality of the model. When it is close to 1, the quality is good, and when it is
close to 0, it is bad.
Sommer’s D: This index is directly related to the c index, as we have D = 2 ∗ (c − 0, 5)

. As a correlation, it takes values between -1 and 1.
These indices make it easier for the user to validate the Cox model that has been obtained. For
a detailed description on the bootstrap and validation for the Cox model, please refer to Harrell
et al. (1996).
Dialog box

observations.
General tab:
Status indicator: Select the data that correspond to an event or censoring data. If a column
activated.
value is 1.
Default value is 0.

Options tab:
Ties handling: Select the method to be used when there is more than one observation for one
time (see the description section). Default method: Breslow’s method.
Stop conditions:
Default value: 100.
provided:
Missing data tab:
computations.

Outputs tab:
selected.
for the model.
Test of the null hypothesis H0 : β = 0: Activate this option to display the table of statistics
associated to the test of the null hypothesis H0 (likelihood ratio, Wald statistic and score
statistic)
Proportionality test: Activate this option to display the results of the proportionality test.
Predictions: Activate this option to display the prediction vector. These linear predictors are
computed as follows: (xi − mean(xi ))βi .
Residuals: Activate this option to display the residuals for all the observations (deviance
residuals, martingale residuals, Schoenfeld residuals and score residuals).
Resampled statistics: Activate this option in order to display the validation indexes that have
been obtained using the bootstrap method (see the description section).
Resamplings: If the previous option has been activated, enter the number of samples to
generate when boostraping.
Charts tab:
cumulative survival distribution function.
function.
Hazard function: Activate this option to display the hazard function when all covariates are at
their mean value.
Residuals: Activate this option to display all the residual charts.
Results

XLSTAT displays a large number of tables and charts to help in analyzing and interpreting the
results.
adjusted model.
Test of the null hypothesis H0 : β = 0: The H0 hypothesis corresponds to the independent

model (no impact of the covariates). We seek to check if the adjusted model is significantly
more powerful than this model. Three tests are available: the likelihood ratio test (-2 Log(Like.)),
the Score test and the Wald test. The three statistics follow a χ2 distribution whose degrees of
freedom are shown.
Model parameters: The parameter estimate, corresponding standard deviation, Wald's χ2 , the
corresponding p-value and the confidence interval are displayed for each variable of the model.
The hazard ratios for each variable with confidence intervals are also displayed.
Proportionality test: For each variable, the correlation between the Schoenfeld residuals and
the time vector (1 - Kaplan Meier), the test statistic and its p-value are displayed.
Predictions are given for each observation.
The residual table shows, for each observation, the time variable, the censoring variable and
the value of the residuals (deviance, martingale, Schoenfeld and score).
Charts: Depending on the selected options, charts are displayed: Cumulative Survival
distribution function (SDF), -Log(SDF) and Log(-Log(SDF)), hazard function at mean of
covariates, residuals.

Example
A tutorial on how to use Cox regression is available on the Addinsoft website:
http://www.xlstat.com/demo-cox.htm
References
Cox D. R. (1972). Regression Models and Life Tables (with Discussion). Journal of the Royal
Statistical Society, Series B 34:187-220.
Breslow N. E. (1974). Covariance analysis of censored survival data. Biometrics, 30:89-99.
Effron B. (1977). Efficiency of Cox’s likelihood function for censored data. Journal of the
American Statistical Association, 72:557-565.
Schoenfeld D. (1982). Partial residuals for the proportional hazards regression model.
Biometrika, 69:239-241.
Therneau T. M., Grambsch P. M. and Fleming T.R. (1990). Martingale-based residuals for
survival models. Biometrika, 77:147-160.
Grambsch P. M. and Therneau T. M. (1994). Proportional hazards tests and diagnostics based
on weighted residuals. Biometrika, 81:515-526.
Harrell F.E. Jr., Lee K.L. and Mark D.B. (1996). Multivariable prognostic models: Issues in
developing models, evaluating assumptions and adequacy and measuring and reducing errors.
Statistics in Medicine, 15, 361-387.
Hill C., Com-Nougué C., Kramar A., Moreau T., O’Quigley J. Senoussi R. and Chastang C.
(1996). Analyse Statistique des Données de Survie. 2nd Edition, INSERM, Médecine-Sciences,
Flammarion.
Kalbfleisch J. D. and Prentice R. L. (2002). The Statistical Analysis of Failure Time Data. 2nd

Proportional Hazards Model with interval censored
model
Use the interval-censored proportional hazard model to model survival time based on
quantitative or qualitative explanatory variables. This model fits into the framework of survival
data methods.
In this section:
Description
Dialog box
Results
Example
References
Description
The proportional hazard model is one of the most popular regression models for modeling
survival times with censored data.
The principle of the proportional hazards model is to link the survival time of an individual to
covariates. For example, in the medical domain, we are seeking to find out which covariate has
the most important impact on the survival time of a patient.
The first proportional hazard model, introduced by Cox in 1972, works with uncensored data
and right censored data. The purpose of the proportional hazard model with interval censored
data is therefore the same as for the Cox model, but it will also be possible to model survival
times for interval- censored data, uncensored data, left censored data or right censored data.
If the data contains only uncensored or right censored observations, it is possible, with this
function, to reproduce the results of a Cox model. However, it is recommended to use Cox's
proportional hazards model as it provides a more suitable method for this type of case.
Models
Likelihood
In a proportional hazards model, the survival time of each individual in a population is assumed
to follow their own risk function λi (t) defined by:
λi (t) = λ0 (t) exp(Xi′ β)
Where λ0 (t) is the basic hazard function Xi is the vector of the explanatory variables for the i-
th individual, and β is the vector of the regression coefficients.

Survival analysis 1282 model
In this model, one will assume that the observations to be analyzed are intervals censored:
{(Li , Ri ], Xi }ni=1
Where Li and Ri represent the left and right limits of the censored interval of the individual i
with Li ≤ Ri . It can be noted that if Li = Ri the time of the individual i is uncensored, if
Li = 0 the time of the individual i is left censored, and if Ri = ∞ the time of the individual i is
right censored.
Then, one notes F (t∣Xi ) the distribution function of the individual i at time t. Under the
proportional hazards model, it is given by:
F (t∣Xi ) = 1 − exp(−Λ0 (t) exp(Xi′ β))
Where Λ0 (t) is the cumulative function of the basic hazard and β the regression coefficients.
It is assumed that the time between the beginning of the study and the event is independent of
the observation process. Under this assumption, the likelihood function is given by:
n
L = ∏{F (Ri ∣Xi ) − F (Li ∣Xi )}
i=1
If one now distinguishes the three types of censorship, one obtains:

n
L = ∏{F (Ri ∣Xi )δ1 {F (Ri ∣Xi ) − F (Li ∣Xi )}δ2 {1 − F (Li ∣Xi )}δ3
i=1
Where δ1 (resp δ2 , δ3 ) = 1 if there is left censored (resp interval, right) and 0 otherwise.
Cubic Spline
In the likelihood function given above, the unknown parameters are the regression coefficients
β as well as the cumulative function of the basic hazard Λ0 (t). One will therefore try to
estimate Λ0 (t) using I-splines (Ramsay, 1988). This approach gives us the following
representation:
k
Λ0 (t) = ∑ γl bl (t)
l=1
Where bl (t) are the basis functions of I-splines, and γl are non-zero coefficients which
guarantee that Λ0 (t) is nondecreasing.
There are different parameters to specify how to build these basis functions of I-splines: the
degree of the splines as well as the number and the placement of the knots. As part of this
function, the use of cubic splines (order = 3) was favored. As for the number of knots, it is fixed
at 3, regularly spaced. It is also possible to choose to optimize this number of knots. In this

case, one will build a model for different numbers of knots and calculate the AIC, the final model
will be the one with the lowest AIC. Where AIC is the Akaike’s Information Criterion.
EM Algorithm
The EM (Expectation-Maximization) algorithm is an iterative algorithm. It is a parametric

estimation method within the framework of maximum likelihood.
It consists of two stages. The first is to calculate the expectation of the log likelihood of the
model based on the observed data and the estimation of the parameters θ (d) = (β (d) , γ (d) ).
Which give:
Q(θ, θ(d) ) = E[log(L(θ))]
The second step is to optimize this function. After calculations, one can see that θ(d+1) is a
solution to the system of equations given by:
∂Q(θ, θ(d) )
=0
∂β
And
∂Q(θ, θ(d) )
=0
∂γl
Where l = 1, … , k .
By solving the 2nd equation, one obtains directly an expression for γ (d+1) in terms of β (d+1)
∂Q(θ,θ(d) )
and the data observed for each l. Thus, by replacing γl in ∂β
= 0 by the expression of
γ (d+1) , one can obtain β (d+1) , which allows then the direct computation of γl(d+1) =
γl(d) (β (d+1) ).
∂Q(θ,θ(d) )
In this function, the resolution of the equation system ∂β = 0 is performed using the
Nelder-Mead algorithm, which is an optimization algorithm.
Variance estimation
(I(θ)), the method of Louis (Louis, 1982) is used.

To compute the information matrix of Fisher
^
The variance-covariance matrix of θ will then be given by inverting this Fisher information
matrix.
Fisher's information matrix is given by:
∂ 2 Q(θ, θ^) ∂ log(L(θ))

I(θ) = − − var( )
∂θ∂θ^ ∂θ

qualitative variable has to be removed from the model. In XLSTAT, we can choose to delete the
first or the last modality of each qualitative variable, so the effect of the first or the last modality
corresponds to a standard. The impact of the other modalities is related to this omitted modality.
Dialog box
observations.
General tab:
Left endpoint: select here the data corresponding to the left endpoint of the interval. If the data
is left censored, put a value of 0. If the data is interval censored, this value must be lower than
that of the right endpoint.
Right endpoint: select here the data corresponding to the right endpoint of the interval. If the
data is right censored, put a value of 0. If the data is interval censored, this value must be
greater than that of the left endpoint.

been activated (see description).
Censored code: Select here the vector of the codes of censorship corresponding to the values
of the codes entered after.
Uncensored Data Code: Enter the code used to identify uncensored data. The default value is
0.
Left censored code: Enter the code used to identify left censored data. The default value is 1.
Interval Censored Code: Enter the code used to identify interval censored data. The default
value is 2.
Right censored code: Enter the code used to identify right censored data. The default value is
3.
Options tab:
Optimize number of knots: Enable this option to optimize the number of knots used for spline
calculation. The "best" number of knots will then be the one that optimizes the AIC of the model.
In case this option is not activated, the number of nodes will be 3.
Stop conditions:

Default value: 100.
Missing data tab:
computations.
Outputs tab:
selected.
for the model.
Predictions: Activate this option to display the prediction vector. These linear predictors are
computed as follows: (xi − mean(xi ))βi
Charts tab:
function.

Results
results.
adjusted model.
corresponding p-value and the confidence interval are displayed for each variable of the model.
The hazard ratios for each variable with confidence intervals are also displayed.
Predictions are given for each observation.
distribution function (SDF), -Log(SDF) and Log(-Log(SDF)).
Example
A tutorial on how to use proportional hazards model with interval censored data is available on
the Addinsoft website:
http://www.xlstat.com/demo-coi.htm
References
Cox D. R. (1972). Regression Models and Life Tables (with Discussion). Journal of the Royal
Statistical Society, Series B 34:187-220.
Wang L., McMahan C. S., Hudgens M. G., Qureshi Z. P. (2016). A Flexible, Computationally
Efficient Method for Fitting the Proportional Hazards Model to Interval-Censored Data.
Biometrics 72, 222-231.

McMahan C. S., Wang L., Tebbs J. M. (2013). Regression analysis for current status data
using the EM algorithm. Statistics in medicine, Vol. 32(25), 4452-4466.
Rosenberg P. S. (1995). Hazard function estimation using B-Splines. Biometrics 51, 874-887.
Ramsay J. O. (1988). Monotone regression splines in action. Statistical Science, Vol. 3, No. 4,
425-461.
Nash J. C. (1979). Compact numerical methods for computers: linear algebra and function
minimisation.

Parametric survival models
Use the parametric survival model, also known as Weibull model, to model a survival time using
a given probability distribution and, if necessary, quantitative and/or qualitative covariates.
These models fit into the framework of the methods for survival data analysis.
In this section:
Description
Dialog box
Results
Example
References
Description
The parametric survival model is a method that applies in the context of the analysis of survival
data. It allows modelling survival time with right- censored data. It is widely used in medicine
(survival time or cure of a patient).
The principle of the parametric survival model is to link the survival time of an individual to a
probability distribution (the Weibull distribution is often used) and, when necessary, covariates.
For example, in the medical domain, we are seeking to find out which covariate has the most
important impact on the survival time of a patient based on a defined distribution.
XLSTAT-Life offers two tools for parametric survival models:
- The parametric survival regression, which lets you apply a regression model and analyze
the impact of explanatory variables on survival time (assuming an underlying distribution).
- The parametric survival curve uses a chosen distribution to model the survival time.
These two methods are exactly equivalent to a methodological standpoint, the difference lies in
the fact that, in the first case, explanatory variables are included.
Models
The parametric survival model is similar to the classical regression models in the sense that one
tries to link an event (modelled by a date) to a number of explanatory variables.
The parametric survival model is a parametric model. It is based on the assumption that survival
times follow a distribution. This assumes a structure for the hazard function that is associated
with the chosen distribution.
The parametric survival model is applicable to any situation where one which to study the time
of occurrence of an event. This event may be the recurrence of a disease, the response to a
Survival analysis 1290 Parametric survival models

treatment, the death, etc. For each subject, we know the date of the latest event (censored or
not).
The subjects for which we do not know the status are censored data. The explanatory variables
are noted Xj and do not vary along the study.
The T variable is the time until the event. The parametric survival model can express the risk of
occurrence of the event as a function of time t and of the explanatory variables Xj . These
variables may represent risk factors, prognostic factors, treatment, about the intrinsic
characteristics, ...
The survival function, noted S(t), is defined depending on the selected distribution. XLSTAT-
Life offers different distributions, among others, the exponential distribution (the survival rate is
constant, h(t) = l), the Weibull distribution (often called Weibull model), the distributions of
extreme values?...
The exponential and Weibull models are very interesting because they are simultaneously
proportional hazards models (such as the Cox model) and accelerated failure time models (for
all individuals i and j with survival time Si () and Sj (), there exists a constant ϕ such that
Si (t) = Sj (t ∗ ϕ) for all t).
The estimation of such models is done with the maximum likelihood method. Generally Y =
log(T ) is used as dependent variable (for Weibull and exponential models).
Unlike linear regression, an exact analytical solution does not exist. It is therefore necessary to
use an iterative algorithm. XLSTAT uses a Newton- Raphson algorithm. The user can change if
desired maximum number of iterations and the convergence threshold.
Interpretation of results is done both by studying the graphs associated with cumulative survival
functions and studying the tables of coefficients and goodness of fit indices.
qualitative variable has to be removed from the model. In XLSTAT, the first or the last modality
can be selected and, thus, its effect corresponds to a standard. The impacts of the other
modalities are obtained relatively to the omitted modality.
Dialog box

observations.
General tab:
Status indicator: Select the data that correspond to an event or censoring data. If a column
activated.
value is 1.
Default value is 0.
Explanatory variables (in the case of a parametric survival regression):

Distribution: Select the distribution to be used to fit your model. XLSTAT-Life offers different
distributions including Weibull, exponential, extreme value…
Options tab:
Initial parameters: Activate this option if you want to take initial parameters into account. If you
do not activate this option, the initial parameters are automatically obtained. If a column header
Tolerance: Activate this option to prevent the initial regression calculation algorithm taking into
Stop conditions:
Default value: 100.
provided:

Missing data tab:
Outputs tab:
selected.
for the model.
Test of the null hypothesis H0: beta=0: Activate this option to display the table of statistics
associated to the test of the null hypothesis H0 (likelihood ratio, Wald statistic and score
statistic)
Residuals and predictions: Activate this option to display the residuals for all the observations
(standardized residuals, Cox-Snell residuals). The value of the estimated cumulative distribution
function, the hazard function and the cumulative survival function for each observation are
displayed.
Quantiles: Activate this option to display the quantiles for each observation (in the case of a
parametric survival regression) and for different values of the percentiles (1, 5, 10, 25, 50, 75,
90, 95 and 99 %)..
Charts tab:
function.
Hazard function: Activate this option to display the hazard function when all covariates are at
their mean value.

Residuals: Activate this option to display all the residual charts.
Results
results.
adjusted model.
Test of the null hypothesis H0: beta=0: The H0 hypothesis corresponds to the independent
model (no impact of the covariates). We seek to check if the adjusted model is significantly
more powerful than this model. Three tests are available: the likelihood ratio test (-2 Log(Like.)),
the Score test and the Wald test. The three statistics follow a Chi² distribution whose degrees of
freedom are shown.
Model parameters: The parameter estimate, corresponding standard deviation, Wald's Chi²,
the corresponding p-value and the confidence interval are displayed for each variable of the
model. Confidence intervals are also displayed.
The residual and predictions table shows, for each observation, the time variable, the
censoring variable, the value of the residuals, the cumulative distribution function, the
cumulative survival function and the hazard function..
distribution function (SDF), -Log(SDF) and Log(-Log(SDF)), hazard function, residuals.
Example

A tutorial on how to use parametric survival regression is available on the Addinsoft website:
http://www.xlstat.com/demo-survreg.htm
A tutorial on how to use parametric survival curve is available on the Addinsoft website:
http://www.xlstat.com/demo-survcurve.htm
References
Harrell F.E. Jr., Lee K.L. and Mark D.B. (1996). Multivariable prognostic models: Issues in
developing models, evaluating assumptions and adequacy and measuring and reducing errors.
Statistics in Medicine, 15, 361-387.
Hill C., Com-Nougué C., Kramar A., Moreau T., O’Quigley J. Senoussi R. and Chastang C.
(1996). Analyse statistique des données de survie. 2-nd Edition, INSERM, Médecine-Sciences,
Flammarion.
Kalbfleisch J. D. and Prentice R. L. (2002 ). The Statistical Analysis of Failure Time Data. 2-
nd edition, John Wiley & Sons, New York.

Propensity score matching
Use the propensity score matching to match participants of two distinct groups in order to
control the effect of confounding variables in observational studies.
In this section:
Description
Dialog box
Results
Example
References
Description
The propensity score is defined as the probability for a participant to belong to one of two
groups given some variables known as confounders. The propensity score matching is a
technique that attempts to reduce the possible bias associated to those confounding variables
in observational studies.
Presentation
A typical example where confounding variables might be encountered would be a study aiming
to evaluate the effect of a new drug. Participants would belong to the treated group if they
received the new drug and to the control group if they did not. The study would then measure
the survival rate for each group after a certain amount of time. If the survival rate of the treated
group is found to be lower to the one of the control group, one might be tempted to conclude
that the drug doesn’t bring any benefit at all or, worse, that it has some dangerous effect on the
health of the participants.
In fact, the two groups are not identical and the new drug was administrated to a group of
people that already had a serious disease diagnosed before the study began. On the contrary,
the control group was made up of a relatively healthy group of people where only a small
proportion had a serious disease detected.
In this example, the variable "serious disease detected" is a confounding variable because its
value has an effect on the probability of a given participant to belong to one group or the other.
Controlling the effect of this confounding variable is highly recommended as it may otherwise
introduce a serious bias in the experimental results. In our case, participants of the treated
group had a serious disease detected which could explain a higher mortality rate for this group
compared to the control group.
Confounding variables are inherent to studies where the assignment procedure of a participant
to one group is not random. Possible reasons to use non- random procedures are numerous,
Survival analysis 1297 Propensity score matching

they might be ethical, legal, economical or simply practical. The study is then defined as an
observational study or a non-randomized trial.
Propensity score matching is one of the most successful techniques that aim to minimize the
effect of confounding variables. The basic idea is to estimate the probability of a given
participant to belong to one group by adjusting a logistic regression model on the group variable
with the suspected confounding variables as predictors. This probability, called the propensity
score, is expected to reflect the effect of the identified confounders.
The propensity score is then used to match each participant of the treatment group to the most
similar participant of the control group. Finally, matched participants form two groups that are
more comparable in term of confounding variables and possible biases in the experimental
results are expected to be reduced.
Estimating the propensity score
The propensity score was first introduced in Rosenbaum P.R., Rubin D.B. (1983a) as the
treatment assignment conditional on covariates:
pi = Pr(Zi = 1∣Xi )
Where pi is the propensity score, Zi indicates the group (treatment or control) and Xi refers to
the covariates or suspected confounding variables.
In XLSTAT, the propensity score is estimated using a logistic regression or logit model (see also
Logistic Regression for a more detailed description).
The group variable is the dependant variable of the logit model. It is a binary variable that
separates participants that belong to the treatment group from those who belong to the control
group. You may choose which one of the two categories corresponds to the treatment group.
The explanatory variables of the logit model are the confounding variables of our propensity
score model. They might be continuous (quantitative) or categorical (qualitative) data and
XLSTAT allows you to estimate interactions between those variables.
Matching algorithm
Once the propensity score has been estimated, each participant of the treatment group is
matched to the most similar participant of the control group (Rosenbaum P. R. (1989)). The
similarity is evaluated as a distance on the logit function of the propensity score defined as:
pi
logit(pi ) = log( )
1 − pi
The distance matrix is computed between the treatment group and the control group. XLSTAT
implementation proposes two metrics:
the Euclidean distance
the Mahalanobis distance

The user can also set an upper limit above which a distance between two participants is
considered too high for a match to be possible. We talk of caliper radius to refer to this limit and
it is defined in XLSTAT as:
σT2 + σC2
C=a
2
Where C is the caliper radius, σT2 the variance of logit(pi ) of the treatment group, σC 2
the
variance of logit(pi ) of the control group and α a coefficient. No strong consensus exists in the
literature about the value α should be given. Most frequent values are 0.1, 0.2 and 0.25. Those
values and some less typical values (0.5 and 1) are proposed in XLSTAT. The user is also given
the possibility to set C to the value of his choice.
Two algorithms are available in XLSTAT to perform the matching operation: the greedy
algorithm and the optimal algorithm. With both of these algorithms, it is possible to match each
participant of the treatment group to one participant of the control group, to a specified number
of participants of the control group or to all participants of the control group. The latter two
configurations can lead to substantially different results depending on the chosen matching
algorithm.
The greedy algorithm proceeds by successively matching each participant of the treatment
group to the best candidate among the available participants in the control group. By available,
it is meant that candidates should be at a distance smaller than the caliper radius (if the caliper
option is activated) and that the greedy algorithm performs matches without replacement. Once
a participant of the control group has been matched to one participant of the treatment group, it
is not available anymore for the subsequent matches. Therefore, the initial order of the
participants of the treatment group has an effect on the final result of the matching operation. To
mitigate this aspect of the greedy algorithm, XLSTAT proposes a random shuffling of
participants that can be activated by the user.
On the contrary, the optimal algorithm does not suffer this type of limitation. It is based on a
minimum-cost flow optimization that will minimize the total distance for all participants of the
matching operation. The matching operation remains without replacement but the order is not
an issue anymore. With this algorithm, an additional feature is available to balance the matching
operation according to a given qualitative variable. This feature should be used if the frequency
of occurrence of each category of the balancing variable in the treatment group is expected to
be reproduced in the matched control group.
Dialog box

observations.
General tab:
Group variable: Select the group variable you want to model. This should be a binary variable
indicating if a participant belongs to the group that received the treatment or to the control
group. If a column header has been selected, check that the "Variable labels" option has been
activated.
Treatment modality: Select the modality of the group variable that corresponds to the group
that received the treatment. Modalities should be detected automatically and proposed in the
drop-down menu when the group variable is selected. If detection fails or if the drop-down list
does not correspond to the variable after the selection was changed, you can click on the
refresh button just at the right to refresh the display.
selected data may be numerical. If the variable header has been selected, check that the
been activated.
explanatory variables, observations labels) includes a header.

Options tab:
be ignored.
Default value: 95.
Firth’s method: Activate this option to use Firth's penalized likelihood (see description). This
option is only available for binary logit model.
Stop conditions:
Default value: 100.
Shuffle rows: Activate this option to shuffle rows (participants) before performing the greedy
matching procedure. This option is only available when the greedy algorithm has been selected.
Balance groups: Activate this option if you wish to use a categorical variable to balance some
groups between the treatment group and the control group in the matching process. Then select
the corresponding variable in the Excel worksheet. The selected data may be of any type, but
numerical data will automatically be considered as nominal. If the variable header has been
Matching method:
Greedy algorithm: Activate this option if you want to use the greedy algorithm during the
matching process.
Optimal algorithm: Activate this option if you want to use the optimal algorithm during the
matching process.
Euclidean / Mahalanobis distance: Select the type of distance you want to use perform the
matching operation.

Number of matches:
One to one: Activate this option to match each participant of the treatment group to a
participant of the control group provided that there are suitable candidates.
One to several: Activate this option to match each participant of the treatment group to a given
number of participants of the control group provided that there are suitable candidates. Then
enter the desired number of participants.
One-to-all: Activate this option to match every participant of the control group to one of the
participant of the treatment group.
Caliper: Activate this option to set a limit on the distance acceptable for a match. Then select
the the caliper radius you want using the drop-down menu. If you select "User defined" you also
have to enter the desired value.
Missing data tab:
computations.
Outputs tab:
selected.
for the model.
Type II analysis: Activate this option to display the type II analysis of variance table.
Hosmer-Lemeshow test: Activate this option to display the results of the Hosmer-Lemeshow
test.

Summary of matched observations: Activate this option if you want a summary of the
matched observations to be displayed.
Propensity score: Activate this option if you want the list of all computed propensity scores to
be displayed.
Distance matrix: Activate this option if you want the distance matrix to be displayed.
Detailed matched observations: Activate this option if you want the matched observations to
be displayed.
Charts tab:
Standardized coefficients: Activate this option to display the standardized parameters for the
model with their confidence interval on a chart.
ROC curve: Activate this option to display the ROC curve.
Box plot of scores: Activate this option to display the box plot of scores for each group.
Results
results.

statistics follow a Chi²^ distribution whose degrees of freedom are shown.
Type II analysis: This table is only useful if there is more than one explanatory variable. Here,
is significant. Otherwise, it can be removed from the model.
ROC curve: The ROC curve is used to evaluate the performance of the model by means of the
area under the curve (AUC) and to compare several models together (see the description
The table of Summary matching display some indicators on the proportion of participants that
have been matched. The total cost in term of distance is also given just below the table.
The table of propensity scores gives the calculated propensity score for each participant of the
two groups. The value of the logit of the propensity score is also given. This is the value that is
used to compute the distance between each participant. Upper and lower bounds are also given
for the two variables.
The distance matrix is also displayed to give a general view of all the computed distances.
Participants of the treatment group are on rows, those of the control group are on columns.
Distances for match pairs are displayed in bold.

The Box plot displays several parameters on the logit distribution of propensity scores for the
complete treatment group, the portion of the treatment group that has been matched, the
portion of the control group that has been matched and the complete control group.
Example
A tutorial on how to use propensity score matching is available on the Addinsoft website:
https://help.xlstat.com/customer/en/portal/articles/2826861-propensity-score-matching-in-excel?
b_id=9283
References
Rosenbaum P.R. and Rubin D.B. (1983a). The central role of the propensity score in
observational studies for causal effects. Biometrika, 70, 41–55
Rosenbaum P.R. (1989). Optimal matching for observational studies. Journal of the American
Statistical Association, 84(408), 1024-1032

Sensitivity and Specificity
Use this tool to compute, among others, the sensitivity, specificity, odds ratio, predictive values,
and likelihood ratios associated with a test or a detection method. These indices can be used to
assess the performance of a test. For example in medicine it can be used to evaluate the
efficiency of a test used to diagnose a disease or in quality control to detect the presence of a
defect in a manufactured product.
In this section:
Description
Dialog box
Results
Example
References
Description
This method was first developed during World War II to develop effective means of detecting
Japanese aircrafts. It was then applied more generally to signal detection and medicine where it
is now widely used.
The problem is as follows: we study a phenomenon, often binary (for example, the presence or
absence of a disease) and we want to develop a test to detect effectively the occurrence of a
precise event (for example, the presence of the disease).
Let V be the binary or multinomial variable that describes the phenomenon for N individuals that
are being followed. We note by + the individuals for which the event occurs and by ‘-those for
which it does not. Let T be a test which goal is to detect if the event occurred or not. T can be a
binary (presence/absence), a qualitative (for example the color), or a quantitative variable (for
example a concentration). For binary or qualitative variables, let t1 be the category
corresponding to the occurrence of the event of interest. For a quantitative variable, let t1 be the
threshold value under or above which the event is assumed to happen.
Once the test has been applied to the N individuals, we obtain an individuals/variables table in
which for each individual you find if the event occurred or not, and the result of the test.
Survival analysis 1306 Sensitivity and Specificity

Case of binary test Case of a quantitative test
These tables can be summarized in a 2x2 contingency table:
In the example above, there are 25 individuals for whom the test has detected the presence of
the disease and 13 for which it has detected its absence. However, for 20 individuals diagnosis
is bad because for 8 of them the test contends the absence of the disease while the patients are
sick, and for 12 of them, it concludes that they are sick while they are not.
The following vocabulary is being used:
True positive (TP): Number of cases that the test declares positive and that are truly positive.
False positive (FP): Number of cases that the test declares positive and that in reality are
negative.
True n egati ve (VN): Number of cases that the test declares negative and that are truly
negative.
False negative (FN): Number of cases that the test declares negative and that in reality are
positive.
Several indices have been developed to evaluate the performance of a test:
Sensitivity (equivalent to the True Positive Rate ): Proportion of positive cases that are well
detected by the test. In other words, the sensitivity measures how the test is effective when
used on positive individuals. The test is perfect for positive individuals when sensitivity is 1,
equivalent to a random draw when sensitivity is 0.5. If it is below 0.5, the test is counter-
performing and it would be useful to reverse the rule so that sensitivity is higher than 0.5
(provided that this does not affect the specificity). The mathematical definition is given by:
Sensitivity = TP/(TP + FN).
Specificity (also called True Negative Rate ): proportion of negative cases that are well
detected by the test. In other words, specificity measures how the test is effective when used on
negative individuals. The test is perfect for negative individuals when the specificity is 1,
equivalent to a random draw when the specificity is 0.5. If it is below 0.5, the test is counter

performing-and it would be useful to reverse the rule so that specificity is higher than 0.5
(provided that this does not affect the sensitivity). The mathematical definition is given by:
Specificity = TN/(TN + FP).
False Positive Rate (FPR): Proportion of negative cases that the test detects as positive (FPR
= 1-Specificity).
False Negative Rate (FNR): Proportion of positive cases that the test detects as negative (FNR
= 1-Sensitivity)
Prevalence: relative frequency of the event of interest in the total sample (TP+FN)/N.
Positive Predictive Value (PPV): Proportion of truly positive cases among the positive cases
detected by the test. We have PPV = TP / (TP + FP), or PPV = Sensitivity x Prevalence /
[(Sensitivity x Prevalence + (1-Specificity)(1-Prevalence)]. It is a fundamental value that
depends on the prevalence, an index that is independent of the quality of the test.
Negative Predictive Value (NPV): Proportion of truly negative cases among the negative cases
detected by the test. We have NPV = TN / (TN + FN), or PPV = Specificity x (1 - Prevalence) /
[(Specificity (1-Prevalence) + (1-Sensibility) x Prevalence]. This index depends also on the
prevalence that is independent of the quality of the test.
Positive Likelihood Ratio (LR+): This ratio indicates to which point an individual has more
chances to be positive in reality when the test is telling it is positive. We have LR+ = Sensitivity /
(1-Specificity). The LR+ is a positive or null value.
Negative Likelihood Ratio (LR-): This ratio indicates to which point an individual has more
chances to be negative in reality when the test is telling it is positive. We have LR- = (1-
Sensitivity) / (Specificity). The LR- is a positive or null value.
Odds ratio: The odds ratio indicates how much an individual is more likely to be positive if the
test is positive, compared to cases where the test is negative. For example, an odds ratio of 2
means that the chance that the positive event occurs is twice higher if the test is positive than if
it is negative. The odds ratio is a positive or null value. We have Odds ratio = TPxTN / (FPxFN).
Relative risk: The relative risk is a ratio that measures how better the test behaves when it is a
positive report than when it is negative. For example, a relative risk of 2 means that the test is
twice more powerful when it is positive that when it is negative. A value close to 1 corresponds
to a case of independence between the rows and columns, and to a test that performs as well
when it is positive as when it is negative. Relative risk is a null or positive value given by:
Relative risk = TP/(TP+FP) / (FN/(FN+TN)).
For the various presented above, several methods of calculating their variance and, therefore
their confidence intervals, have been proposed. There are two families: the first concerns
proportions, such as sensitivity and specificity, and the second ratios, such as LR +, LR- the
odds ratio and the relative risk.

For proportions, XLSTAT allows you to use the simple (Wald, 1939) or adjusted (Agresti and
Coull, 1998) Wald intervals, a calculation based on the Wilson score (Wilson, 1927), possibly
with a correction of continuity, or the Clopper-Pearson (1934) intervals. Agresti and Caffo
recommend using the adjusted Wald interval or the Wilson score intervals.
For ratios, the variances are calculated using a single method, with or without correction of
continuity.
Once the variance of the above statistics is calculated, we assume their asymptotic normality (or
of their logarithm for ratios) to determine the corresponding confidence intervals. Many of the
statistics are proportions and should lie between 0 and 1. If the intervals fall partly outside these
limits, XLSTAT automatically corrects the bounds of the interval.
Dialog box
observations.
General tab:
Data format:
2x2 table (Test/Event): Choose this option if your data are available in a 2x2 contingency table
with the tests results in rows and the positive and negative events in columns. You can then
specify in which column of the table are the positive events, and on which row are the cases
detected as positive by the test. The option "Labels included" must be activated if the labels of
the rows and columns were selected with the data.

Individual data: Choose this option if your data are recorded in a individuals/variables table.
You must then select the event data that correspond to the phenomenon of interest (for
example, the presence or absence of a disease) and specify which code is associated with
positive events (for example + when a disease is diagnosed). You must also select the test data
corresponding to the value of the diagnostic test. This test may be quantitative (concentration),
binary (positive or negative) or qualitative (color). If the test is quantitative, you must specify if
XLSTAT should consider it as positive when the test is above or below a given threshold value.
If the test is qualitative or binary, you must select the value corresponding to a positive test.
Labels included: Activate this option if the row and column labels are selected. This option is
available if you selected the "2x2 table" format.
Variable labels: Activate this option if, in column mode, the first row of the selected data
contains a header, or in row mode, if the first column of the selected data contains a header.
This option is available if you selected the "individual data" format.
Options tab:
Size (%): Enter the size of the confidence interval in % (default value: 95).
Wald: Activate this option if you want to calculate confidence intervals on the various
indexes using the approximation of the binomial distribution by the normal distribution.
Activate "Adjusted" to use the adjustment of Agresti and Coull.
Wilson score: Activate this option if you want to calculate confidence intervals on the
various indexes using the Wilson score approximation.
Clopper-Pearson: Activate this option if you want to calculate confidence intervals on the
various indexes using the Clopper-Pearson approximation.
Continuity correction: Activate this option if you want to apply the continuity correction to
the Wilson score and to the interval on ratios.

A priori prevalence: If you know that the disease involves a certain proportion of individuals in
the total population, you can use this information to adjust predictive values calculated from your
sample.
Missing data tab:
Results
The results are made of the contingency table followed by the table that displays the various
indices described in the description section.
Example
An example showing how to compute sensitivity and specificity is available on the Addinsoft
website:
http://www.xlstat.com/demo-sens.htm
References
Newcombe R. G. (1998). Two-sided confidence intervals for the single proportion: comparison
of seven methods. Statistics in Medicine, 17, 857-872.
Zhou X.H., Obuchowski N.A., McClish D.K. (2002). Statistical Methods in Diagnostic
Medicine. John Wiley & Sons.
Pepe M.S. (2003). The Statistical Evaluation of Medical Tests for Classification and Prediction,
Oxford University Press.


ROC curves
Use this tool to generate an ROC curve that allows to represent the evolution of the proportion
of true positive cases (also called sensitivity) as a function of the proportion of false positives
cases (corresponding to 1 minus specificity), and to evaluate a binary classifier such as a test to
diagnose a disease, or to control the presence of defects on a manufactured product.
In this section:
Description
Dialog box
Results
Example
References
Description
ROC curves have first been developed during World War II to develop effective means of
detecting Japanese aircrafts. This methodology was then applied more generally to signal
detection and medicine where it is now widely used.
The problem is as follows: we study a phenomenon, often binary (for example, the presence or
absence of a disease) and we want to develop a test to detect effectively the occurrence of a
precise event (for example, the presence of the disease).
Let V be the binary or multinomial variable that describes the phenomenon for N individuals that
are being followed. We note by + the individuals for which the event occurs and by ‘-those for
which it does not. Let T be a test which goal is to detect if the event occurred or not. T is most of
the time continuous (for example, a concentration) but it can also be ordinal (to represent
levels).
We want to set the threshold value below or beyond which the event occurs. To do so, we
examine a set of possible threshold values for each we calculate various statistics among which
the simplest are:
True positive (TP): Number of cases that the test declares positive and that are truly
positive.
False positive (FP): Number of cases that the test declares positive and that in reality are
negative.
True n egati ve (VN): Number of cases that the test declares negative and that are truly
negative.
False n egati ve (FN): Number of cases that the test declares negative and that in reality
are positive.
Survival analysis 1313 ROC curves

Prevalence: Relative frequency of the event of interest in the total sample (TP+FN)/N.
Several indices have been developed to evaluate the performance of a test at a given threshold
value:
Sensitivity (equivalent to the True Positive Rate ): Proportion of positive cases that are well
detected by the test. In other words, the sensitivity measures how the test is effective when
used on positive individuals. The test is perfect for positive individuals when sensitivity is 1,
equivalent to a random draw when sensitivity is 0.5. If it is below 0.5, the test is counter-
performing and it would be useful to reverse the rule so that sensitivity is higher than 0.5
(provided that this does not affect the specificity). The mathematical definition is given by:
Sensitivity = TP/(TP + FN).
Specificity (also called True Negative Rate ): proportion of negative cases that are well
detected by the test. In other words, specificity measures how the test is effective when used on
negative individuals. The test is perfect for negative individuals when the specificity is 1,
equivalent to a random draw when the specificity is 0.5. If it is below 0.5, the test is counter
performing-and it would be useful to reverse the rule so that specificity is higher than 0.5
(provided that this does not affect the sensitivity). The mathematical definition is given by:
Specificity = TN/(TN + FP).
False Positive Rate (FPR): Proportion of negative cases that the test detects as positive (FPR
= 1-Specificity).
False Negative Rate (FNR): Proportion of positive cases that the test detects as negative (FNR
= 1-Sensitivity)
Prevalence: Relative frequency of the event of interest in the total sample (TP+FN)/N.
Positive Predictive Value (PPV): Proportion of truly positive cases among the positive cases
detected by the test. We have PPV = TP / (TP + FP), or PPV = Sensitivity x Prevalence /
[(Sensitivity x Prevalence + (1-Specificity)(1-Prevalence)]. It is a fundamental value that
depends on the prevalence, an index that is independent of the quality of the test.
Negative Predictive Value (NPV): Proportion of truly negative cases among the negative cases
detected by the test. We have NPV = TN / (TN + FN), or PPV = Specificity x (1 - Prevalence) /
[(Specificity (1-Prevalence) + (1-Sensibility) x Prevalence]. This index depends also on the
prevalence that is independent of the quality of the test.
Positive Likelihood Ratio (LR+): This ratio indicates to which point an individual has more
chances to be positive in reality when the test is telling it is positive. We have LR+ = Sensitivity /
(1-Specificity). The LR+ is a positive or null value.
Negative Likelihood Ratio (LR-): This ratio indicates to which point an individual has more
chances to be negative in reality when the test is telling it is positive. We have LR- = (1-
Sensitivity) / (Specificity). The LR- is a positive or null value.

Odds ratio: The odds ratio indicates how much an individual is more likely to be positive if the
test is positive, compared to cases where the test is negative. For example, an odds ratio of 2
means that the chance that the positive event occurs is twice higher if the test is positive than if
it is negative. The odds ratio is a positive or null value. We have Odds ratio = TPxTN / (FPxFN).
Relative risk: The relative risk is a ratio that measures how better the test behaves when it is a
positive report than when it is negative. For example, a relative risk of 2 means that the test is
twice more powerful when it is positive that when it is negative. A value close to 1 corresponds
to a case of independence between the rows and columns, and to a test that performs as well
when it is positive as when it is negative. Relative risk is a null or positive value given by:
Relative risk = TP/(TP+FP) / (FN/(FN+TN)).
For the various presented above, several methods of calculating their variance and, therefore
their confidence intervals, have been proposed. There are two families: the first concerns
proportions, such as sensitivity and specificity, and the second ratios, such as LR +, LR- the
odds ratio and the relative risk.
For proportions, XLSTAT allows you to use the simple (Wald, 1939) or adjusted (Agresti and
Coull, 1998) Wald intervals, a calculation based on the Wilson score (Wilson, 1927), possibly
with a correction of continuity, or the Clopper-Pearson (1934) intervals. Agresti and Caffo
recommend using the adjusted Wald interval or the Wilson score intervals.
For ratios, the variances are calculated using a single method, with or without correction of
continuity.
Once the variance of the above statistics is calculated, we assume their asymptotic normality (or
of their logarithm for ratios) to determine the corresponding confidence intervals. Many of the
statistics are proportions and should lie between 0 and 1. If the intervals fall partly outside these
limits, XLSTAT automatically corrects the bounds of the interval.
ROC curve
The ROC curve corresponds to the graphical representation of the couple (1 – specificity,
sensitivity) for the various possible threshold values.

The area under the curve (AUC) is a synthetic index calculated for ROC curves. The AUC is the
probability that a positive event is classified as positive by the test given all possible values of
the test. For an ideal model we have AUC = 1 (above in blue), where for a random pattern we
have AUC = 0.5 (above in red). One usually considers that the model is good when the value of
the AUC is higher than 0.7. A well discriminating model should have an AUC between 0.87 and
0.9. A model with an AUC above 0.9 is excellent.
Sen (1960), Bamber (1975) and Hanley and McNeil (1982) have proposed different methods to
calculate the variance of the AUC. All are available in XLSTAT. XLSTAT offers as well a
comparison test of the AUC to 0.5, the value 0.5 corresponding to a random classifier. This test
is based on the difference between the AUC and 0.5 divided by the variance calculated
according to one of the three proposed methods. The statistic obtained is supposed to follow a
standard normal distribution, which allows the calculation of the p-value.
The AUC can also be used to compare different tests between them. If the different tests have
been applied to different groups of individuals, samples are independent. In this case, XLSTAT
uses a Student test to compare the AUCs (which requires assuming the normality of the AUC,
which is acceptable if the samples are not too small). If different tests were applied to the same
individuals, the samples are paired. In this case, XLSTAT calculates the covariance matrix of the
AUCs as described by Delong and Delong (1988) on the basis of Sen’s work (1960), to then
calculate the variance of the difference between two AUCs, and to calculate the p-value
assuming the normality.
Dialog box

observations.
General tab:
Event data: Select the data that correspond to the phenomenon being studied (for example, the
presence or absence of a disease) and specify which code is associated to the positive event
(for example D or + for a diseased individual).
Test data: Select the data that correspond to test value of the diagnostic. The data must be
quantitative. If the data are ordinal, they must be recoded as quantitative data (for example
0,1,2,3,4). You must then specify if one should consider it as positive when the test value is
greater or lower than a threshold value determined during the computations.
which each observation belongs.

Options tab:
Size (%): Enter the size of the confidence interval in % (default value: 95).
Wald: Activate this option if you want to calculate confidence intervals on the various
indexes using the approximation of the binomial distribution by the normal distribution.
Activate "Adjusted" to use the adjustment of Agresti and Coull.
Wilson score: Activate this option if you want to calculate confidence intervals on the
various indexes using the Wilson score approximation.
Clopper-Pearson: Activate this option if you want to calculate confidence intervals on the
various indexes using the Clopper-Pearson approximation.
Continuity correction: Activate this option if you want to apply the continuity correction to
the Wilson score and to the interval on ratios.
A priori prevalence: If you know that the disease involves a certain proportion of individuals in
the total population, you can use this information to adjust predictive values calculated from your
sample.
Test on AUC: You can compare the AUC (Area Under the Curve) to 0.5, the value it would
have if the test variable were purely random. This test is conducted using the method of
calculating the variance chosen here above.
Costs: Activate this option if you want to evaluate the cost associated with the various possible
decisions based on the threshold values of the test variable. You need to enter the costs that
correspond to the different situations: TP (true positive), FP (false positive), FN (true negative),
TN (true negative).
Data options tab:
Missing data:
Groups:

Compare: Activate this option if want to compare the ROC curves, and perform the
comparison tests.
subset of groups.
Outputs tab:
variables.
ROC analysis: Activate this option to display the table that lists the various indices calculated
for each value of the test variable. You can choose to show or not show predictive values,
likelihood ratios and of true/false positive and negative counts.
Test on the AUC: Activate this option if you want to display the results of the comparison of the
AUC to 0.5, the value that corresponds to a random classifier.
Comparison of the AUCs: If you have selected several test variables or a group variable,
activate this option to compare the AUCs obtained for the different variables or different groups.
Charts tab:
ROC curve: Activate this option to display the ROC curve.
True/False +/-: Activate this option to display the stacked bars chart that shows the % of the
TP/TN/FP/FN for the different values of the test variable.
Decision plot: Activate this option to display the decision plot of your choice. This plot will help
you to decide what level of the test variable is best.
Comparison of the ROC curves: Activate this option to display on a single plot the ROC
curves that correspond to the various test variables or to the different groups. This option is only
available if you select two or more test variables or if a group variable has been selected.
Results
Summary statistics: In this first table you can find statistics for the selected test(s), followed by
a table recalling, for the phenomenon of interest, for the number of occurrences of each event
and the prevalence of the positive event in the sample. The row displayed in bold corresponds
to the positive event.
ROC curve: The ROC curve is then displayed. The strait dotted line that goes from (0 ;0) to
(1 ;1) corresponds to the curve of a random test with no discrimination. The colored line
corresponds to the ROC curve. Small squares correspond to observations (one square per
observed value of the test variable).

ROC analysis: This table displays for each possible threshold value of the test variable, the
various indices presented in the description section. On the line below the table you'll find a
reminder of the rule set out in the dialog box to identify positive cases compared to the threshold
value. Below the table you will find a stacked bars chart showing the evolution of the TP, TN, FP,
FN depending on the value of the threshold value. If the corresponding option was activated,
the decision plot is then displayed (for example, changes in the cost depending on the
threshold value).
Area under the curve (AUC): This table displays the AUC, its standard error and a confidence
interval.
Comparison of the AUC to 0.5: These results allow to compare the test to a random classifier.
The confidence interval corresponds to the difference. Various statistics are then displayed
including the p-value, followed by the interpretation of the comparison test.
Comparison of the AUCs: If you selected several test variables, once the above results are
displayed for each variable, you will find the covariance matrix of the AUC, followed by the table
of differences for each pair of AUCs with as comments the confidence interval, and then the
table of the p-values. Values in bold correspond to significant differences. Last, a graph that
compares the ROC curves displayed.
Example
An example showing how to compute ROC curves is available on the Addinsoft website:
http://www.xlstat.com/demo-roc.htm
An example showing how to compute ROC curves and compare them is available on the
Addinsoft website:
http://www.xlstat.com/demo-roccompare.htm
References
Bamber D. (1975). The area above the ordinal dominance graph and the area below the
receiver operating characteristic graph. Journal of Mathematical Psychology, 12, 387-415.
DeLong E.R., DeLong D.M., Clarke-Pearson D.L. (1988). Comparing the areas under two or
more correlated receiver operating characteristic curves: a nonparametric approach. Biometrics,

44(3), 837-845.
Hanley J.A. and McNeil B.J. (1982). The meaning and use of the area under a receiver
operating characteristic (ROC) curve. Radiology, 143, 29-36.
Hanley J. A. and McNeil B. J. (1983). A method of comparing the area under two ROC curves
derived from the same cases. Radiology, 148, 839-843.
Newcombe R. G. (1998). Two-sided confidence intervals for the single proportion: comparison
of seven methods. Statistics in Medicine, 17, 857-872.
Pepe M.S. (2003). The Statistical Evaluation of Medical Tests for Classification and Prediction,
Oxford University Press.
Sen P. K. (1960). On some convergence properties of U-statistics. Calcutta Statistical

Association Bulletin, 10, 1-18.
Zhou X.H., Obuchowski N.A., McClish D.K. (2002). Statistical Methods in Diagnostic
Medicine. John Wiley & Sons.

Method validation
Method comparison
Use this tool to compare a method to a reference method or to a comparative method. Tests,
confidence intervals are computed, and several plots are displayed to visualize differences,
including the Bland Altman plot and the Difference plot. With this tool you are able to meet the
recommendations of the Clinical and Laboratory Standards Institute (CLSI).
In this section:
Description
Dialog box
Results
Example
References
Description
When developing a new method to measure the concentration or the quantity of an element
(molecule, microorganism, …) you might want to check whether it gives results that are similar
to a reference or comparative method or not. If there is a difference, you might be interested in
knowing if this is due to a bias that depends on where you are on the scale variation. If a new
measurement method is cheaper than a standard, but if there is a known and fixed bias, you
might take into account the bias while reporting the results.
XLSTAT provides a series of tools to evaluate the performance of a method compared to

another.
Repeatability analysis
Repeatability and reproducibility analysis of measurement systems is available in the XLSTAT-

SPC module (see gage R&R). The repeatability analysis provided here is a lighter version that
is aimed at analyzing the repeatability of each method separately and to compare the
repeatability of the methods. To evaluate the repeatability of a method, one needs to have
several replicates. Replicates can be specified using the "Groups" field of the dialog box
(replicates must have the same identifier). This corresponds to the case where several
measures are taken on a given sample. If the method is repeatable, the variance within the
replicates is low. XLSTAT computes the repeatability as a standard deviation and displays a
confidence interval. Ideally, the confidence interval should contain 0.
Method validation 1322 Method comparison

Paired t-test
Among the comparison methods, a paired t-test can be computed. The paired t-test allows to
test the null hypothesis H0 that the mean of the differences between the results of the two
methods is not different from 0, against an alternative hypothesis Ha that it is.
Scatter plots
First, you can draw a scatter plot to compare the reference or comparative method against the
method being tested. If the data are on both sides of the identity line (bisector) and close to it,
the two methods give close and consistent results. If the data are above the identify line, the
new method overestimates the value of interest. If the data are under the line, the new method
underestimates the value of interest, at least compared to the comparative or reference method.
If the data are crossing the identify line, there is a bias that depends on where you are on the
scale of variation. If the data are randomly scattered around the identity line with some
observations that are far from it, the new method is not performing well.
1. Consistent methods 2. Positive constant bias
3. Negative constant bias 4. Linear biais

5. Inconsistent methods
Bias
The bias is estimated as the mean of the differences between the two methods. If replicates are
available, a first step computes the mean of the replicates. The standard deviation is computed
as well as a confidence interval. Ideally, the confidence interval should contain 0.
Note: The bias is computed for the criterion that has been chosen for the Bland Altman analysis
(difference, difference % or ratio).
Bland Altman and related comparison methods
Bland and Altman recommend plotting the difference (T-S) between the test (T) and
comparative or reference method (S) against the average (T+S)/2 of the results obtained from
the two methods. In the ideal case, there should not be any correlation between the difference
and the average whether there is a bias or not. XLSTAT tests whether the correlation is
significantly different from 0 or not. Alternative possibilities are available for the ordinates of the
plot: you can choose between the difference (T-S), the difference as a % of the sum (T-S)/(T+S),
and the ratio (T/S). On the Bland Altman plot, XLSTAT displays the bias line, the confidence
lines around the bias, and the confidence lines around the difference (or the difference % or the
ratio).
Histogram and box plot
Histogram and box plots of the differences are plotted to validate the hypothesis that both are
normally distributed, which is used to compute confidence intervals around the bias and the
individual differences. When the size of the samples is small the histogram is of little interest
and one should only consider the box plot. If the distribution does not seem to be normal, one
might want to verify that point with a normality test, and one should consider with caution the
confidence intervals.
Dialog box

observations.
General tab:
Data (Method 1): Select the data that correspond to the first method, or to the reference
method. If the name of the method is available in the first position of the data, make sure you
activate the "Variable labels" option.
Data (Method 2): Select the data that correspond to the second method. If the name of the
method is available in the first position of the data, make sure you activate the "Variable labels"
option.
Groups: If replicates are available, select in this field the identifier of the measures. Two
measures with the same group identifier are considered as replicates. XLSTAT uses the mean
of the replicates for the analysis, and will provide you with repeatability results.

Options tab:
Bland Altman analysis: Activate this option if you want to run a Bland Altman analysis and/or
display a Bland Altman plot. Then, you need to specify the variable to use for the ordinates.
Difference analysis: Activate this option if you want to run a Difference analysis and/or display
a Difference plot. Then, you need to specify the variable to use for the abscissa.
Significance level (%): Enter the size value of the significance level that is used to determine
the critical value of the Student’s t test and to generate the conclusion of the test.
Confidence intervals (%): Enter the size of the confidence interval in % (default value: 95).
Missing data tab:
Ignore missing data: Activate this option to ignore missing data. This option is only visible if the
"Groups" option is active.
Outputs tab:
Descriptive statistics: Activate this option to display descriptive statistics for the two methods.
Paired t-test: Activate this option to display the results corresponding to a paired Student’s t
test to test whether the difference between the two methods is significant or not.
Bland Altman analysis: Activate this option to compute the Bias statistic and the
corresponding confidence interval.
Charts tab:
Scatter plot: Activate this option to display the scatter plot showing on the abscissa the
reference or comparative method, and on the ordinates the test method.
Bland Altman plot: Activate this option to display the Bland Altman plot.
Histogram: Activate this option to display the histogram of the differences (or differences % or
ratios).
Box plot: Activate this option to display the box plot of the differences (or differences % or
ratios).
Difference plot: Activate this option to display the difference plot.

Results
Summary statistics: In this first table you can find the basic descriptive statistics for each
method.
t-test for two paired samples: These results correspond to the test of the null hypothesis that
the two methods are not different versus the alternative hypothesis that they are. Note: this test
is made using the assumption that the samples obtained with both methods are normally
distributed.
A scatter plot is then displayed to allow comparing the two methods visually. The identity line is
displayed on the plot. It corresponds to the ideal case where the samples on which the two
methods are applied are identical and where the two methods would give exactly the same
results.
The Bland Altman analysis is starts with an estimate of the bias, using the criterion that has
been chosen (difference, difference in %, or ratio), the standard error and a confidence interval
being as well displayed. The Bland Altman plot is displayed so that the difference between the
two methods can be visualized. XLSTAT displays the correlation between the abscissa and the
ordinates. One would expect it to be non-significantly different from 0, which means the
confidence interval around the correlation should include 0.
The histogram and the box plot allow to visualize how the difference (or the difference % or
the ratio) is distributed. A normality assumption is used when computing the confidence interval
around the differences.
The Difference plot shows the difference between the two methods against the average of both
methods, or against the reference method with an estimate of the bias, using the criterion that
has been chosen (difference, difference in %, or ratio), the standard error and a confidence
interval being as well displayed.
Example
An example showing how to compare two methods is available on the Addinsoft website:
http://www.xlstat.com/demo-bland.htm
References
Altman D.G. and Bland J.M. (1987). Measurement in Medicine: the Analysis of Method
Comparison Studies. The Statistician, 32, 307-317.
Bland J.M. and Altman D.G. (2008). Measurement agreement in method comparison studies.
Statistical Methods in Medical Research; 8, 135-160.
Hyltoft Petersen P., Stöckl D., Blaabjerg O., Pedersen B., Birkemose E., Thienpont L.,
Flensted Lassen1 J. and Kjeldsen J. (1997). Graphical interpretation of analytical data from
comparison of a field method with a Reference Method by use of difference plots. Clinical
Chemistry, 43(11), 2039-2046.

Bland J. M. and Altman D. G. (2007). Agreement between methods of measurement with
multiple observations per individual. Journal of Biopharmaceutical Statistics, 17, 571-582.

Passing and Bablok regression
Use this tool to compare two methods of measurement by a minimum of assumptions about
their distribution.
In this section:
Description
Dialog box
Results
Example
References
Description
Passing and Bablok (1983) developed a regression method that allows comparing two
measurement methods (for example, two techniques for measuring concentration of an
analyte), which overcomes the assumptions of the classical linear regression single that are
inappropriate for this application. As a reminder the assumptions of the OLS regression are
The explanatory variable, X in the model y(i) = a + b × x(i) + ε(i), is deterministic

(no measurement error),
The dependent variable Y follows a normal distribution with expectation aX
The variance of the measurement error is constant.
Furthermore, extreme values can highly influence the model.
Passing and Bablok proposed a method which overcomes these assumptions: the two variables
are assumed to have a random part (representing the measurement error and the distribution of
the element being measured in medium) without needing to make assumption about their
distribution, except that they both have the same distribution. We then define:
y(i) = a + b × x(i) + η(i)
x(i) = A + B × y(i) + ξ(i)
Where η and ξ follow the same distribution. The Passing and Bablok method allows calculating
the a and b coefficients (from which we deduce A and B using B = 1b and A = − 1b ) as well
as a confidence interval around these values. The study of these values helps comparing the
methods. If they are very close, b is close to 1 and a is close to 0.
Passing and Bablok also suggested a linearity test to verify that the relationship between the
two measurement methods is stable over the interval of interest. This test is based on a
Method validation 1329 Passing and Bablok regression

CUSUM statistic that follows a Kolmogorov distribution. XLSTAT provides the statistic, the
critical value for the significance level chosen by the user, and the p-value associated with the
statistic.
Dialog box
observations.
General tab:
Y method: Select the data that correspond to the method that will be displayed on the ordinates
axis. If the name of the variable is available in the first position of the data, make sure you
X method: Select the data that correspond to the method that will be displayed on the abscissa
axis. If the name of the variable is available in the first position of the data, make sure you

Options tab:
Method:
Part I: same scale: This method of estimation is the first method developed by Passing
and Bablok (1983). It should be used when both methods are on the same scale and
move in the same direction (positive correlation between X and Y ).
Part III: different scale: This method of estimation developed by Bablok et al. in 1988 is
an improvement of the method known as Part I. It is more robust and can be used to
compare two methods on different scales with possibly a negative correlation between X
and Y .
Missing data tab:
Outputs tab:
Charts tab:
Predictions and residuals: Activate this option to display table corresponding to the input data,
the predictions, the residuals and the perpendicular residuals.
Results
method.
Coefficients of the model: In this table are shown the coefficients a and b of the model and
their respective confidence intervals.
Predictions and residuals: This table displays for each observation, the value of X , the value
of Y , the model prediction, the residual and the perpendicular residual (the distance to the
regression line by orthogonal projection) .

The charts allow to visualize the regression line, the observations and the model Y = X
(corresponding to the bisector of the plane) and the corresponding confidence interval
calculated using the RMSE obtained from the model of Passing and Bablok but with the usual
method for linear regression. This chart allows to visually check if the model is far from the
model that would correspond to the hypothesis that the methods are identical.
Example
An example showing how to compare two methods using the Passing and Bablok regression is
available on the Addinsoft website:
http://www.xlstat.com/demo-passing.htm
References
Passing H. and Bablok W. (1983). A new biometrical procedure for testing the equality of
measurements from two different analytical methods. Application of linear regression
procedures for method comparison studies in Clinical Chemistry, Part I. J. Clin. Chem. Clin.
Biochem. 21, 709-720.
Bablok, W., Passing, H., Bender, R., & Schneider, B. (1988). A general regression procedure
for method transformation. Application of linear regression procedures for method comparison
studies in clinical chemistry, Part III. Clinical Chemistry and Laboratory Medicine., 26(11), 783-
790.

Deming regression
Use this tool to compare two methods of measurement with error on both measurements using
Deming regression.
In this section:
Description
Dialog box
Results
Example
References
Description
Deming (1943) developed a regression method, that allows comparing two measurement
methods (for example, two techniques for measuring concentration of an analyte), which
supposes that measurement error are present in both X and Y . It overcomes the assumptions
of the classical linear regression that are inappropriate for this application. As a reminder the
assumptions of the OLS regression are
The explanatory variable, X in the model y(i) = a + bx(i) + ϵ(i), is deterministic (no
measurement error),
The dependent variable Y follows a normal distribution with expectation aX
The variance of the measurement error is constant.
Furthermore, extreme values can highly influence the model.
Deming proposed a method which overcomes these assumptions: the two variables are
assumed to have a random part (representing the measurement). The distribution has to be
normal. We then define:
y(i) = y(i)∗ + ϵ(i)
x(i) = x(i)∗ + η(i)
Assume that the available data (y(i), x(i)) are mismeasured observations of the "true" values
(y(i)∗ , x(i)∗ ) where errors ϵ and η are independent. The ratio of their variances is assumed to
be known:
δ = σ 2 (η)/σ 2 (ϵ)
XLSTAT-Life allows you to define variances of error measurement on X and Y.
Method validation 1333 Deming regression

We seek to find the line of "best fit" y ∗ = a + bx∗ , such that the weighted sum of squared
residuals of the model is minimized.
Where ϵ and η follow a normal distribution. The Deming method allows calculating the a and b
coefficients as well as a confidence interval around these values. The study of these values
helps comparing the methods. If they are very close, then b is close to 1 and a is close to 0.
The Deming regression has two forms:
Simple Deming regression: The error terms are constant. The estimation is very simple
using a direct formula (Deming, 1943).
Weighted Deming regression: The weighted Deming regression supposes that the error
terms are not constant but only proportional. In that case, an iterative method is used to
obtain parameters values (Linnet, 1990).
Confidence interval of the intercept and slope coefficient are complex to compute. XLSTAT-Life
uses a jackknife approach to compute confidence intervals, as stated in Linnet (1993).
Dialog box
observations.
General tab:
X: Select the data that correspond to the method that will be displayed on the abscissa axis. If
the name of the variable is available in the first position of the data, make sure you activate the
"Variable labels" option.

Y: Select the data that correspond to the method that will be displayed on the ordinates axis. If
the name of the variable is available in the first position of the data, make sure you activate the
"Variable labels" option.
Constant error: Activate this option if the errors of both X and Y are supposed to be constant.
Proportional error: Activate this option if the errors of both X and Y are supposed to be
proportional.
Options tab:
Variance of error on X: Enter the variance of the measurement error on X .
Variance of error on Y: Enter the variance of the measurement error on Y .
Missing data tab:
Outputs tab:
Charts tab:
Predictions and residuals: Activate this option to display table corresponding to the input data,
the predictions and the residuals.

Results
method.
Coefficients of the model: In this table are shown the coefficients a and b of the model and
their respective confidence intervals.
Predictions and residuals: This table displays for each observation, the value of X , the value
of Y , the model prediction and the residuals.
The charts allow to visualize the regression line, the observations and the model Y = X
(corresponding to the bisector of the plane) and the corresponding confidence interval
calculated using the RMSE obtained from the model of Deming but with the usual method for
linear regression. This chart enables to visually check if the model is far from the model that
would correspond to the hypothesis that the methods are identical.
Example
An example showing how to compare two methods using the Deming regression is available on
http://www.xlstat.com/demo-deming.htm
References
Deming, W. E. (1943). Statistical adjustment of data. Wiley, NY (Dover Publications edition,
1985).
Linnet K. (1990). Estimation of the Linear Relationship between the Measurements of Two
Methods with Proportional Errors. Statistics in Medicine, Vol. 9, 1463-1473.
Linnet K. (1993). Evaluation of Regression Procedures for Method Comparison Studies.

Clin.Chem. Vol. 39(3), 424-432.

Dose effects analysis
Dose effect analysis
Use this function to model the effects of a dose on a response variable, if necessary taking into
account an effect of natural mortality.
In this section:
Description
Dialog box
Results
Example
References
Description
This tool uses logistic regression (Logit, Probit, complementary Log-log, Gompertz models) to
model the impact of doses of chemical components (for example a medicine or phytosanitary
product) on a binary phenomenon (healing, death).
More information on logistic regression is available in the help section on this subject.
Natural mortality
This tool takes natural mortality into account in order to model the phenomenon studied more
accurately. Indeed, if we consider an experiment carried out on insects, certain will die because
of the dose injected, and others from other phenomenon. None of these associated phenomena
are relevant to the experiment concerning the effects of the dose but may be taken into account.
If p is the probability from a logistic regression model corresponding only to the effect of the
dose, and if m is natural mortality, then the observed probability that the insect will succumb is:
P (obs) = m + (1 − m) × p
Abbot's formula (Finney, 1971) is written as:
(P (obs) − m)
p=
(1 − m)
The natural mortality m may be entered by the user as it is known from previous experiments, or
is determined by XLSTAT.
Dose effects analysis 1337 Dose effect analysis

ED50, ED90, ED99
XLSTAT calculates ED50 (or median dose), ED90 and ED99 doses which correspond to doses
leading to an effect respectively on 50%, 90% and 99% of the population.
Dialog box
observations.
General tab:
Response type: Choose the type of response variable you have selected:
Binary variable: If you select this option, you must select a variable containing exactly
two distinct values. If the variable has value 0 and 1, XLSTAT will see to it that the high
probabilities of the model correspond to category 1 and that the low probabilities
correspond to category 0. If the variable has two values other than 0 or 1 (for example
Yes/No), the lower probabilities correspond to the first category and the higher
probabilities to the second.
Sum of binary variables: If your response variable is a sum of binary variables, it must
be of type numeric and contain the number of positive events (event 1) amongst those
observed. The variable corresponding to the total number of events observed for this

observation (events 1 and 0 combined) must then be selected in the "Observation
weights" field. This case corresponds, for example, to an experiment where a dose D (D
is the explanatory variable) of a medicament is administered to 50 patients (50 is the
value of the observation weights) and where it is observed that 40 get better under the
effects of the dose (40 is the response variable).
been activated.
Model: Choose the type of function to use (see description).
Options tab:
Firth’s method: Activate this option to use Firth's penalized likelihood (see description).

Default value: 95%.
Stop conditions:
Take the log: Activate this option so that XLSTAT uses the logarithm of the input variables in
the model.
Natural mortality parameter:
Optimised: Choose this option so that XLSTAT optimizes the value of the natural
mortality parameter.
User defined: Choose this option to set the value of the natural mortality parameter.
Validation tab:
model.
then be specified.
Prediction tab:
Prediction: activate this option if you want to select data to use them in prediction mode. If

to data.
Quantitative: activate this option to select the quantitative explanatory variables. The first row
Qualitative: activate this option to select the qualitative explanatory variables. The first row
Missing data tab:
computations.
Outputs tab:
selected.
for the model.

the observations.
Probability analysis: If only one explanatory variable has been selected, activate this option so
that XLSTAT calculates the value of the explanatory variable corresponding to various
probability levels.
Charts tab:

Predictions: Activate this option to display the regression curve.
Confidence intervals: Activate this option to have confidence intervals displayed on

charts (1) and (4).
Results
results.
displayed.
and 1.

R² (McFadden): Coefficient, like the R2 , between 0 and 1 which measures how well the
R²(Cox and Snell): Coefficient, like the R2 , between 0 and 1 which measures how well
adjusted model to the likelihood of the independent model raised to the power S2 , where
w
R²(Nagelkerke): Coefficient, like the R2 , between 0 and 1 which measures how well the
w
statistics follow a χ2 distribution whose degrees of freedom are shown.
question has been removed. If the probability P r > LR is less than a significance threshold
which has been set (typically 0.05), then the contribution of the variable to the adjustment of the
model is significant. Otherwise, it can be removed from the model.
corresponding p-value and the confidence interval are displayed for the constant and each
variable of the model. If the corresponding option has been activated, the "profile likelihood"
intervals are also displayed.
variable, the model's prediction, the same values divided by the weights, the standardized
residuals and a confidence interval.

If only one quantitative variable has been selected, the probability analysis table allows to see
to which value of the explanatory variable corresponds a given probability of success.
Example
A tutorial on how to use the dose effect analysis is available on the Addinsoft website:
http://www.xlstat.com/demo-dose.htm
References
Abbott W.S. (1925). A method for computing the effectiveness of an insecticide. Jour. Econ.
Entomol., 18, 265-267.
Agresti A. (1990). Categorical Data Analysis. John Wiley & Sons, New York.
Finney D.J. (1971). Probit Analysis. 3rd ed., Cambridge, London and New- York.
Firth D (1993). Bias reduction of maximum likelihood estimates. Biometrika, 80, 27-38.
Heinze G. and Schemper M. (2002). A solution to the problem of separation in logistic

regression. Statistics in Medicine, 21, 2409-2419.
Tallarida R.J. (2000). Drug Synergism & Dose-Effect Data Analysis, CRC/Chapman & Hall,
Boca Raton.
Venzon, D. J. and Moolgavkar S. H. (1988). A method for computing profile likelihood based
confidence intervals. Applied Statistics, 37, 87-94.

Four/Five-parameter parallel lines logistic
regression
Use this tool to analyze the effect of a quantitative variable on a response variable using the
four/five-parameter logistic model. XLSTAT enables you to take into account some standard
data while fitting the model, and to automatically remove outliers.
In this section:
Description
Dialog box
Results
Example
References
Description
The four parameter logistic model writes:
d−a
y =a+ (1.1)
1 + ( xc )b
where a, b, c, d are the parameters of the model, and where x corresponds to the explanatory
variable and y to the response variable. a and d are parameters that respectively represent the
lower and upper asymptotes, and b is the slope parameter. c is the abscissa of the mid-height
point which ordinate is (a + d)/2. When a is lower than d, the curve decreases from d to a,
and when a is greater than d, the curve increases from a to d.
The five parameter logistic model writes:
d−a
y =a+ e (1.2)
[1 + ( xc )b ]
where the additional parameter e is the asymmetry factor.
The parallel lines four parameter logistic model writes:
d−a
y =a+ (2.1)
1 + (s0 ⋅ cx1 + s1 ⋅ c2 )
x b
where s0 is 1 if the observation comes from the standard sample, and 0 if not, and where s1 is
1 if the observation is from the sample of interest, and 0 if not. This is a constrained model
because the observations corresponding to the standard sample influence the optimization of
Dose effects analysis 1345 Four/Five-parameter parallel lines logistic regression

the values of a, b, and d. From the above writing of the model, one can understand that this
model generates two parallel curves, which only difference is the positioning of the curve, the
shift being given by (c1 − c0 ). If c1 is greater than c0 , the curve corresponding to the sample of
interest is shifted to the right of the curve corresponding to the standard sample, and vice-versa.
The parallel lines five parameter logistic model writes:
d−a
y =a+ (2.2)
[1 + (s0 ⋅ cx0 + s1 ⋅ )]
x b e
c1
XLSTAT allows to fit:
model 1.1 or 1.2 to a standard sample or to the sample of interest,
model 2.1 or 2.2 to the standard sample and and to the standard sample the same time.
XLSTAT allows to either fit models 1.1 or 1.2 to a given sample (A case), or to fit models 1.1 or
1.2 to the standard (0) sample and then fit models 2.1 or 2.2 to both the standard sample and
the sample of interest (B case).
If the Dixon’s test option is activated, XLSTAT tests for each sample if some outliers influence
too much the fit of the model. In the A case, a Dixon’s test is performed once the model 1.1 or
1.2 is fitted. If an outlier is detected, it is removed, and the model is fitted again, and so on, until
no outlier is detected. In the B case, we first perform a Dixon’s test on the standard sample,
then on the sample of interest, and then, the models 2.1 or 2.2 is fitted on the merged samples,
without the outliers.
In the B case, and if the sum of the sample sizes is greater than 9, a Fisher’s F test is
performed to detect if the a, b, d and e parameters obtained with models 1.1 or 1.2 are not
significantly different from those obtained with model 2.1 or 2.2.
Dialog box

observations.
General tab:
Quantitative: Select the quantitative explanatory variables to include in the model. If the
Model:
4PL: Activate this option to fit the four parameter model.
5PL: Activate this option to fit the five parameter model.
containing the sample identifier(s). The identifiers must be 0 for the standard sample and 1, 2, 3
... for the other samples that you want to compare with the standard sample. If a header has

Options tab:
Initial values: Activate this option to give XLSTAT a starting point. Select the cells which
correspond to the initial values of the parameters. The number of rows selected must be the
same as the number of parameters.
Parameters bounds: Activate this option to give XLSTAT a possible region for all the
parameters of the model selected. You must them select a two- column range, the one on the
left being the lower bounds and the one on the right the upper bounds. The number of rows
selected must be the same as the number of parameters.
Parameters labels: Activate this option if you want to specify the names of the parameters.
XLSTAT will display the results using the selected labels instead of using generic labels pr1,
pr2, etc. The number of rows selected must be the same as the number of parameters.
Stop conditions:
Convergence: Enter the maximum value of the evolution in the Sum of Squares of Errors
(SSE) from one iteration to another which, when reached, means that the algorithm is
Dixon’s test: Activate this option to use the Dixon’s test to remove outliers from the estimation
sample.
Confidence intervals: Activate this option to enter the size of the confidence interval for the
Dixon’s test.
Missing data tab:
computations.
Outputs tab:

selected.
for the model.
Model parameters: Activate this option to display the values of the parameters for the model
after fitting.
Equation of the model: Activate this option to display the equation of the model once fitted.
the observations.
Charts tab:
Data and predictions: Activate this option to display the chart of observations and the curve for
the fitted function.
Logarithmic scale: Activate this option to use a logarithmic scale.
Results
If no group or a single sample was selected, the results are shown for the model and for this
sample. If several sub- samples were defined (see sub-samples option in the dialog), the model
is first adjusted to the standard sample, then each sub-sample is compared to the standard
sample.
Fisher's test assessing parallelism between curves: The Fisher’s F test is used to determine
if one can consider that the models corresponding the standard sample and the sample of
interest are significantly different or not. If the probability corresponding to the F value is lower
than the significance level, then one can consider that the difference is significant.
The number of observations;
The number of degrees of freedom (DF);
The determination coefficient R2 ;

The root mean squares of the errors (or residuals) of the model (RMSE or RMSR);
Model parameters: This table displays the estimator and the standard error of the estimator for
each parameter of the model. It is followed by the equation of the model.
Predictions and residuals: This table displays giving for each observation the input data and
corresponding prediction and residual. The outliers detected by the Dixon’s test, if any, are
displayed in bold.
Charts: On the first chart are displayed in blue color, the data and the curve corresponding to
the standard sample, and in red color, the data and the curve corresponding to the sample of
interest. A chart that allows to compare predictions and observed values as well as the bar chart
of the residuals are also displayed.
Example
A tutorial on how to use the four parameters logistic regression tool is available on the Addinsoft
website:
http://www.xlstat.com/demo-4pl.htm
References
Dixon W.J. (1953). Processing data for outliers, Biometrics, 9, 74-89.
Tallarida R.J. (2000). Drug Synergism & Dose-Effect Data Analysis. CRC/Chapman & Hall,
Boca Raton.

OMICs data analysis
Differential expression
Use this tool to detect the most differentially expressed elements according to explanatory
variables within a features/individuals data matrix that may be very large.
In this section:
Description
Dialog box
Results
Example
References
Description
Differential expression allows identifying features (genes, proteins, metabolites…) that are
significantly affected by explanatory variables. For example, we might be interested in
identifying proteins that are differentially expressed between healthy and diseased individuals.
In this kind of studies, data often have a very important size ( = high-throughput data). At this
stage, we may talk about omics data analyses, in reference to analyses performed over the
genome (genomics) or the transcriptome (transcriptomics) or the proteome (proteomics) or the
metabolome (metabolomics), etc.
In order to test if features are differentially expressed, we often use traditional statistical tests.
However, the size of the data may cause problems in terms of computation time as well as
readability and statistical reliability of results. Those tools must therefore be slightly adapted in
order to overcome these problems.
Statistical tests
The statistical tests proposed in the differential expression tool in XLSTAT are traditional
parametric or non-parametric tests: Student t-test, ANOVA, Mann-Whitney, Kruskal-Wallis).
Post-hoc corrections
The p-value represents the risk that we take to be wrong when stating that an effect is
statistically significant. Running a test several times increases the number of computed p-
values, and subsequently the risk of detecting significant effects which are not significant in
OMICs data analysis 1351 Differential expression

reality. Considering a significance level alpha of 5%, we would likely find 5 significant p-values
by chance over 100 computed p-values. When working with high-throughput data, we often test
the effect of an explanatory variable on the expression of thousands of genes, thus generating
thousands of p-values. Consequently, p-values should be corrected ( = increased = penalized)
as their number grow. XLSTAT proposes three common p-value correction methods:
Benjamini-Hochberg: this procedure makes sure that p-values increase both with their number
and the proportion of non-significant p-values. It is part of the FDR (False Discovery Rate)
correction procedure family. The Benjamini-Hochberg correction is poorly conservative ( = not
very severe). It is therefore adapted to situations where we are looking for a large number of
genes which are likely affected by the explanatory variables. It is widely used in differential
expression studies.
The corrected p-value according to the Benjamini-Hochberg procedure is defined by:
pBenjaminiHochberg = min(p × nbp/j, 1)
where p is the original (uncorrected) p-value, nbp is the number of computed p-values in total
and j is the rank of the original p-value when p-values are sorted in ascending order.
Benjamini-Yekutieli: this procedure makes sure that p-values increase both with their number
and the proportion of non-significant p-values. It is part of the FDR (False Discovery Rate)
correction procedure family. In addition to Benjamini-Hochberg’s approach, it takes into account
a possible dependence between the tested features, making it more conservative than this
procedure. However, it is far less stringent than the Bonferroni approach which we describe just
after.
The corrected p-value according to the Benjamini-Yekutieli procedure is defined by:

nbp
pBenjaminiY ekutieli = min[(p × nbp ∑ 1/i)/j, 1]
i=1
where p is the original p-value, nbp is the number of computed p-values in total and j is the
rank of the original p-value when p-values are sorted in ascending order.
Bonferroni: p-values increase only with their number. This procedure is very conservative. It is
part of the FWER (Familywise error rate) correction procedure family. It is rarely used in
differential expression analyses. It is useful when the goal of the study is to select a very low
number of differentially expressed features.
The corrected p-value according to the Bonferroni procedure is defined by:
pBonf erroni = min(p × nbp, 1)
where p is the original p-value and nbp is the number of computed p-values in total.

After one-way ANOVAs or Kruskal-Wallis tests, it is possible to perform multiple pairwise
comparisons for each feature taken separately. XLSTAT provides different options including:
Tukey's HSD test: this test is the most used (HSD: Honestly Significant Difference).
Fisher's LSD test: this is Student's test that tests the hypothesis that all the means for the
various categories are equal (LSD: Least Significant Difference).
formula:
′
α = α/(g(g − 1)/2)
Dunn-Sidak's test: This test is derived from Bonferroni's test. It is more reliable in some
situations.
α′ = 1 − (1 − α)2/[g(g−1)]
Non-specific filtering
Before launching the analyses, it is interesting to filter out features with very poor variability
across individuals. Non-specific filtering has two major advantages:
- It allows computations to focus less on features which are very likely to be not differentially
expressed thus saving computation time.
- It limits post-hoc penalizations, as fewer p-values are computed.
Two methods are available in XLSTAT:
- The user specifies a variability threshold (interquartile range or standard deviation), and
features with lower variability are eliminated prior to analyses.
- The user specifies a percentage of features with low variability (interquartile range or standard
deviation) to be removed prior to analyses.
Biological effects and statistical effects: the volcano plot
A statistically significant effect is not necessarily interesting at the biological scale. An

experiment involving very precise measurements with a high number of replicates may provide
low p-values associated to very weak biological differences. It is thus recommended to keep an
eye on biological effects and not to rely only on p-values. The volcano plot is a scatter chart that
combines statistical effects on the y-axis and biological effects on the x-axis for a whole
features/individuals data matrix. The only constraint is that it can only be executed to examine
the difference between the levels of two-level qualitative explanatory variables.

The y axis coordinates are -log10(p-values) making the chart easier to read: high values reflect
the most significant effects whereas low values correspond to effects which are less significant.
XLSTAT provides two ways of building the x axis coordinates:
- Difference between the mean of the first level and the mean of the second, for each feature.
Generally, we use this format when handling data on a transformed scale such as log or square
root.
- Log2 of fold change between the two means: log2(mean1/mean2). This format should
preferably be used with untransformed data.
Dialog box
General tab:
Features/individuals table: Select the features/individuals data matrix in the Excel worksheet.
The data selected must be of type numeric.
Data format:
Features in rows: activate this option if features are stored in lines and individuals (or samples)
are stored in columns.
Features in columns: activate this option if features are stored in columns and individuals (or
samples) are stored in lines.

Labels included: Activate this option if feature and individual labels are included in the
selection.
Cluster features: Activate this option if you wish the heat map to include clustering on features
Cluster individuals: Activate this option if you wish the heat map to include clustering on
individuals (or samples).
Options tab:
Center: Activate this option to center each row separately.
Reduce: Activate this option to reduce each row separately.
Non-specific filtering: Activate this option to filter out features with low variability prior to
computations.
Criterion and threshold: Select the non-specific filtering criterion.
Standard deviation<: all features with a standard deviation lower than the selected
threshold are removed.
Interquartile range<: all features with an interquartile range lower than the selected
%(Std. dev.): a percentage of features with low standard deviation are removed. The
percentage should be indicated in the threshold box
%(IQR): a percentage of features with low interquartile range are removed. The
percentage should be indicated in the threshold box.
Missing data tab:
computations.

Outputs tab:
variables.
Charts tab:
Color scale : select the color range to use in the heat map (red to green through black; red to
blue through white; red to yellow).
Width and height : select a magnification factor for the heat map’s width or height.
Results
Summary statistics: The tables of descriptive statistics show the simple statistics for all
individuals. The number of observations, missing values, the number of non-missing values, the
Heat map: The features dendrogram is displayed vertically (rows) and the individuals
dendrogram is displayed horizontally (columns). A heat map is added to the chart, reflecting
data values.
Similarly expressed features are characterized by horizontal rectangles of homogeneous color

along the map.
Similar individuals are characterized by vertical rectangles of homogeneous color along the
map.
Clusters of similar individuals characterized by clusters of similarly expressed features can be

detected by examining rectangles or squares of homogeneous color at the intersection between
feature clusters and individual clusters inside the map.
Example
An example showing how to compare two methods using the Deming regression is available on
http://www.xlstat.com/demo-omicsdiff.htm
References
Benjamini Y. and Hochberg Y. (1995). Controlling the false discovery rate: a practical and
powerful approach to multiple testing. Journal of the Royal Statistical Society, Series B, 57,
289–300.

Benjamini Y. and Yekutieli D. (2001). The control of the false discovery rate in multiple
hypothesis testing under dependency. Annals of Statistics, 29, 1165–88.
Hahne F., Huber W., Gentleman R. and Falcon S. (2008). Bioconductor Case Studies.
Springer.

Heat maps
Use this tool to perform clustering on both columns and rows of a features/individuals data
matrix, and to draw heat maps.
In this section:
Description
Dialog box
Results
Example
References
Description
While exploring features/individuals matrices, it is interesting to examine how correlated
features (i.e. genes, proteins, metabolites) correspond to similar individuals (i.e. samples). For
example, a cluster of diseased kidney tissue samples may be characterized by a high
expression of a group of genes, compared to other samples. The heat maps tool in XLSTAT
allows performing such explorations.
How it works in XLSTAT
Both features and individuals are clustered independently using ascendant hierarchical
clustering based on Euclidian distances, optionally preceded by the k-means algorithm
depending on the matrix’s size. The data matrix’s rows and columns are then permuted
according to corresponding clusterings, which brings similar columns closer to each other and
similar lines closer to each other. A heat map is then displayed, reflecting data in the permuted
matrix (data values are replaced by corresponding color intensities).
Non-specific filtering
Before launching the analyses, it is interesting to filter out features with very poor variability
across individuals. In heat map analysis, non-specific filtering has two major advantages:
- It allows computations to focus less on features which are very likely to be not differentially
expressed thus saving computation time.
- It improves the readability of the heat map chart.
Two methods are available in XLSTAT:
OMICs data analysis 1358 Heat maps

- The user specifies a variability threshold (interquartile range or standard deviation), and
features with lower variability are eliminated prior to analyses.
- The user specifies a percentage of features with low variability (interquartile range or standard
deviation) to be removed prior to analyses.
Dialog box
General tab:
Features/individuals table: Select the features/individuals data matrix in the Excel worksheet.
The data selected must be of type numeric.
Data format:
Features in rows: activate this option if features are stored in lines and individuals (or samples)
are stored in columns.
Features in columns: activate this option if features are stored in columns and individuals (or
samples) are stored in lines.

Labels included: Activate this option if feature and individual labels are included in the
selection.
Cluster features: Activate this option if you wish the heat map to include clustering on features
Cluster individuals: Activate this option if you wish the heat map to include clustering on
individuals (or samples).
Options tab:
Center: Activate this option to center each row separately.
Reduce: Activate this option to reduce each row separately.
Non-specific filtering: Activate this option to filter out features with low variability prior to
computations.
Criterion and threshold: Select the non-specific filtering criterion.
Standard deviation<: all features with a standard deviation lower than the selected
Interquartile range<: all features with an interquartile range lower than the selected
%(Std. dev.): a percentage of features with low standard deviation are removed. The
percentage should be indicated in the threshold box
%(IQR): a percentage of features with low interquartile range are removed. The
percentage should be indicated in the threshold box.
Missing data tab:
computations.

Outputs tab:
variables.
Charts tab:
Color scale : select the color range to use in the heat map (red to green through black; red to
blue through white; red to yellow).
Width and height : select a magnification factor for the heat map’s width or height.
Color calibration:
Automatic: Activate this option if you want XLSTAT to automatically choose boundary
values that will delimit the heat map color range.
User defined: Activate this option if you want to manually choose the minimum (Min) and
maximum (Max) values that will delimit the heat map color range.
Results
Summary statistics: The tables of descriptive statistics show the simple statistics for all
individuals. The number of observations, missing values, the number of non-missing values, the
Heat map: The features dendrogram is displayed vertically (rows) and the individuals
dendrogram is displayed horizontally (columns). A heat map is added to the chart, reflecting
data values.
Similarly expressed features are characterized by horizontal rectangles of homogeneous color

along the map.
Similar individuals are characterized by vertical rectangles of homogeneous color along the
map.
Clusters of similar individuals characterized by clusters of similarly expressed features can be

detected by examining rectangles or squares of homogeneous color at the intersection between
feature clusters and individual clusters inside the map.
Example
A tutorial on two-way clustering is available on the Addinsoft website:
http://www.xlstat.com/demo-omicsheat.htm
References
Hahne F., Huber W., Gentleman R. and Falcon S. (2008). Bioconductor Case Studies.
Springer.

Multiblock analysis
Canonical Correlation Analysis (CCorA)
Use Canonical Correlation Analysis (CCorA, sometimes CCA, but we prefer to use CCA for
Canonical Correspondence Analysis) to study the correlation between two sets of variables and
to extract from these tables a set of canonical variables that are as much as possible correlated
with both tables and orthogonal to each other.
In this section:
Description
Dialog box
Results
Example
References
Description
Canonical Correlation Analysis (CCorA, sometimes CCA, but we prefer to use CCA for
Canonical Correspondence Analysis) is one of the many methods that allow to study the
relationship between two sets of variables. Discovered by Hotelling (1936) this method is used a
lot in ecology but is has been supplanted by RDA (Redundancy Analysis) and by CCA
(Canonical Correspondence Analysis).
This method is symmetrical, contrary to RDA, and is not oriented towards prediction. Let Y1 and
Y2 be two tables, with respectively p and q variables. CCorA aims at obtaining two vectors ai
and bi such that
corr(Y1 ai , Y2 bi )
ρ(i) =
var(Y1 ai )var(Y2 bi )
is maximized. Constraints must be introduced so that the solution for ai et bi is unique. As we
are in the end trying to maximize the covariance between Y1 ai and Y2 bi and to minimize their
respective variance, we might obtain components that are well correlated among each other, but
that are not explaining well Y1 and Y2 . Once the solution has been obtained for i=1, we look for
the solution for i=2 where a2 and b2 must respectively be orthogonal to a1 and b1 , and so on.
The number of vectors that can be extracted is to the maximum equal to min(p, q).
Note: The inter-batteries analysis of Tucker (1958) is an alternative where one wants to
maximize the covariance between the Y1 ai and Y2 bi components.
Multiblock analysis 1362 Canonical Correlation Analysis (CCorA)

Dialog box
General tab:
Y1: Select the data that corresponds to the first table. If the "Column labels" option is activated
(column mode) you need to include a header on the first row of the selection. If the "Row labels"
option is activated (row mode) you need to include a header in the first column of the selection
in the selection.
Y2: Select the data that corresponds to the second table. If the "Column labels" option is
activated (column mode) you need to include a header on the first row of the selection. If the
"Row labels" option is activated (row mode) you need to include a header in the first column of
the selection in the selection.
Column/Row labels: Activate this option if, in column mode, the first row of the selected data

the selection. If this option is not activated, the sites labels are automatically generated by
XLSTAT (Obs1, Obs2 …).
Options tab:
Type of analysis: Select from which type of matrix the canonical analysis should be performed.
Y1:
Center: Activate this option to center the variables of table Y1.
Reduce: Activate this option to standardize the variables of table Y1.
Y2:
Center: Activate this option to center the variables of table Y2.
Reduce: Activate this option to standardize the variables of table Y2.
Missing data tab:
computations.
Outputs tab:

variables.
Covariance/Correlations /[Y1Y2]'[Y1Y2]: Activate this option to display the similarity matrix

that is being used.
Wilks Lambda test: Activate this option to display the results of the Wilks lambda test.
Canonical correlations: Activate this option to display the canonical correlations.
Redundancy coefficients: Activate this option to display the redundancy coefficients.
Canonical coefficients: Activate this option display the canonical coefficients.
Variables/Factors correlations: Activate this option to display the correlations between the
initial variables of Y1 and Y2 with the canonical variables.
Canonical variables adequacy coefficients: Activate this option to display canonical variables
adequacy coefficients.
Squared cosines: Activate this option to display the squared cosines of the initial variables in
the canonical space.
Scores: Activate this option to display the coordinates of the observations in the space of the
canonical variables.
Charts tab:
components and the variables.
Vectors: Activate this option to display the variables with vectors.
Results
Summary statistics: This table displays the descriptive statistics for the objects and the
Similarity matrix: The matrix that corresponds to the "type of analysis" chosen in the dialog box
is displayed.
Eigenvalues and percentages of inertia: In this table are displayed the eigenvalues, the
corresponding inertia, and the corresponding percentages. Note: in some software, the

eigenvalues that are displayed are equal to L / (1-L), where L is the eigenvalues given by
XLSTAT.
Wilks Lambda test: This test allows to determine if the two tables Y1 and Y2 are significantly
related to each canonical variable.
Canonical correlations: The canonical correlations, bounded by 0 and 1, are higher when the
correlation between Y1 and Y2 is high. However, they do not tell to what extent the canonical
variables are related to Y1 and Y2. The squared canonical correlations are equal to the
eigenvalues and, as a matter of fact, correspond to the percentage of variability carried by the
canonical variable.
The results listed below are computed separately for each of the two groups of input variables.
Redundancy coefficients: These coefficients allow to measure for each set of input variables
what proportion of the variability of the input variables is predicted by the canonical variables.
Canonical coefficients: These coefficients (also called Canonical weights, or Canonical

function coefficients ) indicate how the canonical variables were constructed, as they
correspond to the coefficients in the linear combine that generates the canonical variables from
the input variables. They are standardized if the input variables have been standardized. In that
case, the relative weights of the input variables can be compared.
Correlations between input variables and canonical variables (also called Structure
correlation coefficients, or Canonical factor loadings ) allow understanding how the canonical
variables are related to the input variables.
The canonical variable adequacy coefficients correspond, for a given canonical variable, to
the sum of the squared correlations between the input variables and canonical variables,
divided by the number of input variables. They give the percentage of variability taken into
account by the canonical variable of interest.
Square cosines: The squared cosines of the input variables in the space of canonical variables
allow to know if an input variable is well represented in the space of the canonical variables. The
squared cosines for a given input variable sum to 1. The sum over a reduced number of
canonical axes gives the communality.
Scores: The scores correspond to the coordinates of the observations in the space of the
canonical variables.
Example
An example of Canonical Correlation Analysis is available on the Addinsoft website:
http://www.xlstat.com/demo-ccora.htm
References
Hotelling H. (1936). Relations between two sets of variables. Biometrika, 28, 321-327.

Amsterdam.
Tucker L.R. (1958). An inter-battery method of factor analysis. Psychometrika, 23(2),111-136.

Redundancy Analysis (RDA)
Use Redundancy Analysis (RDA) to analyze a table of response variables using the information
provided by a set of explanatory variables, and visualize on the same plot the two sets of
variables, and the observations.
In this section:
Description
Dialog box
Results
Example
References
Description
Redundancy Analysis (RDA) was developed by Van den Wollenberg (1977) as an alternative to
Canonical Correlation Analysis (CCorA). RDA allows studying the relationship between two
tables of variables Y and X . While the CCorA is a symmetric method, RDA is non-symmetric.
In CCorA, the components extracted from both tables are such that their correlation is
maximized. In RDA, the components extracted from X are such that they are as much as
possible correlated with the variables of Y . Then, the components of Y are extracted so that
they are as much as possible correlated with the components extracted from X .
Principles of RDA
Let Y be a table of response variables with n observations and p variables. This table can be
analyzed using Principal Component Analysis (PCA) to obtain a simultaneous map of the
observations and the variables in two or three dimensions.
Let X be a table that contains the measures recorded for the same n observations on q
quantitative and/or qualitative variables.
Redundancy Analysis allows to obtain a simultaneous representation of the observations, the Y

variables, and the X variables in two or three dimensions, that is optimal for a covariance
criterion (Ter Braak 1986).
Redundancy Analysis can be divided into two parts:
A constrained analysis in a space which number of dimensions is equal to min(n − 1, p, q).

This part is the one of main interest as it corresponds to the analysis of the relation between the
two tables.
Multiblock analysis 1368 Redundancy Analysis (RDA)

An unconstrained part, which corresponds to the analysis of the residuals. The number of
dimensions for the unconstrained RDA is equal to min(n − 1, p).
Partial RDA
Partial RDA adds a preliminary step. The X table is subdivided into two groups. The first group
X(1) contains conditioning variables which effect we want to remove, as it is either known or
without interest for the study. Regressions are run on the Y and X(2) tables and the residuals
of the regressions are used for the RDA step. Partial RDA allows to analyze the effect of the
second group of variables, after the effect of the first group has been removed.
The terminology Response variables/Observations/Explanatory Variables is used in XLSTAT.

When the method is used in ecology, "Species" could be used instead of "Response variables",
"Sites" could be used instead of "observations", and "Environmental variables" instead of
"Explanatory variables"
Biplot scaling
XLSTAT offers three different types of scaling. The type of scaling changes the way the scores
of the response variables and the observations are computed, and as a matter of fact, their
respective position on the plot. Let u(ik) be the normalized score of variable i on the kth axis,
v(ik) the normalized score of observation i on the kth axis, L(k) the eigenvalue
corresponding to axis k , and T the total inertia (the sum of the L(k) for the constrained and
unconstrained RDA). The three scalings available in XLSTAT are identical to those of vegan (a
package for the R software, Oksanen, 2007). The u(ik) are multiplied by c, and the v(ik) by d
, and r is a constant equal to 4
(n − 1)T , where n is the number of observations.
Scaling 1: c = r L(k)/T d=r

Scaling 2: c = r d=r L(k)/T
Scaling 3: c = r 4
L(k)/T d=r 4
L(k)/T
In addition to the observations and the response variables, the explanatory variables can be
displayed. The coordinates of the latter are obtained by computing the correlations between the
X table and the observation scores.
Dialog box

down (column mode), XLSTAT considers that rows correspond to sites and columns to
objects/variables. If the arrow points to the right (row mode), XLSTAT considers that rows
correspond to objects/variables and columns to sites.
General tab:
Response variables Y: Select the table that corresponds to response variables. If the "Column
labels" option is activated (column mode) you need to include a header on the first row of the
selection. If the "Row labels" option is activated (row mode) you need to include a header in the
first column of the selection in the selection.
Explanatory variables X: Select the data that correspond to the various explanatory variables
that have been measured for the same observations as for table Y .
Quantitative: Activate this option if you want to use quantitative variables and then select
these variables.
Qualitative: Activate this option if you want to use qualitative variables and then select
these variables.
Partial RDA: Activate this option to run a partial RDA. If you activate this option, a dialog box
will be displayed during the analysis, so that you can select the conditioning variables (see the

the selection. If this option is not activated, the sites labels are automatically generated by
XLSTAT (Obs1, Obs2 …).
Options tab:
Permutation test: Activate this option if you want to use a permutation test to test the
independence of the two tables.
Number of permutations: Enter the number of permutations to perform for the test
(Default value: 500)
Response variables:
Center: Activate this option to center the variables before running the RDA.
Reduce: Activate this option to standardize the variables before running the RDA
Explanatory variables X:
Center: Activate this option to center the variables before running the RDA.
Reduce: Activate this option to standardize the variables before running the RDA.
Biplot type: Select the type of biplot you want to display. The type changes the way the scores
of the response variables and the observations are scaled (see the description for further
details).
Missing data tab:

computations.
Outputs tab:
variables.
RDA results: Activate this option to display the RDA results.
Unconstrained RDA results: Activate this option to display the results of the unconstrained
RDA.
Scores (Observations): Activate this option to display the scores of the observations.
Scores (Response variables): Activate this option to display the scores of the response
variables.
WA scores: Activate this option to compute and display the weighted average scores.
LC scores: Activate this option to compute and display the linear combinations scores.
Contributions: Activate this option to display the contributions of the observations and the
response variables.
Squared cosines: Activate this option to display the squared cosines of the observations and
the response variables.
Scores (Explanatory variables): Activate this option to display the scores of the explanatory
variables.

Charts tab:
Select the information you want to display on the plot/biplot/triplot.
Observations: Activate this option to display the observations on the chart.
Response variables: Activate this option to display the response variables on the chart.
Explanatory variables: Activate this option to display the explanatory variables on the
chart.
Labels: Activate this option to display the labels of the sites on the charts.
asymmetric charts.
Results
If a permutation test was requested, its results are first displayed so that we can check if the
relationship between the tables is significant or not.
Eigenvalues and percentages of inertia: In these tables are displayed for the constrained
RDA and the unconstrained RDA the eigenvalues, the corresponding inertia, and the
corresponding percentages, either in terms of constrained inertia (or unconstrained inertia), or in
terms of total inertia.
The scores of the observations, response variables and explanatory variables are displayed.
These coordinates are used to produce the plot.
The chart allows to visualize the relationship between the sites, the objects and the variables.
When qualitative variables have been included, the corresponding categories are displayed with
a hollowed red circle.
Example
An example of Redundancy Analysis is available on the Addinsoft website:
http://www.xlstat.com/demo-rda.htm
References

Amsterdam.
Oksanen J., Kindt R., Legendre P. and O'Hara R.B. (2007). vegan: Community Ecology
Package version 1.8-5. http://cran.r-project.org/.
Ter Braak, C. J. F. (1992). Permutation versus bootstrap significance tests in multiple

regression and ANOVA. in K.-H. Jöckel, G. Rothe, and W. Sendler, Editors. Bootstrapping and
Related Techniques. Springer Verlag, Berlin.
Van den Wollenberg A.L. (1977). Redundancy analysis. An alternative for canonical
correlation analysis. Psychometrika, 42(2), 207-219.

Canonical Correspondence Analysis (CCA)
Use Canonical Correspondence Analysis (CCA) to analyze a contingency table (typically with
sites as rows and species in columns) while taking into account the information provided by a
set of explanatory variables contained in a second table and measured on the same sites.
In this section:
Description
Dialog box
Results
Example
References
Description
Canonical Correspondence Analysis (CCA) has been developed to allow ecologists to relate the
abundance of species to environmental variables (Ter Braak, 1986). However, this method can
be used in other domains. Geomarketing and demographic analyses should be able to take
advantage of it.
Principles of CCA
Let T1 be a contingency table corresponding to the counts on n sites of p objects. This table can
be analyzed using Correspondence Analysis (CA) to obtain a simultaneous map of the sites and
objects in two or three dimensions.
Let T2 be a table that contains the measures recorded on the same n sites of corresponding to
q quantitative and/or qualitative variables.
Canonical Correspondence Analysis allows to obtain a simultaneous representation of the sites,

the objects, and the variables in two or three dimensions, that is optimal for a variance criterion
(Ter Braak 1986, Chessel 1987).
Canonical Correspondence Analysis can be divided into two parts:
A constrained analysis in a space which number of dimensions is equal to q. This part is the one
of main interest as it corresponds to the analysis of the relation between the two tables.
An unconstrained part, which corresponds to the analysis of the residuals. The number of
dimensions for the unconstrained CCA is equal to min(n-1-q, p-1).
So that a regular CCA can be run, the following constraint must be verified:
Min(n-1-q, p-1)>0.
Multiblock analysis 1375 Canonical Correspondence Analysis (CCA)

PLS-CCA allows to avoid this constraint.
Partial CCA
Partial CCA adds a preliminary step. The T2 table is subdivided into two groups of variables: the
first group contains conditioning variables which effect we want to remove, as it is either known
or without interest for the study. A CCA is ran using these variables. A second CCA is run using
the second group of variables which effect we want to analyze. Partial CCA allows to analyze
the effect of the second group of variables, after the effect of the first group has been removed.
PLS-CCA
Tenenhaus (1998) has shown that it is possible to relate discriminant PLS to CCA. Addinsoft is
the first software editor to propose a comprehensive and effective integration between the two
methods. Using a restructuring of data based on the proposal Tenenhaus, a PLS step is applied
to the data, either to create orthogonal PLS components that are optimally designed for the
CCA to avoid the constraints in terms of number of variables that can be used, or to select the
most influential variables before running the CCA. As calculations of the CCA step and results
are identical to what is done with the classical CCA, users can see this approach as a selection
method that identifies the variables of higher interest, either because they are selected in the
model, or by looking at the chart of the VIPs (see the section on PLS regression for more
information). In the case of a partial CCA, the preliminary step is unchanged.
The terminology Sites/Objects/Variables is used in XLSTAT. "Individuals" or "observations" could

be used instead of "sites", and "species" instead of "objects" when the method is used in
ecology.
Dialog box

down (column mode), XLSTAT considers that rows correspond to sites and columns to
objects/variables. If the arrow points to the right (row mode), XLSTAT considers that rows
correspond to objects/variables and columns to sites.
General tab:
Sites/Objects data: Select the contingency table that corresponds to the counts of the various
objects recorded on each different site. If the "Column labels" option is activated (column mode)
you need to include a header on the first row of the selection. If the "Row labels" option is
activated (row mode) you need to include a header in the first column of the selection in the
selection.
Sites/Variables data: Select the data that correspond to the various explanatory variables that
have been measured on the various sites and that you want to use in the analysis.
these variables.
these variables.
Partial CCA: Activate this option to run a partial CCA. If you activate this option, a dialog box
will be displayed during the analysis, so that you can select the conditioning variables (see the
description for additional details).
Sites labels: Activate this option if sites labels are available. Then select the corresponding
data. If the "Column labels" option is activated you need to include a header in the selection. If
this option is not activated, the sites labels are automatically generated by XLSTAT (Obs1, Obs2
…).
CCA: Activate this option if you want to run a classical CCA.

PLS-CCA: Activate this option if you want to run a PLS-CCA (see the description for additional
details).
Options tab:
Permutation test: Activate this option if you want to use a permutation test to test the
independence of the two tables.
Number of permutations: Enter the number of permutations to perform for the test
(Default value: 500)
PLS-CCA: If you choose to run a PLS-CCA the following options are available.
Automatic: Select this option if you want XLSTAT to automatically determine how many
PLS components should be used for the CCA step.
User defined:
Max components: Activate this option to define the number of components to

extract in the PLS step. If this option is not activated, the number of components is
automatically determined by XLSTAT.
Number of variables: Activate this option to define the number of variables that
should enter the CCA step. The variables with the higher VIPs are selected. The
VIPs that are used are those corresponding to the PLS model with the number of
components set in "Max components".
Missing data tab:
computations.

Outputs tab:
variables.
Row and column profiles: Activate this option to display the row and column profiles.
CCA results: Activate this option to display the CCA results.
Unconstrained CCA results: Activate this option to display the results of the unconstrained
CCA.
Principal coordinates: Activate this option to display the principal coordinates of the sites,
objects and variables.
Standard coordinates: Activate this option to display the standard coordinates of the sites,
objects and variables.
Contributions: Activate this option to display the contributions of the sites, objects and
variables.
Squared cosines: Activate this option to display the squared cosines of the sites, objects and
variables.
Weighted averages: Activate this option to display the weighted averages that correspond to
the variables of the sites/variables table.
Regression coefficients: Activate this option to display regression coefficients that correspond
to the various variables in the factor space.
Charts tab:
Sites and objects:
Sites and objects / Symmetric: Activate this option to display a symmetric chart that
includes both the sites and the objects. For both the sites and the objects, the principal
coordinates of are used.

Sites / Asymmetric: Activate this option to display the asymmetric chart of the sites. The
principal coordinates are used for the sites, and the standard coordinates are used for the
objects.
Objects / Asymmetric: Activate this option to display the asymmetric chart of the objects.
The principal coordinates are used for the objects, and the standard coordinates are used
for the sites.
Sites: Activate this option to display a chart on which only the sites are displayed. The
principal coordinates are used.
Objects: Activate this option to display a chart on which only the objects are displayed.
The principal coordinates are used.
Variables:
Correlations: Activate this option to display the quantitative and qualitative variables on
the charts, using as coordinates their correlations (equal to their standard coordinates).
Regression coefficients: Activate this option to display the quantitative and qualitative
variables on the charts, using the regression coefficients as coordinates.
Labels: Activate this option to display the labels of the sites on the charts.
asymmetric charts.
Results
Inertia: This table displays the distribution of the inertia between the constrained CCA and the
unconstrained CCA.
Eigenvalues and percentages of inertia: In these tables are displayed for the CCA and the
unconstrained CCA the eigenvalues, the corresponding inertia, and the corresponding
percentages, either in terms of constrained inertia (or unconstrained inertia), or in terms of total
inertia.
Weighted averages: This table displays the weighted means as well the global weighted
means.

The principal coordinates and standard coordinates of the sites, the objects and the
variables are then displayed. These coordinates are used to produce the various charts.
Regression coefficients: This table displays the regression coefficients of the variables in the
factor space.
The charts allow to visualize the relationship between the sites, the objects and the variables.
When qualitative variables have been included, the corresponding categories are displayed with
a hollowed red circle.
Example
An example of Canonical Correspondence Analysis is available on the Addinsoft website:
http://www.xlstat.com/demo-cca.htm
References
Chessel D., Lebreton J.D and Yoccoz N. (1987). Propriétés de l'analyse canonique des
correspondances; une illustration en hydrobiologie. Revue de Statistique Appliquée, 35(4), 55-
72.
Amsterdam.
McCune B. (1997). Influence of noisy environmental data on canonical correspondence

analysis. Ecology, 78(8), 2617-2623.
Palmer M.W. (1993). Putting things in even better order: The advantages of canonical
correspondence analysis. Ecology, 74(8), 2215-2230.
Ter Braak C. J. F. (1986). Canonical Correspondence Analysis: a new eigenvector technique

for multivariate direct gradient analysis. Ecology, 67(5), 1167-1179.
Ter Braak, C. J. F. (1992). Permutation versus bootstrap significance tests in multiple

regression and ANOVA. in K.-H. Jöckel, G. Rothe, and W. Sendler, Editors. Bootstrapping and
Related Techniques. Springer Verlag, Berlin.

Principal Coordinate Analysis (PCoA)
Use Principal Coordinate Analysis to graphically visualize a square matrix that describes the
similarity or the dissimilarity between p elements (individuals, variables, objects, …).
In this section:
Description
Dialog box
Results
Example
References
Description
Principal Coordinate Analysis (often referred to as PCoA) is aimed at graphically representing a
resemblance matrix between p elements (individuals, variables, objects, …).
If the input matrix is a similarity matrix, XLSTAT transforms it into a dissimilarity matrix before
applying the calculations described by Gower (1966), or before any of the changes suggested
by various authors and summarized in the Numerical Ecology book by Legendre and Legendre
(1998).
Concept
Let D be a p × p symmetric matrix that contains the distances between p elements: we

compute the A matrix which elements a(ij), corresponding to the ith row and to the jth column,
are given by
a(ij) = −d2 (ij)/2
We then center the A matrix by rows and by columns to obtain the Δ1 matrix which elements
δ1 (ij) are given by
δ1 (ij) = a(ij) − a(i) − a(j) − a
where a(i) is the mean of the a(ij) for row i, a(j) is the mean of the a(ij) for column j and a
is the mean of all the elements.
Last, we compute the eigen-decomposition of Δ1 . The eigenvectors are sorted by decreasing

order of eigenvalues and transformed so that, if u(k) is the eigenvector associated to the λ(k)
eigenvalue, we have:
Multiblock analysis 1382 Principal Coordinate Analysis (PCoA)

u′ (k)u(k) = λ(k)
The rescaled eigenvectors correspond to the principal coordinates that can be used to display
the p objects in a space with 1, 2, p − 1 dimensions.
As with PCA (Principal Component Analysis) eigenvalues can be interpreted in terms of

percentage of total variability that is being represented in a reduced space.
Note: because Δ1 is centered, we obtain at most, p − 1 non null eigenvalues. In the case
where the initial matrix D is an Euclidean matrix distance, we can easily understand that p − 1
axes are enough to fully describe p objects (by two points passes one line, three points are
contained in a plane, …). In the case where the points are confounded in a sub-space, we can
obtain several null eigenvalues (for example, three points can be aligned on a line).
Negative eigenvalues
When the D matrix is not metric, or if missing values were present in the data that were used to
compute the distances, the eigen-decomposition can lead to negative eigenvalues. This can
especially happen with semi-metric or non metric distances. This problem is described in the
article by Gower and Legendre (1986).
XLSTAT suggests two transformations to solve the problem of negative eigenvalues. The first
solution consists in taking as input distances the square root of the input distances. The second,
inspired by the results of Lingoes (1971), consists in adding a constant to the D matrix (except
to the diagonal elements) such that there is no negative eigenvalue. This constant is equal to
the opposite of the largest negative eigenvalue.
PCA, MDS and PCoA
PCA and PCoA are quite similar in that PCA can also represent observations in a space with
less dimensions, the later being optimal in terms of variability carried. A PCoA applied to matrix
of Euclidean distances between observations (calculated after standardization of the columns
using the unbiased standard deviation) leads to the same results as a PCA based on the
correlation matrix. The eigenvalues obtained with the PCoA are equal to (p − 1) times those
obtained with the PCA.
PCoA and MDS (Multidimensional Scaling) share the same goal of representing objects for
which we have a proximity matrix.
MDS has two drawbacks compared with PCoA:
The algorithm is much more complex and performs slower.
Axes obtained with MDS cannot be interpreted in terms of variability.
MDS has two advantages compared with PCoA:
The algorithm allows having missing data in the proximity matrix.

The non-metric version of MDS provides a simpler and clear way to handle matrices
where only the ranking of the distances is important.
Dialog box
General tab:
Data: Select a similarity or dissimilarity matrix. If only the lower or upper triangle is available, the
table is accepted. If differences are detected between the lower and upper parts of the selected
matrix, XLSTAT warns you and offers to change the data (by calculating the average of the two
parts) to continue with the calculations.
Dissimilarities / Similarities: Choose the option that corresponds to the type of your data.
Labels included: Activate this option if you have included row and column labels in the
selection.
Options tab:
Correction for negative eigenvalues: Activate the option that corresponds to the strategy to
apply if eigenvalues are detected during the eigen- decomposition:

None: Nothing is done when negative eigenvalues are found.
Square root: The elements of the distance matrix D are replaced by their square root.
Lingoes: A transformation is applied so that that eigen-decomposition does not lead to

any negative eigenvalue.
Outputs tab:
Delta1 matrix: Activate this option to display the Δ1 matrix that is used to compute the
eigenvalues and the eigenvectors.
Eigenvalues: Activate this option to display the table and the chart (scree plot) of the
eigenvalues.
Charts tab:
Chart: Activate this option to display the chart.
Results
Delta1 matrix: This matrix corresponds to the Δ1 matrix of Gower, used to compute the eigen-
decomposition.
Eigenvalues and percentage of inertia: this table displays the eigenvalues and the
corresponding percentage of inertia.
Principal coordinates: This table displays of the principal coordinates of the objects that are
used to create the chart where the proximities between the charts can be interpreted.
Contributions: This table displays the contributions that help evaluate how much an object
contributes to a given axis.

Squared cosines: This table displays the contributions that help evaluate how close an object
is to a given axis.
Example
An example showing how to run a Principal Coordinate Analysis is available on the Addinsoft
website at:
http://www.xlstat.com/demo-pcoa.htm
References
Cailliez F. and Pagè s J.P. (1976). Introduction à l'Analyse des Données. Société de
Mathématiques Appliquées et de Sciences Humaines, Paris.
Gower J. C. (1966). Some distance properties of latent root and vector methods used in
multivariate analysis. Biometrika, 53, 325-338.
Gower J.C. and Legendre P. (1986). Metric and Euclidean properties of dissimilarity
coefficients. Journal of Classification, 3, 5-48.
Amsterdam.
Lingoes J.C. (1971). Some boundary conditions for a monotone analysis of symmetric
matrices. Psychometrika, 36, 195-203.

XLSTAT-PLSPM
XLSTAT-PLSPM is a module of XLSTAT that is dedicated to the component based structural
equation modeling in particular with methods such as Partial Least Squares Path Modeling
(PLS-PM / PLS-SEM), Generalized Structured Components Analysis (GSCA) or Regularized
Generalized Canonical Correlation Analysis (RGCCA). These are innovative methods for
representing complex relationships between observed variables and latent variables.
The XLSTAT-PLSPM methods can be used in different fields such as in marketing for the
analysis of consumer satisfaction. 3 levels of display are proposed (Classic, Expert, Marketing)
in order to adapt to different types of users.
In this section:
Description
Projects
Options
Toolbars
Adding manifest variables
Defining groups
Fitting the model
Results Options
Results
Example
References
XLSTAT-PLSPM 1387 Principal Coordinate Analysis (PCoA)

Description
Partial Least Squares Path Modeling (PLS-PM) is a statistical approach for modeling complex
multivariable relationships (structural equation models) among observed and latent variables.
Since a few years, this approach has been enjoying increasing popularity in several sciences
(Esposito Vinzi et al., 2007). Structural Equation Models include a number of statistical
methodologies allowing the estimation of a causal theoretical network of relationships linking
latent complex concepts, each measured by means of a number of observable indicators.
The first presentation of the finalized PLS approach to path models with latent variables has
been published by Wold in 1979 and then the main references on the PLS algorithm are Wold
(1982 and 1985).
Herman Wold opposed LISREL (Jöreskog, 1970) "hard modeling" (heavy distribution
assumptions, several hundreds of cases necessary) to PLS "soft modeling" (very few
distribution assumptions, few cases can suffice). These two approaches to Structural Equation
Modeling have been compared in Jöreskog and Wold (1982).
From the standpoint of structural equation modeling, PLS-PM is a component- based approach
where the concept of causality is formulated in terms of linear conditional expectation. PLS-PM
seeks for optimal linear predictive relationships rather than for causal mechanisms thus
privileging a prediction- relevance oriented discovery process to the statistical testing of causal
hypotheses. Two very important review papers on PLS approach to Structural Equation
Modeling are Chin (1998, more application oriented) and Tenenhaus et al. (2005, more theory
oriented).
Furthermore, PLS Path Modeling can be used for analyzing multiple tables and it is directly
related to more classical data analysis methods used in this field. In fact, PLS-PM may be also
viewed as a very flexible approach to multi-block (or multiple table) analysis by means of both
the hierarchical PLS path model and the confirmatory PLS path model (Tenenhaus and Hanafi,
2007). This approach clearly shows how the "data-driven" tradition of multiple table analysis can
be somehow merged in the "theory-driven" tradition of structural equation modeling so as to
allow running the analysis of multi-block data in light of current knowledge on conceptual
relationships between tables.
Other methods such as Generalized Structured Components Analysis (GSCA) or Regularized

Generalized Canonical Correlation Analysis (RGCCA) have been introduced to tackle the
weakness of PLS-PM.
The PLS Path Modeling algorithm
A PLS Path model is described by two models: (1) a measurement model relating the manifest
variables to their own latent variable and (2) a structural model relating some endogenous latent
variables to other latent variables. The measurement model is also called the outer model and
the structural model the inner model.
1. Manifest variables standardization
XLSTAT-PLSPM 1388 Description

There exist four options for the standardization of the manifest variables depending upon three
conditions that eventually hold in the data:
Condition 1: The scales of the manifest variables are comparable. For instance, in the
ECSI example the item values (between 0 and 100) are comparable. On the other hand,
for instance, weight in tons and speed in km/h would not be comparable.
Condition 2: The means of the manifest variables are interpretable. For instance, if the
difference between two manifest variables is not interpretable, the location parameters are
meaningless.
Condition 3: The variances of the manifest variables reflect their importance.
If condition 1 does not hold, then the manifest variables have to be standardized (mean 0 and
variance 1).
If condition 1 holds, it is useful to get the results based on the raw data. But the calculation of
the model parameters depends upon the validity of the other conditions:
Condition 2 and 3 do not hold: The manifest variables are standardized (mean 0 variance 1) for
the parameter estimation phase. Then the manifest variables are rescaled to their original
means and variances for the final expression of the weights and loadings.
Condition 2 holds, but not condition 3: The manifest variables are not centered, but are
standardized to unitary variance for the parameter estimation phase. Then the manifest
variables are rescaled to their original variances for the final expression of the weights and
loadings (to be defined later).
Conditions 2 and 3 hold: Use the original variables.
Lohmöller (1989) introduced a standardization parameter to select one of these four options:
Variance is
Variable
Means are related to
scales are Mean Variance Rescaling METRIC
interpretable variable
comparable
importance
No 0 1 No 1
Yes No No 0 1 Yes 2
Yes Yes No Original 1 Yes 3
Yes Yes Yes Original Original 4
With METRIC=1 being "Standardized, weights on standardized MV", METRIC=2 being

"Standardized, weights on raw MV", METRIC=3 being "Reduced, weights on raw MV" and
METRIC=4 being "Raw MV".
2. The measurement model

A latent variable (LV) ξ is an unobservable variable (or construct) indirectly described by a block
of observable variables xh which are called manifest variables (MV) or indicators. There are
three ways to relate the manifest variables to their latent variables, respectively called the
reflective way, the formative one, and the MIMIC (Multiple effect Indicators for MultIple Causes)
way.
2.1. The reflective way
2.1.1. Definition
In this model each manifest variable reflects its latent variable. Each manifest variable is related
to its latent variable by a simple regression:
xh = πh0 + πh ξ + ϵh (1)
where ξ has mean m and standard deviation 1. It is a reflective scheme: each manifest variable
x_h reflects its latent variable ξ . The only hypothesis made on model (1) is called by H. Wold
the predictor specification condition:
E(xh ∣ξ) = πh0 + πh ξ (2)
This hypothesis implied that the residual ϵh has a zero mean and is uncorrelated with the latent
variable ξ .
2.1.2. Check for unidimensionality
In the reflective way the block of manifest variables is unidimensional in the meaning of factor
analysis. On practical data this condition has to be checked. Three main tools are available to
check the unidimensionality of a block: use of principal component analysis of each block of
manifest variables, Cronbach's α and Dillon-Goldstein's ρ.
a) Principal component analysis of a block
A block is essentially unidimensional if the first eigenvalue of the correlation matrix of the block
MVs is larger than 1 and the second one smaller than 1, or at least very far from the first one.
The first principal component can be built in such a way that it is positively correlated with all (or
at least a majority of) the MVs. There is a problem with MV negatively correlated with the first
principal component.
b) Cronbach's α
Cronbach's a can be used to check unidimensionality of a block of p variables xh when they are
all positively correlated. Cronbach has proposed the following procedure for standardized
variables:

∑ cor(xh , xh′ )
h=h
 ′ p
α= × (3)
p + ∑ cor(xh , xh′ ) p−1
 ′
h=h
The Cronbach’s α is also defined for original (raw) variables as:
∑ cov(xh , xh′ )
 ′
h=h p
α= × (4)
p−1
var (∑ xh )
h
A block is considered as unidimensional when the Cronbach's α is larger than 0.7.
c) Dillon-Goldstein's ρ
The sign of the correlation between each MV xh and its LV ξ is known by construction of the
item and is supposed here to be positive. In equation (1) this hypothesis means that all the
loadings πh are positive. A block is unidimensional if all these loadings are large.
The Goldstein-Dillon's ρ is defined by:
p 2
( ∑ πh ) Var(ξ)
h=1
ρ= 2 (5)
p p
( ∑ πh ) Var(ξ) + ∑ V ar (ϵh )
h=1 h=1
Let's now suppose that all the MVs xh and the latent variable ξ are standardized. An
approximation of the latent variable ξ is obtained by standardization of the first principal
component t1 of the block MVs. Then πh is estimated by cor(xh , t1 ) and, using equation (1),
V ar(ϵh ) is estimated by 1 − cor2 (xh , t1 ). So we get an estimate of the Dillon-Goldstein's ρ:
p 2
[ ∑ cor (xh , t1 )]
h=1
ρ^ = 2
(6)
p p
[ ∑ cor (xh , t1 )] + ∑ [1 − cor2 (xh , t1 )]
h=1 h=1
^ is larger than 0.7. This

A block is considered as unidimensional when the Dillon-Goldstein's ρ
statistic is considered to be a better indicator of the unidimensionality of a block than the
Cronbach's α (Chin, 1998, p.320).

PLS Path Modeling is a mixture of a priori knowledge and data analysis. In the reflective way,
the a priori knowledge concerns the unidimensionality of the block and the signs of the loadings.
The data have to fit this model. If they do not, they can be modified by removing some manifest
variables that are far from the model. Another solution is to change the model and use the
formative way that will now be described.
2.2. The formative way
In the formative way, it is supposed that the latent variable ξ is generated by its own manifest
variables. The latent variable ξ is a linear function of its manifest variables plus a residual term:
ξ = ∑ ϖh xh + δ (7)
h
In the formative model the block of manifest variables can be multidimensional. The predictor
specification condition is supposed to hold as:
E (ξ∣x1 , … , xpj ) = ∑ ϖh xh (8)

h
This hypothesis implies that the residual vector δ has a zero mean and is uncorrelated with the
MVs xh .
2.3. The MIMIC way
The MIMIC way is a mixture of the reflective and formative ways.
The measurement model for a block is the following:
xh = πh0 + πh ξ + ϵh pour h = 1, … , p1 (9)

where the latent variable is defined by:
p
ξ = ∑ ϖh xh + δ (10)
h=p1 +1
The p1 first manifest variables follow a reflective way and the (p − p1 ) last ones a formative
way. The predictor specification hypotheses still hold and lead to the same consequences as
before on the residuals.
3. The structural model
The causality model leads to linear equations relating the latent variables between them (the
structural or inner model):

ξj = βj0 + ∑ βji ξi + vj (11)
i
The predictor specification hypothesis is still applied.
A latent variable, which never appears as a dependent variable, is called an exogenous

variable. Otherwise it is called an endogenous variable.
4. The Estimation Algorithm
4.1. Latent variables Estimation
The latent variables ξ are estimated according to the following procedure.
4.1.1. Outer estimate yj of the standardized latent variable (ξj − mj )

The standardized latent variables (mean = 0 and standard deviation = 1) are estimated as linear
combinations of their centered manifest variables:
yj ∝ ± [∑ wjh (xjh − xjh )] (12)
where the symbol "∝" means that the left variable represents the standardized right variable
and the "±" sign shows the sign ambiguity. This ambiguity is solved by choosing the sign
making yj positively correlated to a majority of xjh .
The standardized latent variable is finally written as:
yj = ∑ w
~ jh (xjh − xjh ) (13)
The coefficients wjh and w~jh are both called the outer weights.
The mean mj is estimated by:
^j = ∑w
m ~ jh xjh (14)
and the latent variable ξj by:
ξ^j = ∑ w
~ jh xjh = yj + m
^j (15)
When all manifest variables are observed on the same measurement scale, it is nice to express
(Fornell (1992)) latent variables estimates in the original scale as:
∑w~ jh xjh
ξ^⋆j = ~ jh (16)
∑w

Equation (16) is feasible when all outer weights are positive. Finally, most often in real
applications, latent variables estimates are required on a 0-100 scale so as to have a reference
scale to compare individual scores. From the equation (16), for the i-th observed case, this is
easily obtained by the following transformation:
ξ^⋆j − xmin
ξ^0−100 = 100 × (17)
j
xmax − xmin
where xmin and xmax are, respectively, the minimum and the maximum value of the
measurement scale common to all manifest variables.
4.1.2. Inner estimate zj of the standardized latent variable (xj − mj )
The inner estimate zj of the standardized latent variable (xj − mj ) is defined by:
zj ∝ ∑ ejj ′ yj ′ (18)
j ′ :ξj ′ is connected to ξj
where the inner weights ejj ′ are equal to the signs of the correlations between yj and the yj′
connected with yj . Two latent variables are connected if there exists a link between the two
variables: an arrow goes from one variable to the other in the arrow diagram describing the
causality model. This choice of inner weights is called the centroid scheme.
Centroid scheme :
This choice shows a drawback in case the correlation is approximately zero as its sign may
change for very small fluctuations. But it does not seem to be a problem in practical
applications.
In the original algorithm, the inner estimate is the right term of (18) and there is no
standardization. We prefer to standardize because it does not change anything for the final
inner estimate of the latent variables and it simplifies the writing of some equations.
Two other schemes for choosing the inner weights exist: the factorial scheme and the path
weighting (or structural) scheme. These two new schemes are defined as follows:
Factorial scheme :
The inner weights eji are equal to the correlation between yi and yj . This is an answer to the
drawbacks of the centroid scheme described above.
Path weighting scheme (structural) :
The latent variables connected to ξj are divided into two groups: the predecessors of ξj , which
are latent variables explaining ξj , and the followers, which are latent variables explained by ξj .
For a predecessor ξj′ of the latent variable ξj , the inner weight ejj ′ is equal to the regression
coefficient of yj′ in the multiple regression of yj on all the yj′ related to the predecessors of ξj . If
ξj′ is a successor of ξj then the inner weight ejj ′ is equal to the correlation between yj′ and yj .

These new schemes do not significantly influence the results but are very important for
theoretical reasons. In fact, they allow to relate PLS Path modeling to usual multiple table
analysis methods.
The Horst scheme :
The internal weights eji are always 1. This is one of the first scheme developed for the PLS
Path Modeling.
4.2. The PLS algorithm for estimating the weights
4.2.1. Estimation modes for the weights wjh
There are three classical ways to estimate the weights wjh : Mode A, Mode B and Mode C.
Mode A:
In mode A the weight wjh is the regression coefficient of zj in the simple regression of xjh on
the inner estimate zj :
wjh = cov(xjh , zjh ) (19)
as zj is standardized.
Mode B:
In mode B the vector wj of weights wjh is the regression coefficient vector in the multiple
regression of zj on the manifest centered variables (xjh − x jh ) related to the same latent
variable ξj :
−1
wjh = (Xj ′ − Xj ) Xj ′ zj (20)
where Xj is the matrix with columns defined by the centered manifest variables xjh − xjh
related to the j-th latent variable ξj .
Mode A is appropriate for a block with a reflective measurement model and Mode B for a
formative one. Mode A is often used for an endogenous latent variable and mode B for an
exogenous one. Modes A and B can be used simultaneously when the measurement model is
the MIMIC one. Mode A is used for the reflective part of the model and Mode B for the formative
part.
In practical situations, mode B is not so easy to use because there is often strong
multicollinearity inside each block. When this is the case, PLS regression may be used instead
of OLS multiple regression. As a matter of fact, it may be noticed that mode A consists in taking

the first component from a PLS regression, while mode B takes all PLS regression components
(and thus coincides with OLS multiple regression). Therefore, running a PLS regression and
retaining a certain number of significant components may be meant as a new intermediate
mode between mode A and mode B.
Mode C (centroid):
In mode C the weights are all equal in absolute value and reflect the signs of the correlations
between the manifest variables and their latent variables:
wjh = sign(cor(xjh , zj )) (21)

These weights are then normalized so that the resulting latent variable has unitary variance.
Mode C actually refers to a formative way of linking manifest variables to their latent variables
and represents a specific case of Mode B whose comprehension is very intuitive to
practitioners.
4.2.2. Estimating the weights
The starting step of the PLS algorithm consists in beginning with an arbitrary vector of weights
wjh . These weights are then standardized in order to obtain latent variables with unitary
variance.
A good choice for the initial weight values is to take wjh = sign(cor(xjh , ξh )) or, more
simply, wjh = sign(cor(xjh , ξh )) for h = 1 and 0 otherwise or they might be the elements
of the first eigenvector from a PCA of each block.
Then the steps for the outer and the inner estimates, depending on the selected mode, are
iterated until convergence (guaranteed only for the two- blocks case, but practically always
encountered in practice even with more than two blocks).
After the last step, final results are yielded for the inner weights w~jh , the standardized latent
variable yj = ∑ w ~ jh (xjh − xjh ), the estimated mean m ^j = ∑w ~ jh xjh of the latent
~ jh xjh = yj
variable ξj , and the final estimate ξ^j = ∑ w +m
^ j of ξj . The latter estimate can
be rescaled according to transformations (16) and (17).
The latent variable estimates are sensitive to the scaling of the manifest variables in Mode A,
but not in mode B. In the latter case, the outer LV estimate is the projection of the inner LV
estimate on the space generated by its manifest variables.
4.3. Estimation of the structural equations
The structural equations (11) are estimated by individual OLS multiple regressions where the
latent variables ξj are replaced by their estimates ξ^j . As usual, the use of OLS multiple
regressions may be disturbed by the presence of strong multicollinearity between the estimated
latent variables. In such a case, PLS regression may be applied instead.

5. Missing Data Treatment
In XLSTAT-PLSPM, there exists a specific treatment for missing data (Lohmöller, 1989):
1. When some cells are missing in the data, means and standard deviations of the manifest
variables are computed on all the available data.
2. All the manifest variables are centered.
3. If a unit has missing values on a whole block j , the value of the latent variable estimate yj is
missing for this unit.
4. If a unit i has some missing values on a block j (but not all), then the outer estimate yji is
defined by:
yji = ∑ ~ jh (xjhi − xjh )

w
jh:xjhi exists
That means that each missing data of variable xjh is replaced by the mean x jh .
5. If a unit i has some missing values on its latent variables, then the inner estimate zji is
defined by:
zji = ∑ ejk yki

k:ξk is connected with ξj and yki exists
That means that each missing data of variable yk is replaced by its mean 0.
6. The weights wjh are computed using all the available data on the basis of the following
procedures:
For mode A: The outer weight wjh is the regression coefficient of zj in the regression of
(xjh − xjh ) on zj calculated on the available data.
For mode B: When there are no missing data, the outer weight vector wj is equal to:
wj = [V ar(Xj )]−1 Cov(Xj , zj )
where V ar(Xj ) is the covariance matrix of Xj and Cov(Xj , zj ) the column vector of the
covariances between the variables xjh and zj .
When there are missing data, each element of V ar(Xj ) and Cov(Xj , zj ) is computed using
all the pairwise available data and wj is computed using the previous formula.
This pairwise deletion procedure shows the drawback of possibly computing covariances on
different sample sizes and/or different statistical units. However, in the case of few missing
values, it seems to be very robust. This justifies why the blindfolding procedure that will be
presented in the next section yields very small standard deviations for parameters.

7. The path coefficients are the regression coefficients in the multiple regressions relating some
latent variables to some others. When there are some missing values, the procedure described
in point 6 (Mode B) is also used to estimate path coefficients.
Nevertheless, missing data can be also treated with other classical procedures, such as mean
imputation, listwise deletion, multiple imputation, the NIPALS algorithm (discussed below) and
so on so forth.
6. Model Validation
A path model can be validated at three levels: (1) the quality of the measurement model, (2) the
quality of the structural model, and (3) each structural regression equation.
6.1. Communality and redundancy
The communality index measures the quality of the measurement model for each block. It is
defined, for block j , as:
pj
1
Communalityj = ∑ cor2 (xjh , yj ) (22)
pj h=1
The average communality is the average of all the cor2 (xjh , yj ):
J
1
Communality = ∑ pj Communalityj (23)
p j=1
where p is total number of manifest variables in all blocks.
The redundancy index measures the quality of the structural model for each endogenous block.
It is defined, for an endogenous block j , as:
Redundancyj = Communalityj × R2 (yj , {yj ′ explaining yj }) (24)

The average redundancy for all endogenous blocks can also be computed.
A global criterion of goodness-of-fit (GoF) can be proposed (Amato, Esposito Vinzi and
Tenenhaus 2004) as the geometric mean of the average communality and the average R2 :
GoF = Communality × R2 (25)
As a matter of fact, differently from LISREL, PLS Path Modeling does not optimize any global
scalar function so that it naturally lacks of an index that can provide the user with a global
validation of the model (as it is instead the case with c2 and related measures in LISREL). The
GoF represents an operational solution to this problem as it may be meant as an index for
validating the PLS model globally, as looking for a compromise between the performances of
the measurement and the structural model, respectively.

6.2. The Blindfolding approach: cross-validated communality and redundancy
The cv-communality (cv stands for cross-validated) index measures the quality of the
measurement model for each block. It is a kind of cross-validated R-square between the block
MVs and their own latent variable calculated by a blindfolding procedure.
The quality of each structural equation is measured by the cv-redundancy index (i.e. Stone-
Geisser’s Q2 ). It is a kind of cross-validated R-square between the manifest variables of an
endogenous latent variable and all the manifest variables associated with the latent variables
explaining the endogenous latent variable, using the estimated structural model.
Following Wold (1982, p. 30), the cross-validation test of Stone and Geisser fits soft modeling
like hand in glove. In PLS Path Modeling statistics on each block and on each structural
regression are available.
The significance levels of the regression coefficients can be computed using the usual Student’s
t statistic or using cross-validation methods like jackknife or bootstrap.
Here is the description of the blindfolding approach proposed by Herman Wold:.
1. The data matrix is divided into G groups. The value G = 7 is recommended by Herman
Wold. We give in the following table an example on a dataset made by 12 statistical units and 5
variables. The first group is related to letter a, the second one to letter b, and so on.
x1 | x2 | x3 | x4 | x5 |----|----|----|----|----| a|f|d|b|g| b|g|e|c|a| c|a|f|d|b| d|b|g|e|c| e|c|a|f|d|

f|d|b|g|e| g|e|c|a|f| a|f|d|b|g| b|g|e|c|a| c|a|f|d|b| d|b|g|e|c| e|c|a|f|d|
2. Each group of cells is removed at its turn from the data. So a group of cells appears to be
missing (for example all cells with letter a).
3. A PLS model is run G times by excluding each time one of the groups.
4. One way to evaluate the quality of the model consists in measuring its capacity to predict
manifest variables using other latent variables. Two indices are used: communality and
redundancy.
5. In the communality option, we get prediction for the values of the centered manifest variables
not included in the analysis, using the latent variable estimate, by the following formula:
P red(xjhi − xjh ) = π
^ jh(−i) yj(−i)
where ^ jh(−i) and yj(−i) are computed on data where the i-th value of variable xjh is missing.
π
The following terms are computed:
Sum of squares of observations for one MV: SSOjh = ∑i (xjhi − xjh )2 .
Sum of squared prediction errors for one MV: SSEjh = ∑i (xjhi − xjh −
^ jh(−i) yj(−i) )2 .
π
Sum of squares of observations for Block j : SSOj = ∑h SSOjh .

Sum of squared prediction errors for Block j : SSEj = ∑h SSEjh .
CV-Communality measure for Block j : Hj2

SSEj
=1− SSOi .
6. The index Hj2 is the cross-validated communality index. The mean of the cv-communality
indices can be used to measure the global quality of the measurement model if they are positive
for all blocks.
In the redundancy option, we get a prediction for the values of the centred manifest variables
not used in the analysis by using the following formula:
P red(xjhi − xjh ) = π
^ jh(−i) P red(yj(−i) )
where ^ jh(−i) is the same as in the previous paragraph and P red(yj(−i) ) is the prediction for
π
the i-th observation of the endogenous latent variable yj using the regression model computed
on data where the i-th value of variable xjh is missing.
The following terms are also computed:
Sum of squared prediction errors for one MV:

′
SSEjh = ∑(xjhi − xjh − π
^ jh(−i) P red(yj(−i) ))2
i
Sum of squared prediction errors for block j :
SSEj′ = ∑ SSEjh
′
CV-Redundancy measure for an endogenous block j :
SSEj′
Fj2 =1−
SSOj
The index Fj2 is the cross-validated redundancy index. The mean of the various cv-redundancy
indices related to the endogenous blocks can be used to measure the global quality of the
structural model if they are positive for all endogenous blocks.
6.3. Resampling: Jackknife and Bootstrap
The significance of PLS-PM parameters, coherently with the distribution-free nature of the
estimation method, is assessed by means of non-parametric procedures. As a matter of fact,
besides the classical blindfolding procedure, Jackknife and Bootstrap resampling options are
available.
6.3.1. Jackknife

The Jackknife procedure builds resamples by deleting a certain number of units from the
original sample (with size N ). The default option consists in deleting 1 unit at a time so that
each Jackknife sub-sample is made of N − 1 units. Increasing the number of deleted units
leads to a potential loss in robustness of the t-statistic because of a smaller number of sub-
samples. The complete statistical procedure is described in Chin (1998, p.318-320).
6.3.2. Bootstrap
The Bootstrap samples, instead, are built by resampling with replacement from the original
sample. The procedure produces samples consisting of the same number of units as in the
original sample. The number of resamples has to be specified. The default is 100 but a higher
number (such as 200) may lead to more reasonable standard error estimates.
We must take into account that, in PLS-PM, latent variables are defined up to the sign. It means
that yj = ∑ w ~ jh (xjh − xjh ) and −yj are both equivalent solutions. In order to remove this
indeterminacy, Wold (1985) suggests retaining the solution where the correlations between the
manifest variables xjh and the latent variable yj show a majority of positive signs. Referring to
the signs of the elements in the first eigenvector obtained on the original sample is also a way of
controlling the sign in the different bootstrap re-samples.
GSCA (Generalized Structured Component Analysis)
This method introduced by Hwang and Takane (2011), allows to optimize a global function using
an algorithm called Alternating Least Square algorithm (ALS).
GSCA lies in the tradition of component analysis. It substitutes components for factors as in
PLS. Unlike PLS, however, GSCA offers a global least squares optimization criterion, which is
consistently minimized to obtain the estimates of model parameters. GSCA is thus equipped
with an overall measure of model fit while fully maintaining all the advantages of PLS (e.g., less
restricted distributional assumptions, no improper solutions, and unique component score
estimates). In addition, GSCA handles more diverse path analyses, compared to PLS.
Let Z denote an N by J matrix of observed variables. Assume that Z is columnwise centered

and scaled to unit variance. Then, the model for GSCA may be expressed as
ZV = ZW A + E
and
P = GA + E (1)
where P = ZV , and G = ZW . In (1), P is an N by T matrix of all endogenous observed

and composite variables, G is an N by D matrix of all exogenous observed and composite
variables, V is a J by T matrix of component weights associated with the endogenous
variables, W is a J by D matrix of component weights for the exogenous variables, A is a D
by T supermatrix consisting of a matrix of component loadings relating components to their

observed variables, denoted by C , in addition to a matrix of path coefficients between
components, denoted by B , that is, A = [C, B], and E is a matrix of residuals.
We estimate the unknown parameters V ,W , and A in such a way that the sum of squares of
the residuals, E = ZV − ZW A = P − GA, is as small as possible. This amounts to
minimizing
f = SS(ZV − ZW A) = SS(P − GA) (2)
with respect to V , W , and A, where SS(X) = trace(X ′ X). The components in P and/or
G are subject to normalization for identification purposes.
We cannot solve (2) in an analytic way since V , W , and A can comprise zero or any fixed
elements. Instead, we develop an alternating least squares (ALS) algorithm (de Leeuw, Young,
& Takane, 1976) to minimize (2). In general, ALS can be viewed as a special type of the FP
algorithm where the fixed point is a stationary (accumulation) point of a function to be optimized.
The proposed ALS algorithm consists of two steps: In the first step, A is updated for fixed V
and W . In the second step, V and W are updated for fixed A. (Hwang and Takane, 2004)
RGCCA (Regularized Generalized Canonical Correlation Analysis)
This method introduced by Tenenhaus et al. (2011), allows to optimize a global function using
an algorithm very similar to the PLSPM algorithm.
Unlike the PLS approach, the results of the RGCCA are correlations between latent variables
and between manifest variables and their associated latent variables (there is no regression at
the end of the algorithm).
The RGCCA is based on a simple iterative algorithm similar to that of the PLS approach which
is as follows:
1 - Initialization of the outer weights in the same way as in the PLSPM algorithm.
2 - Standardization of the outer weights using the tau parameter:
−1 −1/2 −1
[(wj0 ) wj0 ]
1 1
[τj I + (1 − τj ) XjT Xj ] [τj I + (1 − τj ) XjT Xj ]
T
wj0 = wj0
n n
3 - Computation of the internal components of each latent variable depending on the scheme
used (the inner schemes are the same as in PLSPM).
zjs = ∑ cjk ejk Xk wks+1 + ∑ cjk ejk Xk wks

k<j k>j
With ejk being the inner weight and cjk = 1 if the latent variables j and k are related.
4 - Outer weights are updated:

−1 −1/2 −1
[(zjs ) Xj [τj I + (1 − τj ) Xj Xj ] XjT wjs ]
1 T 1 T
[τj I + (1 − τj ) Xj Xj ] XjT wjs
T
wjs+1 =
n n
5 - We repeat steps 3 and 4 until convergence of the algorithm.
Once the algorithm has converged, we obtain results that optimize specific functions depending
on the choice of the tau parameter.
Tau is a parameter that has to be set for each latent variable. It enables you to adjust the
"mode" associated to the latent variable. If tau = 0, then we will be in the case of mode B and
the results of PLSPM and RGCCA are similar. When tau = 1, we find ourselves in the new mode
A (as stated by M. Tenenhaus). This mode is close to the mode A of PLSPM while optimizing a
given function. When tau varies between 0 and 1, the latent variable mode stands in between
mode A and mode B. For more details on RGCCA see Tenenhaus et al. (2011).
In the framework of RGCCA, XLSTAT-PLSPM allows to use the Ridge RGCCA mode. This
mode search for the optimal tau parameter using the Schäfer and Stimmer (2005) formula
reproduced in Tenenhaus et al. (2011).
The NIPALS algorithm
The roots of the PLS algorithm are in the NILES (Non linear Iterative LEast Squares estimation),
which later became NIPALS (Non linear Iterative PArtial Least Squares), algorithm for Principal
Component Analysis (Wold, 1966). We now remind the original algorithm of H. Wold and show
how it can be included in the PLS-PM framework. The interests of the NIPALS algorithm are
double as it shows: how PLS handles missing data and how to extend the PLS approach to
more than one dimension.
The original NIPALS algorithm is used to run a PCA in presence of missing data. This original
algorithm can be slightly modified to go into the PLS framework by standardizing the principal
components. Once this is done, the final step of the NIPALS algorithm is exactly the Mode A of
the PLS approach when only one block of data is available. This means that PLS-PM can
actually yield the first-order results of a PCA whenever it is applied to a block of reflective
manifest variables.
The other dimensions are obtained by working on the residuals of X on the previous
standardized principal components.
The PLS approach for two sets of variables
PLS Path Modeling can be also used so as to find the main data analysis methods to relate two
sets of variables. Table 1 shows the complete equivalence between PLS Path Modeling of two
data tables and four classical multivariate analysis methods. In this table, the use of the
deflation operation for the research of higher dimension components is mentioned.

Table 1: Equivalence between the PLS algorithm applied to two blocks of variables X1 and X2
and various method
Canonical Inter-Battery PLS

Redundancy Analysis
-- Correlation Factor Regression of
of X2 with respect to X1
analysis Analysis X2 on X1
Computation
B (deflation) A (deflation) A (deflation) B (deflation)
mode for X1
Computation
B (deflation) A (deflation) A (no deflation) A (no deflation)
mode for X2
The analytical demonstration of the above mentioned results can be found in Tenenhaus et al.,
2005.
TThe PLS approach for J sets of variables
The various options of PLS Path Modeling (Modes A or B for outer estimation; centroid, factorial
or path weighting schemes for inner estimation) allow to find also many methods for multiple
tables analysis: Generalized Canonical Analysis (the Horst's one (1961) and the Carroll's one
(1968)), Multiple Factor Analysis (Escofier & Pagès, 1994), Lohmöller's split principal
component analysis (1989), Horst's maximum variance algorithm (1965).
The links between PLS and these methods have been studied on practical examples in Guinot,
Latreille and Tenenhaus (2001) and in Pagès and Tenenhaus (2001).
Let us consider a situation where J blocks of variables X1 , … , Xj are observed on the same
set of statistical units. For estimating these latent variables ξj , Wold (1982) has proposed the
hierarchical model defined as follows:
A new block X is constructed by merging the J blocks X1 , … , Xj into a super block.
The super block X is summarized by one latent variable ξ .
A path model connects each exogenous LV ξj to the endogenous LV ξ .
An arrow scheme describing a hierarchical model for three blocks of variables is shown in
Figure 1.

Figure 1: A hierarchical model for a PLS analysis of J blocks of variables.
Table 2 summarizes the links between Hierarchical PLS-PM and several multiple table analysis
organized with respect to the choice of the outer estimation mode (A or B) and of the inner
estimation scheme (Centroid, Factorial or Path Weighting).
Mode of
calculation Factorial
Centroid scheme Structural scheme
for the outer Scheme
estimation
PLS Carroll's
PLS Horst's Lohmöller's split principal component
generalized
generalized analysis / Horst's maximum variance
A canonical
canonical algorithm /Excofier and Pagès Multiple
correlation
correlation analysis Factor Analysis
analysis
Carroll's
Horst's generalized
generalized
canonical
B canonical
correlation analysis
correlation
(SUMCOR criterion)
analysis
Table 2: PLS Path modeling and Multiple Table Analysis
In the methods described in Table 2, the higher dimension components are obtained by re-
running the PLS model after deflation of the X -block.
It is also possible to obtain higher dimension orthogonal components on some Xj -blocks (or on
all of them). The hierarchical PLS model is re-run on the selected deflated Xj -blocks.
The orthogonality control for higher dimension components is a tremendous advantage of the
PLS approach (see Tenenhaus (2004) for more details and an example of application).
Finally, PLS Path Modeling may be meant as a general framework for the analysis of multiple
tables. It is demonstrated that this approach recovers usual data analysis methods in this

context but it also allows for new methods to be developed when choosing different mixtures of
estimation modes and schemes in the two steps of the algorithm (internal and external
estimation of the latent variables) as well as different orthogonality constraints. Therefore, we
can state that PLS Path Modeling provides a very flexible environment for the study of a multi-
block structure of observed variables by means of structural relationships between latent
variables. Such a general and flexible framework also enriches the data analysis methods with
non-parametric validation procedures (such as bootstrap, jackknife and blindfolding) for the
estimated parameters and fit indices for the different blocks that are more classical in a
modeling approach than in data analysis.
Multigroup comparison tests in PLS path modeling
Two tests in order to compare parameters between groups are included in XLSTAT-PLSPM: An
adapted t test based on bootstrap standard errors and a permutation test.
The multigroup t test:
Wynne Chin was the first to use this test to compare path coefficients. This test uses the
estimates obtained from the bootstrap sampling in a parametric sense via t-tests. You make a
parametric assumption and take the standard errors for the structural paths provided by the
bootstrap samples, and then calculate the t-test for the difference in path coefficients between
groups.
∣ G1 ∣
∣βij − βijG2 ∣
t= ∣ ∣
(n1 −1)2 2 (n2 −1)2 2 1 1
n1 +n2 −2 SEG1 + n1 +n2 −2 SEG2 ⋅ n1 + n2
where n1 and n2 are the sizes of the groups, and SEG2 i is the variance of coefficient βij
obtained using the bootstrap sampling. This would follow a Student distribution with n1 +
n2 − 2 degrees of freedom. This approach works reasonably well if the two samples are not far
from normality and if the two variances are not too different.
The permutation tests:
Permutation tests offer a nonparametric alternative to t tests that fits well to PLS path modeling.
They have been used together with PLS Path Modeling in Chin (2008) and Jakobowicz (2007).
The principle is simple:
Select a statistic S . In the case of PLS Path Modeling, we take the absolute value of the
difference on a parameter between two groups of observations.
Compute the value of this statistic on the two original samples associated to the groups à Sobs .
Randomly permute the elements of the two samples and compute the S statistic à Spermi .
Repeat this step Nperm times (with Nperm very large).
The p-value is obtained with the following formula:

Npen
1
p − valeur = ∑ I (Sobs < Spemi )
Npem + 1 i=1
Function I(.) being 1 when Sobs < Spermi and 0 otherwise.
Segmentation using the REBUS algorithm (Esposito Vinzi et al., 2008)
When heterogeneity at the units’ level is present, it can be useful to obtain clusters of units
which behave similarly on a defined model. The REBUS algorithm (Response Based procedure
for detecting unit segments in PLS path modelling) offers a way to find clusters using a defined
PLS model and residuals obtained using PLS Path Modeling. It is based on a simple algorithm:
1- Apply PLS Path Modeling on the entire dataset.
2- Compute residuals of the manifest and latent variables and apply an agglomerative
hierarchical clustering on the residuals.
3- Apply PLS Path Modeling on each class of units using the same PLS model. You obtain as
many sub-models as classes.
4- Compute residuals of the manifest and latent variables for each sub-model and compute the
CM index for each unit and each class.
5- Allocate the units to the closest model (in term of CM).
6- Update the composition of the classes.
Repeat 3 to 6 until stable classes are obtained.
The CM index for unit i and class k is:
pj J∗
∑∑ [e2ihjk / Com (ξjk , xhj )] ∑ [fij2 ∗ k /R2 (ξj ∗ , ξj:ξj →ξj∗ )]
j h=1 j ∗ =1
CMik = N pj × N J∗
∑ ∑ ∑ [e2ihjk / Com(ξjk ,xhj )] ∑ ∑ [fij2 ∗ k /R2 (ξj ∗ ,ξj:ξj →ξj ∗ )]
i=1 j h=1 i=1 j ∗ =1
N −mk −1 N −mk −1
Where Com() is the communality index, eihjk is the measurement model residual for the i-th
unit in the k-th latent class, corresponding to the h-th manifest variable in the j-th block, i.e. the
communality residual; fij ∗ k is the structural model residual for the i-th unit in the k-th latent
class, corresponding to the j ∗ -th endogenous block; N is the number of units; mk is the
number of dimensions. Since all blocks are supposed to be reflective, there will always be one
dimension (latent variable) per block.
XLSTAT-PLSPM offers some options to apply the REBUS method:

Number of classes: The user can choose between automatic where the number of
classes is set during the cluster analysis and manual where the number of classes has to
be entered manually.
Convergence: The algorithm converges when a fixed percentage of the units are staying
in the same class from one iteration to another (the default value is 95%).
The REBUS method can only be applied if all blocks are reflective (mode A) and if no groups
are selected.
The global quality index of the model allows to judge the quality of the segmentation. This index
is equivalent to the GoF when a single class is used. When several classes are obtained, it is
obtained as follows:
⎡ Pq ⎛ ⎞⎤
nk
∑ e2ipqj
nk ⎢ 1
∑∑⎜ ⎟⎥ ×
K
GQI = ∑ ⎢ ⎜ 1 − nk i=1 ⎟⎥
⎣ ⎝ ∑ (xipq − xpqk ) ⎠ ⎦
N ∑ Pq q p=1 2
k=1
i=1
⎡ J ⎛ ⎞
nk
2
∑ fijk
nk ⎢ 1 ⎜ ⎟
K
∑ ⎢ J ∑ ⎜ 1 − nk 2⎟
i=1
⎣ j=1 ⎝ ∑ (ξîpq − ξ^pqk ) ⎠

k=1
N
i=1
with nk being the size of class k , Pq being the number of manifest variable associated to the
latent variable q . e2 is the residual obtained from the manifest variables and f 2 is the residual
obtained from the scores of the latent variables.
In addition to the GQI, XLSTAT-PLSPM displays the overall improvement of the GQI and the
decomposition of the GQI based on the outer model and on the inner model.
The Marketing display for the analysis of consumer satisfaction
In addition to the Classic and Expert displays, XLSTAT-PLSPM Proposes a Marketing display
that provides the user with an interface that is specially designed for marketing and satisfaction
analysis.
This display sets default values to numerous parameters and proposes a simplified way to deal
with variables: the scales of manifest and latent variables are selected from the beginning (see
the Fitting the Model paragraph).
By default, the PLS-Path Modeling method, the path weighting (structural) scheme as well as
OLS regressions are used. Initial weights are obtained with the values of the first principal
component analysis eigenvector and one single dimension is displayed.
The segmentation option allows to carry out REBUS analysis to extract classes of
homogeneous observations and multigroup tests can be defined in the options tab.

This display also proposes charts and simulation tables that helps evaluating the impact of
changing variables (manifest and latent) on a target latent variable.
Model loading from the model library
XLSTAT-PLSPM lets you easily load existing structural models. Use the load model icon and
choose the model to load among inside the model library.
The loaded model replaces the model that is already open but keeps your data and your results.
However, the manifest and latent variables association operation should be done in addition.
Below is a list of available models in the library (.ppmxmod files):
ECSI (European Customer Satisfaction Index)
ACSI (American Customer Satisfaction Index)
SCSB (Swedish Customer Satisfaction Barometer)
Norwegian Customer Satisfaction Barometer (NCSB),
Swiss Index of Customer satisfaction (SWICS)
Korean Customer Satisfaction Index (KCSI)
Malaysian Customer Satisfaction Index(MCSI)
Simplified ECSI (excludes the complaints variable)

Projects
XLSTAT-PLSPM projects are special Excel workbook templates. When you create a new
project, its default name starts with PLSPMBook. You can then save it to the name you want,
but make sure you use the "Save" or "Save as" command of the XLSTAT-PLSPM toolbar to
save it in the folder dedicated to the PLSPM projects using the *.ppm extension with Excel 2003
and prior, and *.ppmx with Excel 2007 and later.
A raw XLSTAT-PLSPM project contains two sheets that cannot be removed:
- D1: This sheet is empty and you need to add all the input data that you want to use into that
worksheet.
- PLSPMGraph: This sheet is blank and is used to design the model. When you select this
sheet, the "Path modeling" toolbar is displayed. It is made invisible when you leave that sheet.
Once a model has been designed, you can run the optimization. Results sheets are then added
after the PLSPMGraph sheet.
It is possible to record a model before adding new variables and to reload it later (see the
Toolbars section for additional information).
Each time you create a new project, XLSTAT asks you what display you wish to use. You may
choose among 3 options depending on your objectives and your expertise.
It is also possible to load saved models (see the toolbars paragraph for more details).
XLSTAT-PLSPM 1410 Projects

Options
To display the options dialog box, click the button of the "XLSTAT-PLSPM" toolbar. Use this
dialog box to define the general options of the XLSTAT-PLSPM module.
General tab:
Display: Because PLS Path Modeling and XLSTAT-PLSPM are complex, three display styles
are available. The classical one including all commonly used options and the expert one lets
you use more advanced features. Finally, the Marketing display lets you obtain a configuration
adapted to marketing and satisfaction analysis.
Path for the XLSTAT-PLSPM projects: This path can be modified if and only if you have
administrator rights on the machine. You can then modify the folder where the user’s files are
saved by clicking the […] button that will display a box where you can select the appropriate
folder. The folder must be accessible for reading and writing to all types of users.
Format tab:
Use these options to set the format of the various objects that are displayed on the
PLSPMGraph sheet:
Latent variables: You can define the color and the size of the border line of the ellipses
that represent the latent variables, as well as the color of the background, and the color
and the size of the font.
Manifest variables: You can define the color and the size of the border line of the
rectangles that represent the manifest variables, as well as the color of the background,
and the color and the size of the font.
Arrows (MV-LV): You can define the color and the size of the arrows between the
manifest and the latent variables.
Arrows (LV-LV): You can define the color and the size of the arrows between two latent
variables.
Note 1: So that changes are taken into account once you click the OK button, you need to
optimize the display by clicking on the button.
Note 2: these options do not prevent you from changing the format of one or more objects on
the PLSPMGraph sheet. Using the drawing toolbar of Excel, you can change the fill, the borders
of the objects.
XLSTAT-PLSPM 1411 Options

Toolbars
XLSTAT-PLSPM has two toolbars, "XLSTAT-PLSPM" and "Path modeling".
The "XLSTAT-PLSPM" toolbar can be displayed by clicking the XLSTAT-PLSPM icon in the
XLSTAT toolbar.
Click this icon to open a new PLSPM project (see Projects for more details).
Click this icon to open an existing PLSPM project.
Click this icon to save the current PLSPM project. This icon is only active if changes have
been made in the project.
Click this icon to save the project in a new folder or under a new name.
Click this icon to display the XLSTAT-PLSPM options dialog box.
Click this icon if you want to continue using XLSTAT but not XLSTAT-PLSPM. This allows to
free some memory space.
Excel 2003 and lower:
The second toolbar, "Path modeling" is only visible when you are on the PLSPMGraph sheet of
a PLSPM project.
Click this icon to add latent variables. If you double click this icon, you can add several latent
variables in a row without having to click this button each time.
Click this icon to add an arrow between two latent variables. If you double click this icon, you
can add several arrows in a row without having to click this button each time. When adding an
arrow, select first the latent variable that will be at the beginning of the arrow by clicking on it,
then leave the mouse button down, and drag the cursor till the latent variable that will be at the
end of the arrow.
Click this icon to hide the manifest variables. If a latent variable is selected when you click
this icon, it will only hide the corresponding manifest variables.
Click this icon to display the manifest variables. If a latent variable is selected when you click
this icon, it will only show the corresponding manifest variables.
Click this icon to optimize the display.
XLSTAT-PLSPM 1412 Toolbars

Click this icon to define groups. Once groups are defined, a list with the group names is
displayed on the PLSPMGraph sheet, and the icon becomes ; click this icon to remove the
groups definition.
Click this icon to archive the current model in the project.
Click this icon to load a previously saved model.
Click this icon to delete one or more previously saved models.
Unprotected/Protected(1)/Protected(2): The first option allows the user to modify the model and
the position of the objects. The second option allows the user to modify the position of the
objects. The third option does not allow the user to move the objects or to delete them.
Click this icon to completely remove all the objects on the PLSPMGraph sheet.
Click this icon to display the results of the model, if the latter has already been fitted. If the
results are already displayed, the following icon is displayed ; click it to hide the results.
Click this icon to display a dialog box that allows you to choose which results should be
displayed or not.
Click this icon to start the optimization of the model, and then display the results on both the
PLSPMGraph sheet, and on the results sheet.
Excel 2007 and later:
The second toolbar, "Path modeling" is included in the PLSPMGraph sheet of a PLSPM project.
Click this icon to add latent variables. If you double click this icon, you can add several
latent variables in a row without having to click this button each time.
Click this icon to define the manifest variables, after selecting the latent variable on the
diagram. You can also use the keyboard shortcut Ctrl+M.
Click this icon to hide the manifest variables. If a latent variable is selected when you
click this icon, it will only hide the corresponding manifest variables.
Click this icon to display the manifest variables. If a latent variable is selected when you
click this icon, it will only show the corresponding manifest variables.
Click this icon to optimize the display.

Click this icon to define groups. Once groups are defined, a list with the group names is
displayed on the PLSPMGraph sheet, and the icon becomes ; click this icon to remove
the groups definition.
Click this icon to archive the current model in the project.
Click this icon to load a previously saved model or to load a model from a model library
(see the description section).
Click this icon to delete one or more previously saved models.
Unprotected/Protected(1)/Protected(2): The first option allows the user to modify the model and
the position of the objects. The second option allows the user to modify the position of the
objects. The third option does not allow the user to move the objects or to delete them.
To add a link between two latent variables: When adding a link, select first the latent
variable that will be at the beginning of the arrow by clicking on it, then select the latent variable
that will be at the end of the arrow. Click this icon when both variables are selected. You can
also use the keyboard shortcut Ctrl+L. Use the keyboard shortcut Ctrl+R to reverse the direction
of the link.
Click this icon to transform all the links into double direction links. This can also be obtained
with the keyboard shortcut Ctrl+D.
Click this icon to change the position of the manifest variables. You can also use the
keyboard shortcut Ctrl+O.
Click this icon to rename a latent variable.
Click this icon to completely remove all the objects on the PLSPMGraph sheet.
Click this icon to display the results of the model, if the latter has already been fitted. If
the results are already displayed, the following icon is displayed ; click it to hide the
results.
Click this icon to display a dialog box that allows you to choose which results should be
displayed or not.
Click this icon to start the optimization of the model, and then display the results on both
the PLSPMGraph sheet, and on the results sheet.

Adding manifest variables
Once one or more latent variables have been added on the PLSPMGraph document using the
appropriate icon of the "Path modeling" toolbar, you can define the manifest variables that
correspond to these variables (with Excel 2003 and lower, make a double click on the latent
variable, with Excel 2007 and later, click the Manifest variables icon). A latent variable must
have manifest variables, even if it is a superblock variable (a variable that is not directly related
to manifest variables but to latent variables with arrows going from the latent variables to the
superblock variable – the superblock variable inherits the manifest variables of the constitutive
latent variables).
For a superblock, you need to add all the manifest variables of the parent latent variables. This
is made easy with the XLSTAT interface.
To add manifest variables, you can
Double-click the latent variable;
Click the right button of the mouse, and select "Add manifest variables".
These actions lead to the display of a dialog box which options are:
General tab:
Name of the latent variable: Enter the name of the latent variable.
Manifest variables: Select on the D1 sheet the data that correspond to the manifest variables.
The input variables can be either quantitative or qualitative.
these variables.
these variables.
Position: Select the position where the manifest variables should be positioned relatively to the
latent variable.
XLSTAT-PLSPM 1415 Adding manifest variables

Mode: Select the mode option that determines how the latent variable is constructed from the
manifest variables. The available options are "Mode A " (reflective way, arrows go from the
latent variable to the manifest variables), "Mode B " (formative way, arrows go from the manifest
variables to the latent variable), "Centroid ", "PCA ", "PLS ", and mode " MIMIC " (a mixture of
Mode A and Mode B). If Mode MIMIC is selected, you need to select a column with one row per
manifest variable (and a header if the "Variable labels" option is checked), with As for the
variables with Mode A, and Bs for the variables with mode B. See the description section for
more information on the modes. The "Automatic " mode is only available for superblocks. It
allows to make that the mode for each manifest variable corresponds to its mode in the latent
variable that is used to create the superblock. "Centroid", "PCA", "PLS", and "Automatic" modes
are only available in the expert display. The RGCCA mode allows to enter the value of the tau
parameter and the Ridge RGCCA mode automatically optimize the value of the tau parameter.
These two modes can only be applied with the RGCCA method (see the description section).
Deflation (expert display): Select the deflation mode. The deflation is used when computing the
model on the second and above dimensions of the model.
No deflation: Whatever the dimension, the scores of the latent variable remain constant.
External: For the successive dimensions, the residuals are computed from the outer
model.
Dimension (expert display): You can choose the number of dimensions to be studied.
Invert sign: Activate this option if you want to reverse the sign of the latent variable. This option
is useful if you notice that the influence of a latent variable is the opposite of what it should be.
Supberblock (expert display): You can activate this option only if latent variables have already
been created, and if manifest variables were selected for the latter. The list displays the latent
variables for which manifest variables have already been defined. The superblock tab appears.
You can then select the latent variables that are used to build the superblock variable.
Interaction (expert display): You can activate this option only if latent variables have already
been created. An interaction latent variable is the product of two latent variables that have the
same successor. The interaction variable will have the same successor as the two variables that
were used to create it. The interaction tab appears.
Superblock tab:
The list of all latent variables is displayed. Select latent variables to be included in the
superblock.
Interaction tab:
Generating latent variable: Select two of the latent variables explaining the latent variable to
which the interaction variable is connected.

Treatment of the manifest variables: Select which transformation of the manifest variable
prior to the product you wish to apply. Three options are available: raw manifest variables,
standardized manifest variables and mean centered manifest variables.
Options (PLS) tab (expert display):
Options in the structural model (PLS):
Stop conditions:
components to keep.
Max components: Activate this option to set the pour fixer le maximum number of
components to take into account in the model.
Options for PLS regression in the measurement model (only active, if the "PLS" mode is
selected):
Stop conditions:
components to keep.
Max components: Activate this option to set the pour fixer le maximum number of
components to take into account in the model.

Defining groups
If a qualitative variable is available and if you believe that the model could be different for the
various categories of that variable, you may use it to define groups.
To define groups, go to the "PLSPMGraph" sheet, then click the appropriate icon. This displays
a "Groups" dialog box, which entries are:
Groups: Select on the D1 sheet the data that correspond to the qualitative variable that
indicates to which group each observation belongs.
Column label: Activate this option if the first row of the selection corresponds to a header.
Sort alphabetically: Activate this option if you want that XLSTAT sorts alphabetically the names
of the groups (the categories of the selected qualitative variable). If this option is not activated,
the categories are listed in their order or appearance.
Once you click OK, a list is added at the top right corner of the PLSPMGraph sheet. Once the
model has been computed, you can use this list to display the results of the group you want on
the PLSPMGraph sheet. The results of the model that corresponds to each group are also
displayed on distinct sheets.
Note: if you want to remove the group information, click the appropriate button of the "Path
modeling" toolbar.
Once groups are defined, multigroup tests can be performed.
XLSTAT-PLSPM 1418 Defining groups

Fitting the model
Once you have designed the model on the PLSPMGraph sheet, and once the manifest
variables have been defined for each latent variable, you can click the appropriate icon of the
"Path modeling" toolbar to display the "Run" dialog box that lets you define additional options
before fitting the model.
General tab:
Treatment of the manifest variables ( classic and expert displays only ): Choose if and how
the manifest variables should be transformed.
Standardized, weights on standardized MV: The manifest variables are standardized

before fitting the model, and the corresponding outer weights are estimated.
Standardized, weights on raw MV: The manifest variables are standardized before
fitting the model, and the outer weights are estimated for the raw variables.
Reduced, weights on raw MV: The manifest variables are reduced (divided by the
standard deviation) before fitting the model, and the corresponding outer weights are
estimated.
Raw MV: The manifest variables are not transformed.
Initial weights ( classic and expert displays only ) : Choose which initial value should be
used for outer weight initialization.
Values of the first eigenvector. The initial values are the values associated to the first
eigenvector.
Signs of the coordinates of the first eigenvector. Instead of taking the values of the first
eigenvector only take the sign.
-1 for max of first eigenvector, else +1.
-1 for min of first eigenvector, else +1.
+1 for variable with max variance, else 0.
-1 for the last manifest variable, else +1.
Method ( classic and expert displays only ): Choose the method to be used. You can choose
between PLSPM, GSCA and RGCCA.
XLSTAT-PLSPM 1419 Fitting the model

REBUS ( expert display only) : Activate this option if you want to apply the REBUS algorithm
on your model. When you activate this option the REBUS tab is reachable. When using REBUS,
all blocks of manifest variables have to be reflective (mode A), and manifest and latent variables
have to be standardized. The NIPALS and Lohmöller options are not available for the treatment
of missing data.
RGCCA ( expert display only ): Activate this option if you want to apply the RGCCA. All the
blocks have to be defined with either mode A, mode B or the RGCCA mode.
Scale of the manifest variables (Marketing display): allows to choose the scale on which the
manifest variables are presented. Two options are available.
Automatic: manifest variables are standardized.
Select: enter the minimum and maximum values of the manifest variables (uniform scale)
in order to work on the original variables.
Scale of the latent variables (Marketing display):
0-100 scale: latent variables scores are given on a 0-100 scale.
MV scale: latent variables scores are given on the same scale as the manifest variables.
Options tab:
Internal estimation ( classic and expert displays only ): Select the internal estimation
method (see the description section for additional details).
Structural: The inner weights are equal to the correlation between the latent variables
when estimating an explanatory (predecessor) latent variable. Otherwise they are equal to
the OLS regression coefficients.
Factorial: The inner weights are equal to the correlation between the latent variables.

Centroid: The inner weights are equal to the sign of the correlation between the latent
variables.
PLS: The inner weights are equal to the correlation between the latent variables when
estimating an explanatory (predecessor) latent variable. Otherwise they are equal to the
PLS regression coefficients.
Regression ( expert display only ): Select the regression method that is used to estimate path
coefficients
OLS: Ordinary Least Squares regression.
PLS: Partial Least Squares regression.
Dimensions ( expert display only ): Enter the number of dimensions up to which the model
should be computed.
Stop conditions:
Convergence: Enter the value of the difference of criterion between two steps which,
when reached, means that the algorithm is considered to have converged. Default value:
0.0001.
Confidence intervals: Activate this option to compute the confidence intervals. Then choose
the method used to compute the intervals:
Bootstrap: Activate this option to use a bootstrap method. Then enter the number of "Re-
samples" generated to compute the bootstrap confidence intervals.
Jackknife: Activate this option to use a jackknife method. Then enter the "Group size"
that is used to generate the samples to compute the jackknife confidence intervals.
Confidence interval (%): Enter the size in % of the confidence intervals.
Resampled estimates ( expert display only ): Activate this option to display estimates of
standardized loading and path coefficients for each sample being generated. Standard deviation
and bounds of the confidence intervals for indirect effects are also displayed.
Model quality (classic and expert displays only ):
Blindfolding: Activate this option to check the model quality using the blindfolding
approach (see the description section for additional details). Cross-validated values for
redundancy and communality will be computed.

Segmentation (Marketing display): activate this option to look for classes of homogeneous
observations with regards to the specified model. The REBUS algorithm is used. A truncation
can also be applied.
Comparisons (Marketing display): if groups have been selected, permutation t-tests can be
activated here.
Missing data tab:
data.
Use NIPALS: Activate this option to use the NIPALS algorithm to handle missing data (see the
description section for additional details).
Lohmöller: Activate this option to use the Lohmöller’s procedure to handle missing data:
pairwise deletion to compute sample means and standard deviation, and mean imputation to
compute the scores. If PLS regression is used instead of OLS regression, then model is applied
on the available data.
Use the ipsative mean: Activate this option to use the mean of the latent variables to
estimate missing data in the manifest variables.
Renormalize: Activate this option to renormalize external weights for each observation
when missing data have been found.
Note: In the case of standardized weights, the two options above lead to pairwise deletion to
compute sample means and standard deviation, and mean imputation to compute the scores.
computations.
Multigroup tests tab (expert display):
If groups have been selected, this tab appears.
Multigroup t test: Activate this option to test equality between path coefficients from one group
to another with a t test (the number of bootstrap sample is defined in the option tab).

Significance level (%): Enter the significance level for the t tests.
Permutation tests: Activate this option to test equality of parameters between two groups with
a permutation test.
Number of permutations: Enter the number of permutations.
Significance level (%): Enter the significance level for the t tests.
Path coefficients: Activate this option to test the equality of the path coefficients.
Standardized loadings: Activate this option to test the equality of the standardized
loadings.
Model quality: Activate this option to test the equality of the quality indexes (communalities,
redundancies, and GoF).
REBUS tab (expert display):
If the REBUS option is activated, this tab appears.
Truncation: Activate this option is you want XLSTAT to automatically define the truncation
classes to create, or the level at which the dendrogram shall be truncated.
Stop conditions:
Iterations: Enter the maximum number of iterations for the REBUS algorithm. The
Default value: 100.
Threshold (%): Enter the percentage of stable units necessary to stop the algorithm.
Default value: 95.
Dendrogram:
dendrogram.
Outputs tab:
variables.

Model: Activate this option to display the model specifications.
Correlations (classic and expert designs only): Activate this option to display the correlation
matrix.
Test significance: Activate this option to test the significance of the correlations.
Outliers’ analysis (expert design only): Activate this option to display the DmodX and DModY
table when PLS regression is selected.
MV after deflation (expert design only): Activate this option to display the manifest variables
after deflation when more than one dimension has been selected.
variables.
Inner model: Activate this option to display the results that correspond to the inner model.
Outer model: Activate this option to display the results that correspond to the outer model.
R² and communalities: Activate this option to display the R2 of the latent variables from the
structural model and the communalities of the manifest variables.
Model quality: Activate this option to display the results of the blindfolding procedure.
Latent variable scores (classic and expert designs only):
Standardized: Activate this option to compute and display standardized factor scores.
Using normalized weights: Activate this option to display factor scores computed with
normalized weights.
Standardized > 0-100: Activate this option to compute standardized scores, and then
transform and display the latter on a 0-100 scale.
Using normalized weights > 0-100: Activate this option to compute factor scores using
normalized weights, and then transform and display the factor scores on a 0-100 scale.
Simulation table (Marketing display): activate this option to display simulation tables that let
you visualize the effects of the modification of a manifest or a latent variable on a target latent
variable.
LV to explain: select the target latent variable to explain. You should select an
endogeneous latent variable.
Scale of changes: select the scale of changes (percent or number of points). Once this
option is configured, you will be able to enter the minimum, the maximum as well as the

change step to obtain the range of values to test.
IPMA (Marketing display): Activate this option if you wish to display the tables based on IPMA
(Importance Perform Analysis).
Charts tab:
Coefficients plot: activate this option to display normalized coefficients of the internal model.
IPMA chart: activate this option to display the IPMA charts.
Simulation plot (Manifest variables) (Marketing display): activate this option to display
simulation plots to investigate the effects of modifying manifest variables on the score of the
target latent variable.
Simulation plot (Latent variables) (Marketing display): activate this option to display
simulation plots to investigate the effects of modifying latent variables on the score of the target
latent variable.

Results options
Many results can be displayed on the PLSPMGraph sheet, once the model has been fitted. It is
recommended to select only a few items in order to keep the results easy to read. To display the
options dialog box, click the results icon of the "Path modeling" toolbar.
Latent variables tab:
These options allow defining which results are displayed below the latent variables.
Mean: Activate this option to display the mean of the latent variable.
Mean (Bootstrap): Activate this option to display the mean of the latent variable
computed using a bootstrap procedure.
Confidence interval: Activate this option to display the confidence interval for the mean.
R²: Activate this option to display the R-square between the latent variable and its
manifest variables.
Adjusted R²: Activate this option to display the adjusted R-square between the latent
variable and its manifest variables.
R² (Boot/Jack): Activate this option to display the R-square between the latent variable
and its manifest variables, computed using a bootstrap or jackknife procedure.
R² (conf. int.): Activate this option to display the confidence interval on the R-square
between the latent variable and its manifest variables, computed using a bootstrap or
jackknife procedure.
Communality: Activate this option to display the communality between the latent variable
and its manifest variables.
Redundancy: Activate this option to display the redundancy between the latent variable
and its manifest variables.
Communality (Blindfolding): Activate this option to display the communality between

the latent variable and its manifest variables, computed using the blindfolding procedure.
Redundancy (Blindfolding): Activate this option to display the redundancy between the
latent variable and its manifest variables, computed using the blindfolding procedure.
D.G. rho: Activate this option to display the Dillon-Goldstein's rho coefficient.
Cronbach's alpha: Activate this option to display the Cronbach's alpha.
Std. deviation (Scores): Activate this option to display the standard deviation of the
estimated latent variables’ scores
XLSTAT-PLSPM 1426 Results options

Arrows (Latent variables) tab:
These options allow to define which results are displayed on the arrows that relate the latent
variables.
Correlation: Activate this option to display the correlation coefficient between the two
latent variables.
Contribution: Activate this option to display the contribution of the latent variables to the
R2.
Path coefficient: Activate this option to display the regression coefficient that
corresponds to the regression of the latent variable that is at the end of the arrow
(dependent) by the latent variable at the beginning of the arrow (predecessor or
explanatory).
Path coefficient (B/J): Activate this option to display the regression coefficient that
corresponds to the regression of the latent variable that is at the end of the arrow
(dependent) by the latent variable at the beginning of the arrow (predecessor or
explanatory), computed using a bootstrap or jackknife procedure.
Standard deviation: Activate this option to display the standard deviation of the path
coefficient.
Confidence interval: Activate this option to display the confidence interval for the path
coefficient.
Std. coeff.: Activate this option to display standardized coefficients.
Student’s t: Activate this option to display the value of the Student’s t.
Partial correlations: Activate this option to display partial correlations between latent
variables.
Pr > |t|: Activate this option to display the p-value that corresponds to the Student’s t.
Arrows thickness depends on: The thickness of the arrows can be related to:
The p-value of the Student’s t (the lower the value, the thicker the arrow).
The correlation (the higher the absolute value, the thicker the arrow; blue arrows
correspond to negative values, red arrows to positive values).
The contribution (the higher the value, the thicker the arrow).
Arrows (Manifest variables) tab:
These options allow to define which results are displayed on the arrows that relate the latent
variables.
Weight: Activate this option to display the weight.

Weight (Bootstrap): Activate this option to display the weight computed using a
bootstrap procedure.
Normalized weight: Activate this option to display the normalized weight.
Standard deviation: Activate this option to display the standard deviation of the weight.
Confidence interval: Activate this option to display the confidence interval for the weight.
Correlation: Activate this option to display the correlation coefficient between the
manifest variable and the latent variable.
Correlation (Boot/Jack): Activate this option to display the correlation coefficient

between the manifest variable and the latent variable, computed using a bootstrap of
jackknife procedure.
Correlation (std. deviation): Activate this option to display the standard deviation of the
correlation coefficient between the manifest variable and the latent variable, computed
using a bootstrap of jackknife procedure.
Correlation (conf. interval): Activate this option to display the confidence interval of the
correlation coefficient between the manifest variable and the latent variable, computed
using a bootstrap of jackknife procedure.
Communalities: Activate this option to display the communality between the latent
variable and the manifest variables.
Redundancy: Activate this option to display the redundancy between the latent variable
and the manifest variables.
Communality (Blindfolding): Activate this option to display the communality between

the latent variable and its manifest variables, computed using the blindfolding procedure.
Redundancy (Blindfolding): Activate this option to display the redundancy between the
latent variable and its manifest variables, computed using the blindfolding procedure.
Arrows thickness depends on: The thickness of the arrows can be related to:
The correlation (the higher the absolute value, the thicker the arrow; blue arrows
correspond to negative values, red arrows to positive values).
Normalized weights.

Results
The first results are general results which computation is done prior to fitting the path modeling
model:
Summary statistics: This table displays for all the manifest variables, the number of
observations, the number of missing values, the number of non- missing values, the minimum,
the maximum, the mean and the standard deviation.
Model specification (measurement model): This table displays for each latent variable, the
number of manifest variables, the mode, the type (a latent variable which never appears as a
dependent variable is called exogenous), if its sign has been inverted, the number of computed
dimension and the list of all associated manifest variables.
Model specification (structural model): This square matrix shows on its lower triangular part if
there is an arrow that goes from the column variable to the row variable.
Composite reliability: This table allows to check the dimensionality of the blocks. For each
latent variable, a PCA is run on the covariance or correlation matrix of the manifest variables in
order to determine the dimensionality. The Cronbach’s alpha, the Dillon-Goldstein’s rho, the
critical eigenvalue (that can be compared to the eigenvalues obtained from the PCA) and the
condition number are displayed to facilitate the determining of the dimensionality.
Variables/Factors correlations (Latent variable X / Dimension Y): These tables display for
each latent variable the correlations between the manifest variables and the factors extracted
from the PCA. When a block is not unidimensional, these correlations allow to identify how the
corresponding manifest variables can be split into unidimensional blocks.
The results that follow are obtained once the path modeling model has been fitted:
Goodness of fit index (Dimension Y): This table displays the goodness of fit index (GoF)
computed using bootstrap or not and its confidence interval for
Absolute: Value of the GoF index.
Relative: Value of the relative GoF index obtained by dividing the absolute value by its
maximum value achievable for the analyzed dataset.
Outer model: Component of the GoF index based on the communalities (performance of
the measurement model).
Inner model: Component of the GoF index based on the R2 of the endogenous latent
variables (performance of the structural model).
Cross-loadings (Monofactorial manifest variables / Dimension Y): This table allows to

check whether a given manifest variable is really monofactorial, i.e. mostly related to its latent
XLSTAT-PLSPM 1429 Results

variable or if it is also related to other variables. Ideally, if the model has been well specified, it
should appear as being mostly related to its latent variable.
Outer model (Dimension Y):
Weights (Dimension Y): Coefficients of each manifest variable in the linear combination
used to estimate the latent variable scores.
Standardized loadings (Dimension Y): Correlations (standardized loadings) between

each manifest variable and the corresponding latent variable. Loadings and location
parameters are also displayed.
Inner model (Dimension Y):
R² (Latent variable X / Dimension Y): Value of the R2 index for the endogenous
variables in the structural equations.
Path coefficients (Latent variable X / 1): Value of the regression coefficients in the
structural model estimated on the standardized factor scores. The size effect (f²) is also
displayed.
Impact and contribution of the variables to Latent variable X (Dimension Y): Value of
the path coefficients and the contributions (in percent) of the predecessor latent variables
to the R2 index of the endogenous latent variables.
Bootstrap: Values of the standardized loadings and path coefficients for each generated
sample.
Model assessment (Dimension Y): This table summarizes important results associated to the
latent variables scores.
Correlations (Latent variables) / Dimension Y (Expert display): Correlation matrix obtained

on the latent variable scores.
Partial correlations (Latent variables) / Dimension Y (Expert display): Partial correlation

matrix obtained on the latent variable scores.
Direct effects (latent variable) / Dimension Y (Expert display): This table shows direct effect
between connected latent variables.
Indirect effect (latent variable) / Dimension Y (Expert display): This table shows the indirect
effects between not directly connected latent variables. If the resampled estimates option has
been selected, the standard deviations and the bounds of the confidence intervals are also
displayed.
Total effect (latent variable) / Dimension Y (Expert display): This table shows the total effect
between latent variables. Total effect = direct effect + indirect effect.
Discriminant validity (Squared correlations < AVE) (Dimension Y): This table allows to
check whether each latent variable is really representing a concept different from the other or if
some latent variables are actually representing the same concept. In this table, the R2 index for
any pair of latent variables shall be smaller than the mean communalities for both variables

which indicates that more variance is shared between each latent variable and its block of
manifest variables than with another latent variable representing a different block of manifest
variables.
IPMA (Importance Performance Matrix Analysis) tables and charts (Expert and Market
displays): for each endogeneous latent variable, those tables gather importance and
performance values of the latent variables. Importance is the total effect on the studied
endogeneous latent variable. Performance is the score of the latent variable scaled between 0
and 100. Those indices are represented on charts.
Simulation tables and plots (Marketing display): those results can be used to understand the
impact of the modification of a variable in the model on a target latent variable to explain.
The first table gathers the most important latent variables for the prediction of the target
latent variable to explain.
The second table displays the most important manifest variables for the prediction of the
target latent variable to explain.
The following table and chart allow to visualize the impact of modifying a manifest variable
on the target latent variable to explain.
The following table and chart allow to visualize the impact of modifying a manifest variable
on the score mean of the target latent variable to explain (the mean is displayed and not
the change).
The following table and chart allow to visualize the impact of modifying a latent variable on
the target latent variable to explain.
The following table and chart allow to visualize the impact of modifying a latent variable on
the score mean of the target latent variable to explain (the mean is displayed and not the
change).
Latent variable scores (Dimension Y):
Mean / Latent variable scores (Dimension Y): Mean values of the individual factor scores.
Summary statistics / Latent variable scores (Dimension Y): Descriptive statistics of the
latent variable scores computed from the measurement model.
Latent variable scores (Dimension Y): Individual latent variable scores estimated as a
linear combination of the corresponding manifest variables.
Summary statistics / Scores predicted using the structural model (Dimension Y) (expert
display): Descriptive statistics of the latent variable scores computed from the structural
model.
Scores predicted using the structural model (Dimension Y) (expert display): Latent
variable scores computed as the predicted values from the structural model equations.

Model assessment / Outer model (Blindfolding): Cross-validated values of the communalities
obtained by means of the blindfolding procedure.
Model assessment / Inner model (Blindfolding): Cross-validated values of the redundancies

obtained by means of the blindfolding procedure.
If groups are defined, some other outputs are available:
Worksheet PLSPM (Group): For each group, complete results are displayed in separated
worksheets.
Worksheet PLSPM (Multigroup t test): For each path coefficient, results of the t test are
summarized in a table. Each line represents a pair of groups.
Difference: Absolute value of the parameter’s difference between the groups.
t (Observed value): Observed value of the t statistic.
T (critical value): Critical value of the t statistic.
DF: Number of degrees of freedom.
p-value: p-value associated to the t test.
Alpha: Significance level
Significant: If yes, the difference between the parameters is significant. If not, the
difference is not significant.
Worksheet PLSPM (Permutation test): For each type of parameter, results of the permutation
test are summarized in a table.
Difference: Absolute value of the parameter’s difference between the groups.
p-value: p-value associated with the permutation test.
Alpha: Significance level.
Significant: If yes, the difference between the parameters is significant. If not, the
difference is not significant.
If the REBUS option is activated, some other outputs are available:
Worksheet REBUS : The dendogram obtained with the cluster analysis is displayed. For each
observation, the class and the CM index is also displayed.
Worksheet PLSPM (Class ): For each class, complete results are displayed in separated
worksheets.

Example
A tutorial on how to use the XLSTAT-PLSPM module with Excel 2007 is available on the
Addinsoft website:
http://www.xlstat.com/demo-plspm2007.htm
A tutorial on how to use the XLSTAT-PLSPM module with Excel 2003 is available on the
Addinsoft website:
http://www.xlstat.com/demo-plspm.htm
A tutorial on how to compare groups with XLSTAT-PLSPM is available on the Addinsoft website:
http://www.xlstat.com/demo-plspmgrp.htm
A tutorial on how to use the REBUS method with XLSTAT-PLSPM in available on the Addinsoft
Website:
http://www.xlstat.com/demo-plspmrebus.htm
XLSTAT-PLSPM 1433 Example

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Chin W.W. (1998). The Partial Least Squares approach for structural equation modeling. In:
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Chin W. and Dibbern J. (2010). An Introduction to a Permutation Based Procedure for Multi-
Group PLS Analysis: Results of Tests of Differences on Simulated Data and a Cross Cultural
Analysis of the Sourcing of Information System Services between Germany and the USA .
Handbook of Partial Least Squares, Springer, 171-195.
de Leeuw, J., Young, F. W., & Takane, Y. (1976). Additive structure in qualitative data: An
alternating least squares method with optimal scaling features. Psychometrika, 41, 471–503.
Escofier B. and Pagès J. (1994). Multiple Factor Analysis, (AFMULT Package). Computational
Statistics and Data Analysis, 18, 121-140.
Esposito Vinzi V., Chin W., Henseler J. and Wang H. (2010). Handbook of Partial Least
Squares: Concepts, Methods and Applications, Springer-Verlag.
Esposito Vinzi V., Trinchera L., Squillacciotti S. and Tenenhaus M. (2008). REBUS-PLS: A
response-based procedure for detecting unit segments in PLS path modelling. Appl. Stochastic
Models Bus. Ind., 24, 439–458.
Fornell C. and Cha J. (1994). Partial Least Squares. In: R.P. Bagozzi (Ed.), Advanced Methods
of Marketing Research, Basil Blackwell, Cambridge, Ma., 52-78.
Guinot C., Latreille J. and Tenenhaus M. (2001). PLS Path Modelling and Multiple Table
Analysis. Application to the cosmetic habits of women in Ile- de-France. Chemometrics and
Intelligent Laboratory Systems, 58, 247-259.
Horst P. (1961). Relations among M sets of variables. Psychometrika, 26, 126-149.
Horst P. (1965). Factor Analysis of data matrices. Holt, Rinehart and Winston, New York.
Hwang, H., and Takane, Y. (2004). Generalized structured component analysis.

Jöreskog K.G. (1970). A General Method for Analysis of Covariance Structure. Biometrika, 57,
239-251.
Jöreskog, K.G. and Wold, H. (1982). The ML and PLS Techniques for Modeling with Latent
Variables: Historical and Comparative Aspects. In: K.G. Jöreskog and H. Wold (Eds.), Systems
Under Indirect Observation, Part 1, North-Holland, Amsterdam, 263-270.
XLSTAT-PLSPM 1434 References

Lohmöller J.-B. (1989). Latent Variables Path Modeling with Partial Least Squares. Physica-
Verlag, Heildelberg.
Pagès J. and Tenenhaus, M. (2001). Multiple Factor Analysis combined with PLS Path
Modelling. Application to the analysis of relationships between physicochemical variables,
sensory profiles and hedonic judgements. Chemometrics and Intelligent Laboratory Systems,
58, 261-273.
Tenenhaus M. (1998). La Régression PLS. Éditions Technip, Paris.
Tenenhaus M. (1999). L’approche PLS. Revue de Statistique Appliquée, 47(2), 5-40.
Tenenhaus M., Esposito Vinzi V., Chatelin Y.-M. and Lauro C. (2005). PLS Path Modeling.
Computational Statistics & Data Analysis, 48(1), 159-205.
Tenenhaus M. and Hanafi M. (2007). A bridge between PLS path modeling and multi-block
data analysis. In: Esposito Vinzi V.et al. (Eds.), Handbook of Partial Least Squares: Concepts,
Methods and Applications, Springer-Verlag.
Tenenhaus M. and Tenenhaus A. (2011). Regularized Generalized Canonical Correlation

Analysis, Psychometrika, 76(2), 257-284.
Wold H. (1966). Estimation of Principal Components and Related Models by Iterative Least
Squares. In: P.R. Krishnaiah (Ed.), Multivariate Analysis, Academic Press, New York, 391-420.
Wold H. (1973). Non-linear Iterative PArtial Least Squares (NIPALS) modelling. Some current
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Wold H. (1979). Model construction and evaluation when theoretical knowledge is scarce: an
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^)
XLSTAT-PLSPM 1435 References

XLSTAT-LG
Latent class clustering
This tool is part of the XLSTAT-LG module. Use this tool to classify cases into meaningful
clusters (latent classes) that differ on one or more parameters from latent class (LC) Cluster
models. LC Cluster models classify based on combinations of continuous and/or categorical
(nominal or ordinal) variables.
In this section:
Description
Dialog box
Results
Example
References
Description
This the latent class clustering feature of XLSTAT is part of the XLSTAT-LG module, a powerful
clustering tool based on Latent GOLD® 5.0:
Latent class analysis (LCA) involves the construction of latent classes (LC) which are
unobserved (latent) subgroups or segments of cases. The latent classes are constructed based
on the observed (manifest) responses of the cases on a set of indicator variables. Cases within
the same latent class are homogeneous with respect to their responses on these indicators,
while cases in different latent classes differ in their response patterns. Formally, latent classes
are represented by K distinct categories of a nominal latent variable X . Since the latent
variable is categorical, LC modeling differs from more traditional latent variable approaches
such as factor analysis, structural equation models, and random-effects regression models
since these approaches are based on continuous latent variables.
XLSTAT-LG contains separate modules for estimating two different model structures - LC
Cluster models and LC Regression models - which are useful in somewhat different application
areas. To better distinguish the output across modules, latent classes are labeled 'clusters' for
LC Cluster models and 'classes' for LC Regression models. In this manual we also refer to
latent classes using the term 'segments'.
The LC Cluster Model:
XLSTAT-LG 1436 Latent class clustering

Includes a nominal latent variable X with K categories, each category representing a
cluster.
Each cluster contains a homogeneous group of persons (cases) who share common
interests, values, characteristics, and/or behavior (i.e., share common model parameters).
These interest, values, characteristics, and/or behavior constitute the observed variables
(indicators) Y upon which the latent clusters are derived.
Advantages over more traditional ad-hoc types of cluster analysis methods include model
selection criteria and probability-based classification. Posterior membership probabilities are
estimated directly from the model parameters and used to assign cases to the modal class - the
class for which the posterior probability is highest.
A special feature of LC cluster models is the ability to obtain an equation for calculating these
posterior membership probabilities directly from the observed variables (indicators). This
equation can be used to score new cases based on a LC cluster model estimated previously.
That is, the equation can be used to classify new cases into their most likely latent class as a
function of the observed variables. This feature is unique to LC models – it is not available with
any other clustering technique.
The scoring equation is obtained as a special case of the more general Step3 methodology for
LC cluster models (Vermunt, 2010). In Step1, model parameter estimates are obtained. In
Step2, cases are assigned to classes based on their posterior membership probabilities. In
Step3, the latent classes are used as predictors or dependent variables in further analyses. For
further details, see Section 2.3 (Step3 Scoring) in Vermunt and Magidson (2013b).
Copyright ©2014 Statistical Innovations Inc. All rights reserved.
Dialog box

observations.
General tab:
Observations/variables table:
Continuous: Select the continuous variable(s). The data must be continuous. If the ‘Column
labels’ option is activated make sure that the headers of the variable(s) have also been
selected.
Nominal: Select the nominal variable(s). The data must be nominal. If the ‘Column labels’
option is activated make sure that the headers of the variable(s) have also been selected.
Ordinal: Select the ordinal variable(s). The data must be numeric. If the ‘Column labels’ option
is activated make sure that the headers of the variable(s) have also been selected.
Direct effects: Activate this option if you want to specify a direct effect to be included in the
model. After specifying your model and clicking "OK" from the dialog box, an interactions box
will pop up. All pairs of variables eligible for a direct effect parameter appear. To include a direct
effect, click in the check-box and a check appears. Direct effect parameters will be estimated for
the pairs of variables that have been so selected (direct effect check-box equals on). The
inclusion of direct effects is one way to relax the assumption of local dependence.
Column labels: Activate this option if the first row of the data selections (dependent and
Observation labels: Activate this option if labels are available for the N observations. Then
select the corresponding data. If the ‘Column labels’ option is activated you need to include a
header in the selection.
With repeated measures data (multiple records per case) the Observation labels variable serves
as a case ID variable, which groups the records from each case together so that they are
assigned to the same fold during cross-validation. If this option is not activated, labels for the
observations are automatically generated by XLSTAT (Obs1, Obs2 …), so that each case
contains a single record.

Case weights: Activate this option if you want to weight the observations. If you do not activate
this option, all weights are set to 1. The weights must be non-negative values. Setting a case
weight to 2 is equivalent to repeating the same observation twice. If the ‘Variable labels’ option
is activated, make sure that the header (first row) has also been selected.
Number of clusters:
from: Enter a number between 1-25.
to: Enter a number between 1-25.
Note: To specify a fixed number of clusters K : use from K to K . For example, to estimate a 2
class model: from 2 to 2.
Use separate sheets: Activate this option if you want the program to produce separate sheets
for each cluster model estimated. A separate sheet with summary statistics for all models
estimated will also be produced.
Options tab:
Parameter estimation occurs using an iterative algorithm which begins using the Expectation-
Maximization (EM) algorithm until either the maximum number of EM iterations (Iterations EM)
or the EM convergence criterion (Tolerance(EM)) is reached. Then, the program switches to
perform Newton Raphson (NR) iterations which continue until the maximum number of NR
iterations (Iterations Newton-Raphson) or the overall converge criterion (Tolerance) is reached.
The program also stops iterating when the change in the log-posterior is negligible (smaller than
10−12 ). A warning is given if one of the elements of the gradient is larger than 10−3 :
Sometimes, for example in the case of models with many parameters, it is more efficient to use
only the EM algorithm. This is accomplished by setting Iterations Newton-Raphson to 0. With
very large models, one may also consider suppressing the computation of standard errors (and
associated Wald statistics) in the Output tab.
Convergence:
Tolerance(EM): Expectation-Maximization (EM) Tolerance is the sum of absolute relative

changes of parameter values in a single iteration as long as the EM algorithm is used. It
determines when the program switches from EM to Newton-Raphson (if the NR iteration limit
has been set to > 0). Increasing the EM Tolerance will switch faster from EM to NR. To change
this option, click the value to highlight it, then type in a new value. You may enter any non-
negative real number. The default is 0.01. Values between 0.01 and 0.1 (1% and 10%) are
reasonable.
Tolerance: Overall Tolerance (Tolerance) is the sum of absolute relative changes of parameter
values in a single iteration. It determines when the program stops its iteration. The default is
1.0x10−8 which specifies a tight convergence criterion. To change this option, click the value to
highlight it, then type in a new value. You may enter any non-negative real number.

Note: when only EM iterations are used, the effective tolerance is the maximum of
Tolerance(EM) and Overall Tolerance.
Iterations:
EM: Maximum number of EM iterations. The default is 250. If the model does not converge after
250 iterations, this value should be increased. You also may want to increase this value if you
set Newton-Raphson iterations = 0. To change this option, click the value to highlight it, then
type in a new value. You may enter any non-negative integer.
Newton-Raphson: Maximum number of NR iterations. The default is 50. If the model does not
converge after 50 iterations, this value should be increased. To change this option, click the
value to highlight it, then type in a new value. You may enter any non-negative integer. A value
of 0 is entered to direct XLSTAT-LG to use only EM, which may produce faster convergence in
models with many parameters or in models that contain continuous indicators.
Start v alues:
The best way to prevent ending up with a local solution is the use of multiple sets of starting
values since different sets of starting values may yield solutions with different log-posterior
values. The use of such multiple sets of random starting values is automated. This procedure
increases considerably the probability of finding the global solution, but in general does not
guarantee that it will be found in a single run. To reduce the likelihood of obtaining a local
solution, the following options can be used to either increasing the number of start sets, the
number of iterations per set, or both.
Random s ets: The default is 16 for the number of random sets of starting values to be used to
start the iterative estimation algorithm. Increasing the number of sets of random starting values
for the model parameters reduces the likelihood of converging to a local (rather than global)
solution. To change this option, click the value to highlight it, then type in a new value. You may
enter any non-negative integer. Using either the value 0 or 1 results in the use of a single set of
starting values.
Iterations: This option allows specification of the number of iterations to be performed per set of
start values. XLSTAT-LG first performs this number of iterations within each set and
subsequently twice this number within the best 10% of the start sets. For some models, many
more than 50 iterations per set may need to be performed to avoid local solutions.
Seed (random numbers): The default value of 123456789 means that the Seed is obtained
during estimation using a pseudo random number generator based on clock time. Specifying a
non-negative integer different from 0, yields the same result each time.
To specify a particular numeric seed (such as the Best Start Seed reported in the Model
Summary Output for a previously estimated model), click the value to highlight it, then type in a
non-negative integer. When using the Best Start Seed, be sure to deactivate the Random Sets
option (using Random Sets = 0).
Tolerance: Indicates the convergence criterion to be used when running the model of interest
with the various start sets. The definition of this tolerance is the same as the one that is used for

the EM and Newton-Raphson Iterations.
Bayes Constants:
The Bayes options can be used to eliminate the possibility of obtaining boundary solutions. You
may enter any non-negative real value. Separate Bayes constants can be specified for three
different situations:
Latent: The default is 1. Increase the value to increase the weight allocated to the Dirichlet prior
which is used to prevent the occurrence of boundary zeroes in estimating the latent distribution.
The number can be interpreted as a total number of added cases that is equally distributed
among the classes (and the covariate patterns). To change this option, click the value to
highlight it, then type in a new value.
Categorical: The default is 1. Increase the value to increase the weight allocated to the Dirichlet
prior which is used in estimating multinomial models with variables specified as Ordinal or
Nominal. This number can be interpreted as a total number of added cases to the cells in the
models for the indicators to prevent the occurrence of boundary solutions. To change this
option, click the value to highlight it, then type in a new value.
Error v ariance: The default is 1. Increase the value to increase the weight allocated to the
inverse-Wishart prior which is used in estimating the error variance-covariance matrix in models
for continuous dependent variables or indicators. The number can be interpreted as the number
of pseudo-cases added to the data, each pseudo-case having a squared error equal to the total
variance of the indicator concerned. Such a prior prevents variances of zero from occurring. To
change this option, click the value to highlight it, then type in a new value.
For technical details, see section 7.3 of Vermunt and Magidson (2013a).
Cluster Independent:
Error (Co)variances: This option indicates that the error covariances are restricted to be equal
across classes (class independent). Note that this option only applies to pairs of continuous
indicators for which direct effects have been included in the model (see the Direct Effects option
in the General tab).
Missing data tab:
Outputs tab:
selected.

Statistics: Activate this option to display the following statistics about the model(s).
Chi-squared: Activate this option to display various chi-square based statistics related to model
fit.
Log-likelihood: Activate this option to display log-likelihood statistics.
Classification: Activate this option to display the Classification Table, which cross-tabulates
modal and probabilistic class assignment.
Profile: Activate this option to display the probabilities or means associated with each Indicator.
The first row of numbers shows how large each cluster is.
The body of the table contains (marginal) conditional probabilities that show how the
clusters are related to the Nominal or Ordinal variables. These probabilities sum to 1
within each cluster (column).
For indicators specified as Continuous, the body of the table contains means (rates)
instead of probabilities. For indicators specified as Ordinal, means are displayed in
addition to the conditional probabilities.
Standard Errors: Activate this option to display the standard errors (and associated Wald
statistics). The standard (Hessian) computation method makes use of the second-order
derivatives of the log-likelihood function called the Hessian matrix.
Bivariate Residuals: Activate this option to display the bivariate residuals for the model
Frequencies / Residuals: Activate this option to display the observed and expected
frequencies along with the standardized residuals for a model. This output is not available if at
least one indicators is continuous. This output is not reported in the case 1 or more continuous
indicators.
Iteration Details: Activate this option to display technical information associated with the
performance of the estimation algorithm, such as log- posterior and log-likelihood values at
convergence:
EM algorithm,
Newton-Raphson algorithm.
When applicable, this file also contains warning messages concerning non- convergence,
unidentified parameters and boundary solutions.
Scoring Equation: Activate this option to display the scoring equation, consisting of regression
coefficients associated with the multinomial logit model. The resulting scores are predicted logits

associated with each latent class t. For example, for responses Y1 = j, Y2 = k, Y3 =
m, Y4 = s to 4 nominal indicators, the logit associated with cluster t is:
Logit(t) = a[t] + b1 [j, t] + b2 [k, t] + b3 [m, t] + b4 [s, t]

Thus, to obtain the posterior membership probabilities for latent class t0 given this response
pattern, use the following formula:
⎛ Logit[t0 ] ⎞
P rob(classe[t = t0 ]∣Y1 = j, Y2 = k, Y3 = m, Y4 = s) = exp )
⎝ ∑ exp(Logit[t] ⎠
t
exp(a[t0 ] + b1 [j, t0 ] + b2 [k, t0 ] + b3 [m
=
∑ exp(a[t] + b1 [j, t] + b2 [k, t] + b3 [m
t
For further details, see the tutorial "Using XLSTAT-LG to estimate latent class cluster models".
Classification: Activate this option to display a table containing the posterior membership
probability and the modal assignment for each of the cases based on the current model.
Charts tab:
Profile p lot: The profile plot is constructed from the conditional probabilities for the nominal
variables and means for the other indicators as displayed in the columns of the Profile table.
The quantities associated with the selected clusters are plotted and connected. For the scale
types ordinal, continuous, count, and numeric covariate, prior to plotting the class-specific
means, they are re-scaled to always lie within the 0-1 range. Scaling of these "0-1 Means" is
accomplished by subtracting the lowest observed value from the class-specific means and
dividing the results by the range, which is simply the difference between the highest and the
lowest observed value. The advantage of such scaling is that these numbers can be depicted
on the same scale as the class-specific probabilities for nominal variables. For nominal
variables containing more than 2 categories, all categories are displayed simultaneously. For
dichotomous variables specified as nominal, by default only the last category is displayed.
Results
Summary Sheet
Summary (descriptive) statistics: For the dependent variables and the quantitative
and the unbiased standard deviation. For the nominal explanatory variables, the number and
frequency of cases belonging to each level are displayed.
Summary Statistics:
Model Name: The models are named after the number of classes the model contains.

LL: The likelihood-ratio goodness-of-fit value for the current model.
BIC(LL), AIC(LL), AIC3(LL): BIC, AIC and AIC3 (based on LL). In addition to model fit,
these statistics take into account the parsimony (df or Npar) of the model. When
comparing models, the lower the BIC, AIC and AIC3 value the better the model.
Npar: Number of parameters.
L²: Likelihood ratio χ2 . Not available if the model contains 1 or more continuous
indicators.
df: Degrees of freedom for L2 .
p-value: Model fit p-value for L2 .
Class.Err.: Expected classification error. The expected proportion of cases misclassified

when classification of cases is based on modal assignment (i.e., assigned to the class
having the highest membership probability). The closer this value is to 0 the better.
Model Output Sheet
Model Summary Statistics:
Model:
Number of cases: This is the number of cases used in model estimation. This number
may be less than the original number of cases on the data file if missing cases have been
excluded.
Number of replications: Total number of observations
Number of parameters (Npar): This is the number of distinct parameters estimated.
Seed (random numbers): The seed required to reproduce this model.
Best seed: The single best seed that can reproduce this model more quickly using the
number of starting sets =0.
Estimation summary:
EM iterations: number of EM iterations used.
Log-posterior: Log-posterior value.
L²: The likelihood-ratio goodness-of-fit value for the current model.
Final convergence value: Final convergence value.
Newton-Raphson iteration: Number of Newton-Raphson iterations used.

Chi-Square statistics:
Degrees of freedom (df): The degrees of freedom for the current model.
L²: The likelihood-ratio goodness-of-fit value for the current model. If the bootstrap p-value
for the L2 statistic has been requested, the results will be displayed here.
X² and Cressie-Read: These are alternatives to L2 that should yield a similar p-value
according to large sample theory if the model specified is valid and the data is not sparse.
BIC, AIC, AIC3 and CAIC (based on L²): In addition to model fit, these statistics take into
account the parsimony (df or Npar) of the model. When comparing models, the lower the
BIC, AIC, AIC3 and CAIC value the better the model.
SABIC (based on L²): Sample size adjusted BIC, an information criterion similar to BIC
(N +2)
but with log(N ) replaced by log( 24 ).
Dissimilarity Index: A descriptive measure indicating how much the observed and
estimated cell frequencies differ from one another. It indicates the proportion of the
sample that needs to be movedto another cell to get a perfect fit.
Log-likelihood statistics:
Log-likelihood (LL): LN(Likelihood) displayed here.
Log-prior: this is the term in the function maximized in the parameter estimation that is
associated with the Bayes constants. This term equals 0 if all Bayes constants are set to
0.
Log-posterior: this is the term in the function that is maximized in the parameter
estimation. The value of the log-posterior function is obtained as the sum of the log-
likelihood and log-prior values.
BIC, AIC, AIC3 and CAIC (based on LL): these statistics (information criteria) weight fit
and parsimony by adjusting the LL to account for the number of parameters in the model.
The lower the value, the better the model.
SABIC (based on LL): Sample size adjusted BIC, an information criterion similar to BIC
(N +2)
Classification statistics:

Classification errors: When classification of cases is based on modal assignment (to the
class having the highest membership probability), the proportion of cases that are
estimated to be misclassified is reported by this statistic. The closer this value is to 0 the
better.
Reduction of errors (Lambda), Entropy R², Standard R²: These pseudo R2 statistics
indicate how well one can predict class memberships based on the observed variables
(indicators and covariates). The closer these values are to 1 the better the predictions.
Classification Log-likelihood: Log-likelihood value under the assumption that the true
class membership is known.
EN: Entropy.
CLC: CL*2
AWE: Similar to BIC, but also takes classification performance into account.
ICL-BIC: BIC-2*En
Classification table:
Modal table: Cross-tabulates modal class assignments.
Proportional table: Cross-tabulates probabilistic class assignments.
Profile:
Cluster Size: Size of each cluster
Indicators: The body of the table contains (marginal) conditional probabilities that show
how the clusters are related to the Nominal or Ordinal indicator variables. These
probabilities sum to 1. For indicators specified as Continuous, the body of the table
contains means instead of probabilities. For indicators specified as Ordinal, means are
displayed in addition to the conditional probabilities within each cluster (column).
s.e. (standard errors): standard errors for the (marginal) conditional probabilities.
Profile plot: The probabilities and means that appear in the Profile Output, are displayed
graphically in the Profile Plot
Frequencies / Residuals:
Table of observed vs. estimated expected frequencies (and residuals). Note: Residuals having
magnitude greater than 2 are statistically significant. This output is not reported in the case of 1
or more continuous indicators.

Bivariate residuals:
Indicators: a table containing the bivariate residuals (BVRs) for a model. Large BVRs
suggest violation of the local independence assumption.
Scoring equation: regression coefficients associated with the multinomial logit model.
Classification: Outputs for each observation the posterior class memberships and the modal
assignment based on the current model.
Estimation Warnings
WARNING: negative number of degrees of freedom.
This warning indicates that the model contains more parameters than cell counts. A necessary
(but not sufficient) condition for identification of the parameters of a latent class model is that the
number of degrees of freedom is nonnegative. This warning thus indicates that the model is not
identified. The remedy is to use a model with fewer latent classes.
WARNING: # boundary or non-identified parameter(s)
This warning is derived from the rank of the information matrix (Hessian or its outer-product
approximation). When there are non-identified parameters, the information matrix will not be full
rank. The number reported is the rank deficiency, which gives an indication of the number of
non-identified parameters.
Note that there are two problems associated with this identification check. The first is that
boundary estimates also yield rank deficiencies. In other words, when there is a rank deficiency,
we do not know whether it is caused by boundaries or non-identified parameters. The XLSTAT-
LG Bayes Constants prevent boundaries from occurring, which solves the first problem related
to this message. However, a second problem is that this identification check cannot always
detect non-identification when Bayes Constants are used; that is, Bayes Constants can make
an otherwise non-identified model appear to be identified.
WARNING: maximum number of iterations reached without convergence
This warning is provided if the maximum specified EM and Newton-Raphson iterations are
reached without meeting the tolerance criterion. If the (by default very strict) tolerance is almost
reached, the solution is probably be ok. Otherwise, the remedy is to reestimate the model with a
sharper EM tolerance and/or more EM iterations, which makes sure that the switch from EM to
Newton-Raphson occurs later. The default number of 50 Newton-Raphson iterations will
generally be more than sufficient.
Example
A tutorial on how to use latent class clustering is available on the Addinsoft website:

http://www.xlstat.com/demo-lcc.htm
References
Vermunt J.K. (2010). Latent class modeling with covariates: Two improved three-step
approaches. Political Analysis, 18, 450-469. Link:
http://members.home.nl/jeroenvermunt/lca_three_step.pdf
Vermunt J.K. and Magidson, J. (2005). Latent GOLD 4.0 User's Guide. Belmont, MA:
Statistical Innovations Inc.
http://www.statisticalinnovations.com/technicalsupport/LGusersguide.pdf
Vermunt J.K. and Magidson, J. (2013a). Technical Guide for Latent GOLD 5.0: Basic,
Advanced, and Syntax. Belmont, MA: Statistical Innovations Inc.
http://www.statisticalinnovations.com/technicalsupport/LGtechnical.pdf
Vermunt J.K. and Magidson J. (2013b). Latent GOLD 5.0 Upgrade Manual. Belmont, MA:
http://statisticalinnovations.com/technicalsupport/LG5manual.pdf

Latent class regression
This tool is part of the XLSTAT-LG module. Use this tool to classify cases into meaningful
clusters (latent classes) that differ on one or more parameters from latent class (LC) Cluster
models. LC Cluster models classify based on combinations of continuous and/or categorical
(nominal or ordinal) variables.
In this section:
Description
Dialog box
Results
Example
References
Description
The latent class regression feature of XLSTAT is part of the XLSTAT-LG module, a powerful
clustering tool based on Latent GOLD® 5.0:
Latent class analysis (LCA) involves the construction of latent classes (LC) which are
unobserved (latent) subgroups or segments of cases. The latent classes are constructed based
on the observed (manifest) responses of the cases on a set of indicator variables. Cases within
the same latent class are homogeneous with respect to their responses on these indicators,
while cases in different latent classes differ in their response patterns. Formally, latent classes
are represented by K distinct categories of a nominal latent variable X . Since the latent
variable is categorical, LC modeling differs from more traditional latent variable approaches
such as factor analysis, structural equation models, and random-effects regression models
since these approaches are based on continuous latent variables.
XLSTAT-LG contains separate modules for estimating two different model structures - LC
Cluster models and LC Regression models - which are useful in somewhat different application
areas. To better distinguish the output across modules, latent classes are labeled 'clusters' for
LC Cluster models and 'classes' for LC Regression models. In this manual we also refer to
latent classes using the term 'segments'.
The LC Regression Model:
Is used to predict a dependent variable as a function of predictor variables (Regression

model).
Includes a K -category latent variable X to cluster cases (LC model)
XLSTAT-LG 1449 Latent class regression

Each category represents a homogeneous subpopulation (segment) having identical
regression coefficients (LC Regression Model).
Each case may contain multiple records (Regression with repeated measurements).
The appropriate model is estimated according to the scale type of the dependent variable:
Continuous - Linear regression model (with normally distributed residuals)
Nominal (with more than 2 levels) - Multinomial logistic regression
Ordinal (with more than 2 ordered levels) - Adjacent-category ordinal logistic regression
model
Count: Log-linear Poisson regression
Binomial Count: Binomial logistic regression model
Note that a dichotomous dependent variable can be analyzed using either nominal, ordinal, or a
binomial count as its scale type without any difference in the model results.
For either of the two model structures:
Diagnostic statistics are available to help determine the number of latent classes, clusters,
or segments
For models containing K > 1 classes, covariates can be included in the model to
improve classification of each case into the most likely segment.
Copyright ©2014 Statistical Innovations Inc. All rights reserved.
Dialog box

observations.
General tab :
Y / Dependent variables : Select the dependent variable here. If the ‘Column labels’ option is
activated make sure that the headers of the variable(s) have also been selected.
Note: In case multiple dependent variables are selected, multiple independent regression
analysis are performed. Separate output for each dependent variable will be provided and only
a single scale type can be selected for all the dependent variables.
Response type: Select the scale type of the dependent variable. The dependent variable may
be Nominal, Ordinal, Continuous, Binomial, or Count.
Nominal. This setting should be used for categorical variables where the categories have
no natural ordering. If the dependent variable is set to Nominal, the multinomial logit
model is used.
Ordinal. This setting should be used for categorical variables where the categories are
ordered (either from high to low or low to high). The adjacent category logit model, also
known as the baseline category logit model is specified.
Continuous. This setting should be used when the variable is continuous. If the
dependent variable is set to Continuous, the normal linear Regression model is used.
Binomial. This setting should be used when the variable represents binomial counts. If
the dependent variable is set to Binomial Count, the binomial model is used and you can
also specify a variable to be used as an exposure (see Exposure). During the scan, the
program checks to make sure that the exposure, if specified, is larger than any observed
count.
Counts. This setting should be used when the variable represents Poisson counts. If the
dependent variable is set to Count, the Poisson model is used and you can also specify
an additional variable to be used as an exposure (see Exposure).
Exposure. The Exposure field is active only if the scale type for the dependent variable has
been specified to be Binomial or Count. (For other scale types, no exposure variable is used.)
For dependent variables specified as Binomial or Count, the exposure is specified by

designating a variable as the exposure variable or, if no such variable is designated, by entering
a value in the exposure constant box which appears to the right of the Exposure variable box.
The use of an exposure variable allows the exposure to vary over cases.

By default, the value in the Exposure constant box is 1, a value often used to represent the
Poisson exposure. To change the exposure constant, highlight the value in the exposure
constant box and type in the desired value. Alternatively, you can select an exposure variable
When the scale type is specified as Binomial, the value of the dependent variable represents
the number of 'successes' in N trials. In this case, the exposure represents the number of trials
(the values for N ), and hence should never take on a value lower than the value of the
dependent variable and hence typically should be higher than the default constant of 1. Before
the actual model estimation, XLSTAT-LG checks each case and will provide a warning message
if this condition is not met for one or more cases. An exposure variable should be designated if
the number of trials is not the same for all cases.
Explanatory variables. Select any variable(s) to be used as predictors of the dependent

variable. Predictors may be treated as Nominal or Numeric. If no predictors are selected, the
model will contain an intercept only.
Numeric. This setting should be used for an ordinal or continuous covariate or predictor.
Nominal. This setting should be used for categorical variables where the categories have
no natural ordering.
Column labels: Activate this option if the first row of the data selections (dependent and
Observation labels: Activate this option if labels are available for the N observations. Then
select the corresponding data. If the ‘Column labels’ option is activated you need to include a
header in the selection.
With repeated measures data (multiple records per case) the Observation labels variable serves
as a case ID variable, which groups the records from each case together so that they are
assigned to the same fold during cross-validation. If this option is not activated, labels for the
observations are automatically generated by XLSTAT (Obs1, Obs2 …), so that each case
contains a single record.
Replication weights: Activate this option to assign a Replication Weight. A common application
of replication weights is in the estimation of certain kinds of allocation models, where
respondents assign a fixed number of points to each of J alternatives. For each case, the
assigned points are used as replication weights to weight each of J responses. A weighted
multinomial logit model is estimated.

Case weights: Activate this option if you want to weight the observations. If you do not activate
this option, all weights are set to 1. The weights must be non-negative values. Setting a case
weight to 2 is equivalent to repeating the same observation twice. If the ‘Variable labels’ option
is activated, make sure that the header (first row) has also been selected.
Number of clusters:
from: Enter a number between 1-25.
to: Enter a number between 1-25.
Note: To specify a fixed number of clusters K : use from K to K . For example, to estimate a 2
class model: from 2 to 2.
Use separate sheets: Activate this option if you want the program to produce separate sheets
for each cluster model estimated. A separate sheet with summary statistics for all models
estimated will also be produced.
Options tab:
Parameter estimation occurs using an iterative algorithm which begins using the Expectation-
Maximization (EM) algorithm until either the maximum number of EM iterations (Iterations EM )
or the EM convergence criterion (Tolerance(EM) ) is reached. Then, the program switches to
perform Newton Raphson (NR) iterations which continue until the maximum number of NR
iterations (Iterations Newton-Raphson ) or the overall converge criterion (Tolerance ) is
reached. The program also stops iterating when the change in the log-posterior is negligible
(smaller than 10−12 ). A warning is given if one of the elements of the gradient is larger than
10−3 :
Sometimes, for example in the case of models with many parameters, it is more efficient to use
only the EM algorithm. This is accomplished by setting Iterations Newton-Raphson to 0. With
very large models, one may also consider suppressing the computation of standard errors (and
associated Wald statistics).
Convergence:
Tolerance(EM): Expectation-Maximization (EM) Tolerance is the sum of absolute relative

changes of parameter values in a single iteration as long as the EM algorithm is used. It
determines when the program switches from EM to Newton-Raphson (if the NR iteration limit
has been set to > 0). Increasing the EM Tolerance will switch faster from EM to NR. To change
this option, click the value to highlight it, then type in a new value. You may enter any non-
negative real number. The default is 0.01. Values between 0.01 and 0.1 (1% and 10%) are
reasonable.
Tolerance: Overall Tolerance (Tolerance) is the sum of absolute relative changes of parameter
values in a single iteration. It determines when the program stops its iteration. The default is
1.0x10−8 which specifies a tight convergence criterion. To change this option, click the value to
highlight it, then type in a new value. You may enter any non-negative real number.

Iterations:
EM: Maximum number of EM iterations. The default is 250. If the model does not converge after
250 iterations, this value should be increased. You also may want to increase this value if you
set Newton-Raphson iterations = 0. To change this option, click the value to highlight it, then
type in a new value. You may enter any non-negative integer.
Newton-Raphson: Maximum number of NR iterations. The default is 50. If the model does not
converge after 50 iterations, this value should be increased. To change this option, click the
value to highlight it, then type in a new value. You may enter any non-negative integer. A value
of 0 is entered to direct XLSTAT-LG to use only EM, which may produce faster convergence in
models with many parameters or in models that contain continuous indicators.
Start values:
The best way to prevent ending up with a local solution is the use of multiple sets of starting
values since different sets of starting values may yield solutions with different log-posterior
values. The use of such multiple sets of random starting values is automated. This procedure
increases considerably the probability of finding the global solution, but in general does not
guarantee that it will be found in a single run. To reduce the likelihood of obtaining a local
solution, the following options can be used to either increasing the number of start sets, the
number of iterations per set, or both.
Random sets: The default is 16 for the number of random sets of starting values to be used to
start the iterative estimation algorithm. Increasing the number of sets of random starting values
for the model parameters reduces the likelihood of converging to a local (rather than global)
solution. To change this option, click the value to highlight it, then type in a new value. You may
enter any non-negative integer. Using either the value 0 or 1 results in the use of a single set of
starting values.
Iterations: This option allows specification of the number of iterations to be performed per set of
start values. XLSTAT-LG first performs this number of iterations within each set and
subsequently twice this number within the best 10% of the start sets. For some models, many
more than 50 iterations per set may need to be performed to avoid local solutions.
Seed (random numbers): The default value of 123456789 means that the Seed is obtained
during estimation using a pseudo random number generator based on clock time. Specifying a
non-negative integer different from 0, yields the same result each time.
To specify a particular numeric seed (such as the Best Start Seed reported in the Model
Summary Output for a previously estimated model), click the value to highlight it, then type in a
non-negative integer. When using the Best Start Seed, be sure to deactivate the Random Sets
option (using Random Sets = 0).
Tolerance: Indicates the convergence criterion to be used when running the model of interest
with the various start sets. The definition of this tolerance is the same as the one that is used for
the EM and Newton-Raphson Iterations.

Bayes Constants:
The Bayes options can be used to eliminate the possibility of obtaining boundary solutions. You
may enter any non-negative real value. Separate Bayes constants can be specified for three
different situations:
Latent: The default is 1. Increase the value to increase the weight allocated to the Dirichlet prior
which is used to prevent the occurrence of boundary zeroes in estimating the latent distribution.
The number can be interpreted as a total number of added cases that is equally distributed
among the classes (and the covariate patterns). To change this option, click the value to
highlight it, then type in a new value.
Categorical: The default is 1. Increase the value to increase the weight allocated to the Dirichlet
prior which is used in estimating multinomial models with variables specified as Ordinal or
Nominal. This number can be interpreted as a total number of added cases to the cells in the
models for the indicators to prevent the occurrence of boundary solutions. To change this
option, click the value to highlight it, then type in a new value.
Error v ariance: The default is 1. Increase the value to increase the weight allocated to the
inverse-Wishart prior which is used in estimating the error variance-covariance matrix in models
for continuous dependent variables or indicators. The number can be interpreted as the number
of pseudo-cases added to the data, each pseudo-case having a squared error equal to the total
variance of the indicator concerned. Such a prior prevents variances of zero from occurring. To
change this option, click the value to highlight it, then type in a new value.
For technical details, see section 7.3 of Vermunt and Magidson (2013a).
Class Independent:
Various restrictions are available for intercepts and predictor effects. In addition, for models with
continuous dependent variables, restrictions are available for error variances.
Error variances: This option indicates that the error covariances are restricted to be
equal across classes (class independent).
Predictors (1 or more). This option indicates that the predictors are restricted to be equal
across classes (class independent).
Intercept. This option indicates that the intercept is restricted to be equal across classes
(class independent).
Missing data tab:

Outputs tab:
selected.
Statistics: Activate this option to display the following statistics about the model(s).
Chi-square: Activate this option to display various chi-square based statistics related to model
fit.
Log-likelihood: Activate this option to display log-likelihood statistics.
Classification: Activate this option to display the Classification Table, which cross-tabulates
modal and probabilistic class assignment.
Parameters:
Standard errors: Activate this option to display the standard errors of the parameters. The
standard (Hessian) computation method makes use of the second-order derivatives of the log-
likelihood function called the Hessian matrix.
Wald t ests: Activate this option to display the Wald statistics.
Frequencies / Residuals: Activate this option to display the observed and expected
frequencies along with the standardized residuals for a model. This output is not available if at
least one indicators is continuous. This output is not reported in the case 1 or more continuous
indicators.
Iteration details: Activate this option to display technical information associated with the
performance of the estimation algorithm, such as log- posterior and log-likelihood values at
convergence:
EM algorithm,
Newton algorithm.
When applicable, this file also contains warning messages concerning non- convergence,
unidentified parameters and boundary solutions.
Estimated values: Activate this option to display the predicted values information (the
probability of responding to each category) to the data. The following variables (and variable
names) will be shown:
pred_1 - the predicted prob of responding in the first category
pred_2 - the predicted prob of responding in the second category
pred_dep - the predicted value (weighted average of the category scores, with the
predicted probs as the weights)

Classification: Activate this option to display a table containing the posterior membership
probability and the modal assignment for each of the cases based on the current model.
Nominal coding:
Effect (default). By default, the Parameter Output contains effect coding for nominal indicators,
dependent variable, active covariates and the latent classes (clusters).
Use either of these options to change to dummy coding.
a1=0 (Dummy First). Selection of this option causes dummy coding to be used with the first
category serving as the reference category.
an=0 (Dummy Last). Selection of this option causes dummy coding to be used with the last
category serving as the reference category.
Charts tab:
Profile p lot: Activate this option to display the profile plot.
Results
Summary Sheet
Summary (descriptive) statistics: For the dependent variables and the quantitative
and the unbiased standard deviation. For the nominal explanatory variables, the number and
frequency of cases belonging to each level are displayed.
Summary Statistics:
Model Name: The models are named after the number of classes the model contains.
LL: The likelihood-ratio goodness-of-fit value for the current model.
BIC(LL), AIC(LL), AIC3(LL): BIC, AIC and AIC3 (based on LL). In addition to model fit,
these statistics take into account the parsimony (df or Npar) of the model. When
comparing models, the lower the BIC, AIC and AIC3 value the better the model.
Npar: Number of parameters.
L²: Likelihood ratio chi-squared. Not available if the model contains 1 or more continuous
indicators.
df: Degrees of freedom for L2 .
p-value: Model fit p-value for L2 .

Class.Err.: Expected classification error. The expected proportion of cases misclassified
when classification of cases is based on modal assignment (i.e., assigned to the class
having the highest membership probability). The closer this value is to 0 the better.
Model Output Sheet
Model Summary Statistics:
Model:
Number of cases: This is the number of cases used in model estimation. This number
may be less than the original number of cases on the data file if missing cases have been
excluded.
Number of replications: Total number of observations
Number of parameters (Npar): This is the number of distinct parameters estimated.
Seed (random numbers) : The seed required to reproduce this model.
Best seed: The single best seed that can reproduce this model more quickly using the
number of starting sets =0.
Estimation summary:
EM iterations: number of EM iterations used.
Newton-Raphson iteration: number of Newton-Raphson iterations used.
Chi-Square statistics:
Degrees of freedom (df): The degrees of freedom for the current model.
L²: The likelihood-ratio goodness-of-fit value for the current model. If the bootstrap p-value
for the L2 statistic has been requested, the results will be displayed here.

X² and Cressie-Read: These are alternatives to L2 that should yield a similar p-value
according to large sample theory if the model specified is valid and the data is not sparse.
BIC, AIC, AIC3 and CAIC (based on L²): In addition to model fit, these statistics take into
account the parsimony (df or Npar) of the model. When comparing models, the lower the
BIC, AIC, AIC3 and CAIC value the better the model.
SABIC (based on L²): Sample size adjusted BIC, an information criterion similar to BIC
(N +2)
Dissimilarity Index: A descriptive measure indicating how much the observed and
estimated cell frequencies differ from one another. It indicates the proportion of the
sample that needs to be movedto another cell to get a perfect fit.
Log-likelihood statistics:
Log-likelihood (LL): displayed here.
Log-prior: this is the term in the function maximized in the parameter estimation that is
associated with the Bayes constants. This term equals 0 if all Bayes constants are set to
0.
Log-posterior: this is the function that is maximized in the parameter estimation. The
value of the log-posterior function is obtained as the sum of the log-likelihood and log-prior
values.
BIC, AIC, AIC3 and CAIC (based on LL): these statistics (information criteria) weight fit
and parsimony by adjusting the LL to account for the number of parameters in the model.
The lower the value, the better the model.
SABIC (based on LL): Sample size adjusted BIC, an information criterion similar to BIC
(N +2)
Classification statistics:
Classification errors: When classification of cases is based on modal assignment (to the
class having the highest membership probability), the proportion of cases that are
estimated to be misclassified is reported by this statistic. The closer this value is to 0 the
better.
Reduction of errors (Lambda), Entropy R², Standard R²: These pseudo R2 statistics
indicate how well one can predict class memberships based on the observed variables
(indicators and covariates). The closer these values are to 1 the better the predictions.
Classification Log-likelihood: Log-likelihood value under the assumption that the true
class membership is known.
EN: Entropy.

CLC: CL*2
AWE: Similar to BIC, but also takes classification performance into account.
ICL-BIC: BIC-2*En
Classification table:
Modal table: Cross-tabulates modal class assignments.
Proportional table: Cross-tabulates probabilistic class assignments.
Prediction s tatistics:
The columns in this table correspond to:
Baseline: prediction error of the baseline model (also referred to as null-model)
Model: the prediction error of the estimated model.
R²: the proportional reduction of errors in the estimated model compared to the baseline
model
The rows in this table correspond to:
Squared Error: Average prediction error based on squared error.
Minus Log-likelihood: Average prediction error based on minus the log-likelihood.
Absolute Error: Average prediction error based on absolute error.
Prediction error: Average prediction error based on proportion of prediction errors (for
categorical variables only).
For technical information, see section 8.1.5 of Vermunt and Magidson (2013a).
Prediction table: For nominal and ordinal dependent variables, a prediction table that cross-
classifies observed and against estimated values is also provided.
Parameters:
R²: class-specific and overall R2 values. The overall R2 indicates how well the
dependent variable is overall predicted by the model (same measure as appearing in
Prediction Statistics). For ordinal, continuous, and (binomial) counts, these are standard
R2 measures. For nominal dependent variables, these can be seen as weighted
averages of separate R2 measures for each category, where each category is
represented by a dummy variable = 1 for that category and 0 for all other categories.

Intercept: intercept of the linear regression equation.
s.e.: standard errors of the parameters.
z-value: z-test statistics corresponding to the parameter tests.
Wald: Wald statistics are provided in the output to assess the statistical significance of the
set of parameter estimates associated with a given variable. Specifically, for each
variable, the Wald statistic tests the restriction that each of the parameter estimates in that
set equals zero (for variables specified as Nominal, the set includes parameters for each
category of the variable). For Regression models, by default, two Wald statistics (Wald,
Wald(=)) are provided in the table when more than 1 class has been estimated. For each
set of parameter estimates, the Wald(=) statistic considers the subset associated with
each class and tests the restriction that each parameter in that subset equals the
corresponding parameter in the subsets associated with each of the other classes. That
is, the Wald(=) statistic tests the equality of each set of regression effects across classes.
p-value: measures of significance for the estimates.
Mean: means for the regression coefficients.
Std.Dev: standard deviations for the regression coefficients.
Classification: Outputs for each observation the posterior class memberships and the modal
assignment based on the current model.
Estimation Warnings
WARNING: negative number of degrees of freedom.
This warning indicates that the model contains more parameters than cell counts. A necessary
(but not sufficient) condition for identification of the parameters of a latent class model is that the
number of degrees of freedom is nonnegative. This warning thus indicates that the model is not
identified. The remedy is to use a model with fewer latent classes.
WARNING: # boundary or non-identified parameter(s)
This warning is derived from the rank of the information matrix (Hessian or its outer-product
approximation). When there are non-identified parameters, the information matrix will not be full
rank. The number reported is the rank deficiency, which gives an indication of the number of
non-identified parameters.
Note that there are two problems associated with this identification check. The first is that
boundary estimates also yield rank deficiencies. In other words, when there is a rank deficiency,
we do not know whether it is caused by boundaries or non-identified parameters. The XLSTAT-
LG Bayes Constants prevent boundaries from occurring, which solves the first problem related
to this message. However, a second problem is that this identification check cannot always
detect non-identification when Bayes Constants are used; that is, Bayes Constants can make
an otherwise non-identified model appear to be identified.

WARNING: maximum number of iterations reached without convergence
This warning is provided if the maximum specified EM and Newton-Raphson iterations are
reached without meeting the tolerance criterion. If the (by default very strict) tolerance is almost
reached, the solution is probably be ok. Otherwise, the remedy is to reestimate the model with a
sharper EM tolerance and/or more EM iterations, which makes sure that the switch from EM to
Newton-Raphson occurs later. The default number of 50 Newton-Raphson iterations will
generally be more than sufficient.
WARNING: estimation procedure did not converge (# gradients larger than 1.0e − 3)
This message may be related to the previous message, in which case the same remedy may be
used. If the previous message is not reported, this indicates that there is a more serious non-
convergence problem. The algorithms may have gotten trapped in a very flat region of the
parameters space (a saddle point). The best remedy is to re-estimate the model with a different
seed, and possibly with a larger number of Start Sets and more Iterations per set.
Example
A tutorial on how to use latent class clustering is available on the Addinsoft website:
http://www.xlstat.com/demo-lcr.htm
References
Vermunt J.K. (2010). Latent class modeling with covariates: Two improved three-step
approaches. Political Analysis, 18, 450-469. Link:
http://members.home.nl/jeroenvermunt/lca_three_step.pdf
Vermunt J.K. and Magidson, J. (2005). Latent GOLD 4.0 User's Guide. Belmont, MA:
http://www.statisticalinnovations.com/technicalsupport/LGusersguide.pdf
Vermunt J.K. and Magidson, J. (2013a). Technical Guide for Latent GOLD 5.0: Basic,
Advanced, and Syntax. Belmont, MA: Statistical Innovations Inc.
http://www.statisticalinnovations.com/technicalsupport/LGtechnical.pdf
Vermunt J.K. and Magidson J. (2013b). Latent GOLD 5.0 Upgrade Manual. Belmont, MA:
http://statisticalinnovations.com/technicalsupport/LG5manual.pdf

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XLSTAT 2019

Copyright © 2019, Addinsoft

Visualizing data 157

Analyzing data 196

Modeling data 293

Machine learning 472

Correlation/Association tests 537

Parametric tests 563

Nonparametric tests 615

Testing for outliers 670

Mathematical tools 697

Sensory data analysis 715

Marketing tools 848

Conjoint analysis 862

Text mining 924

Decision aid 929

Time series analysis 946

Monte Carlo simulations 1031

Power analysis 1067

Statistical Process Control 1120

Design of Experiments 1189

Survival analysis 1248

Method validation 1322

Dose effects analysis 1337

OMICs data analysis 1351

Multiblock analysis 1362

ADDINSOFT SARL ("ADDINSOFT") IS WILLING TO LICENSE VERSION 2018 OF ITS

4. NO WARRANTY. THE SOFTWARE IS PROVIDED "AS IS" AND WITHOUT ANY

7. CONTRACTING PARTIES. If the Software is installed on computers owned by a corporation

9. GENERAL. The Software is a "commercial item." This Agreement is governed and

XLSTAT(r) IS A REGISTERED TRADEMARK OF Addinsoft SARL.

Paris, FRANCE, March 2018

Installation 4 System configuration

Silent installation by InstallShield Script (Windows only)

Selection of the user folder

Server installation and creation of an install image

Silent installation by InstallShield Script (Windows only)

Use of an InstallShield script:

/uninst: This option forces an uninstall of XLSTAT.

Installation 6 Advanced installation

Silent installation of XLSTAT

A call to install XLSTAT can be as follows:

Installation 7 Advanced installation

Component-2=Icons & Menu

Installation 8 Advanced installation

Silent uninstall of XLSTAT

A call to uninstall XLSTAT can be as follows:

setup.exe /uninstall /s /f1"C:\MyDir\setupRemove.iss"

Installation 9 Advanced installation

Silent install of XLSTAT server when using a network concurrent license

Silent installation of XLSTAT Server.

A call to install XLSTAT can be as follows:

Installation 10 Advanced installation

szDir= C:\My documents\Addinsoft\

Component-2=Icons & Menu

Installation 11 Advanced installation

A call to install XLSTAT can be as follows:

Installation 12 Advanced installation

szDir= C:\My documents\Addinsoft\

Component-2=Icons & Menu

Installation 13 Advanced installation

Creating a user defined script file

Installation 14 Advanced installation