83

The
British
Psychological
British Journal of Mathematical and Statistical Psychology (2005), 58, 83–95
q 2005 The British Psychological Society
Society

www.bpsjournals.co.uk

Multidimensional scale types and invariant

multivariate statistics

Ching-Yuan Chiang*
Department of Mathematics and Statistics, James Madison University, USA

This paper proposes an extension of the definition of one-dimensional ordinal, interval,

ratio, difference and absolute scales to the multidimensional case. The connection
between measurement structures and statistical structures suggested in a previous
paper is also extended to the multivariate case, and examples of invariance properties
of multivariate functions and statistics are discussed.

Since Stevens (1946, 1951) proposed a classification of one-dimensional measurement

scale types and their appropriate statistics, this problem has remained a fundamental
issue in the use of statistics, both univariate and multivariate, in psychology. Thus, this
problem is discussed in the very first chapter of a book of readings in multivariate
statistics, as well as its follow-up (Grimm & Yarnold, 1995, 2000). However, in the
literature there is still no well-developed theory of multidimensional scale types.
A pointer in this direction is the recent paper by Chiang (2001), to which the present
paper is a sequel.
This paper proposes a definition of p-dimensional ( p $ 1) measurement scales,
which subsumes the special case p ¼ 1 of the traditional definition of one-dimensional
ordinal, interval, ratio, difference and absolute scales (see Section 2). Closely related is
the problem of invariance of numerical functions on measurement structures in general,
and statistical measures in particular. In Section 3 the connection between
measurement structures and univariate statistical structures suggested in Chiang
(1997) is extended to the multivariate case, and in Section 4 examples of invariance
properties (reference invariance, absolute invariance and comparison invariance) of
certain multivariate functions and statistics for appropriate scale types are discussed.
The remainder of this section summarizes some preliminary concepts, notation and
results. Further details and references can be found in Chiang (1995, 1997, 2001).
Let A ¼ kA; ðRi Þi[I l and B ¼ kB; ðS i Þi[I l be relational systems of the same type,
where, for each i in the index set I, Ri and Si are ki-ary relations on the sets A and B,

* Correspondence should be addressed to Ching-Yuan Chiang, Department of Mathematics and Statistics, James Madison
University, MSC 7803, Harrisonburg, VA 22807, USA (e-mail: chiangcx@jmu.edu).

DOI:10.1348/000711005X38717
84 Ching-Yuan Chiang

respectively. A scale from A to B is a one–one homomorphism from A to B, and the set

M(A, B) of all scales from A to B is assumed to be non-empty. For B  # B, B jB  is the
restriction of B to B*, GB ðB  Þ ¼ MðB jB  ; BÞ is the set of all one–one partial
endomorphisms of B defined on B*, and the set GB of all automorphisms of B is a
group under functional composition.
Denote A 1 ¼ A. For p $ 2, the p-fold direct product A p of A with itself is again a
relational system of the same type as A, the underlying set of A p being the p-fold
Cartesian product A p of the set A with itself.
The direct product g1 £ · · · £ gk : C 1 £ · · · £ C k ! D1 £ · · · £ Dk of factor
functions gj : C j ! Dj ð j ¼ 1; : : : ; kÞ is defined by ðg1 £ · · · £ gk Þðc1 ; : : : ; ck Þ ¼
ðg1 ðc1 Þ; : : : ; gk ðck ÞÞ for (c1, : : : , ck) in C 1 £ · · · £ C k , whereas a compound function
g ¼ ðg1 ; · · ·; gk Þ defined on C with component functions gj ðj ¼ 1; : : : ; kÞ is given by
gðcÞ ¼ ðg1 ðcÞ; : : : ; gk ðcÞÞ for c in C, and the k-fold direct product of a function g : C ! D
with itself is denoted by gðkÞ : C k ! D k.
A k-ary relation S # B k on B is said to be reference invariant with respect to A
provided mðkÞ ðaÞ [ S if and only if m0ðkÞ ðaÞ [ S for all m and m0 in M(A, B) and all a in
A k. A function f defined on C # B n is said to be absolutely invariant with respect to A
provided f ½mðnÞ ðaÞ ¼ f ½m0ðnÞ ðaÞ for all m and m0 in M(A, B) and all a in
0 21
A n ¼ A n > m21 ðnÞ ðCÞ > m ðnÞ ðCÞ; and f is said to be comparison invariant with respect
to A provided f ½mðnÞ ðaÞ ¼ f ½mðnÞ ða0 Þ if and only if f ½m0ðnÞ ðaÞ ¼ f ½m0ðnÞ ða0 Þ for all m and
m0 in M(A, B) and all a and a0 in A n*; absolute invariance of f implies its comparison
invariance (with respect to A).
Let f be a function from C # B n to B q, and suppose C is reference invariant with
respect to A. Then the following are sufficient conditions for the reference invariance,
absolute invariance and comparison invariance of f with respect to A (see Chiang,
1995, Theorems 4(ii), 5(ii) 6(ii) and their corollaries):
(i) f is reference invariant with respect to A if there exists an m in M(A, B) such that
f ½gðnÞ ðxÞ ¼ gðqÞ ½ f ðxÞ ð1Þ
for all g in GB[m(A)] and all x in C  ¼ C > ½mðAÞn ;
(ii) f is absolutely invariant with respect to A if there exists an m in M(A, B) such that
f ½gðnÞ ðxÞ ¼ f ðxÞ ð2Þ
for all g in GB[m(A)] and all x in C *;
(iii) f is comparison invariant with respect to A if there exists an m in M(A, B) such
that

f ½gðnÞ ðxÞ ¼ f ½gðnÞ ðx0 Þ if and only if f ðxÞ ¼ f ðx0 Þ ð3Þ

for all g in GB[m(A)] and all x and x0 in C *.

If there exists an m0 in M(A, B) such that every element of GB[m0(A)] is the
restriction of an element of GB, then in (i)–(iii) GB[m(A)] can be replaced by GB.
If all components of a compound function f on C # B n are invariant in one of the
senses discussed above (i.e. reference, absolute and comparison invariance) with
respect to A, then so is f (in the same sense).

Remark 1. In the above discussion, B can be replaced by any relational system of the
same type, in particular B p, and the assumption of reference invariance of C with
 Multidimensional scale types 85

respect to A in (i)–(iii) is satisfied if C ¼ B n . Since g(n) is one–one for each g in GB[m(A)],

n
f is comparison invariant with respect to A if the function on f ðg21 ðnÞ ðCÞ > ½mðAÞ Þ given
by f ðxÞ 7 ! f ½gðnÞ ðxÞ is one–one.

Remark 2. For the relevance of the measurement-theoretic concepts of reference

invariance, absolute invariance and comparison invariance to statistics, see Adams,
Fagot, and Robinson (1965), Chiang (1997) and Section 3 below.

Types of multidimensional scales

In this section the traditional definition of the types of one-dimensional scales along the
lines of Stevens (1946, 1951) – ordinal, interval, ratio, difference and absolute scales – is
extended to multidimensional scales.

Definition 1. Let m ¼ ðm1 ; : : : ; mp Þ : A ! B p be a scale from A to B p, where B # R

is a subset of the reals R and m1, : : : , mp are of the same scale type, and suppose each g
in GB p ½mðAÞ is a direct product g ¼ g1 £ · · · £ gp . Then m is called a p-dimensional
ordinal scale, a p-dimensional interval scale, a p-dimensional ratio scale, a
p-dimensional difference scale, or a p-dimensional absolute scale, according to
whether each gj ð j ¼ 1; : : : ; pÞ is a strictly increasing function, a positive affine
transformation (of the form gj ðxÞ ¼ aj x þ bj with aj . 0), a similarity transformation
(of the formgj ðxÞ ¼ aj x with aj . 0), a translation (of the form gj ðxÞ ¼ x þ bj ), or the
identity transformation (gj ðxÞ ¼ x), respectively.

Remark 3. In Definition 1, m is a scale from A to B p if each component

mj ð j ¼ 1; : : : ; pÞ is a scale from A to B (see Chiang, 2001, Proposition 3(ii)).

It is obvious that the special case of p ¼ 1 in Definition 1 reduces to the traditional

definition of the types of one-dimensional scales. A class of scales will be described as
being of a lower level than that of each of its subclasses. Thus, absolute scales are of the
highest level, whereas ordinal scales are of the lowest level. If M(A, B p) consists of scales
of a certain type, then invariance (in any of the senses discussed) of a function f on
C # ðB p Þn will be paraphrased as invariance of f (in the same sense) for this type of
scales in M(A, B p), which implies invariance of f (in the same sense) for all higher-level
scales.
Definition 1 applies only to a multidimensional scale whose components are of the
same scale type. If the components of m ¼ ðm1 ; : : : ; mp Þ were scales not of the same
level, then m would be a p-dimensional scale of the type of the highest level among the
components, which would be a paradox. For example, let m ¼ ðm1 ; m2 Þ, where m1 is
weight (say, in pounds) and m2 is temperature (say, in degrees Fahrenheit), then m
would be a two-dimensional ratio scale, but not a two-dimensional interval scale.
The ‘permissible’ transformations in GB p ½mðAÞ of each type of scales higher than
p-dimensional ordinal scales can be expressed in the vector/matrix form. The following
convention will be adopted: the prime notation (0 ) denotes a transpose, and a column
vector is denoted by an unprimed letter. Let x ¼ ðx 1 ; : : : ; x p Þ0 be a p-dimensional
(column) real vector. Then a scale m from A to B p is a p-dimensional interval scale if
each g in GB p ½mðAÞ is of the form
86 Ching-Yuan Chiang

gðxÞ ¼ Ax þ b; ð4Þ

where A ¼ diagða1 ; : : : ; ap Þ is a p £ p positive diagonal matrix, that is, a diagonal

matrix with positive diagonal entries a1, : : : ,ap (for terminology see, for example, Horn
& Johnson, 1985, p. 23), and b ¼ ðb1 ; : : : ; bp Þ0 [ Rp is a p-dimensional constant
column vector; in the special of b ¼ 0 (the zero vector), m is a p-dimensional ratio scale;
whereas in the special case of A ¼ I p (the p £ p identity matrix), m is a p-dimensional
difference scale; and in the further special case of A ¼ I p and b ¼ 0, m is a
p-dimensional absolute scale.

Remark 4. As in the one-dimensional case (p ¼ 1), all automorphisms of B p form a

group. For p-dimensional scales of types higher than ordinal scales, while one could
consider a class of (‘permissible’) transformations larger than those denoted by (4),
where A is a p £ p non-singular real matrix, the requirement that the jth component
gj of g ¼ ðg1 ; : : : ; gp Þ be strictly increasing in the jth coordinate (xj), j ¼ 1; : : : ; p, is
equivalent to the condition that all main diagonal entries of A be positive.
This condition excludes the group of p £ p orthogonal real matrices as an appropriate
group of transformations. A group of p £ p non-singular real matrices which meet this
condition is the group of p £ p upper triangular (or, alternatively, lower triangular) real
matrices with positive main diagonal entries, but it is not clear how to justify
triangularity of A from the measurement-theoretic point of view. And the set of all
p £ p positive definite real matrices, which satisfy this condition, is not closed under
matrix multiplication. Thus, one is left with the group of p £ p positive diagonal
matrices.

Multidimensional measurement structures and multivariate statistical

structures
Now consider p-dimensional scales which are random vectors. The connection between
measurement structures and statistical structures suggested in Chiang (1997) can be
extended to the multivariate case in a straightforward way, mainly by substituting B p for
B in appropriate places. Thus, assume that B # R and that for some m0 in M(A, B p)
every element of GB p ½m 0 ðAÞ is the restriction of an element of the automorphism group
GB p of B p. Identify the probabilistic sample space with a suitable subset V # A n of A n,
which is assumed to be endowed with a s-algebra E of its subsets (the events), together
with a probability measure defined thereon, specifying the probability model of the
experiment in question.
Next, identify a random sample X ¼ ðX 1 ; : : : ; X n Þ of size n, where X i ¼
ðX i1 ; : : : ; X ip Þ0 is the ith observation (i ¼ 1; : : : ; n), with the restriction X ¼ m ðnÞjV
of m(n) to V for some scale m in M(A, B p). Thus, the transpose X0 of X can be expressed
as an n £ p random matrix X 0 ¼ ðX ij Þn£p with the n rows corresponding to the n
observations and the p columns corresponding to the p component variates. X takes
values in the statistical sample space x ¼ ðB p Þn , which can be identified with B np and is
endowed with a s-algebra F of its Borel subsets, and X is E-F measurable. A statistic
is the composition T(X) of X with a Borel measurable function T (of np real variables).
Suppose the family of possible probability distributions of X is invariant under a group G
of transformations of x, which can be taken to be the group G ¼ {gðnÞ : g [ GB p }. Then,
 Multidimensional scale types 87

as in the univariate case p ¼ 1 (see Chiang, 1997, Section 3), if a test statistic T(X)
(as well as the testing problem) is invariant under G in the sense of satisfying
T ½gðx 1 ; : : : ; x n Þ ¼ T ðx 1 ; : : : ; x n Þ for each g in G and each (x1, : : : , xn) in x, then
T : x ! B # R is absolutely invariant (and hence comparison invariant) with respect to
A; and if an estimator d(X) (for an estimation problem invariant under G), where
d : x ! D, D being a subset of the parameter space Q # ðB p Þq , is invariant (or
‘equivariant’) under G in the sense of satisfying d½gðx 1 ; : : : ; x n Þ ¼ g  ½dðx 1 ; : : : ; x n Þ
for each g in G and each (x1, : : : , xn) in x, where g  : D ! D is induced by g, then d is
comparison invariant with respect to A.
For discussions of invariance in the context of multivariate statistics, see Giri (1996)
and Muirhead (1982).

Examples of invariant multivariate functions and statistics

This section discusses the invariance properties of some multivariate functions and
statistics for appropriate types of scales. In the following, usually B ¼ R, so that
x ¼ ðRp Þn , and M(A, B p) is assumed to consist of scales of the same type. The same
terminology of the invariance properties of a function f is also applied to its value
f(x1, : : : , xn) as well as the random version f ðX 1 ; : : : ; X n Þ ¼ f ðXÞ, and the latter
notation will often be used for its simplicity. The lowest level of scales for which f is
invariant is indicated, which implies the invariance of f for all higher-level scales.
Some of the examples discussed below are fairly straightforward extensions of
examples given in Chiang (1997, Section 4); in such cases the arguments are
analogous to those of the univariate counterparts and will mostly be omitted. For
convenience of reference, the following Propositions 1–5 give the multivariate
extensions of Propositions 4–8, respectively, of Chiang (1997), obtained by
substituting B p for B.

Proposition 1. Suppose each component function f i ði ¼ 1; : : : ; kÞ of f ¼

ð f 1 ; : : : ; f k Þ, defined on C # ðB p Þn , is absolutely invariant with respect to A. Let g
be any function defined on f 1 ðCÞ £ · · · £ f k ðCÞ. Then g+f is absolutely invariant with
respect to A.

Proposition 2. The projections f i : ðB p Þn ! B p , given by f i ðb 1 ; : : : ; b n Þ ¼

b i ði ¼ 1; : : : ; nÞ, are reference invariant and comparison invariant with respect to A.

Proposition 3. Let gðxÞ ¼ Ax þ b for each x ¼ ðx 1 ; : : : ; x p Þ0 [ Rp , where A is a

p £ p matrix and b ¼ ðb1 ; : : : ; bp Þ0 [ Rp . Let
X
k
f ¼ ci f i ; ð5Þ
i¼1

where f i : C ! Rp ði ¼ 1; : : : ; kÞ with C # ðRp Þn . Suppose that f i ½gðnÞ ðx 1 ; : : : ; x n Þ ¼

Af i ðx 1 ; : : : ; x n Þ for each i ¼ 1; : : :;P k and each (x1, : : : , xn ) in C. Then
k
f ½gðnÞ ðx 1 ; : : :x n Þ ¼ Af ðx 1 ; : : : ; x n Þ þ i¼1 ci b.
88 Ching-Yuan Chiang

Proposition 4. Let f be given by (5), with f i : ðB p Þn ! B p ði ¼ 1; : : : ; kÞ.

(i) If each f i ði ¼ 1; : : : ; kÞ is reference invariant for p-dimensional ratio scales, then

so is f. Pk
(ii) Suppose i¼1 c i ¼ 1. If each f i ði ¼ 1; : : : ; kÞ is reference invariant for
p-dimensional interval scales (or p-dimensional difference scales, respectively), then
so is f.

p n p
Pk 5. Let f be given by (5), with f i : ðB Þ ! B ði ¼ 1; : : : ; kÞ, and
Proposition
suppose i¼1 ci ¼ 0. If each f i ði ¼ 1; : : : ; kÞ is reference invariant for p-dimensional
difference scales, then f is absolutely invariant for p-dimensional difference scales.
. the following examples, the notational convention of Sections 2 and 3 is followed,
In
and some of the univariate counterparts in Chiang (1997) are indicated.

Example 1. Subvectors or submatrices (extension of Chiang, 1997, Example 4).

The function mapping each ðx 1 ; : : : ; x n Þ [ ðRp Þn to a subvector in ðRp Þq ðq # nÞ,
which can be identified with a p £ q matrix, is reference invariant and comparison
invariant for p-dimensional scales of any type.

Example 2. Ordered components (extension of Chiang, 1997, Example 5). For

ðx 1 ; : : : ; x n Þ [ ðRp Þn , where x i ¼ ðx i1 ; : : : ; x ip Þ0 ði ¼ 1; : : : ; nÞ, for each
j ¼ 1; : : : ; p, let x1j, : : : , xnj be ordered as x ð1jÞ # x ð2jÞ # · · · # x ðnjÞ , and let
x ðiÞ ¼ ðx ði1Þ ; : : : ; x ðipÞ Þ0 ði ¼ 1; : : : ; nÞ. Then each function f i : ðRp Þn ! Rp defined by
f i ðx 1 ; : : : ; x n Þ ¼ x ðiÞ ði ¼ 1; : : : ; nÞ is reference invariant and comparison invariant for
p-dimensional ordinal scales. Hence (x(1), : : : , x(n)) and its subvectors and submatrices,
in particular the vector x(n) of maxima and the vector x(1) of minima, are reference
invariant and comparison invariant for p-dimensional ordinal scales.

Example 3. Ranks and functions of ranks (extension of Chiang, 1997, Example 6).
Let ðRp Þn ¼ {ðx 1 ; : : : ; x n Þ [ ðRp Þn : x 1j ; : : : ; x nj are distinct for each j ¼ 1; : : : ; p},
where x i ¼ ðx i1 ; : : : ; x ip Þ0 ði ¼ 1; : : : ; nÞ. For i ¼ 1; : : : ; n and j ¼ 1; : : : ; p, let rij
be the rank of xij among x1j, : : : , xnj. Then each function fi mapping (x1, : : : , xn) in
ðRp Þn to r i ¼ ðr i1 ; : : : ; rip Þ0 ði ¼ 1; : : : ; nÞ is absolutely invariant for p-dimensional
ordinal scales, and hence so is f ¼ ð f 1 ; : : : ; f n Þ. Let g be any function
defined on f 1 ½ðRp Þn  £ · · · £ f n ½ðRp Þn  ¼ ½{1; 2; : : : ; n}p n . Then (by Proposition 1)
h ¼ g+f is absolutely invariant for p-dimensional ordinal scales. Thus, any rank
statistic h(X1, : : : , Xn), which depends on X ¼ ðX 1 ; : : : ; X n Þ only through the matrix
(R1, : : : , Rn) of the ranks of the entries of X, is absolutely invariant for p-dimensional
ordinal scales. (For specific examples of multivariate rank statistics, see Puri & Sen,
1971; Marden, 1995).

Example 4. Linear combinations and weighted averages of unordered or ordered

components (extension of Chiang, 1997, Example 7). Let
 Multidimensional scale types 89

X
n
f ðx 1 ; : : : ; x n Þ ¼ ci x i ð6Þ
i¼1
and
X
n
gðx 1 ; : : : ; x n Þ ¼ ci x ðiÞ ð7Þ
i¼1
for ðx 1 ; : : : ; x n Þ [ ðRp Þn, where c1, : : : , cn are real constants and x(1), : : : , x(n) are as in
Example 2. Then both f and g are reference invariant for p-dimensional ratio P scales, and f
n
is also comparison invariant for p-dimensional interval scales. Suppose i¼1 ci ¼ 1.
Then both f and g are reference invariant for p-dimensional interval P scales. An important
special case of f is the arithmetic average f ðx 1 ; : : : ; x n Þ ¼ n 21 ni¼1 x i ¼ x,  with the
random version being f ðXÞ ¼ X: 

Example 5. Contrasts of unordered or ordered components (extensionPof Chiang,

1997, Example 8). Let f and g be as given in (6) and (7), respectively, with ni¼1 ci ¼ 0.
Then both f and g are absolutely invariant for p-dimensional difference scales.

Example 6. Linear combinations of products of deviations from a weighted

average and their transposes, and functions of such linear combinations (extension
of Chiang, 1997, Example 9). Let wðXÞ ¼ wðX 1 ; : : : ; X n Þ be a weighted average of
X1, : : : , Xn, and let
X
n
f ðXÞ ¼ f ðX 1 ; : : : ; X n Þ ¼ ci ½X i 2 wðXÞ½X i 2 wðXÞ0 ; ð8Þ
i¼1

where c1 ; : : : ; cn are real constants. Let g be any affine transformation of Rp as given in

Proposition 3. Then
gðnÞ ðXÞ ¼ AX þ b10n ; ð9Þ
where 1 n ¼ ð1; : : : ; 1Þ0 [ Rn is the n-dimensional vector with each component equal
to 1, and

f ½gðnÞ ðXÞ ¼ Af ðXÞA0 : ð10Þ

The special case of positive diagonal A implies that f is comparison invariant for
p-dimensional interval scales, and the further special case of A ¼ I p gives the absolute
invariance of f for p-dimensional difference scales. An important special case is the
sample variance–covariance matrix given by
X
n
f ðXÞ ¼ VðXÞ ¼ ðn 2 1Þ21 
ðX i 2 XÞðX  0
i 2 XÞ ð11Þ
i¼1

or
n21
f ðXÞ ¼ V  ðXÞ ¼ VðXÞ: ð12Þ
n
Let VðXÞ ¼ ðvjk Þ and V  ðXÞ ¼ ðvjk Þ, where vjk and vjk are the ( j, k)th entries of V(X)
and V*( X ), respectively ( j; k ¼ 1; : : : ; p). Then the diagonal matrix of variances
90 Ching-Yuan Chiang

DðXÞ ¼ diagðv11 ; : : : ; vpp Þ ð13Þ

or
D  ðXÞ ¼ diagðv11 ; : : : ; vpp Þ; ð14Þ

the total sample variance tr½VðXÞ ¼ v11 þ · · · þ vpp (the trace of V(X)) and the
generalized sample variance det[V(X)] (the determinant of V(X)) (see Johnson &
Wichern, 2002, p. 124), being functions of V(X) or V*(X), are absolutely invariant for
p-dimensional difference scales (by Proposition 1).

Example 7. Sample correlation matrix. The sample correlation matrix

RðXÞ¼½DðXÞ21=2 VðXÞ½DðXÞ21=2 ¼½D  ðXÞ21=2 V  ðXÞ½D  ðXÞ21=2 ¼ðr jk Þ, where V( X ),
V*( X ), D( X ) and D*( X ) are as given (11), (12), (13), and (14), respectively, and rjk is
the sample correlation coefficient of the jth and kth variates ( j; k ¼ 1; : : : ; p), is
absolutely invariant for p-dimensional interval scales.

Example 8. The Mahalanobis and Karl Pearson distances between two

observations. Suppose V( X ) and D*( X ) (see Example 6) are non-singular. Then the
Mahalanobis distance and the Karl Pearson distance between the ith and lth
observations ( Xi and X l ; i; l ¼ 1; : : : ; n), given respectively by d il ðXÞ ¼ ½ðX i 2
X l Þ0 VðXÞ21 ðX i 2 X l Þ1=2 and d il ðXÞ ¼ ½ðX i 2 X l Þ0 D  ðXÞ21 ðX i 2 X l Þ1=2 (see Mardia,
Kent, & Bibby, 1979, p. 377), both satisfy dðAX þ b10n Þ ¼ dðXÞ for any non-singular
p £ p matrix A and b [ Rp (for the Mahalanobis distance, see Seber, 1984, Chapter 7).
Thus, both the Mahalanobis distance and the Karl Pearson distance between two
observations are absolutely invariant for p-dimensional interval scales.

Example 9. The Hotelling one-sample T 2 statistic. Suppose V( X ) (see (11)) is non-

singular. Then, for any constant vector m 0 [ Rp, the Hotelling one-sample T 2 statistic,
 2 m 0 Þ0 VðXÞ21 ðX
T 2 ðX; m 0 Þ ¼ nðX  2 m 0 Þ; ð15Þ
satisfies

T 2 ½AðX; m 0 Þ þ b10nþ1  ¼ T 2 ðX; m 0 Þ ð16Þ

for any non-singular p £ p matrix A and any b [ Rp (see Johnson & Wichern, 2002,
pp. 215–216; or Morrison, 1990, p. 137). (If m 0 ¼ 0, then it can be dropped in (15) and
(16), in which case 10nþ1 in (16) is replaced by 10 n ). Thus, the Hotelling one-sample T 2
statistic is absolutely invariant for p-dimensional interval scales.

Example 10. Least-squares estimates of the multivariate linear regression

parameters. Consider the multivariate linear model X ¼ uZ þ ð1 1 ; : : : ; 1 n Þ, where
u ¼ ðu 1 ; : : : ; u q Þ is a p £ q matrix of regression parameters with the lth column being
u l ¼ ðul1 ; : : : ; ulp Þ0 [ Rp ðl ¼ 1; : : : ; qÞ, Z is a q £ n design matrix of full rank qð# nÞ,
 Multidimensional scale types 91

and 11, : : : ,1n are pairwise uncorrelated p-dimensional random vectors with zero means
Eð1i Þ ¼ 0 ði ¼ 1; : : : ; nÞ and a common variance–covariance matrix. The least-squares
estimate of u is dðXÞ ¼ XZ0 ðZZ0 Þ21 . (For a slightly different formulation, see Johnson &
Wichern, 2002, Section 7.7.) For any p £ p matrix A and b [ Rp ,
dðAX þ b10n Þ ¼ AdðXÞ þ b10n Z0 ðZZ0 Þ21 , which is a one–one function of d( X ) if A
is non-singular. It follows that d(X) is comparison invariant for p-dimensional interval
scales, and the special case b ¼ 0 implies that d(X) is reference invariant for
p-dimensional ratio scales.

Now consider the more general case of q samples, and denote the observation matrix
ðlÞ ðlÞ
by X ¼ ðX ð1Þ ; : : : ; X ðqÞ Þ, where X ðlÞ ¼ ðX 1 ; : : : ; X nl Þ is a p £ nl matrix (l ¼ 1; : : : ; q).
Thus, the combined sample size is n ¼ n1 þ · · · þ nq , and ðRp Þn is identified with
ðRp Þn1 £ : : : £ ðRp Þnq . Note that A may be the direct product A ¼ A 1 ^· · ·^A q of q
empirical relational systems, corresponding to q subpopulations.

Example 11. Matrices of linear combinations and weighted averages of unordered

or ordered subsample observations (extension of Chiang, 1997, Example 11). For each
l ¼ 1; : : : ; q, let
X
nl
ðlÞ
fl ðXÞ ¼ cli X i ð17Þ
i¼1
and
X
nl
ðlÞ
gl ðXÞ ¼ cli X ðiÞ ; ð18Þ
i¼1
ðlÞ ðlÞ
where cl1 ; : : : ; clnl are real constants, and X ð1Þ ; : : : ; X ðnl Þ are as defined in Example 2
(with n replaced by nl). Then f ¼ ð f 1 ; : : : ; f q Þ and g ¼ ðg1 ; : : : ; gq Þ are reference
invariant for p-dimensional ratio scales, and f is P also comparison invariant for
p-dimensional interval scales. Suppose further that ni¼1 l
cli ¼ 1 for each l ¼ 1; : : : ; q;
then f is reference invariant for p-dimensional interval scales. An important example is
 ð1Þ  ðqÞ
the function mapping Pnl XðlÞto the matrix ðX ; : : : ; X Þ of subsample mean vectors,
where X  ðlÞ ¼ n21l X
i¼1 i is the lth subsample mean vector (l ¼ 1; : : : ; q).

Example 12. Matrix and pooled sum of linear combinations of the products of
deviations from weighted subsample averages and their transposes
(extension P l of ðlÞ Chiang, 1997, Example 12). For each l ¼ 1; : : : ; q, let
ðlÞ
f l ðXÞ ¼ ni¼1 cli ½X i 2 wl ðX ðlÞ Þ½X i 2 wl ðX ðlÞ Þ0 , where wl(X (l)) is a weighted average
ðlÞ ðlÞ ðlÞ
of the components of the lth Pqsubsample X ¼ ðX 1 ; : : : ; X nl Þ and cl1 ; : : : ; clnl are real
constants, and let fðXÞ ¼ l¼1 d l f l ðXÞ, where d1, : : : , dq are real constants. Then each
f l ðl ¼ 1; : : : ; qÞ and f satisfy (10) (see Example 6). So (f1, : : : , fq) and f are comparison
invariant for p-dimensional interval scales and absolutely invariant for p-dimensional
difference scales. An important special case is where wl ðX ðlÞ Þ ¼ X ðlÞ is the lth
subsample mean vector and each f l(X) is the lth subsample variance–covariance matrix
f l ðXÞ ¼ VðX ðlÞ Þ or f l ðXÞ ¼ V  ðX ðlÞ Þ as defined in (11) or (12) (see Example 6, with
 and n replaced by X ðlÞ ; X ðlÞ
X; X i ; X i X
 ðlÞ and nl, respectively), and f is the pooled sample
variance–covariance matrix
92 Ching-Yuan Chiang

X
q
V p ðXÞ ¼ ðn 2 qÞ21 ðnl 2 1ÞVðX ðlÞ Þ ð19Þ
l¼1
or
X
q
V p ðXÞ ¼ n 21 nl V  ðX ðlÞ Þ: ð20Þ
l¼1

Next, consider the special case q ¼ 2, so that the observation matrix is

X ¼ ðX ð1Þ ; X ð2Þ Þ
and n ¼ n1 þ n2 .

Example 13. Differences between two linear combinations and between two
weighted averages of subsample observations (extension of Chiang, 1997, Example 13).
Let f1 and f2 be as given in (17) (see Example 11, with q ¼ 2), and let f ¼ f 1 2 f 2 . Then f is
reference
Pnl invariant for p-dimensional ratio scales. Suppose, in addition, that
i¼1 c li ¼ 1 ðl ¼ 1; 2Þ. Then f is also absolutely invariant for p-dimensional difference
scales. An important special case is the difference f ðX ð1Þ ; X ð2Þ Þ ¼ X ð1Þ 2 X ð2Þ between
the two subsample mean vectors.

Example 14. The Mahalanobis distance between two sample means and
the Hotelling two-sample T 2 statistic. In the notation of Example 13,
the Mahalanobis distance between the two sample mean vectors is
 ð1Þ 2 X ð2Þ Þ0 V p ðX ð1Þ ; X ð2Þ Þ21 ðX ð1Þ 2 X ð2Þ Þ1=2 , where Vp(X (1), X (2)) is
d M ðX ð1Þ ; X ð2Þ Þ ¼ ½ðX
as defined in (19) (with q ¼ 2) and assumed to be non-singular, and the Hotelling two-
sample T 2 statistic is T 2 ðX ð1Þ ; X ð2Þ Þ ¼ ½n1 n2 =ðn1 þ n2 Þ½d M ðX ð1Þ ; X ð2Þ Þ2 . Since the values
of dM and hence T 2 remain unchanged under any one–one affine transformation x 7 !
Ax þ b of the observations, where A is non-singular (see Flurry, 1997, Section 6.4), both
the two-sample Mahalanobis distance and the corresponding Hotelling T 2 statistic are
absolutely invariant for p-dimensional interval scales.
Finally, consider the case q ¼ 3 with n3 ¼ 1, so that n ¼ n1 þ n2 þ 1, and denote the
observation matrix by X ¼ ðX ð1Þ ; X ð2Þ ; YÞ, where Y ¼ ðY1 ; : : : ; Yp Þ0 is a p-dimensional
random vector.

Example 15. The Fisher and Wald–Anderson discrimination/clas-

sification statistics. The Fisher (linear) discriminant function is
FðXÞ ¼ ðX ð1Þ 2 X ð2Þ Þ0 V p ðX ð1Þ ; X ð2Þ Þ21 Y, where Vp(X (1), X (2)) is the pooled variance–
covariance matrix as in Example 14 (see Johnson & Wichern, 2002, p. 611). For any
non-singular p £ p matrix A and b [ Rp , FðAX þ b10n Þ ¼ FðXÞ þ GðX; A; bÞ, where
GðX; A; bÞ ¼ ðX  ð1Þ 2 X ð2Þ Þ0 V p ðX ð1Þ ; X ð2Þ Þ21 A21 b. The special case b ¼ 0 implies the
absolute invariance of the Fisher discriminant function F(X) for p-dimensional ratio
scales. The Wald–Anderson classification W statistic is W ðXÞ ¼ FðXÞ 2 HðXÞ, where
HðXÞ ¼ 12 ðX ð1Þ þ X ð2Þ Þ0 V p ðX ð1Þ ; X ð2Þ Þ21 ðX ð1Þ 2 X ð2Þ Þ (see Johnson & Wichern, 2002,
p. 612; or Morrison, 1990, p. 271), and satisfies HðAX þ b10n Þ ¼ HðXÞ þ GðX; A; bÞ.
Table 1. Examples of invariant multivariate functions and statistics (absolute invariance implies comparison invariance, and invariance for a type of scales implies
invariance for all higher-level scales)
Absolute invariance
Ordinal Ranks and rank statistics
scales
Interval Sample correlation matrix; Mahalanobis and Karl Weighted averages of unordered or ordered
scales Pearson distances between two observations;
Hotelling one-sample T 2 statistic; Mahalanobis
distance between two sample means and the
corresponding Hotelling T 2 statistic; Wald–
Anderson classification statistic
Difference Sample variance–covariance matrix; total and
scales generalized sample variances; pooled sample
variance–covariance matrix; difference of
weighted averages of two subsamples
Ratio Fisher discrimination function
scales
Reference invariance
Submatrices; ordered components
components; weighted averages of subsamples
Linear combinations of unordered or ordered
components; least-squares estimates of linear
regression parameters; matrices of linear
combinations of unordered or ordered
subsamples; difference between linear
combinations of two subsamples
Comparison invariance
Submatrices; ordered components
Linear combinations of components; sample
variance–covariance matrix; least-squares
estimates of linear regression parameters;
matrices of linear combinations of subsamples;
pooled sample variance–covariance matrix
Multidimensional scale types
93
94 Ching-Yuan Chiang

It follows that W ðAX þ b10n Þ ¼ W ðXÞ. Thus, the Wald–Anderson classification statistic
is absolutely invariant for p-dimensional interval scales (cf. Anderson, 2003, Section 6.5).
The above examples are summarized in Table 1, with the understanding that absolute
invariance implies comparison invariance and that invariance of a function or statistic
for a type of scales implies its invariance for all higher-level scales. For brevity, in some
examples only important special cases are entered.

Concluding remark
This paper treats an extension of the definition of one-dimensional scale types à
la S. S. Stevens and the closely related problem of invariant (or ‘appropriate’) statistics to
the multidimensional/multivariate case. It would also be of much interest to similarly
extend the classification of scale types based on structural homogeneity and uniqueness
(see Luce, Krantz, Suppes, & Tversky, 1990; Luce & Narens, 1984, 1987; Narens, 1985,
2002; Narens & Luce, 1986).

Acknowledgements
The author wishes to thank Dr. David Clark-Carter and two anonymous referees for valuable
comments on the manuscript and suggestions for its improvement.

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Received 20 September 2002; revised version received 1 July 2004