...... ...! .~ ·.

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f ¡ ..
.

AN INTRODUCTION TO
LINEAR STATISTICAL MODELS
Volun1e I

FRANKLIN A. GRAYBILL
L-'rojl'.~sor
of 1lfoth e111ulical S tatistics
Colorad o S tutc University
F ort Colli11.$, Colorado

:rifoGRA \\'- H I LL BOOK COl\IPA N Y, INC.

Nc w York 'l'oron to Londo n
l !Hi 1
 AN INTRODUCTION TO LINEAR STATISTICAL MODELS TO JEANNE
VOLUME I
Copyright © 1961 by the McGraw-Hill Book Company, Inc. Printed
in the United States of America. All rights reserved. This book, or
parts thereof, may not be reproduced in any forro without permission
of the publishers. Library of OongretJs Oatalog Oard Number 60-9841

ISBN 07-024331-x
12 13 14 15 16-MAMM-7 6 5 4 3 2

FAC. CIENCIAS
 Preface

This book was \vritten with the intention of fulfilling three needs:
( l) for a theory textbook in experimental statistics, for undergraduates
or first-year graduate students; (2) for a reference book in the area of
regression, correlation, least squares, experimental design, etc., for
consulting statisticians with limited mathematical training; and (3)
for a reference book for experimenters with limited mathematical
training who use statistfos in their research. This is not a book on
mathematics, neither is it an advanced book on statistical theory. It
is intended to be an introductory mathematical treatment of topics
which are important to experimenters, statistical consultants, and
those who are training to be statistical consultants. The only mathe-
- matics that is required is generally obtained before the senior year in
college. The mathematical leve] of this book is about the same as
"An Introduction to the Theory of Statistics" by A.M. Mood, except
for the fact that a great <leal of use is made of matrix theory. Chapter l
is a review of the mathematical concepts, especially matrices, that
will be used in the book. For students who have had a course in
matrix algebra, Chapter 1 can be omitted, since in most cases the
theorems are stated without proof and simple problems are given to
illustrate them. Chapter 2 is a review of those statistical conccpts
which are usually obtained in a first course in mathematical statistics.
In these two chapters the important concepts are presented in the
form of theorems so that they can be referred to as they are needed in
later chapters. In the remainder of the book sorne of the proofs are
omitted, but most of them are presented in detail, since this book was
written for those who will have limited mathematical training.
vii
viii PREFACE PREFACE •
IX
Among other things, the statistical consultant is involved in aiding Professor Osear Kempthorne, first for his hel durin
in the interpretation of observations that are collected by experi- work at Iowa State College and Iater for read. pth
'
? my graduate
mg e entire manuscript
menters. This interpretation can often be materially iinproved by the I a lso wan t t o express my appreciation toproJ.essor
r L . Wayne J ohnson ·
use of "statistical models." This use involves three parts. The first t.he hea d of t lie Mathematics Department of Oklahoma St . '
is the specification of the structure of the observations, or, in other s1ty, wh~ made personn~l available for typing and proofre:: Un~v~­
words, the selection of a model to represent the real-world situation manuscr1pt, and to David Weeks and Van . ng_o t e
that the observations describe. The second part is the n:iathematical students irr statistics at Oklahoma State a~a~a1 ~eshadr1, graduate
treatment of the model to obtain results about various components of entire manuscript. mversity, who read the
it. This is generally in the nature of point estimation, interval I wish to thank the typists who helped to t h d .
estimation, hypothesis testing, etc. The third part is the use of the into typescript; Miss Nancy Adams M' puC m~ an wr1tten notes
results of the mathematical treatment of the model to make dccisions Carlotta Fine, and Miss Biruta Stakle' iss aro yn Hundley, Mrs.
in the real world. This book is concerned only with the sccond part, I am indebted to Mr F W B jy
namely, the mathematical treatment of statistical models, and no of Standards at Boulde; C~l:r::' fi irector ~f t.he National Bureau
t. f h ' ' or perm1ss1on to reproduce
attempt is made to justify any model for a given real-world situation. por 10n o t e material in NBS report 5069 Gra h
Percentage Points F( ) fi h . '
d
P s an Tables of the
ª
Five important statistical models are discusscd, which are the basis for
many of the applications in statistics, and these ti.ve models are to b bl. h d b L 'V1,~2,P or t e F1sher-Snedecor Variance Ratio
e pu is e y ew1s E. Vogler and Kenneth A No t '
presented from the point of view of infinite-model theory. Through- I am also indebted to Professor E S p J. r on.
out the book emphasis is placed on the power of tests and on the rrang, an d U mvers1ty
. . :J. •
College for permission to
earson . Neyman p C
'. ' . .
width of confidence intervals. The Power Function of the Analy.sis of V . rTeprmt t~e tables from
A set of notes from which this book was taken has served as a two- rn us t rat1ons
· r r ariance ests with Tables and
J.Or Their Use, from Statisti l R .
semester course for seniors and first-year graduate students at Okla- volume l. ca esearch Memoirs,
homa State University; the prerequisites are one year of calculus, one I am also indebted to the Biometrika Truste . .
semester of matrix algebra, one year of introductory statistical theory reproduce a portion of "Tables of p ~s for perm1ss1on to
from a book such as "Introduction to the Theory of Statistics," by Beta (F) Distribution" by M M . ercentage Pomts of the Inverted
F' . · errmgton and C. M. Thom son
A.M. Mood, or "Statistical Theory in Research," by R. L. Anderson . mally' I w1sh to expresa my thanks to . p . .
and T. A. Bancroft, and one year of statistical methods. Man y of the reheved me of most of the household h d ~y w1fe, J eanne, who
students who were not statistics majors had no formal course in that I worked on the manuscript. e ores urmg the many evenings
matrix theory, but sorne had audited a matrix course, and sorne were
self-taught. These students were required to work the pertinent Franklin A. Graybill
problema in Chapter l.
Volume II will contain such topics as sample size, multiple com-
parisons, multivariate analysis of variance, response surfaces, dis-
criminant functions, partially balanced incomplete block designa,
orthogonal latin squares, randomization theory, split-plot models, and
sorne nonlinear models.
This book was written with the direct and indirect help_ of many
people. I owe a great debt to my mother, Mrs. J...ula Graybill, and to
my two sisters and their husbands, Mr. and Mrs. Wayne Carr and
Mr. and Mrs. Homer Good, for their help and encouragement. Had it
not been for them, I probably would not have been able to attend
college.
I want to thank Professor Carl E. Marshall for introducing me to
statistics and for encouraging me to do further work in this field, and
 Coutents

Preface . vii
· Chapter 1. Mathematical Concepts . 1
1.1 Matrices . 1
1.2 Quadratio Forms 3
1.3 Determinants 6
1.4 Miscellaneous Theorems on Matrices . 6
1.5 The Derivativas of Matrices and Vectors . 11
1.6 ldempotent Matrices 12
1. 7 Maxima, Minima, and J acobians . 17
Chapter 2. Statistical Concepts . 27
2.1 Sample Space, Random Variable, Frequency Function 27
2.2 Statistical lnference. 32
2.3 Point Estimation 33
2.4 Interval Estimation. 37
2.5 Testing Hypotheses . 39
2.6 Concliision 46
1 Chapter 3. The Multivariate Normal Distribution 48
3.1 Definition 48
3.2 Marginal Distributions . 51
3.3 Moments of the Multivariate Normal. 53
3.4 Linear Functions of Normal Variables 56
3.5 Independence 57
3.6 The Conditional Distribution . 62
3. 7 Additional Theorems 67
1 74
Chapter 4. Distribution of Quadratic Forms .
4.1 Introduction. 74
4.2 Noncentral Chi-square . 75
xi

1
 CONTENTS xiii
CONTENTS
xii 12.3 Two-way Cross Classification: No Interaction . 258
77
4.3 N oncentral F 12.4 N-way Cross Classification: No Interaction . 261
82
4.4 Distribution of Quadratic Forros · 12.5 Two-way Classification with Interaction . 265
84
4.5 Independence of Quadra:tic Forros . 86 12.6 N-way Classification with Interaction 272
Independence of Linear an~ Quadrat1c Forros
4
4.6 87 12. 7 2n Factorial l\fodels • 279
12.8 Using Interaction Sum of Squares for Error Sum of Squares 283
4. 7 Expected Value of Quadrat1c Forros · · · 88
4.8 Additional Theorems · · Chapter 13. Two-way Classification with Unequal Nwnbe1·s in Subclasses. 287
93
/':.i Chapter 5. Linear ModeIS 93 13.l Two-way Classificatiori l\fodel with No Interaction. 287
5.1 Introduction. 96 13.2 Computing Instructions 302
5.2 Linear Models 103 Chapter 14. Incomplete Block J.\fodels 306
5.3 Model Classification .
106 14.1 Int.roduction. 306
Chapter 6. Model l: The General Linear Hypothesis of Full Rank
106 14.2 Point Estimation 309
6.1 Introduction . · llO 14.3 Interval Estimation and Tests of Hypotheses 312
6.2 Point Estimation 120 14.4 Computing 313
6.3 Interval Estimation · 128
6.4 Tests of Hypotheses Chapter 15. Sorne Additional Topics about Model 4 318
149
Chapter 7. Coroputing Techniques 15. l Introduction • 318
149 15.2 Assumptions for Model 4 318
7 .1 Introduction · · · · . . 149 15.:J Tests of Hypotheses 320
7 .2 Solving a System of Symmetr1c Equa~1ons ·.. 155 15.4 Test for Additivity . 324
7 .3 Coroputing the Inverse of a Symroetr1c Matr1x
165 15.5 Transformation . 332
Cha.pter 8. Polynomial or Curvilinear Models .
165 Chapter 10. Model 5: Variance Components; Point Estimation 337
8.1 Introduction · · · · · '. · . · · ' · ·~l Mod~l · : : . 165
8.2 Estimating and Testing Coefficie~ts m a Poly~:m1 ffven Set ofData 166 16.l One-way Classification: Equal Subclass Numbers . 338
8.3 Finding the Degree of a Polynom1al that Descr1 es a 1 . . . . 172 16.2 The General Balanced Case of Model 5 . 347
16.3 Two-way Classification . 348
8 .4 Orthogonal Polynomials · · · · 183
16.4 The Balanced Twofold and Fourfold Nested Classification of Model 5 349
8 . 5 Repeated Observations for Each X 186 16.5 One-way Classification with Unequal Numbers in the Groups. 351
Cha.pter 9 . Model 2: Functional Relationships 16.6 Twofold Nested Classification in l\fodel 5 with Unequal Numbers in the
186
9 . 1 Introduction and Definitions · 187 Subclasses 354
9.2 Point Estimation · · · • · · · · 193 16.7 The Unbalanced Two-way Classification in l\fodel 5 359
9.3 Interval Estimation and Tests of Hypotheses 16.8 The Balanced Incomplete Block in Model 5 . 362
195
I Chapter 10. Model 3: Regre~sion Models Chapter 17. Model 5: Var;iance Components; Interval Estimation and
195
10.l Introduction · · · . · · · • 197 Tests of Hypotheses · 368
10. 2 Case 1: The M,_ultivar1ate Normal· 206 17 .1 Distribution of a Linear Combino.tion of Chi-square Varia.tes . 368
10.3 Correlation · 216 17 .2 Tests of Hypotheses 374
l o.4 Case 2, Model 3 217 17.3 Ratio of Variances . 378
10.5 Case 3, Model 3
223 Chapter 18. Mixed Models 383
Chapter 11. Model 4: Experimental Design Models
.· 223 18.1 Covariarice 383
11.1 Introduction · 226 18.2 Two-way. Classification l\fodel with Interaction and with Fixed and
11.2 Point Estima.tion ·. 241 Random Effects . 396
11.3 lnterva.1 Estimation · 241 18.3 Balanced Incomplete Block with Blocks Random: Recovery of
11.4 Testing Hypotheses · · · · . · 245 Interblock Information . 403
11.5 Normal Equat.ions and Computmg 250
11.6 Optimum Properties of the Tests of Hypotheses Appendix. Tables 421
254
Cha.pter 12. The Cross-classification or Factorial Model lndex 461
254
12.l Introduction · · · ·. · · · 255
12.2 The One-way Olassificat1on Model.
 1
Mathematical Concepts

1.1 Matrices
The theory of linear statistical models that will be developed in this
book will require sorne of the mathematical techniques of calculus,
matrix algebra, etc. In this chapter we shall give sorne of the impor-
tant mathematical theorems that are necessary to develop this theory.
Most of the theorems in this chapter will be given without proof;
for sorne, however, the proof will be supplied.
A matrix A will have elements denoted by aH, where i refers to the
row andj to the·column. If A denotes a matrix, then A' will denote
the transpose of A, and A - 1 will denote the in verse of A. The symbol
IAI will be used to denote the determinant of-A. The identity matrix
will be denoted by 1, and O will denote the null matrix, i.e., a matrix
whose elements are all zeros. The dimension of a matrix is the number
of its rows by the immber of its columna. For cxample, a matrix A of
dimension n X m, or an n X m matrix A, will be a matrix A with n
rows and m columns. If m, = 1, the matrix will be called an n x l
vector. The rank ofthe matrix A will sometimes be denoted by p(A).
Given the matrices A =(a¡;) and B =(bu), the product AB = C =
n
(cii) is defined as the matrix e with pqth element equal to L ªpsb sq• For
8=1
AB to be defined, the number of columns in A must equal the number
ofrows in B. For A + B to be defined, A and B must ha ve the samc
dimension; A + B = e gives C¡¡ ~-a;¡ + b¡;. If k is a scalar and
A is a matrix, then kA means the matrix such that each element is the
corresponding element of A multiplied by k.
l
2 LINEAR STATISTICAL l\lODELS
A diagonal matrix D is defined as a square matrix whose off-diagonal
elements are ~11 zero; that is, if D = (dii), then d¡; = Oif i -=F j.
+ Theorem 1.1 The transpose of A' equals A; that is, (A')' =A.
+ Theorem 1.2 The inverse of A-1 is A; that is, (A-1)-1 =A.
+ Theorem 1.3 The transpose and inverse symbols may be per-
inuted; that is, (A')-1 = (A-1)'.
+ Theorem 1.4 (AB)' = B.' A'.
+ Theorem 1.5 (AB)-1 = B-1 A-1 if A and B are each nonsingular.
+ Theorem 1.6 A scalar commutes with every matrix; that is,
kA = Ak.
+ Theorem 1.7 For any matrix A we have IA =Al= A.
+ Theorem 1.8 All diagonal matrices of the same dimension are
commutative.
+ Theorem 1.9 IfD 1 and D 2 are diagonal matrices, then the product
is ~iagonal; that is, D 1D 2 = D 2D 1 = D, where D is diagonal.
The ith diagonal element of D is the product of the ith diagonal
element of D 1 and the ith diagonal element of D 2 •
+ Theorem 1.10 If X and Y are vectors and if A is a nonsingular
matrix and if thc cquation Y = AX holds, then X = A-1Y.
+ Theorem 1.11 The rank of the product AB of the two matrices
A and B is less than or equal to the rank of A and is less than or
equal to the rank of B.
+ Theorem 1.12 The rank of the sum of A + B. is less than or equal
to the rank of A plus the rank of B.
+ T.heorem 1.13 If A is an n x n matrix and if IAI =O, then the
rank of A is less than n. ( IAI denotes the determinant of the
matrix A.)
+ Theorem 1.14 If the rank of A is less than n, then the rows of A
are not independent; likewise, thc columns of A are not inde-
¡)endent. (A is n x n.)
+ Theorem 1.15 If the rank of A is m ~n, then the number of ·
linearly independent rows is m; also, the number of linearly
independent columns is m. (A is n x n.)
+ Theorem 1.16 If A'A =O, then A ~O.
+ Theorem 1.17 The rank of a matrix is unaltered by multiplication
by a nonsingular matrix; that is, if A, B, and C are matrices such
MATHEMATICAL CONCEPTS 3
that AB and BC exist and if A and C are nonsingular then
p(AB) = p(BC) = p(B). '
+ Theorem 1.18 If the product AB of two square matrices is O,
then A = O or B = O or A and B are both singular.
+ Theorem 1.19 If A and B ar~ n x n matrices of rank r and 8
respectively, then the rank of AB is greater than or equal t~
r + s - n. ·
+ Theorem 1.20 The rank of AA' equals the rank of A' A equals the
rank of A equals the rank of A'. ·
1.2 Quadratic Forms
.If ~is an n X 1 vector with ith element y¡ and if A is an n x n matrix
w1th iJth elcmcnt equal to a¡;, then the quadraticf orm Y' A Y is defined as
n n
.I .I YiY;ª;;·
t=l J==l
The rank of the quadratic form Y' AY is defined as the
rank of the matrix A. The quadratic form Y' A Y is said to be positive
d~finite if and only if Y' A Y> O for ali vectors Y where. Y =I= O. A
quadratic form Y' AY is said to be positive semidefinite if and only if
Y'A1:"·~ O for all Y, a~d Y'AY =O for sorne vector Y -=FO. The
matr!x A .ºf a quadratw form Y' A Y is said to· be positiva definite
(senu.defimte) '~hen the quadratic form is positive definite (semi-
defimte). If e IS an n X n matrix such that C'C = 1, then e is said
to be an ortlwgonal matrix, and C' = c-1.
Consider the transformation from the vector z to the vector y by
t~e , matrix P such that Y. = PZ. Then, Y' A Y = (PZ) 'A(PZ) =
Z P A~Z. .Thus, by the transformation Y.= PZ, the quadratic
form Y AY is transformed into the_quadratic form Z'(P'AP)Z.
• Theor~m 1.2~ If .Pis a nonsingular matrix and if A is positive
. defimte (sem1defimte), then P' AP is positive definite (semidefinite).
+ Theorem 1.22 A necessary and sufficient condition for the
symmetric matrix A to be positive definite is that there exist a
nonsingular matrix P such that A = PP'. ·
• Theorem 1.23 A necessary and sufficient condition that the
~atrix A be positive definitc, where
A = (:: ::: ... ::¡
~.~ . ~.~ ....... ~.~
4 LINEAR STATISTICAL MODELS MATHE.MATICAL CONCEPTS 5
1i
is that the following inequalities hold: + Theorem 1.31 For every symmetric matrix A tl .
orthogonal matrix C such that C' AC - D. ·h ie:c ex.1sts an
.· . w h ose d'1agonal elements are th- 1 '·'\ ere. D• is a d1auonal
mat 11x 0
e e 1aracter1strn roots of A.
ª11 ª12 I·>0, ... , + Theorem 1.32 Let A A A b ·
>0 • 1, 2, • · • , t e a collect1on of sym metric
1 ª21 ª22 n .?< n matrices. A necessary and sufficient condition that there
ex1sts ~n orthogonal ~ransformatiOñ C such that C' A C C' A C
1 2 '
· · · , C AtC are all diagonal is that A A b
. d . s·
.'
i i e symmetr1c for all
+ Theorem 1.24 If A is an n x m matrix of rank m < n, then i an J.t . ~fnce dall the A; are symmetric, it follows that A A is
A' A is positive definite and AA' is positive semidefinite. symme r1c l an only if A; and A, commute. ¡ i

+ Theorem 1.25 If A is an n x m matrix of rank k < m and + Theorem 1.33 Let an n X n matrix C be written
k < n, then A' A and AA' are each positive semidefinite.
+ Theorem 1.26 If C is an orthogonal matrix, and if the trans-
formation Y = CZ is made on Y'Y, we get Y'Y = Y'IY =
Z'C'ICZ = Z'C'CZ = Z'Z.
In order to develop the theory of quadratic forms, it is necessary to
define a characteristic root of a matrix. A characteristic root of a
p x p matrix A is a scalar A such that AX = .A.X for sorne vector where C;is the ith row of c. Thus e 1-8 th t f ·
X =I= O. The vect.or X is called the characteristic vector of the matrix A. l i e ranspose o an n x 1
coffiu~n vt~ctoCr. The following two conditions are necessary and
It follows that, if A is a characteristic root of A, then AX - .A.X = O· su cien .ior to be orthogonal:
and (A - .A.l)X =O. Thus, A is a scalar such that the above homo-
( l)
geneous set of equations has a nontrivial solution, i.e., a solution other for ali i -=!= .i
than X =O. It is known from elementary matrix theory that this (2)
for ali i
implies IA - .HI =O. Thus the characteristic root of a matrix A
could be defined as a scalar A such that IA - .A.11 =O. It is easily That is t~ s~y, any two rows of any orthogonal matrix are ortho -
seen that IA - .UI is a pth degree polynomial in .A.. This polynomial onal (the1r mner product is zero) and th . g
row with itself is unity. ' e mner product of any
is called the characteristic polynomial, and its roots are the characteristic
roots of the matrix A. We shall noi.v give a few theorems concerning
characteristic roots, characteristic vectors, and characteristic poly-
nomials. In this book the elements of a matrix will be real.
+ Theorem 1.27 The number of nonzero characteristic roots of a
• Theore~ 1.34 Let C - (
• · P
::¡
x! - . . . be f
P rows o an n X n orthogonal
matrix A is equal to the rank of A. Cv
+ Theorem 1.28 The characteristic roots of A are identical with the matrix. That is to sav let e
characteristic roots of CAC-1 • lf C is an orthogonal matrix, it vectors suc'Ii that e¡¿ ~ O (i' ;
2
'. ·~. ' e,, be the transpose~ of p

follows that A and CAC' have identical characteristic roots. (i - 1 ? ) i J - l, 2, · · · , p) and e.e. = 1
- , -, ... , ? . ~hen there exist n - p vectors L su~h ti1 t
+ Theorem 1.29 The characteristic roots of a symmetric matrix C; f J = O for all i andJ and f~f. = 1 (i = 1 i , ª
·f · -1- • 'I,h '· 1 '
2' • • • , n - P) f f - O
are real; i.e., if A =A', the characteristic polynomial of IA - .U¡ I i ,_J. us the theorem states that if we are i ' i i -.
= O has all real roots. such as C1, there exists a matrix C2 of di:Uension (n g ve) .a matr1~
C 1) - p X nsuc
+ Theorem 1.30 The characteristic roots of a positive definite that ( C = C (C1 forms the first p rows of C and C the last n _ p
matrix A are ¡Jositive; the characteristic roots of a positivo 2 2

semidefinite matrix are nonnegative. rows of C), where 9 is orthogonal.

G LINEAR STATISTICAL l\WDELS
MATHEMATICAL CONCEPTS 7
1.3 Determinants The trace of a matrix A, l'i'l1ich will be \vritten tr(A), is equal to the
ta

In this section a few of the important theorems on determinants snm of the diagonal elements of A; that is, tr(A) = 2, aii·
¡.,. ¡
will be given. It will be assumed that the student knows the definition • Theorem 1.45 tr(AB) = tr(BA).
of a determinant and knows how to evaluate small ones. In linear- Proof: By definition, tr(AB) is equal to 2,a¡;bii. By definition,
hypothesis applications it is often necessary to..§.olve systems involving ij .

a great ma~y equations. It might at times be necessary to evaluate
large determinants. There m·e many methods of doing these tlúngs
that are adaptable to automatic and semiautomatic computing
machines. These methods will be discussed in detail later. It will
be assumed here that the student knows how to evaluate determinants
by the method of minors or by sorne other simple method.
+ Theorem 1.35 The determinant of a diagonal rnatrix is equal to
the product of the diagonal elements.
+ Theorem 1.36 If A and B are n x n matrices, then IABI =
IBA! = IAI IBI.
+ Theorem 1.37 If A is singular, IAI = O.
• Theorem 1.38 If C is an orthogonal matrix, then ICI = +1 or
ICI = -1.
+ Th~orem 1.39 If C is an orthogonal matrix, then IC' ACI = l~I­
+ Theorem 1.40 The determinant of a positive definite
positive.
~atrix is
+ Theorem 1.41 The determinant of a triangular matrix is equal
to the product of the diagonal elements.
+ Theorem 1.42 1n-11 = I/IDI, if !DI -:F o.
+ Theorem 1.43 If A is a square matrix such that
where Au and A 22 are square matrices, and if A 12 = Oor A 21 =O,
th_en IAI = IA11l IA22I·
+ Theorem 1.44 If A 1 and A 2 are symmetric and A 2 is positive defi-
nite and if A 1 - A 2 is positive semidefinite (or positive definite),
then IA 1 1 ~ IA2I·
1.4 Miscellaneous Theorems on Matrices
In this section we shall discuss sorne miscellaneous theorems con-
cerning matrices, which we shall use in later chapters.
tr(BA) is equal to¡ b,kaki· But it is clear that 2, a;;bii = 2, bikaki;
~ ij ~
therefore, tr(AB) = tr(BA).
• Theorem 1.46 tr(~BC) = tr(CAB) = tr(BCA); that is, the
trace of the product of matrices is invariant under any cyclic
permutation of the matrices.
Proof: By Theorem 1.45, tr[(AB)C] = tr[C(AB)].
• Theorem 1.47 tr(I) = n, where I is an n x n identity matrix.
• Theorem 1.48 If C is an orthogonal matrix, tr(C' AC) = tr(A).
Proof: ByTheorem 1.46, tr(C'AC) = tr(CC'A) = tr(IA) = tr(A).
It is sometimes advantageous to break a matrix up into submatrices.
'fhis is callcd partitioning a matrix into submatrices, and a matrix can
be partitioned in many ways. For example, A might be partitioned
into submatrices as follows:
A= (Au Aj2
A21 ~9
where A is m X n, A 11 is m 1 x n 1 , A 12 is m 1 x n 2 , A 21 is m 2 x n 1 ,
and A 22 is m 2 x n 2 , and where m 1 + m 2 = m and n 1 + n 2 = n.
The product AB of two matrices can be made symbolically even
if A and B are broken ~nto SQbmatrices. The multiplication proceeds
as if the submatrices were single elements of the matrix. However,
the. dimensions of the matrices and of the submatrices must be such
that they will multiply. For example, if Bisan~ x p matrix such
that
B= (Bn Bj2
B 21 B
wherc Bii is an ni X P; matrix, then the product AB exists; and the
corresponding submatrices will multiply, since A¡1 is of dimension
m; X n; and B;k is of dimension n 1 x P1:· The. resulting matrix is as
follows:
 l\:IATHEMATICAL CONCEPTS 9
8 LINEAR STATISTICAL MODELS
This is clear since, by Theorem 1.43,
+ Theorem 1.49 If A is a positive definitc symmetric matrix such
that IBI = IIA;21I = IA2ll

A=(:: j so IAI = IA22I IAI IA2il =

Replacing A and B by their submatrices, we get

IAI IA2il IA22l = IAI

and if B is the inverse of A such that

B = (Bn B12)
B21 B22
~I
A~)I
and if Bu and Au are each of dimension mi X mi, etc.,
A;l = B11 - B12B;iB21
Proof: Since A= B-1 , then AB =l. Thus, The corresponding sub matrices are such that they multiply; so

A11 A12\ (Bn B12) = ¡ An - A12A;;l A21 A12Aii 1 _1

IAI = l~I o 1 = IA22l IA11 -· A12A22A21I
(
~1 ~J B21 B22 1
and we get the following two matrix equations: as was to be shown.
A11B11 + A12B21 = 1 and A11B12 + A12B22 =O · Consider the system of equations AX =Y, where A is an n x m
1 matrix, X is an ni x 1 .vector, and Y is an n X 1 vector. Writing
Solving ~he second equation for A 12, we get A12 = --:'-11B12B:?2 ·
Substituting this value for A 12 into the first equat10n, we get this linear system in detail, we get

An Bn - AnB12B2f B21 = 1
Multiplying by Ali 1 gives the desired result. . .
It is known that Bti1 and Añ 1 exist, since A and B are pos1t1ve
definite matrices and since A 11 and B 22 are principal minors of A
and B, respectively. By Theorerr_i 1.23, t.he. dete~"?inant ?f ~he
principal minor of a positive defimte matr1x is pos1tive. S1m1lar
1 For a given set of aii and Y; (that is to say, for a given matrix A and
equations can be derived for At:i.1, Bñ1, and B; •
vector Y), does there exist a set of elements xi (that is, a vector X)
+ Theorem 1.50 Le.t the square matrix A be such that such that the equations AX = Y are satisfied ~ Three cases must be
considered:
A= (Au A12) 1. The equations have no solution. In this case there exists no
~l A.¿2
vector X such that the system of equations is satisfied, and the system
is said to be inconsistent.
lf A 22 is nonsingular, then IAI = IA 22 l IA11 - A12A~ A21I·
1
2. There is just one set of X¡ that satisfies the system. In this case,
Proof: The determinant of A can be written as follows: there is said to exista unique solution.
3. There is more than one vector X that satisfies the system. If
more than one such vector X exists, then an infinite number of vectors
1 o) exist that satisfy ~he system of equations.
where B= ( We shall consider two matrices: the coefficient matrix A and the
-A;;iA21 A;f
10 LINEAR STATISTICAL l\IODELS
r
:1
~
t MATHEl\IATICÁL CONCEPTS 11
~t
augmented matrix B = (A, Y), which is the matrix A with the vector
Y joined to itas the (ni + l)st column; that is to say, (~ t.5 The Derivatives of Matrices and Vectors
;
" We shall now...--discuss sorne theorems relating to the differentiation
of quadratic forros and bilinear forms. lt will sometimes be advan-
tageous in taking derivatives of quadratic and bilinear forms to be
B= able to take derivatives of matrices and vectors.
Let X be a p X l vectOr with elements x,, let A be a p x 1 vector
with elemen~s ai, and let Z = X' A = A'X (Z is a scalar). The deriv-
a.ti ve of Z w1th respect to the vector X, which will be written oZ/oX,
We shall now state sorne important theorems concerning solutions will mean the vector
to the system of equations AX = Y. ·
az
+ Theorem 1.51 . A necessary and sufficient condition that the
system of equations AX = Y be consistent (have at least one
vector X satisfying it) is that the rank of the coefficient matrix
A be equal to the rank of the augmented matrix B = (A, Y).
+ Theorem 1.52 If p(A) = p(B) = p, then m - p of the unknowns
x, can be assigned any desired value and the remaining p of the
x, will be uniquely determined. It is essential that the m - p of
the unknown xi that are assigned given values be chosen such that
the matrix of the coefficients of the remaining p unknowns have + Theorem 1.54 If X, A, and Z are as defined above, then ·
rank p. az¡ax =A.
+ Theorem 1.53 lf p(A) = p(B) = m < n, there is a unique vector X P1·00J: To find the ith element of the vector oZ/oX, we find
that satisfies AX =Y.
Asan example, consider the system of equations _a_z = a(;-::
f 1 a.x.)
, '.

x1 - X2 =6 ax,
2x1 -2x2 =3 which equals a,. Thus the ith element of oZ/oX is a,; so
az¡ax =A.
This can be put into matrix formas
+ Theorem 1.55 Let A be a p x 1 vector, -B be a q x 1 vector, and
,, Let
X be a p X q matrix whose ijth element equals x...
f/ 11
Z = A'XB = k,
"" ~
k, a n'x nmbm
It can easily be verified that the rank of the augmented matrix 111==1 n=l
Then az¡ax = AB'.
(
1 -1 ª) Ptooj: éJZ/oX will be a p X q matrix whose ijth element is
2 -2 3 o Z/ oxiJ· Assuming that X is not symmetric and that the elements
of X are independent,
is 2. Therefore, the system of equations is not consistent, and there
exist no values x 1 and x 2 that satisfy it. This fact is also easily seen
if we multiply the first equation by 2 and subtract it from the second az
equation. We get O = -9, an impossible result.
12 LINEAR STATISTICAL l\IODELS
MATHEl\IATICAL CONCEPTS 13
Thus the ijth element ?f oZ/oX is aib;. Therefore, itfollows that ' use of idempotent matrices in our ensuing work. A square matrix A
¡8 a synunetric idempotem matrix if the following two conditions hold:
oZ = AB'
ax 1~
ij
( 1) A=A'
+ Theorem 1.56 Let X be a p x 1 vector, let A be a p X p sym-
p p
á
¡;
(2) A=A2
metric matrix, and let z = X' AX = 2 L xixp¡¡; then az¡ oA = "
tJ For brevity we shall omit the word "symmetric." That is to say
i=lj=-1
2XX' - D(XX'), where D(XX') is a diagonal matrix whose fl when we say a matrix · is idempotent, we shall mean symmetri~
diagonal elements are the diagonal elements of XX'. ~~ idempotent. We shall make no use whatsoever of idempotent
Proof: By oZ/oA we shall mean a matrix whose ijth element is ~·~ matrices that are not symmetric.
oZ/oa¡;. Thus, ~ ~
+ Theorem 1.58 The characteristÍc roots of an idempotent matrix
{t J, "'m"'nªm•)
~-
. are either zero or unity.
iJZ = Proof: If A is idempotent and if A is a characteristic root of A
ºª'iJ ºªiJ (: there exists a .vector X =F Osuch that AX = .!.X. If we multipl;
.,
both sides by A, we get .
lfi =j, oZ/oaii = x¡. Ifi =Fj, then oZ/oail = 2x¡X; (remember-
ing that a¡¡ =a;¡}. Thus oZ/oA = 2XX' - D(XX'). A2X = Á.AX = ).2X
+ Theorem 1.57 Let X be a p x 1 vector and let A be a p x p But A 2X =AX= .A.X; so we have
symmetric mat.rix such that Z = X' AX; then oZ/ oX = 2AX.
Proof: The derivative of the scalar Z with respect to the vector X : A.X= A. 2X
will mean a p X 1 vector whose ith element is oZ/ox¡. (..\
2
- Á)X =O

az acx'AX) aCt J 1
xmxnamn)
But X =F O; so A. 2
-:- ). must .be zero.
+ Theorem 1.59· If A is idempotent and nonsingular, then A = I.
Thus J. = o or ). = l.

OX¡ oxi OX¡ Proof: AA __: A. l\foltiply both sides by A-1.

+ Theorem 1.~0 If A is idempotent ofrank r, there exists an orthog-
onal .ma~r1x P. su ch· that P' AP = E,, where E, is a diagonal
matr1x w1th r diagonal elements equal to unity and the remaining
diagonal elements equal to zero.
11 p Proof: This follows immediately from Theorem 1.31.
= 2xiati + 2 11=1
L xna'in = 2 n::::l
L xnain
n,i!:i
+ Theorem 1.61 Aff idempotent matrices not of full rank are
,, positive semidefinite.
but 2AX = 2 L x 11a¡ 11 Proof: Since A = A'A, the result follows from Theorem 1.25.
n=l This theorem ~ermits us to state that no idempotent matrix
_can have negat1ve elements on its diagonal.
1.6 ldempotent Matrices
• Theorem 1.62 If A is idempotent with elements a .. and if the
W e shall now pro ve sorne theorems concerning a special type of ith diagonal element of A is zero, then the element~ of the ith
matrix, the idernpotent matrix. Since many elementary textbooks on row and the ith column of A are all identically zero.
matrix algebra include few theorems on idempotent matrices and since Proof: Since A = A 2 , we get for the ith diagonal element of A
these theorems will play so important a part in the theory to follow, n
we shall supply the proofs to the theorems. We shall make extensive ªii 2 ª'ltu
= i=l
14 LINEAR STATISTICAL l\IODELS
l\IATHEl\IATICAL CONCEPTS
15

ª" = i=l
n
I a7;
Proof: Suppose (1) and (2) are given. Then B = I A¡ is idem-
1
potent, and there exists an orthogonal matrix p su~h that
But if aii = O, then a¡; = O (for j = 1, 2, .•. , n); that is, the
elements of the ith r~w are all zero. But A = A'; so the
elements of the ith column are also ali zero.
P'BP = (~ :)

wher?. we suppose that B is of rank r and I, is the r x r identit

+ Theorem 1.63 If A is idempotent of rank r, then tr(A) = r. matnx. Thus we have y
Proof: By Theorem 1.31, there exists an orthogonal matrix P
such that P' AP = E,.. But tr(P' AP) = tr(A); thus tr(A) =
tr(P'AP) = tr(E,) = r. .
P 'BP = (1,o º) Lm P'A,P
o . = i=l
+ Theorem 1.64 If A is an idempotent matrix and B is an idem- But P' A,P are each idempotent
. , by Theorem 1. 65 . B y Theorem
1 ~~t p - r diagonal elements of each P'A,P must be
11
potent matrix, then AB is idempotent if AB = BA. 1.61, tTiel
Proof: If AB = BA, then (AB)(AB) = (AA)(BB) = AB. zero.
t . r
us 10 ows since the diagonal elements of an 1·dcmpo t en t
• • • •

~na r~x arn nonnegative; so, 1f their sum is zero, they must all be
+ Theorem 1.65 If A is idempotent and P is orthogonal, P' AP is 1dentrnally zero. Also bv Theorem I • 62 , the Jast p - r rows and
J
idempotent. p - r columns of each P' AiP must be zero. Thus we may write
Proof: (P'AP)(P'AP) = (P'A)(AP) = P'AP.

+ Theorem 1.66 If A is idempotent and A + B = 1, B is idem- P'A,P = ( B.' O º)

potent and AB = BA = O. 0
Proof: We shall first show that B is idempotent. Now B = So~ using.only the first r rows and first r columns of
1 - A, and we must show that B 2 = B. We get (1 - A) 2 =
(I - A)(I - A) = 1 - IA - Al + A 2 = 1 - A. Thus B 2 = B. m
P'BP =}: P'A¡P
We must now show that AB = BA =O. We have A+ i=l
B = l. Multiply on the right by B and obtain AB + ··B 2 = B
m
or AB = O. If we multiply the quantity A + B = 1 on the we have
l=í: B¡
- right by A, the result BA = O follows. i=I

+ Theorem 1.67 If A 1 , A 2 , An are p X p idempotent matrices,

••• ,
wh~re the B¡ are idempotent. Let us assume that the rank of
a necessary and sufficient condition that there exist an orthogonal B, is r¡. Then there exists an r x r orthogonal matrix e such
that
matrix P such that P'A 1 P, P'A 2 P, ... , P'AnP are each diagonal
is that AiA; = A;Ai for all i and j.
Proof: This theorem is a very special case of Theorem 1.32. C'B,C = (~ :)
Because of its importance, we ha ve stated itas a separate theorem.

+ Theorem 1.68 If A 1 , A 2, Am are symmetric p x p matrices,

••• ,
any two of the following conditions imply the third:
Then
C'IC = I = i
~;!
C'B¡C +(
1

o
' º)
0
(1) A 1, A~, ... , Amare each idempotent.
1>& Since C'B,C is idempotent, by Theorems 1.61 and 1.62 we haYe
(2) The sum B = LA¡ is idempotent.
i=l
(3) AiA; =O for all i =F j. i = l, 2, ... , m; i =fo t ·
16 LINEAR STATISTICAL MODELS
l\IATHEMATICAL CONCEPTS 17
where K; is an {r - t) X (r - t) matrix. Thus we see that
Proof: If any .two conditions of Theorem 1.68 hold, this implica
C'B;CC'B,C = O that there ex1sts an orthogonal matrix P such that the following
are true:
which implies

P'BP =(~' :)
:~
... (a)
and i = 1, 2, ... , ·m; i =F l where the rank of B is r

Since t was arbitrary, thc proof of condition (3) is complete.

Now suppose (1) and (3) are given. Then we have

2
B = (
m

i=l
)2
L A; = L
i=l
m
A¡ +2
i>Fi
A;A; =
m
2
i=l
A¡ =B
(b)
P'A P=(~· :);PV={:
1
o

o
1,:: :} ... ;

o
We have shown that the sum is idempotent, and condition (2)
is satisfied.
Finally, suppose (2) and (3) are given. By Theorem 1.67,
P'V=(: Ir,,,
o :)
there exists an orthogonal matrix P such that P' A 1 P, P' A 2 P,
where the rank of A, = 1·;· Thus the result follows .
. . . , P' AmP are each diagonal (since A;A; = A;Ai = O). Since
the sum of diagonal matrices is a diagonal matrix, it also follows
that P'BP is diagonal. By condition 3, we know that 1.7 Maxima, Mínima, and Jacobians
P' A;PP' A;P = Ofor ali i =F j. But the product of two diagonal
We shall now state some theorems concerning the maxima and
matrices P' A¡P and P' A;P is zero if and only if the corresponding minima of functions.
nonzero diagonal elements of P' A;P are zero in P' A;P. Thus,
if the tth diagonal element of P' A;P is nonzero, the tth diagonal + Theorem 1.70 If Y = f(x1,X 2, .•• ,xn) is a function of n variables
element of P' A 1P (for allj =F i) must be zero. Since P'BP = Er, ~nd if a~l partial d~ri:atives oy/axi are continuous, then y attains
the tth diagonal elemcnt must be O or 1 for each P' A¡P. For, 1ts max1ma and mnuma only at the points whei:e
if the tth element of P' A;P is equal to k =F O, then the tth diagonal
element of the remaining P' A¡P (i =F j) is zero. But the tth
diagonal element of B is O or l and is the sum of the tth diagonal
elements of P' A;P (i = 1, 2, ... , m). Thus k = O or k = l.
Since P' A;P is diagonal, the characteristic roots of A; are dis-
played dowll' the diagonal, and, since these roots are either
O or 1, A¡ is idempotent, and the proof is complete.
Theorem 1.71 If f(x1,x 2 , ••• ,x11) is such that all the first and
It is of special interest to note that, if second partial derivatives are continuous, then at the point where
m
2A;=1
i=l
the function ·has
then condition (2) of Theorem 1.68 is satisfied. In this situation,
condition ( l) implies condition (3) and vice versa. ( 1) a minimum, if the matrix K, where the ijth element of K is
02.f/ ox;ox1, is positive definite. . ·
+ Theorem 1.69 If any two of the three conditions of Theorem (2) a maximum, if the matrix -K is positive definite.
tn
1.68 hold, the rank of 2 A; equals the sum of the ranks ofthe A¡. In the above two theorems on maxima and minima, it must be
i=l remembered that the xi are independent variables. Many times it is
 ._
18 LINEAR STATISTICAL l\IODELS

desired to maximize or minimize a function /(x1 ,x 2 , ••• ,xn) where the

xi are not independent but are subject to constraints. For example,
suppose it is necessary to minimize the function /(x 1 ,x 2, ••• ,xn)
r,.
1
i'J
l~
l\IATHEMATICAL CONCEPTS

re want to minimize f(x 1,x2, ... ,xn) subject to the constraint

li(x1,X2, · · · ,xn) = O, we form the equation
19

subject to the condition h(x 1 ,x 2 , ••• ,xn) = O. Since the x, are not f~
{~
independent, Theorems l. 70 and l. 71 will not necessarily give the í1 The x 1 , X2, • • • ,xn, l can now be considered n + 1 independent vari-
aesired resu}t. If the equation k(x 1,x 2 , ••• ,xn) = 0 could be so}ved 3:z ables. We now state the theorem:
fJ;=;
for x t such that
~ + Theorem 1.72 Iff(x 1 ,x 2 , ••• ,xn ) and the constraint h(x l> x 2' • • • '
j;i
xn ) = O are such that all first partial derivatives are continuous
then this value of xt could be substituted into /(x 1 ,x 2 , ••• ,xn) and ~ then the m~ximum or mínimum oí /(x 1 ,x 2 , ••• ,xn) subject t~
Theorems 1.70 and 1.71 could be applied. ~ the constramt h(x 1,x 2 , ••• ,xn) = O can Qccur only at a point
Asan example, suppose we want to find the minimum of .f =xi - ~ where. hthe
. derivatives
h of F = f(x ¡, x 2> ... , x)
n - .lh(xl' x 2' • • • ,Xn)
2x 1 + ~ - 6x 2 + 16. Using Theorem 1.70, we get i vams ; 1.e., w ere
~
of = 2x¡ - 2 =o oF oF
-=-=···=----0
oF oF
OX¡ OX¡ OX2 oxn - o.A. -
a¡
-=2x2 -6=Ü
if oh/ox, =P ofor ali i at the point.
OX2 Thus we now have n + 1 equations and n + i unknowns and we
The solutions yield x 1 = 1, x 2 = 3. need not worry about which variables are independent for w~ treat all
n + l as ií they were independent variables. '
The matrix K is given by
This will be generalized in the following.
• Theorem 1.73 To find the maximum or minimum of the function
f~x1,X2, · .. ,xn) subject to the k constraints h¡(x 1 ,x 2 , ••• ,xn) = O
K=
1: = 1, 2, ... , k),
(i form.. the function F =f(x1> x 2> • • • 'x) n
-
.I l,h,(x1,x2, · · · ,xn)· If oF/ox, (i = 1, 2, ... , n) are continuous
then/, subject to the constraints, can have its ma~ima and minima
i= 1
K is positive definite; so f has a minimum at the point x 1 = 1, x 2 = 3.
'

If we want to find the minimum of f subject to the condition only at ~he points where the following equations are satisfied (if
x + x = 1, we proceed as follows. Substitute x 1 = 1 - x 2 into a Jacob1an loh,/ox;I =PO at the point):
1 2
the f function, and proceed as before. This gives
j = (1 - x2) 2 2(1 - ~) +~ - + 16 oF al, oF oP"' aF oF
- 6x2
OX¡ = OX2 = ... = a-x-n = -OA-1 = -º~- = ... = -OA-k = o
oj = -2(1 - x2 ) + 2 + 2xi - 6 = Ü
OX2 Let g(x1,X2, · • · ,xn)? where - oo < x, < oo (i = 1, 2, ... , n), repre-
senta fre~~ency-dens1ty function. This is equivalent to the following
The solution gives x 2 = .¡.. In this case the matrix K consista oí a two cond1t10ns on the function g(x l' x 2' • · • ' x n ) ·•
single term o 2f/ox~. So K = 4 and is positive definite. Thus /,
subject to the constraint x 1 + x 2 = 1, attains a minimum at the (1) g(x11x 2 , ••• ,xn) ~ O
point x 1 = -!, x 2 = !.
or
If the constraint is a complicated function if there are many
constraining equations, this method may become cumbersome. An
alternative is the method of Lagrange m:uUipliers. For example, if
(2)
Í ao f f
00
-oo -oo
• • • 00
__ 00
g(x1,X2, • · • ,xn) dx¡ dx., • • • dx = 1
- n
20 LINEAR STATISTICAL MODELS

If we make the transformation X¡ = hi(y 1 ,y 2 , ••• ,yn), where i = 1, 2,

rl
,,
MATHEMATICAL CONCEPTS

In the example abo ve, if we solve the equations for y 1 and y 2 , wc get
21

... , n, the frequency-density function in terms of the new variables

~'
y 1 , y 2 , ••• , Yn is given by r.¡; Y1
X¡+ X,.
=----
!.' ()
i'

(we shall assume ccrtain regularity conditions on the transformation

equations). The symbol IJI denotes the absolute value oftheJacobian
~
~
'.,q,'
and K* = (il -5·!)
of the transformation. 'l'he Jaco bian is the determinant of a matrix K ~,
l 1
whose ijth element is ox;f oy¡. f; So .l=-= = -6
For example, if
;
~
IK*I -l;f - -l-a
Thus we see that IJI = 6, the same value as that we obtained before. .
- 00 < X¡ < 00; - 00 < X2 < 00 f: ~

+ Theorem 1.75 If the transformation from the vector X to the

}. vector Y is given by Y = AX, where A is an n x n nonsingular
is a frequency-density function and if we want to find the corre- t matrix, then ¡A-1 ¡ = J.
sponding frequency-density function k(y 1 ,y 2), where Proof: The Jaco bian is thc determinan t of thc in verse of the matrix
X¡= 4y¡ + Y2 A whose ijth element is oy dOX; = ª;;; the result follows. If A
is an orthogonal matrix, then ./ = IA'I = ± 1 and IJI = l.
X2 = 2y¡ - Y2
Problems
1.1 Find the ra.nk of the two matrices
we have ':.l.
2 6 3 9

¡~)
6

r
4 8 6 2
3 10' 11 15 1
J = -6 and IJI = 6. So we have 8

9 8 4 4 13
k(y1 ,y2 ) = ~ cC<4111+11tl +(2111-112l l
11 2
6 2
7T
1.2 Find the invcrsc of thc matrix
Thus it is quite clear that the Jacobian J will play an important part
in the theory of probability distributions. 2

· + Theorem 1.74. If a set of transformations is given by

h;(y 1 ,y 2 , ••• ,yn), where i = 1, 2 .... , n, and the Jacobian J is
X; = A=(: :) 4
2
1.3 Given
the determinant of the matrix K whose ijth element is oxi/oy1,
2

J
and if the equations satisfy mild regularity conditions, and the
solutions for the y, yield
i·= 1, 2, ... , n
A=(: -7
verify that rank A = rank A' = rank AA' = rank A'A.
then the J acobian J (if J =I= O) can also be given by l/IK*I, where 1.4 Prove Thcorcm 1.16.
the ijth element of K* is oy~/ox 1 • 1.5 Let

This theorem might be useful if the equations wcre such that the
oxi/oy; were difficult to obtain but the oy¡fox1 were relatively easy to A = (: _: -:) B = ·(: : :)
obtain. 8 1 7 4 3 5
22 LINEAR STATISTICAL MODELS
r·· l\fATHEMATICAL CONCEPTS 23
Find AB, BA, p(A), p(B), p(AB), and p(A + B), and verify Theorems 1.11,
1.12, and 1.19. Find a set of linearly independent rows of A.
1
~
Show that the ort.hogonal matrix
1 1
1.6 If t
¡,. v'2
o
v'2
and rt. C'= l
l
~
- -v2 o v'2
show that (AB)' = B'A'. Also show that (AB)-1 = s-1A-1 •
1.7 Given o l o
A=(! !) B = ( t
. -!
-!)! is such that C'AC is a diagonal matrix with characteristic roots on the diagonal.
1.16 Prove the following: If C is an orthogonal matrix, then C' is an orthog-
onal matrix and c-1 is an orthogonal matrix.
show that AB =O, and thus verify Theorem 1.18. t.17 If A and B are orthogonal matrices, prove that AB is an orthogonal
1.8 If matrix.
o o
( ( -~2) ~2
1.18 Let

D, = (:
4
o
_:) and D2 = :
-1

o :) and C=
l

show that D D 2 = D 2D 1 is diagonal, and thus verify Theorems 1.8 and 1:9. v'2 v'2
1
t.9 If A is any n x m matrix, prove that AA' and A'A a~e symm.etr1c. Show that C is orthogonal. Find the characteristic roots of A and of C'AC, and
t.10 Given the quadratic form 2Xf +ax¡ + .6X1 X 2 ,.find its matr1x ~- . show they are equal.
1.11 If C is any matrix and A is a symmetr1c matr1x, prove that C AC 18 1.19 Let l 1 1 v'2
symmetric. 3 3 3 v'i
1.12 Given the matrix
l 1 1 1 l 2
o
v'4 v'4 v'4 v4 v6 - v'6
1 1 l l
o o o o
v'2 v'2 v2 - v2
C= 2 1
1 1 Find a vector C 2 such tha.t C = (C ) is orthogonal, thus illustrating Theorem
o
v'6 v'6 - v'6 1.34. C2
/t.20 Prove that, if a matrix A is positive definite, then A' and A-1 are also
1 1 1 3 positive dcfinite. -
v'12 v'12 v'12 v'12 1.21 Prove that, if D is a diagonal ma.trix, where d¡ is the ith diagonal
element, and if di :F O for any i, then the inversa of D exists, and the ith diagonal
prove that e is orthogonal. 2 2 • • element of n-1 is l/di.
1.13 Given the quadratic fonn !XJ + 3X1~2 + 4X2 + 6X3, find its matr1x. .1.22 Given the following systems of equations, find which are consistent and
Test to see whether the matrix is positiva defimte. which are inconsistent. Find solutions where possible.
1.14 Given the matrix X1 + 2X2 + 3X3 = 6
p = (6 2 (a) X1 - X2 2
3 1 X1 - = X3 -1
verify that PP' is positiva definite and that P'P is positive semidefinite.
X1 - X2 + 2X3 = 2
1.15 Given the matrix (b) X X X 3 = -1
4 o 2) 2X1
1 -
- 2X2
2 -
+ X3 = 2
A=
( o O 3
2
O
4
.
X1 + x-;-+ X 3 + X 4 = 8
~ ~-~-~-~=6
find the characteristic polynomial and the characteristic roots. 3X1 + X 2 + X 3 + X 4 = 22
24

1.23
LINEAR STATISTICAL MODELS

Given the quadratic fonn

Q = 6Xj + 3X~ + 4X1X 2 + X~ + 2X1X 3 + Xi + X 1X 4 + 2X2Xc

r
¡

l
~
t.27

forro X'AX = (!. f

p i=l
xi)
MATHEl\iATICAL CONCEPTS

lf X is a p x 1 vector with elements xi, find the matrix A of the quadratic

2
• Solution:
1 p 1 p p
25

f X'AX =2 L ,2xix;
Ixr + p2 i=lj=l
find aQ/aX. 'i': p i=l
1.24 Given the matrix i:;Ci
f
A= (12 13 2)1 ¡:-
e
But X'AX = Í
p p
L x,xiaii = i=l
p
Í xiau + ,2 ! x,xiai;
p p

i=lj=l i=lj=l
i:;Cj

ations AA'X = Y has a vector X satisfying the f. The coefficients of the xi term are the diagonal elements of A, which are equal to
show tha.t the system o f equ . Th t · t
Y · al to any column of the matr1x A. a is o say, p-2 in this case. The coefficient of x,xi (i :;é j) is the ijth element of the matrix A,
system when the vector is equ k f h ted
show that the rank of the coefficient matrix AA' equals the ran o t e augmen which in this case equals p- 2 • Thus, in the example, the matrix A has every
. (AA' , A·)
ma t r1x , , where A·i is any column of A. element equal to p- 2 • ( ¡ p )
1.28 Use Prob. 1.27 to find the matrix of the quadratic form px2 x = - X¡ , !
1.25 lf and show that the matrix of this quadratic form is idempotent. pi =-1
p p

o 1.29 Prove L xi = ¡ (xi - x)2 + px2.

(~
1 2 -1 -3
i=l i=l
o 1.30 In Prob. 1.29, find the matrix of the quadratic form for each of the three

A= ( -1
2 1

2
2
_:)· B =
1 -2 2
4

1 3 \)· A11 = G:). etc.

quantities ¡
p

•-1
~.
i-=l
p
I ex,_-:- x>2, px2.
-2 -2 1 2 1 -4 l.31 In Prob. 1.30, show that each matrix is idempotent.
2
1.32 Let B 1 represent the matrix for px2. Let B 2 represent the matrix ofthe
p
! ! quadratic fonn ,2 (xi-x) 2 • Show that B 1 + B 2 = 1 and B 1 B 2 = B 2B 1 =O for

u
p = 5. ical
! -! 1.33 Without using Theorem 1.08, prove the following: If A 1 + Az = 1 and
and C= if A 1Az = O, then A 1 and Az are each idempotent matrices.
-! !
-! -! =l) 1.34 If A is a matrix such that AA = k 2A, where k is a scalar, find a sea.lar m
such that mA is idempotent.
show: 1.35 If

(a) IABI = IBAI = IAI IBI, thus illustrating Theorem

1.36.
(b) e is orthogonal. -
(e) tr(C'AC) = tr(A), thus illustrating Theorem 1.48.
(d) IBI = IBul IB22I, thus illustrating Theorem 1.43.
(e) ICI = -1, thus illustrating Theorem 1.38.
(f) 'C'ACI = IAI, thus illustrating Theorem 1.39.
¡
(g) 8 _11 = IBl-1, thus illustrating Theorem 1.42.
AB) = tr(BA), thus illustrating Theorem 1.45. . _1
find XX'. Find the constant k such that kXX' is idempotent.
1.36 Given the matrices
I)
1
( · tr ( 1 D D n-1n thus illustratingTheorem 1.49 (where D =A ).
(i~ Ai'i = A n l-A 1:_
(J) IAI = 1'"'221 u
¡:
1~u 1 thus illustrating Theorem 1.50.
1r22 "'"21 •
2
o
v2 1
o
v'2
1.26 If 3 3 3 3
! J_ -1)
~
A1 = o 1 o Az = o o o
A= t t
( v2 o 1 v'2 2
l l l 3 3 -3 o 3

· 'd mpotent and find the characteristic roots of A, the trace of A, show that A 1 + Az = l. Show that A 1 and A 2 are each idempotent. Show that
sho\vth a t A 1s1 e •
A 1Az = A 2A 1 =O, and fi.nd the rank of A 1 and A 2 •
and the rank of A.
 ,•.<i'······.

26 LINEAR STATISTICAL MODELS

l.37 For the matrices in Prob. 1.36, it can be seen that the conditions of
Theorem 1.67 are satisfied. So there must exist an orthogonal transformation
C su ch that C'A 1C = E 2 and C' A 2C = E 1 , where E 2 and E 1 have ranks of 2 and l,
respectively. Verify the fact that the orthogonal matrix
1
v'2
1
C'= - v'2 2
o

will t1·ansform A 1 and A 2 in to E 1 and E 2 , rcspectively. ¡¡' Statistical Concepts

l.38 Find the minimum value of the function 2Xi +X~ + 2X1X 2 + 3Xi Í;
subjcct to the constraint X 1 + X 2 = l. !'.
l.39 Given the transformation cquations ~

X1 = Y 1 cos Y 2 ~!
X2 = Y 1 sin Y 2 ~ In this chapter we shall review sorne of the elementary notions of
evaluate the Jacobian J ==~axi/ay1 1. Also evaluate K* = jüy¡/ax;I by solving r mathernatical statistics, including randorn variables, frequency func-
tions, estirnation of pararneters, and testing of statistical hypotheses.
the transformation equations for Y1 and Y2 • Show that IK*I = ¡J¡-1 •
r
r
.1
.1

Further Readina 2.1 Sample Space, Random Variable, Frequency Function

t P. S. Dwyer and M.S. Macphail:. Symbolic Matrix Derivatives, Ann. Math.
Statist., vol. 19, pp. 517-534, 1948.
2 G. Birkhoff and S. MacLane: "A Survey of Modern Algebra," The Macmillan
Company, New York, 1953. ,, . subject to unpredictable factors, it rnay be desirable to build these
3 M. J. Weiss: "Higher Algebra for the Undergraduate, John Wlley & Sons,
Inc., New York, 1949.
4 W. L. Ferrar: "Algebra," Oxford University Press, Ne\V York, 1946.
5 S. Perlis: "Theory of Matrices," Addison-Wesley Publishing Company,
Cambridge, Mass., 1952.
6 W. Kaplan: "Advanced Calculus," Addison-Wesley Publishing Company,
Cambridge, Mass., 1953. . of all possible outcomes of the experirnent will be called the sample
7 R. Courant: "Differential and Integral Calculus," vols., I, II, Intersc1ence
Publishers, Inc., New York, 1947.
8 D. V. Widder: "Advanced Calculus," Prentice-Hall, Inc., Englewood Cliffs,
N.J., 1947.
2.1.1 Sample Space. One way to obtain knowledge is to observe
the outcome of experiments. Since these observations are generally
factors into sorne kind of a theoretical rnodel. The unpredictable
or uncontrollable element in an experirnent can often be subjected to
sorne objectivity by the use of probability. A very useful concept in
probability methods is sarnple space. Suppose an experiment is
conternplated in which every outcome is known. The set consisting
space, and the outcome of one particular trial of the experiment will
be called a sample point in this sarnple space. In this bqok, the sample
space will always be the Euclidean line, the two-dimensional Euclidean
¡>lane, or the n-dimensional Euclidean hyperplane.
For example, suppose an experiment consists in throwing a die
once and observing the number that appears. The sample space
consis'ts of six points, since the outcome will be a 1, 2, 3, 4, 5, or 6. Or
suppose an experirnent consists in rneasuring the weight in pounds of
an individual from the city of Stillwater, Oklahoma. The sarnple
space could be the Euclidean half-line consisting of all positive real
numbers, since in that half-line there would be a number available
to represent each person's weight. Of .course, every number on this
27
28 LINEAR STATISTICAL MOD1'~LS
STATISTICAL CONCEPTS 29
half-line could not representa person's weight, since it is inconceivable These. ideas can readily be extended from two variables X and X
that anyone should weigh, say, 1 million pounds. It does not, how- ~. k variables X 1• X 2,. •
• • , Xk.
1 2
}.,ora function of k variables to be a
ever, matter if there are points in the sample space for which there is 1::.
Jomt frequency funct1on (sometimes called a multivariate j
no outcome, but for every conceivable outcome of the experiment there junction}, the following conditions must hold: requency
must be a point in the sample space. ,
For another example, suppose an experiment is run to test two ~ (1) f(X11X2, · · · ,Xk) ~O -oo <X.< oo· i
a '
= 1 2
' , • •.'
k
f~rtilizer treatmen ts on pecan trees. Six trees will be selected from
an orchard, the fertilizers will be applied, and the weights of the pecans
from these six trees will be observed. The outcome of this experiment
1-,:,.·

. ( 2) Leo
-oo
f f
00

-oo
0

• •
00

-~
f(X1,X2, · · • Xk) dX1 dX2 • • • dX. = 1
k

will consis ~ o~ a t~et o~ s; nu~ber; (i1 ,xi2-'~ 3 ,x4 ,x5 ix6 ). 1:he sample In multivariate distributions we must also consiºder · l d
space cou 1 e ie s1x- 1mens10na ~ uc 1 ean p ane, smce every
~
~
·t· l dº ·b .
con d1 1ona 1str1. ut10ns.
. If the chance
..• , xk h ave the JOmt frequency f(X X
(random)
margma an
· bl
varia es x 1 , x 2 ,
X ) th en th e margma · l
conceivable outcome is a point in this six-dimensional space. ll . t ·b t· f i' 2, • • • , k ,
2.1.2 Random Variables. Another concept important in prob-
1:
~
d1s r1 u ion o a subset of x 1 x x say x ( k
. . b ' 2' • • • ' k' ' ¡, X2, ••• ' XV p < •)
IS g1ven y · '
ability methods is that of a random variable. A randoni variable ~.·
is any function defined on a sample space. For example, in the
experiment on throwing a die in Art. 2.1.1, if x represents the outcome,
~
L
g(X1,X2, · · · ,Xp) = f00f00 · ••f00
-co -a:> -O')
J(X X
l' 2' ••• '
X) dX
1.; P+l
dX
:11+2 ••• dXk
then x can equal 1, 2, 3, 4, 5, or 6. The function u(x) = x 2 is a random
That is to say, the marginal distribution of a subset · bt · d b
variable; in fact, the outcome itself is also a random variable, as is ~ · t t · ti · . is o ame y
log x, ex - 1, cte. l m egra mg . ie Jomt frequency function over the random variables
A statistic is defined as any function of observable random variables ·~ that are not m the ~u?set. For example, suppose the random variables
x 1 , x 2, x 3 have the 3omt frequency function
that does not involve unknown parameters. r
2.1.3 Density Function. A density function on a sample space ¡ /(X1,X2,X3) = c<X1+X1+X3) foro< x. < ex:>,. ,•t --
i
1 •) 3
' .... ,
is a nonnegative function whose integral over the sample space is L
unity. For example, if the sample space is the Euclidean line; i.e., then the marginal distribution of x 1 is obtained by integrat'
if the outcome of an experiment is the number x 0 , where x 0 is any /(X1,X2,Xa) over the variables X 2 , X 3 ; that is, the marginal of x:r~;
number x such that - oo < x < oo, then any functionj(X) is a density Y1{X1) =e-Xi O< X 1 < oo
function on thc sample space if
A marginal distribution is also a frequency functi'on A d·t· l
(1) f(X) ~O for ali X such that -oo <X< oo dº t ·b t• f · con 1 iona
. is ri ~ ~on o a certain subset of the chance variables
IS the JO t d. t ºb t• f 1
(2) i)x¡ dX = 1 .. m
X¡, X2, ••• , xk
1~ r1 u ·Ion o t 1is subset under the condition that the
rem.ammg variables are given certain values. The conditional distri-
Given a random variable y, it is said to have a density functiong(Y) if but10n of X1, X2, ••• 'x.v, given X,,+1• X21+2• ••• , Xk, is

f: g(Y) dY = P(y ~A)

00
/(X1,X2, ... ,XJ) 1XP+l'XP+2• .•• ,Xk) = /i(X¡,X2, ... ,Xk)
where P(y ~A) is the probability that the random variable y is less • Y1{X.v+i•X 11+2 , ••• ,Xk)
¡f Y1(X 21 +1, ••• ,X,.) =/= 0.
than or equal to A. In this case we shall say that the random variable L.
y is distributed as g( Y). For example, in the above illustration
These ideas can be extended to functions of two random variables . '
x 1 and x 2. When we make the statement that x 1 and x 2 are jointly /(X1 1X2,Xa) =/1(X1,X2.Xa) = e-<X1+X:d-X3)
distributed as j(X 1 ,X 2), we mean that, for any a, b, e, and d, the pro·b- U1(X2,Xa) [ooe-<X1+X2+X3) dX
ability that a ~ x 1 ~ b ande~ x 2 ~ d, denoted by P(a ~ x 1 ~ b, •O 1

e f
~ x 2 ~ d), is given by ff(X 1 ,X 2) dX 1 dX 2 •
e-<X1+X2+X 3 )
-~~--=e-Xi
e-<Xi+X3 ) O< X 1 < oo
30 LINEAR STATISTICAL l\lODELS STATISTIOAL CONCEPTS 31

+ Definition 2.1 Two random variables x 1 and x 2 are said to be distribution with mean µ and variance a 2 if the frequency function of
statistically independent if and only if the conditional distri- y is given as
bution of x 1 , given x 2 , equals the marginal distribution of x 1 , j(y) = 1 c<u-µ)!/2a!
I
-oo<y<oo
i.e., if y27T0'2
From this basic distribution rnany important distributions are derived.
This can be extended to Tlie Olii-square Distribtttion. If y 1, y 2 , ••• , Yn are normally and
+ Definition 2.2 A set of random variables x 1, x 2 , ••• , xk is said
independently distributed with mean O and variance 1, then
to be jointly statistically independent if and only if the joint n
frequency function equals the product of the marginal frequency U= I y¡
i=l
functions; i.c., if
is distributed as chi-square with n degrees of freedom, designated by
f(X1,X2, · · · ,X.1:) = f1(X1)f2(X2) · • · üXk) z2(n). The functional form of chi-square is

w:~::~~~:~ :; ::::::~~:! :::::i:i:: :::·~.are inde¡K'ndent, ~

then the covariance of x 1 and x 2 ,written cov(x 1·,x2), is zero. ~
f( u) -
ul<n-2)

2n12 r(n/2)
cu/ 2 o< u

lf X is distributed as z2 (n) and Z is distributed as z2 (m) and if X

< OC>

Suppose a random variable has a frequency function/(X). Suppose f!

we desire to sample, say, k items from this frequency function. The
value of the k iterns will be denoted by X 1 , X 2 , ••• , Xk, where the t
subscript refers to the sample nurnbers. In future work we shall use !
the sarne syrnbols for random variables and for values of random r
variables.
+ Definition 2.3 If X 1 , X 2 , ••• , Xk is a random sample of size k from
a population with density function /(X), the joint density of the
X¡ is/(X 1 )/(X 2 ) • • ·f(X1c)·
t and Z are independent, then X + Z is distributed as z2 (m + n). This
is called the reproductive property of chi-square and can be extended to
any finite number of independent chi-square variables.
Snedecor's F Distribution. If X is distributed as z2 (n) and Y is
distributed as x2 (m) and if X and Y are independent, then u =
(n/m)( Y/ X) is distributed as Snedecor's F and m and n degrees of
freedom, denoted by F(m, n). The frequency function of the F
distribution is given by
r(~)(;t'
2

In many applied problema where statistics is used, a random sample ~ u!<m-2)

is selected from a population in whiéh the form of the frequency function
is assumed to he known, and from the joint distribution of the random
f(u) = (m) (n) ( +-u
r - r - m
i
)!(m+n)

variables a distribution of a function of the random variables is 2 2 n

derived. For example, if a sample of $ÍZe k is drawn from a frequency Student's t Distribution. If X is distributed normally with mean O
function /(X), it might be desirable to obtain the distribution of the and variance a 2 and if Y 2/a 2 is distributed as chi-square with n degrees
mean X of thc le observations. The theory of derived distributions is of freedom and if X and Y are independent, then u = XVn/ Y is
extremely irnportant. There are many methods of deriving the distributed as Student's t with n degrees of freedom, denoted by t(n).
distributions of functions of random variables, such as the geometric 'fhe frequency function is given by
rnethod, the use of transformations, the rnethod of the moment-
generating function, and many others. We shall assume that the
student is acquainted with the more elementary methods and with
sorne of the irnportant derived distributions. Sorne of the irnportant
distributions will be given below.
f(u) = fo r (~) ( l + :r+l) -oo<u<oo

Nornial Distribution. One of the most irnportant and móst fre-

quently used distributions in statistics is the normal distribution. If Y1· Y2· ... , Yn are independently distributed normal variables
A chance variable y is said to be distributed as the univariate normal with rneans µ and variances a2, then
32 LINEAR STA'rISTICAL l\lODELS STATISTICAL CONCEPTS 33
l n A scientist selects observations from the population under study,
l. 'fi = - 2 Yi is distributed normally with mean µ and variance and 011 the basis of these observations he tries (1) to ascertain the value
a2/n. n i=l
of the unknown parameter 8, or (2) to decide whether 8 or sorne
(n - l)s2 n (y. _ y)2 function of O is equal to sorne preconceived value, say, 00 • The first
2. 2 = 2 l 2 is distributed as z2 (n - 1).
(] i=l (] procedure is known as estimating the parameter 8 and the second as
3. 'fi and s are independent.
2
testing a hypothesis about the parameter O.
The distributions described above are all derived distributions that In speaking about estimating a parameter O, we consider two types
evolve from the basic normal distribution. They can also be looked of cstimation: point estimation and interval estimation.
upon as basic distributions in their own right, but in the theory of
linear models we shall regard them as derived from the normal distri- 2.3 Point Estimation
bution.
We shall have occasion to derive sorne distributions later and shall In point estimation we use certain prescribed methods to arrive
make use of the method of the moment-generating function, for which at a number 00 , which we accept as the point estímate of O. The
the following theorem will be useful: ¡u·ocedure will be to select a random sample of n observations
x 1, x 2 , ••• , xn from f(x;O) and take sorne function of the sample
+ Theorem 2.1 Ifthe two frequency functionsf1 (X) andf2(X) havc values, say Ó = h(x 1, x 2 , ••• , xn), as the "best" value (estímate) of
the same moment-generating function m(t) and if there exista a Othat we can get from the information available. Since ó is a function
positive num her d such that m(t) exists at each point in the interval of the n random variables, it is itself a random variable, and the "best"
-d < t < d, thenf1 (X) andf2 (X) are equal. or "closest" estimate of O must be expressed in terms of probability.
For example, if a random variable y is distributed normally with mean That is to say, a random sample of n observations will be drawn from
µ and variance a 2 , then the moment-generating function of y is the frequency function f (x ;O), and out of all the functions of n vari-
J z2 ables available we shall select one function h(x 1 ,x 2, ••• ,xn) such that,
m11(t) = eµt+~a t if we let this function be the estimate of O, then we shall have a "better"
Thus, if we have a frequency function /(y) whose functional form is estímate than if we had sclectcd any other function g(x 1 ,x 2 , ••• ,xn)
unknown but if we know that the moment-generating function of y to represent the estímate of O.
2
is e- 2t+Gt , then, since the conditions of the theorem hold, /(y) will be It would be very desirable to be able to select an estimator Ó for 8
a normal distribution with mean -2 and variance 12. such that, for every pair of numbers .A. 1 and .A. 2 (O < .A. 1 < oo, O < .A. 2

- < oo), P(O - Á.1 < (J < O + ~) ~ P(O - ii1 < O* < O+ ~) (2.1)
2.2 Statistical Inference
where O* is any other estimator for O. That is to say, sin ce each randóm
In conducting scientific investigations the investigator often knows sample from f(x ;O) will give.rise to a different estimate, it seems that
or is willing to assume that the population from which he takes obser- a ';good" estimating function fJ = h(x 1 ,x2 , •• • ,xn) would be a function
vations is of a certain functional form f (x ;O), where the parameter O such that a large percentage of the samples produce estimates that
is not known but is the quantity that his investigation is attempting to fall very close to 8. In other words, it seems desirable to have an
describe. For example, it might be known from theoretical consider- estimator Ó such that the probability of the estímate falling in the
ations or from previous investigations that the frequency of weights interval (} - .A. 1 to O + .A. 2 is larger than the probability of any other
of the 100,00ú inhabitants of a given city asan approximation has the estimate of O falling in that interval. Although we should like to
functional form · have an estimator that satisfied (2.1), for practica! situations methods
f(x;µ) = 1 cha:-µ>' -oo<x<oo for finding such functions do not exist. Therefore, we shall enumerate
-J2w various other properties that we think are desirable in an estimator.
where the average weight µis unknown. In general, if we say that x On the basis of the nature of each specific scientific investigation, we
is distributed asf(x;µ), we shall mean that µis the unknown param- must select those properties which seem the most reasonable substitutes
eter in the frequency functionf(x). for condition (2.1) from among those properties which are attainable
34 LINEAR STATISTICAL l\IODELS
in the situation at hand. In many cases there is controversy about
which criteria should be preferred.
Important desirable properties for estimators include: (1) suffi-
ciency, (2) unbiasedness, (3) consistency, (4) efficiency, (5) minimmu
variance, (6) completeness, and (7) invariance under transformation.
These will be discussed briefly.
Sujficieney. Let f(x 1 , ••• ,Xn; 01, ••• ,Ok) be a joint frequency
function involving k parameters. The statistics 01 = h 1 (x1 , . • • ,xn),
82 = h 2 (x 11 ••• ,xn), ... , Oni = hm(x1 ,x2 , ••• ,xn) are a set of sufficie1ú
statislics if g(x 1,x2, ..• ,xn 1 01, ••• ,Ók) is independent of the param-
eters O;, where g(x1 , • • • ,xn 1 01 , ••• ,0 is the conditional density
111
) When Jarge-size samples are used to estímate 8, consistency seems
function of the observations, given the statistics.
We see that in any problem there may be many sets of sufficient
statistics. The original observations x 1 , x 2 , ••• , xn always form a
set of sufficient statistics., but we generally want a smaller set since
this will be easier to work with. We shall then be interested in a
"smallest" set, which is referred to as a minimal su.lficient set. A
set of snfficient statistics 01 , 02 , ••• , (Jm is a minimal sufficient set if
m is the smallest number of statistics that satisfy the definition of
sufficiency.
Next we shall give a criterion to aid us in finding a set of sufficient
statistics.
• Theorem 2.2 Assume that the range of the x/s in the frequency
function is independent of the parameters (it will always be
independent of the parameters for the problems in this book).
If the frequency function /(x 1 , ••• ,xn; 01, ••• ,01:) factors into
the product of two functions such that
~
-¡
/1(X¡, · · · ,xn)/2(Ó¡, · · · ,(Jm; 01, • • • ,Ok)
where / 1 (x1 , . : . ,xn) does ?~t conta~n. the parameters, then ~
Ó1 , 02 , ••• , Óm is a set of suflic1ent stat1st1cs.
Unbiasedness. An estimator Óis said to be an unbiased estimalor of
8 if E(Ó) = 8, where E denotes mathematical expectation.
Thus, if we have a great many unbiased estimates of O, then the
average of these estimates equals the parameter 8. This criterion is
quite important in our present system of scientific investigation and
reporting, where many observers report estimates of the same param-
eter. These can then be combined into one "good" estimate if they
are unbiased. In many cases, however, the concept of unbiasedness
leads to very poor estimates. For example, a sample might be selected
from the population f (x ;O) to estimate (} where it is known that
STATISTICAL CONCEPTS 35
0 ~o. If one hunts for an unbiased estimate Ó, it may be that
so~e values of Ó will be negative. If one does arrive at a ncgative
estima.te of (J under these conditions it would obviously be better to
take (} 0 =O. However, if a gre~t many estimates are to be obtained,
it is also wise to report the unbiased estima.te of (J even though it is an
impossible result in_itself. A .
Consistency. An estimator O,, (more accurately, a sequence of est1-
mators {On}) is said to be consistent for 8 if the limit of the probability
that IÓn - 01 < €is 1 as n approaches infinity. Ón is the estimate of O
based on ·a sample of size n.
to be an important property for an estimator to possess. H01vever,
if a relatively small number of observations is used, the concept of
consistency is not too important unless the above limit gets clase to
unity while nis relatively small.
Efficiency. An estimator Ón (more accurately, a sequence of esti-
mators {On}) is said to be e.fficient when the following two conditions are
satisfied:
I. Vn(Ón - O) is asymptotically normally distributed witii mean O
and variance, say, a 2 , where nis the sample size.
1 2. The variance a2 is less than the variance of any other estimator
O! that satisfies condition 1.
We see that the concept of efficiency is a large-sample concept.
.Mínimum Jlariance. An estimator fJ is said to be a minimum-
variance estimator of 8 if E[Ó - E(Ó)] 2 ~ E[O* - E(0*)] 2, where
O* is any other estimator for O.
If an estimator is efficient, then it is consistent and unbiased in the
t
limit but need not be unbiased for finite sample sizes. An unbiased
estimator is not necessarily consistent. The concept of minimum
!: variance is not a largeAsample concept.
Oompleteness. An estimator fJ is complete if there exists no unbiased
:' estimator of zero in the frequency function/(Ó;O) (except zero itself).
I nvariance. An estimator ó of (} is said to be an invariant estimator
J01· a certain class of transforrnations g if the estimator is g(O) when the
transformation changes the parameter to g(O).
This principie of an invariance estimator seems very reasonable.
However, because ofthe advanced nature of the mathematics in volved,
we shall not do much with this principie of estimation in this book.
The following theorem will aid in finding minimum-variance
unbiased estimators.
+ Theorem 2.3 If O is a sufficient statistic for O, if fJ is complete
(no function of the sufficient statistic for Óis an unbiased estímate
 '
')'
36 LINEAR STA1'1STICAL M:ODELS
of zero except zero itself), and if E[g(Ó)] = Ji(O), then g(O) is the
unique minimum-variance unbiased estimate of h(O) for every
size of sample.
For a full discussion of these criteria the reader is referred to the
references in the bibliography.
Even if one has decided upon "good" criteria for estimators to have,
one must still devise methods for arriving at estimating functions
h(x1,X 2 , ••• ,xn) that meet these criteria. There are many important
methods, two of which we shall discuss, since they will be used in later
chapters: (1) the method of maximum likelihood, and (2) the method
of least squares.
lJ{aximum Likelihood. The likelihood function for a random sample
of n observations from the frequency functionf(x;µ) is defined as the
joint frequency function of the n variables, which is equal to
L(x¡,X2, · · · ,xn; µ) = f(x¡;µ)f(x2;µ} · · · f(xn;µ)
"
'J·.
since the xi are independent. The niaximum-likelihood estimator of
µis defined as the value µ* such that
L(x1 ,x2 , ••• ,xn; µ*) ~ L(x1 ,x2 , ••• ,x~; µ)
That is, the maximum-likelihood estímate of µ is the value, say, µ*,
,, · that maximizes the likelihood function when it is considered as a
·1'
;, 1 function of µ.
! in ascertaining the tensile strength of wire it may well be that a knowl-
Intuitively, this method of estimation seems to be a good method.
Under certain quite general conditions the maximum-likelihood
method gives rise to estimators that are consistent, efficient, and
sufficient. It is important to note, however, that, if the method of
maximum likelihood is to be used, the form of the freqQ.ency function
must be known.
An important property of the maximum-likelihood method of esti-
mation that will sometimes be helpful is given in the next theorem.
• Theorem 2.4 Let 01 , 02 , ••• , (Jk be the respective maximum-
likelihood estimates of 81 , 0 2 , ••• , ()k. Let o: 1 = 0: 1(8 1, ••• ,01:),
• • • , o:k = o:k(81, ••. ,Ok) be a set of transformations that are
one-to-one. Then the maximum-likelihood estimates of o: 1 , ••• ,
<Xk are &1 = o:.1(Ó1,02, · • · ,fJk), • • • , &.k = o:k(01,02, · • • ,fJk).
This property will be referred to as the invariant property of
maximum-likelihood estimators.
Least Squares. In the method of least squares, the observations
xh = 1, 2, ... , n) are assumed to be of the form
xi = Íi< 81,(}2, • • · A) + ei
STATISTICAL CONCEPTS 37
where fi(0 1 ,8 2 , • •• ,Ok) is sorne known function of the unknown param-
eters and where the ei are random variables. The sum of squares
n n
I e¡= ! [x, - /;(01,82, ••• ,01;)]2
i=l i= 1
is formed, and the value of the O, that minimizes this sum of squares is
the least-squares estimator for the 8i. -
In the method of least squares, the forro of the frequency function
nced not be known, but the method can be used if it is known. In
many important cases, even if the form of the frequency function is
unknown, the method of least squares gives rise to estimators that
are unbiased and consistent and under certain conditions minimum-
variance unbiased. Also, in at least one very important case, the
method of least squares and the method of maximum likelihood give
rise to the same estimators. These cases will be discusf:ed in greater
detail in a later chapter.
2.4 Interval Estimation
In point estimation the procedure is to select a function of the sample
ran~om variables that will "best" represent the parameter being
estimated. In scientific studies it is generally not essential to obtain
the exact value of a parameter under investigation. For example,
cdge of the exact average tensile strength is not necessary but that a
value within, say, ! lb of the true average tensile strength will be
adequate. It is desirable, however, to have sorne confidence that the
value obtained is within the desired limits. A point estimate will not
do this. This suggests using an interval estimate.
A confidence interv~l is a random interval whose end points f 1 and
f 2 (f1 < f 2 ) are funct1ons of the observed random variables such that
the probability that the inequalities f 1 < () < f 2 are satisfied is a
predetermined number 1 - o:. In the above formulation, O is the
parameter whose value is desired, and 1 - IX. is generally taken as
.SO, .90, .95, etc. The statement is written
(2.2)
The frequency interpretation is: If the same functions but different
sets of observed random variables are used (each set gives a different
interval), then, on the average, 1 - o: of ali the intervals will cover the
parameter O. Even though we observe only one interval, we have a
confidence level of 1 - o: that this interval covers the unknown param-
eters O. There may be many functions f 1 and / 2 that will give rise
38 LINEAR STATISTICAL MODELS
to a confidence interval on () with coefficient 1 - oc. The question is:
Of all pairs of functions that satisfy (2.2), which pair of functions gives
the "best" interval 1 It seems that in a certain sense the "best"
interval is the shortest interval. Unfortunately, there almost never
exist functions that give uniformly shortest confidence intervals for
every value of the unknown parameter e.
Therefore, it may be reasonable to minimize not d, but so me function
of the length d of the interval. For example, since the length d =
f 2 - f 1 is a random variable, we may like to use fu~ctions. i!1 the
confidence interval such that the average length E(d) is a mm1mum
for all O. However, certain functions may give rise to an average
length that is minimal for sorne O but not for other O; in other words,
there may not exist functions that give rise to confidence intervals t
uniformly smallest in expected length. . !:
We shall illustrate the above ideas with an example. Suppose we
have N sample values X 1 , X 2 , ••• , xN from a n~rmhatlpotpulatiofindwith t
unknown mean µ and variance 1. 8 uppose we w1s o se a con ~nce r
intenral on µ with confidence coefficient of .95. We shall use X to (
obtain this confidence interval. Now X is distributed normally with
meanµ and variance l/N. Hence, if 1X 1 and IXz are any two numbers ~
such that
then X- IX2 & & X- OC¡
.JN~µ~ .JN
is a confidence interval on µ with confidence coefficient of .95.
that
/1 =X- JN
- ~
- IX¡
/2 =X - .JN
and the length of the interval is
d - Í: j - IX2 -
- 2 - i - .JNOC¡
We want to choose constants 1X 1 and oc 2 that satisfy the above integral
and make d a minimum. Clearly, they must be such that -oc 1 =
+IX 2 = 1.96. In this example the expected length E(d) is also
(1X 2 - oc 1)/VN, but in general this is not true.
Since uniformly smallest-width confidence intervals almost never
exist and since confidence intervals with uniformly smallest expected
STATISTICAL CONCEPTS 39
width almost never exist, we shall list ot?er desirable properties for
onfidcnce intervals to have. The exper1menter must choose those
;roperties which he feels will be most useful in a given situation.
It is desirable for interval estimators to be: (1) minimum-length, (2)
minimum-expected-length, (3) shortest (in the Neyman-Pearson
sense), (4) unbiased.
The reader should keep in mind that the above concepts have mean-
ing within the framework of a given sample. That is to say, the
experimenter chooses one criterion over another in order to get the
most information from the sample at hand. If he has sorne control
over bis observations he will, as far as possible, pick those which will
give a confidence interval with small width. The desirable thing to
do is to decide how long he wants his confidence interval to be in order
to make a decision about the parameter under observation. He then
selects his samples in su ch a way as to attain the given length if possible.
A confidence interval that is too long does not give him the necessary
precision; an interval shorter than necessary wastes information and
resources. We shall say more about this when we discuss the design
of experimenta. However, it is important for the researcher to realize
that there are two very important questions to remember in interval
f estimation: (1) Does the interval cover the parametert (2) Is the
interval narrow enough 1 In an experiment we want the probability
of a yes answer to each of these questions to be as high as possible.
Justas in point estimation, so in interval estimation sets of suffi.cient
statistics play an important part. The principie involved is given in
the next theorem.
+ Theorem 2.5 Let x 1 , ••• , x 11 be a random sample from the density
f(x;O). Let g 1 , g2 be two functions of the xi such that P(g1 <
O < g 2} = 1 - IX. Let t = t.(x 1 , ••• ,x11 ) be á suffi.cient statistic.
There exist two functions f 1 andf2 of t su ch that P(f1 < O < f 2 ) =
1 - oc, and such that the two random variables (lengths) l 1 = g 2 -
g1 and l 2 = / 2 - / 1 have the same distribution.
This says that, so far as length of confidence intervals is concerned,
one might as well use sufficient statistics.
2.5 Testing Hypotheses
One aspect of the scientific method is the testing of scientific
hypotheses. At this point ÍIJ. the scientific method, statistics, especi-
ally the method of analysis of variance, pla.ys an important role. For
example, an investigator sets up a hypothesis, which we shall call H 0 ,
concerning a phenomenon in nature. This hypothesis may be arrived

8
: in many ways, in:::;:g t::::::::IL.:::::ations and empírica!
observations. The hypothesis H 0 is set .up; then the researcher ~
conducts an experiment and takes observations to see how closely ~
they conform to the hypothesis, and on the basis of these observations ~:
he de~ides to accept H 0 as true or to reject H 0 as false. It should be ~
1>ointed out that a general hypothesis can never be proved but can [:
be disproved. For example, one might try to prove the hypothesis ~·
that one can always draw an ace on the first draw from an ordinary deck ~
of cards. No matter how often an investigator performs this feat, fi,:
he can never prove the hypothesis. One failure, however, will disprove ~
it. On the other hand, if a subject does pull an ace a great many f
times without failure, we might be willing to say that, for ali practical 1;
purposes, our subject can always select an ace on the first draw-but ,~
the hypothesis as it was set up has not been proved.
As another exa~pl~, suppose one has a n~w process of manufacture t
that one hopes wdl g1ve added length of life to electron tu bes. An i
investigator may form the hypothesis that tubes manufactured by i
this process will have a longer life than tubes manufactured by a f
standard process. He proceeds to test this hypothesis by observing •:
the 1ength of life of a certain number of tubes of each manufacturing ~
method. Clearly he can never pro ve his hypothesis, but he can disprove ¡
it. However, if a great number of tubes manufactured by the new i.
process each have a longer life than tu bes manufactured by the standard
process, he may be willing to accept the new process, but he cannot
prove the hypothesis as it was formed.
One may form rules about when a hypothesis will be accepted and
when it will be rejected. In the example above, one might use the
following formula: Accept thc hypothcsis if 1,000 electron tubes are
examined from each manufacturing proce~ and if 950 or more of those
manufactured by the new process have longer life than the average of
the 1,000 manufactured by the standard method. Here the acc~~ting ,
or rejecting of a hypothesis is identified with the experimenter's f\
willingness to accept or reject the new manufacturing process and 1'.
not with proof or disproof of the hypothesis.
Testing scientific hypotheses is much more complicated than has ,;
been illustrated here. It is not our intention to go into great detail
concerning the philosophical aspects of the problem, but our intention ;
is to point out that in testing hypotheses one uses inductive reasoning- ;
reasoning from the particular to the general. That is to say, from a !
small set of observations one draws conclusions about what would {:
happen ifthe totality of observations were taken, where the number of
observations is probably unlimited and many ofthem are in the futurc. 1·
Thus the scientific hypothesis is concerned with taking a relatively few ,,
r
!
~
STATISTICAL CONCEPTS
observations and predicting what will happen when future observations
are taken. This type of reasoning-from the particular to the general
41
-cannot be made with certainty, and probability measures its un-
certainty.
When the hypothesis H 0 is formed and the experimenter takes
obsenrations and uses them as a basis for either accepting or rejecting
H 0 , he is Hable to two kinds of error, as follows:
I. The hypothesis H 0 might be true; yet on the basis of his observa-
tions the experimenter might reject H 0 and say that it is false. This
is gene rally referred to as error of the first kind or type 1 error; briefly,
it is the error of rejecting a true hypothesis.
2. The hypothesis H 0 might be false; yet on the basis of his observa-
tions the experimenter might accept H 0 as true. This is generally
referred to as error of the second kind or type 11 error; briefly, it is
the error of accepting a false hypothesis.
We should like to minimize the likelihood Qr probability of making
either of these two errors. However, in general, for a fixed number of
observations, if we decrease the probability of making an error of one
type, we increase the chances of making the other. P(I) and P(II)
will represent the probability of making an error of type I and type II,
1
respectively. We shall generally use the power of the test instead of
the probability of type II error where
f3 = power of the test = l - P(II)
Since it is desirable for P(II) to be as small as possible, we shall want
p to be as la:rge as possible. The power of a test /3(8*), where 8 is the
parameter under test, is the probal>ility of rejecting the hypothesis
H 0 : (J = 80 when the parameter (J actually equals 8*.
In most scientific investigations it seems desirable for the probability
ofrejecting the hypothesis O = 00 to increase as the distance between
Oand 00 increases. That is to say, if the true value (J ofthe parameter
is close to (J 0 , it may not be too disastrous if the test procedure fails to
i rcject H 0 • However, if the true value of the parameter is not close but
quite distant from 00 , we would want the probability of rejecting H 0
to be relati vely large. The power of the test is a function of the
parameter as denoted by /3(0), and it is clear that O :s;;; /3(0) :s;;; l. It
might be pointed out that, if the hypothesis H 0 is (J = 00 , then
P(0 0 ) = P(I).
The procedure for tesliing a hypothesis H 0 : () = 0 0 about a param-
t eter (J in the frequency function f (x ;O) is as follows:
l. A random sample of values is taken from f(x;O), and sorne
function of these values is formed, say, O = g(x 1 ,x 2 , ••• ,xn)·
! l'
r;.

42 LINEAR STATISTICAL MODELS STATISTIOAL OONOEPTS 43

2. The distribution of ó, say, h(B;8), is found. This distribution
will not be independent of O.
3: The (j axis is divided in to two regions Rr and R N' where Rr is called
the region of rejection, and is such that P(O is in Rr l 8 = 80 ) = P(I).
That is to say, the probability that (j is in Rr when H 0 is true is equal to
the probability of the type I error. This is expressed by
P(I) = 1.h(0;00) dO.
4. The power of the test p(8) is expressed as
P<8*) =f. h(Q;8*) d6
powerful, but, since such a test rarely exists, we may restrict our class
of tests and find a uniformly most powerful test in this smaller class.
The experimenter should become well acquainted with the idea of
a power function in testing hypotheses.
We need a method for constructing tests that has sorne optimum
properties. The method we shall discuss is based on the likelihood-
ratio principie. Suppose we have a frequency function f(x; 81 ,8 2 ).
Suppose a sample of n values x 1 , x 2 , ••• , Xn is taken and that the
Jikelihood function L(x 1 ,x 2 , ••• ,xn; 8 1 ,0 2) is formed. Suppose we
desire to test the hypothesis H 0 : 01 and 8 2 are in w and that the altcr-
native hypothesis is H 1 : 01 and 02 are in !l - w. vVe forro the ratio
L -- L(w)

~~~¡
Rr

and is the probability that (J falls in the region Rr when O = 8*.
Of course, we should like to minimize P(I) and maximize p(O).
In general it can be shown for a fixed size of sample that, when p(O)
increases, P(I) increases, and vice versa. Therefore, the general pro-
cedure is to choose P(I) in advañce and then, from all functions (j
and all regions Rr such that P(I) is fixed, choosc a particular function
and region that maximize p(8).
1 where L(Ú) is the maximum of L respect to 01 and 02 subject to
f¡ the condition that 01 and 8 2 are in íl. L(w) is the maximum of L with
~ respect to 0 1 and 8 2 subject to the condition that 81 and 02 are in w.
f If L(w) is close to L(i"!), we expect H 0 to be true and we have no reason
f¡,· to reject H 0 ; if, however, L{w) is quite distant from L(i"!), we expect
l H 0 to be false and we reject H 0 • In other words we reject H 0 if L
~ is small and not if L is large. Clearly, L is su ch that O ~ L ~ l. So

'I;.
1
In examining the "''goodness" properties of a test function we need · we need to find a constant A and reJ· ect H 0 if our observad Lis less than
: ¡,. to examine only the power function. If the power function of a given or equal to A, where A is so chosen that the probability oftype I error
test is p(O) and if p(B) ~ p 1 (8), where {J 1(0) is the power function of any is «. To do this we need to find ·the frequency distribution of L when
H 0 is true. Let this be g(L ;H 0 ), with O ~ L ~ l. Then Jet A be
other test function, then we say the test function corresponding to
p(O) is uniformly most powerful. · Unfortunatcly, a uniformly most l· such that
powerful test function exists only in very few cases; p(O) may be
greatcr than any other power function ior sorne values of O but not for ~ P(I) = L'
g(L;H.J dL = "'
others.
To examine these ideas further we shall assume that we have a
sample of size n from the distributionf(x; 8 1 ,8 2). The ideas will hold
for a function of s parameters 0 1 , 8 2 , ••• , 811 , but we shall discuss the
r
~/
l'
r
11
¡.
The power of the test is

P<H,) = r g(L;H,) dL

Let y = h(L), where h(L) is a monotonic function of L. Then, if we

i~
function for s = 2. We consider a parameter space designated by i change variables from L to y, we get [let L = f(y)]
n, in this case two-dimensional, that is, 01 and0 2• This space contains
all the values that it is possible for 0 1 and 02 to attain. If we wish to
test a certain hypothesis H 0 , this means that we are going to make a {!
ex= L
Ag(L;H0 ) dL =f.h(.4)glf(y)]
O · h(O)
lf'(y)I dy

decision on the basis of observations of whcther the parameters occur t

within a certain region w of the parameter space íl; w is called the
parameter space under tlie null hypotliesis H 0 • If w is a single point,
the hypothesis is called simple; otherwise it is called composite. The
test function is a function of the observations, call it cf>(x), which is a
rule for stating whether the parameters are in w or in Q - w.
Of course we should like to obtain a test that is uniformly most
~; This states that we can use any monotonic function of the Iikelihood-
! ratio test as an equivalent test function; i.e., we shall reject or not
reject using y when we reject or do not reject using L.
The likelihood-ratio test in many cases has desirable properties as
follows:
l. If a uniformly most powerful test exists, it is often given by the
Iikelihood-ratio test.
 44 LINEAR STATISTICAL MODELS STATISTICAL CONCEFTS 45

2 .. -2 log Lis approximately distributed as a chi-square variable Now Lis a monotonic decreasing function of u; hence we can use u
if the sample size is large. as our test function. N ow the critica} region of L is O ~ L ~ A.
3. For most of the models we shall discuss, the likelihood ratio will This gives e ~ u < oo as the critica! region for u, where
give a test that has reasonably "good" properties.
4. The likelihood test is always a function of sufficient statistics. c=(-1 -l)(n-1)
A21n
Thc importance of property 4 will be$iven in Theorem 2.6.
We shall illustrate with an example. Suppose a random sample of Also, we see that u is distributed as F(l, n - l) if H 0 is true.
size n is selected from a normal population with mean µ and variance We see that the test function in the above example is based on the
a2. Let the sample value be x 1, x 2, ... , xn. Suppose we desire to sufficient statistics i, :E(x, - x) 2 • We shall now state an important
test the hypothesis H 0 : µ = O and that the alternative is µ =fa O. theorem concerning the power of a test and a set of sufficient statistics.
Now the points in the n space are all points µ, a 2 such that - oo < + Theorem 2.6 Suppose we desire to test a hypothesis H 0 about the
µ < oo, O~ a2 < oo. The points in the w space are all points µ, az parameters in the frequency function /(x; 01 , ••• ,O,). For any
such that µ = O, O ~ a 2 < oo. Since the w space is not just a single test function </l(x), there exists a test function based on the set of
point, the hypothesis is composite. The likelihood is sufficient statistics that has a power function equivalent to the
power function of the original test function </l(x).
1
.': exp [ - __.!:.._ :E(x. - µ)2] The discussion above has been based on the assumption that the
(a221T)"'2 2u2 '
sample size is fixed. That is to say, for a given set of observations,
l [ 1 - 2] e-n/2 an experimenter should use the "best" test function available to test
Clearly, L(!)) = ( 7TÚ2}1112 exp
2
- 2éí2 L(X¡ - x) = (
27ra2)"'2 the hypothesis H 0 •
However, if the experimenter has sorne control over his observations,
where a2 = ..!:. L(x¡ - x) 2 ~ he should take them in such a manner as to sattsfy the following two
conditions:
l. The probability of a type I error should be equal to a preassigned
In the w space, µ = O; so the o:iy quantity we need to maximize with
2
1 number-oc.
respect to is a • Clearly, !.··.
2. The power of the test should be equal to a preassigned number {J,
1112
L(có) - n e-n/2 when the true value of t~e parameter is larger than specified.
- (21T ~x~y112 For example, if a researcher is testing the hypothesis H 0 that two
varieties of wheat yield the same, he may not want to say that they
So
L = [:E(xi - x)2] n/2 1 yield differently unless the difference is at least 5 bushels/acre. On
:E~ the other hand, if the difference in yield is 5 bushels/acre or more,
~¡
:E(xi - x)2 Jn/2 ~;
he may then want the probability of rejectiiig H 0 to be quite high;
i.e., he may want fJ to be close to l.
= [ :E(x¡ - x) 2 + nx-2 We shall illustrate sorne of these ideas with an example. Suppose
a random variable X is distributed normally with mean Oand variance
1 ]fl~ 1. We wish to test H 0 : O = O. A random sample of size nis selected,
- x2
[ l+n and the sample mean X is used as the test function. Therefore, the
_:E(x¡ - i)2 distribution of X when O = O must be found. Under these conditions
X is distributed normally with mean O and variance l/n. We shall
= [l + u/~n - lJ'' take P(I) = .05 and Rr as the two intervals - oo to -oc 0 and oc 0 to
+oo. We ha'\le
- <Xo .j- f.oo .j-n e-!nXa dX
where U=
n(n -
:E(x¡ - x)
l)x2
2
.05 = P(I) =
i-oo .../271'
--=n i -oa
e-:a"n•L dX + -
«o .j2;
 STATISTICAL CONCEPTS 47
46 LINEAR STATISTICAL MODELS

which can be written more concisely 2 .5 If a random sample of size nis taken from the distribution e-X, where
X -:;, o, find the moment-generating function of tbe mean of the n observations.
1.9s¡v;; fñ usÍng Theorem 2.1, fmd tbe distribution of the mean of the n obser,•ations.
P(I) = l -
Í-t.96/V; ..j2;
_v_ e-ln..f' dX
.
2.6 lf yl' ... , Yn are independent and each is distributed N(µ,a 2 ), find the
maximum-likelihood estimates of µ and u2.
1.so¡v; fñ 2.1 In Prob. 2.6, show that the estimates are sufficient statistics.
_ ~ ch(.f- 9> dX
2
Also, p(O) = 1 -
Í -1.96/V n .j2TT
2.8 In Prob. 2.6, find the likelihood-ratio test of H 0 : µ =O with the
altornative hypothesis µ :#= O.
2.9 In Prob. 2.8, show that the likelihood-ratio test is equivalent to the
If we let Y = (X - O)Vn, we get ·
l.96-ov'; · 1 conventional t test.
2.10 In Prob. 2.6, it can be shown that x and a2 are sufficient complete
p(O) = l -
Í-1.gs-ov' n
_-= cY /2 dY
.j2TT
1

statistics. Find the minimum-variance unbiased estimate of µ + 3a2•

Thus it is clear that, as O increases, p(O) also increases, and the same
situation holds for increasing n.
2.6 Conclusion
The ideas presented in this chapter have induced a great deal of
excellent mathematics in the past thirty years. The .literature on
these subjects is now vast and increasing rapidly. Many ofthe topics
are the subject of much discussion, and, when an experimenter selecta
criteria to aid him in making decisions, he must settle for sorne degree
of arbitrariness. Many important topics have been omitted here, and
2.11 In Prob. 2.6, set a 95 per cent confidence interval on µ.
2.12 In Prob. 2.11, find the width and the expected width 'of the interval.
2.13 In Prob. 2.6, find the likelihood-ratio test for testing H 0 : a 2 = 5 with
tho alternative H .A.: a 2 :#= 5.
Further Reading
A.M. l\food: "Introduction to the Theory of Statistics," McGraw-Hill Book
Company, Inc., New York, 1950.
2 P. G. Hoel: "Introduction to Mathematical Statistics," John Wiley & Sons,
!ne., New York, 1956.•
3 M. G. Kendall: "The Advanced Theory of Statistics," Charles Griffin
& Co., Ltd., London, vols. I, II, 1946.

:;:::~,e:::.ha::n::~n:::e~~~~~i::~::th me~ ~d vfilmnce 1

4 H. Cramér: "Mathematica.l Methods of Statistics," Princeton University
Press, Princeton, N.J., 1945.
5 R. L. Anderson and T. A. Bancroft: "Statistical Thcory in Research,"
O McGraw-Hill Book Company, Inc., New York, 1952.
6 T. '\V. Anderson: "An Introduction to Multivariate Statistical Analysis,"
1, find: John Wiley & Sons, Inc., New York, 1958.
(a) The joint distribution of y 1 and y 2 • 7 S. S. Wilks: "Mathematical Statistics," Princeton University Press,
(b) The conditional distribution of y 1 , given 'fj, where ii = (y1 + Y2)/2. Princeton, N.J., 1943.
2.2 1f the joint distribution of y 1 and y 2 is 8 C. R. Rao: "Advañced Sta.tistical l\fothods in Biometric Resea.rch," John
f(Ytt Y2)·= OY1Y2 O < Y1 < Y2 < 1 Wiley & Sons, Inc., New York, 1952.
where O is a constant, 9 S. Kolodziejczyk: On an Important Class of Statistical Hypotheses,
(a) Firid O. Biometrika, vol. 27, 1935.
(b) Find the marginal distribution of y 1• 10 D. Blackwell: Conditional Expectation and U nbiased Sequential Estimation,
(e) Find the conditional distribution of y 1 , given y 2 • Ann. JJlath. Statist., vol. 18, pp. 105-110, 1947.
2.3 Jf x¡ (i = 1, 2, ... , n) are nonnally and independently distributed_with 11 E. L. Lehmann and H. Scheffé: Completeness, Similar Regions and Unbiased
meanµ and variance a 2 and if Z is distributed nonnally with mean Oand var111nce Estimation, Sankhyii, vol. 10, pp. 305-340, 1950.
1 and if xi and Z are jointly independent, find thc distribution of 12 R. A. Fisher: "Statistical Methods for Research '\Vorkers," lOth ed.,

(a) 2
1

ª
z
n

i=l
(xi - µ) 2 13
14
Table IV, Oliver & Boyd, Ltd., London, 1946.
R. A. Fisher: Applications of "Student's" Distribution, 111etron, vol. 5, 1925.
G. W. Snedecor: "Sta.tistical Methods," 5th ed., Iowa. State College Press,
1 n Ames, Iowa, 1957.
(b) u2 L
(xi - µ)Z + z2 15 "Student": Probable Error of the Mean, Biometrika, vol. 6, 1908.
i=l
n (xi - /t)2 16 R. A. Fisher: On the l\fathema.tical Foundations of Theoretical Statistics,
(e) ¡
1=1
nz2uz -
ta (X· _ µ)2 17
Phil. Trans. Roy. Soc., London, ser. A, vol. 222, 1922.
R. A. Fisher: Theory of Statistical Estimation, Proc. Cambridge Phil. Soc.,
2.4 Find the moment-generating function of ~ ª 2 • vol. 22, 1925.
i=l ª
 THE MULTIVARIATE NORMAL DISTRIBUTION 49

We shall now show that the function (3. l) satisfies conditions that
qualify it for a frequency function, i.e.,
(a.) f(y1 ,y2 , ••. ,y p) ~ O for ali values of Yi

(b) 1: L:·. ~ L: Ke-l<Y-.rw.Y-•> dy, dy, ... dy, = 1 (3.3)

Since the exponential function cannot assume negative values and

since ]( > O, condition (3.3a) is satisfied. We shall show that there
3 cxists a positive constant K such that condition (3.3b) is satisfied.
First lct us make the transformation from the Y - EL vector to a
vector Z by the relation Y - fL = Z, which can be written

The Multivariate Normal Distribution i = l, 2, ... 'p

Since dy;fdz1 = O if i =fa j and dy¡/dz¡ = 1, we see that the Jacobian of
the transformation is unity. Thus we get
fao • • • foo Ke-HY-p.),R<Y-p.) dy¡ dy2 ••. dyv
3.1 Definition
Justas the normal distribution is one of the most important fre-
f a:>

-a:> -<:n -ao

quency functions of one variable used in applied and theoretical
statistics, so the multivariate normal distribution is one of the most
rrhe transformation is one to one, and the en tire. y space transforms
important frequency functions of more than one variable. In this
into the entire Z space, as indicmted by the limits on the integrals on
section we shall investigate the multivariate normal distribution and the right side of the equation. Since R is positive definite, we know by
discuss sorne ofthe important properties that will be necded in succeed- ·
Theorem 1.31 that there exists an orthogonal matrix P such that
ing work. In this chapter we shall not discuss the estimating of
parameters or the testing of hypotheses about parameters in the multi- P'RP = D
variate normal. We shall reserve this discussion for a later chapter.
where D is diagonal wit!i the characteristic roots di of R (which are
We shall now define the multivariate normal distribution.
ali positivo) displayed on the diagonal. Thus we shall make the trans-
+ Definition 3.1 If y 1 , y 2 , ••• , y.,, are p random variables and if Y formation from the vector Z to the vector T = (ti) by the equation
is the p x 1 vector of these variables, we shall define the function Z = PT. By Theorem 1.75, the Jacobian is unity. The· range of
integration on each ti is from minus infinity to plus infinity, since an
l ' -!(Y-p.)'R(Y-p.)
f( Y1,Y2• · • · ,y11 ) = .1i.e -oo<y¡<oo; r; orthogonal transformation is simply a rotation. Thus,

f
•
1
i . ao oo ioo ,z
·i = l, 2, ... ,p (3.1)

to be a multivariatc (p-variate) normal frequency function if the

following conditions hold: l·
¡ J-ao • • • -ooKe-lZR dz1 dz2 • • • dzP
-CJ)

- K ioo ioo ... ice. e - lT'(P'RP)T dt1 d.t2 •.• dt

- p

l -oo -oo -00

(a.) R is a positive definite matrix whose elements rii are con- :1

r = K Ioo íoo ... íoo e-!T'DT dt 1 dt 2 ... dt fJ
stants. -oo -co -ao
(b) ](is a positive constant.
= K Í íco · · · íoo exp (:_ ! Ldit¡) dt 1 dt2 • • • dtv
(3.2) ct)

(e) µ¡, which is the ith element of the vector µ, is a constant. f~

48 ¡ -ao -ao -ao

r¡
 50 LINEAR STATISTICAL MODELS THE MULTIVARIATE NORMAL DISTRIBUTION 51
The Iast integral can be written as • corollary 3.1.1 The multiple integral

L: t-··L: K exp (-! l;d,t¡) dt¡ di,, • • • di,

f
-oo
00 IC1) ... I:n e-l(Y-11)'RCY-¡.i.) dy¡ dy2 •.. dy,,, =
-oo -oo
l ...
A

and does not depend on the value of the elements of the vector p..
- .
By using the frequency function of a univariate normal distribution + Definition 3.2 In the multivariate normal distribution
we see that ' J(e-!CY-¡.i.)'R(Y-µ)
j2;
Thusweget
L oo e-lci,1:
-oo
dt¡ =
1'/-;¡; we shall define (Y - p.)'R(Y - p.) as the quadratic form of the
multivariate normal.

3.2 Marginal Distributions

~·
J A/ d: · · ·
2
27T j2;- 7T K(27T)"' We shall sometimes be interested in the marginal distribution of
-
.:.]
i
= K -
d¡ d2
=
dp . fr d~ (3.4)
one of the random variables in the vector Y. We shall also have
occasion to need the marginal distribution of a subset of the random
i=1

For condition (3.3b) to be satisfied, we must set (3.4) equal to unity. variables in the vector Y. This will be the text of the next few ·
Weget theorems.
21
fidt + Theorem 3.2 The marginal distribution of any random variable
K í=t (3.5) in the p-variate normal is the simple normal (univariate normal)
= (2?T)P/2 distribution.
Thus the function given by (3.1) is a frequency function, for the The proof will consist in showing J:,hat the marginal distribution
conditions (3.3) are satisfied. We point out that ](is nota function of of y 1 is normal (the proof is general if we use y 1 instead of y¡}·
p.; (3.1) is a frequency function regardless of the value of the elements Proof: By definition,
of the vector µ. or of the positive definite matrix R.
1,
The joint distribution of y y 2 , • • • , yP will sometimes be referred
to as the ~istribution of the vector Y, and we shall sometimes write
_ g(y,) = I: I:· ··L: Ke-l<Y-iú'R<Y-•> dy2 dy3 • • • dy, (3.6)

f(Y) in place of/(y1 ,y 2 , ••• ,yP). Partitioning the vectors and the matrix of the exponent gives
+ Theorem 3.1 In the p-variate normal as given in Definition 3.1,
(Y - p.)'R(Y - p.) =[(y¡ - µ¡),(Y2 - u2n(R11 R12)(Y1-:-- µ¡ \
K=~
(2?T)P/2
R21 R22 Y2 - uJ
Proof: By Theorem I.41, where Y 2 and U 2 are the vectors containing the last p - 1 elements
%> of Y and p., respectively. .R 11 is the element in the first row and
IDI = Ild¡ column of R (that is, R 11 = r 11). The dimensiona of the re-
i=¡
maining matrices R 12 , R 21 , and R 22 are, therefore, determined.
Thus Multiplication gives

Since Pis orthogonal, we use Theorem l.39 and get IRI = IP'RPI
tf - (Y - p.)'R(Y - f!.) = (Y1 - /.t1)r11(Y1 - µ1) + (Y1 - µ1)R12(Y2 - U2)
=!DI; the result follows. + (Y2 - U2YR21(Y1 - µ¡) + (Y2 - U2)'R22(Y2 - U2) (3.7)
 52 LINEAR STATISTICAL l\IODELS THE MULTIVARIATE NORMAL DISTRIBUTION 53
Sincc R is symmetric and posith-e definite, we know that R 12 :::: which is the frequency function of the univariate normal, and the
R; 1 , that R221 exists and is symmetric, and that R 11 = r 11 > O. proof is complete.
Equation (3. 7) can be written
The result of this theorem gives us a logical reason to call the
(Y - p.)'R(Y - µ.) = (Y1 - µ¡)(Rn - R12R2lR21HY1 - µ1) frcquency function (3.1) a p-variate normal. \Ve shall now generalizc
+ [(Y2 - U2) + R;iR21(Y1 - µ1)J'R22[(Y2 - U2) + R;iR21(Y1 - µ 1)] this theorem.
(3.8) + Theorem 3.3 If the random variables y 1, y 2 , ••• , y 11 are jointly

Note that the first term on the right-hand side of (3.8) does not normal, the joint marginal distribution of any subset of s < p
involve any random variable except y 1 and, hence, that (3.6) of the random v~riables is the s-variate normal.
can be written The theorem in vector terminology would be stated: If the
vector Y is normally distri buted and is such that
g(yi) = KFe-HY1-1'1><Ru-R1 2R;~Ru><v1-111> (3.0)
where F is the multiple integral
«» i<:n • • • ioo e-HY:-(tTz-R221 lti1<111-1'1>lr~:{Yc(Uz-R221 Ru<Y1-111>n dY where Y 1 is a vector containing s of the elements of Y, then thc
~l1 i-oo -oo -oo
2
marginal distribution of the vector Y 1 is the s-variate normal.
1 where Proof: The proof follows the method of Theorem 3.2 almost
¡ y 1 is not a variable of integration; therefore, if y 1 occurs in thc
exactly, the only difference being in the partitioning of the matrix
and vectors in the exponent. That is to say, R 11 is no longer of
integral, it will be considered a constant with respect to the dimension 1 x 1, but is now s x s. Also, the scalar y 1 - µ 1
integration. If we let the vector U 2 - R;21 R 21 (y 1 - µ 1) = ~ is replaced by the s X l vector Y 1 - U 1. The resulting marginal
we can write (3.9) distribution of the vector Y 1 is
1
g(y¡) = l\.Fe-l<u1 -11 1><Ru -R12R22 Ru><Y1 -111) e-HY1 -t11)'(Ru -R12Ri:R:1><Y1 -U1)
't h(Y) - - - -8 - ------ ,--
where l' = J:oo J:'X) ... J:'X). e-HY:i-bYR:i2<Y:i-b> dy2 dy3 ••• dyP 1 - (211) ' 21R11 - R 12R-
22 R 21 ¡-!
1

-a; -::o -oo

- oo < Yi < oo; i = l, 2, ... , s
Using Corollary 3.1.1 to evaluate the multiple integral, we get and it is clear that /i(Y 1} is an s-variate normal frequency function,
for it satisfies Definition 3.1.
g(y¡) = ~ e-HY1 -111r<R11-R1 2R;:it:1>CY1 -111)
-oo < Y1 < oo
A¡

(27T)~(JJ-l) 3~3 Moments of the Multivariate Normal

where
IR22I~ The moments of any distribution are often useful, since the param-
f
But K IRI ! ('J.7T)~(p-l)
- IR 11 -
R 12R-221 R 21 '! -
¡
;
eters are generally a function of the moments. In the multivariate

l
normal distribution, all the parameters are functions of only the first

byTh~;e: ~:~~Rl ~·:~2 l

1
since, IR 11 _ Wealso
see that y 1 - µ 1 and R 11 - R 12R221 R 21 are both scalar quantities (.
;:~221 R 21 I. two moments. We shall prove sorne pertinent theorems ·relating
moments and parameters of the multivariate normal distribution.
+ Definition 3.3 The expected value of a matrix or vector A, which
and that R 11 - R 12R221 R 21 = l/a 2 (say) is positive definite, by we shall write E(A}, will be defined as the expected value of each
Theorem 1.49; so a 2 > O. Thus element of A. Thus, if A has elements a¡;, E(A} = (E(a¡;)).
+ Theorem 3.4 If the p X l random vector Y is normally distributed
oo < y1 < oo with frequency function given by Definition 3.1, then E(Y) = p..
54 LINEAR STATISTICAL MODELS THE MULTIVARIATE NORMAL DISTRIBUTION 55
Proof: By virtue of Definition 3.3 we must show that E{y¡) = µ¡ the joint moment-generating function of Yi - µ¡, where i =
for all i = 1, 2, ... , p. The definition of the expected value of 1, 2, ... , p, is
the random variable y 1 (again we shall use y 1 instead of y¡, to
facilitate notation-the proof is clearly general) gives .ilfY-•(T) = ]¡] Lt
.~p t,(y, - µ,)] = E¡e<Y-•>'"J
E(y,) = K L: I:· .. I: y,.-l(Y-l'l'R(Y-•> dy, dy, ... dy •. = I: I:... I: Ke<Y-•)'T-!(Y-•l'R(Y-,.¡ dy, dy, •.. dy,

V\7e have (3.11)

E(y,) = I: [L: I:... I:

Y1 Ke -l<Y-W'R<Y-•l dy, dy, .•• dy, dy, J Examining the exponent, we see that the following relationship
holds: ·
(3.10) (Y - µ)'T - !(Y - µ)'~(Y - µ)
By Theorem 3.2, the bracketed term is the marginal distribution = -!(Y - 1
p. - R- T)'R(Y - p. - R:...1T) + l T'R- T1
of y 1 , and (3.10) becomes
If we let µ + R- T = h, we get
1

E(y¡) =
i
-oo
oo 'l/
.1
aJ2w .
:1
e-<111-P1> 'ªª dy1 =
2
µ1
My_"'(T) =
1

Í
e!T'R- T -co •••
00

Í
00
-oo Ke-l<Y-h)R(Y-h) dy1 dy2 ••• dy11
and the proof is complete. which, by Corollary 3.1.1 (if we let the ijth element of R-1 equal
'Ve shall now investigate the variance of the random variables y¡ si;), gives
and the covariance of the random variables y¡ and Y; in the multivariate
normal distribution as given in Definition 3.l.
]f[Y -"'(T) = e~T'R-1T = exp (l f f t,t,.s¡;)
l=l ;=1
(3.12)
In a p-variate normal there will be p v'riances, one for each random In Eq. (3.11), let us evaluate
variable y¡, and !P(P - 1) covariances, oñe for each combination of two
of the p random variables, such as Yi and y 1 (i =/= j). We shall form o2MY-11-(T)
a p x p matrix whose diagonal elements will be the variances of the y, otm otn
and whose ijth element (i :¡!: j) will be the covariance of Yi and y1• at the point T = O. We obtain the equation
The matrix will be symmetric. If we let V represent the variance-
covariance matrix of a vector Y and if the elements of V are v¡;, then, o2My- 14(T)
'.:lt '.:ll =
[ 11
E[(ym - µm>CYn - µn)] exp .~ t¡(Y-; - µ,)
]
by definition of variance and covariance, we have for the frequency 1 u mu n •-1
function given in Definition 3.1 to be evaluated at the point T =O. The final result is
E{[Y - E(Y)][Y - E(Y)]'} = E[(Y - µ)(Y - µ)']=V <P.ilfY-11-(T) 1 . {cov (Ym·Y") if m # n
atm uln'.:l = E[(ym - µm>CYn - µn)J =
+ Theorem 3.5 V= R-1 • That is to say, the matrix in the T=O var (Ym) if 71l = n
exponent of a p-variate normal distribution is the inverse of the · The above is valid only if the function under the integral is
variance-covariance matrix of the vector Y. ,~;: such that the variances and covariances exist, such that differ-
Proof: We must show that the covariance of y¡ and y 1 (i =i= j) is the entiation can be perforrned under the integral, and such that
ijth element of R-1 and that the variance of y¡ is the ith diagonal integration and taking oflirnit of the vector~ are interchangeable.
element of R-1 • The proof will consist in finding the joint !' The conditions hold for the p-variate normal. From (3.12) we
moment-generating function of see that
(Y1 - µ1), (Y2 - µ2), · · · '(Y11 - µ11)
(J2Jfy-11-(T) 1 =s
otm Oln T-0 mn
If T is a p x 1 vector with elements t¡, then, by definition, · and the proof is complete.
56 LINEAR STATISTICAL l\IODELS THE l\IULTIV ARIATE NORMAL DISTRIBUTION 57
The vector of means p. and the variance-covariance matrix V
From (3.11) and (3.12) we have
completely specify the multivariate normal distribution. If we speak
of a vector Y as being distributed normally with mean p. and variance E(e<Y-11)'At] = e!l(A'VA>t = elt (A'VA>
2

matrix V, the density function can be written

So m.z(t) = e<A'11>t+1tll(A'VA> (3.13)
But it is easily verified that, if a random variable Z is distributed
-<X>* <y< a>*
as the univariate normal with meanµ and variance a2 , then the
moment-generating function of Z is
where co * represents a vector with each entry equal to oo. If we let mz(t) = +ll!a!
j · ·
eµt
1
V = ( V11 V , where V11 has d1mens1on s X s, t lien, by Theorem Using Theorem 2.1 completes the proof.
V21 V2
1.49, Vi""i1 = R 11 - R 12R221 R 21 • If we are ghren that a random We emphasize the fact that, if the y, are independently distributed

p x l vector Y = lvj is normal with mean p. = (~ j and variance

as the univariate normal, then it follows that any linear combination
of the Yi is normal, since, if the Yi are independent and normal, the
joint distribution of the y, is the multivariate normal and the conditions
V, then the marginal distribution of the s x ·1 vector Y 1 has mean of Theorem 3.6 are satisfied.
U 1 and covariance V 11 , and the exponent matrix is Vii 1 • So, if the
mean and covariance matrices of a normal vector Y are known, it
3.5 lndependence
is a simple matter to get the mean and covariance matrices of the mar-
ginal distribution of any subset of Y. In statistical theory and in applications it is often important to be
able to tell whether random variables are independent. In fact, one
3.4 Linear Functions of Normal Variables of the activities of an experimenter is to determine which variables are
independent of the variable under study. We shall state two theorems
It is sometimes stated that, if y 1 , y 2 , ••• , y 9 are each distributed as on independence of quantities in the multivariate normal distribution.
the univariate normal, then a linear combination of the Y; is distributed
normally. This is not necessarily true. However, if the Y; have a + Theorem 3.7 If Y has the multivariate nor"n1al distribution with
multivariate normal distribution, then a linear combination of Y; is mean p. and variance V, then the components Yi are jointly inde-
normal. This is the content of the following theorem. pendent if and only if the covariance of Yi and Ys for all i -:/= j
is zero, that is, if and only if the covariancé matrix V is diagonal.
+ Theorem 3.6 If the p x 1 vector Y with elements Yi has the Proof: First we shall show that, if V is diagonal, the y i are jointly
multivariate normal distribution with mean p. and variance V, independent [it is clear that V being diagonal is equivalent to
'P
then any linear combination of the yi, say, ¡ a¡y,, where the a¡ ~. the covariance of Yi and Yi (for all i =f:: j) being zero]. By Dcfini-
i=l r tion 2.2 it follows that we must show that, if V is diagonal, the
are constants, has the univariate normal distribution with mean f joint frequency factors into the product of the marginal distri-
P P P I·
i=l
.2 .2 a;a1v,,.
2 a;µ¡ and varianceJ=l&=l ¡·.
butions, which, from Theorem 3.2, are each normal. That is to
say, we must show that
p
P1·oof: Let Z = 2 a,y, = Y' A where A = (ai). The proof will t
f (Y1:Y2,• • • ,y p) = f i (Y1)Í2CY2) • • •f 11(Y p) (3.14)
i=l the moment-generating function of Z and t·
consist in finding where f(y1,Y2, ... ,y11) = Ke-l<Y-11rv-1cY-µ)
recognizing it as the moment-generating function of the normal
distribution. By definition, i·
tl
 ... ::.:~-:::.-,.
~

58 LINEAR STATISTICAL MODELS THE MULTIVARIATE NORMAL DISTRIBUTION 59

Thus we see that (3.14) is satisfied, and the joint independence is where /1(Y 1), f 2(Y 2), ... , li{Y0 ), are the marginal distributions of
established. Y1 , Y2 , ••• , Y0 , respectively.
Next we shall show that, if the Yi are jointly independent, V
is diagonal. In other words, if (3.14) holds, V is diagonal. We It is clear that, if the t'"º vectors Y 1 and Y 2 are independent, then ·
every element in Y 1 is independent of every element in Y 2 •
ha ve
+ Theorem 3.8 If the p x 1 vector Y is normally distributed with
vi; = cov(y¡,y1) = E[(yi - µ,)(y; - µ;)] i-=/; j
mean fL and covariance matrix V and if Y 1 , Y 2 ,-: •• , Y0 are
= 1: 1:... i: <u, - µ,)(y, - µ,l f(y,,!f2· ... •u.> dy, ••• dy,
subvectors of Y such that

But, since y, and y 1 are independent, we can use (3.14), and the
integral becomes

1: fi(y,) dy, i.: /2(!12) dy2 •• • 1: (y, - µ,)f,(y,) dy, •••

1: (y, - µ,)f,(y,) dy, • •• 1: f ,(y,) dy,

then a necessary and sufficient condition that the subvectors be
jointly independent is that all the submatrices V¡¡ (i =f= j) be equal
to the zero matrix.
But 1: (y, - µ,)f,(y,) dy, = <! Proof: By the definition of V it follows that

so. vii = O for all i =/: j, and the proof is complete.

To prove sufficiency, let us assume V¡1 = O for ali i =I= j. If
This theorem gives us a relatively easy method of determining
V¡¡ = O, for all i =I= j', then RH =O (i =1= j), where R = y-1, and
whether jointly normal variables are independent and in effect states
that, if a set of variables are jointly normal, they are independent
if and only if they are pairwise uncorrelated. The theorem is not /(Y)= Ke-l<Y-•)'V-'<Y-•> = /( exp [-i .t (Y, - U,)'V¡;1(Y, - u,¡]
true for distributions in general. And it should also be reemphasized
that it is possible at the same time for y 1 and y 2 each to be normally
distributed and for their ,joint distribution not to be_ the multivariate
normal.
where Oi is a constant, and (3.15) is satisfied.
+ Definition 3.4 Let us suppose the p x 1 vector Y with subvectors To prove necessity, let us assume that (3.15) is true and find
Y¡, Y2 , ••• , Y0 (q ~ p), where V¡¡ (i =F j). Let Yim denote the nith element of the subvector Y¡.
Then the mnth element of the matrix V iJ is E[(y im - µimHY in - µ 1n)]

(-~~)
where E(y¡m) = µ¡m, and equals

y= 1: 1:· ••1: (Yim - PtmHY1n - P1nlfi(Y,)/2(Y2) • · •

yº fq(Y0 ) dy1 dy2 • • • dy11
has a multivariate distribution. We shall say that the vectors This will factor into the product of multiple integrals, and one
are jointly independent if the joint distribution of Y factors into factor of this product will be
the product of the joint marginal distribution of Y1 , Y2 , ••• , Y0 ,
that is, if
(3.15)
'1
GO LINEAR STATISTICAL MODELS
where dY i is the product of the differentials of the elements of Y¡.
This integral is clearly zero for all m and n; hence V¡; = O, and
the proo~ is complete.
Before we illustrate the foregoing theory with examples, we shaU
state a theorem that will sometimes aid us in finding the vector mean
of a multivariate normal distribution. Suppose Y is normal with
mean µ and variancc V, that the functional form of the distribution
is given, and that we desire to find E(Y). This can be done by finding
each element E(y¡), but that would involve a great deal of integrating.
If the quadratic form Q is given in matrix-and-vector form, we can
pick E(Y) from Q. However, if Q is not given in matrix form but if
the multiplication is performed and the terms collected, it may be
difficult to factor so as to obtain E(Y). For example, if Q is given as
THE l\IULTIVARIA TE NORl\IAL DISTRIBUTION 61
is the same as the vector that satisfies <JQ/ <JY = O. That is to
say, the vector fL is the solutio~ to the system <JQ/oY =O.
We shall no\\' illustrate the theorems with two examples.
3.5.1 Example. Let y1 and Yz be jointly distributed as thc
uivariate normal with quadratic form
Q = Y~ + 2yi - Y1Y2 - 3y1 - 2y2 +4
Suppose we desire to find the following quantities: E(y¡), E(y 2),
cov ·(y 1 ,y 2), var (y 1), and var (y 2), where var and cov denote variance
and covariance, respectively. These quantitieswill befound by getting
the vector of means and the covariance matrix. Since the quadratic
fo~m Q can be written ·

Q = {Y1
\y2
-6)'( 3-l)f\y2 -6)
-2 -1 2
Y1
-2
Q =(Y - fL)'R(Y - fL} = Y'RY - fL'RY - Y'RfL + fL'RfL
we sce that Y'RY is the only term that involves only second-degree
6 terms in y 1 and y 2• Thus, from Q we select only the second-degree
we see that E(Y) = (. ). But if the multiplication is effected so terms and evaluate the matrix R. We have
that Q is given as 2

Q = 3y~ + 2y~ - 2y1y 2 - 32y1 + 4y2 + 92 Y'RY =y~ - Yí?'2 + 2y: =

{Y1\'
\yJ ( -!1 -!)fY1\
\yJ
2
it may be difficult to factor, and E(Y) will not be easily obtained. A
-·i)
¡
,¡ method for obtaining E(Y) that may prove useful at times is as follows.
;~ . So R = ( 1 and
+ Theorem 3.9 If y 1 , y 2 , ••• , y"' are jointly normally distributed -! 2
with quadratic form Q, the vector of means E(Y) = fL is the
vector that is the solution to the system of equations <JQ/ <JY = O. From the matrix V we pick out the quantities var(y 1) = ~, var(y 2) = f,
Proof: The joint frequency can be written cov(y 1 ,y 2 ) =f. The means can be found by solving the system of
equations <JQ/oY = O.
f(Y) = KcQl 2
()Q
and the value of Y that maximizes f (Y) is clearly the value of Y ' We get - = 2y1 - y2 - 3 =O
for whÍch Q =O. Since Q =(Y - µ)'R(Y - µ) and since R is l ºY1
positive definite, we know that Q can be zero only at the point r
where Y - µ =O, in other words, at the point where Y= p.. r
oQ = -vi + 4y2 - 2= o
OY2
Therefore, fL is the ,point that maximizes f (Y). Since f (Y) is l
continuous and has derivatives, it follows from Theorem l. 70 l The solution yields y 2 = 1, y1 = 2; so we have E(y 1) = 2, E{y 2) = l.
that the solution to the system of equations o/(Y) I oY = o gives f As a check we can write the quadratic form Q in factored form and get
the point that maximizes /(Y) and that that point is fL by the f
argumentabove. But, since <Jf(Y)/oY = Ke-Q'2 (-1/2)(oQ/oY) =
O, it follows that the vector satisfying :
t Q= {Y1
\y2
-2)'(-!
-1
1 -!)fY1
2 \y2
-2)
-1
=y~+ 2?'2 - Y1Y2 - 3y1 - 2y2 +4
Í!
te
<Jf(Y) =O f If we want the marginal distribution of y 2 , we
see from Theorem 3..3
.<JY that y 2 is normal with mean 1 and variance t.
 l:
62 LINEAR STATISTICAL MODELS THE l\IULTIV ARIATE NORl\IAL DISTRIBUTION 63
3.5.2 Example. Let y1 , y 2 , and Ya be jointly normal with means + Theorem 3.10 If the p x l vector Y is normally distributed with
equal to 1, -1, and 2, respectively, and with covariance matrix mean 11 and covariance V and if the vector Y is partitioned in to two

= (~ j = ~)
V=(-~ -~ D
subvectors such that Y and ff Y*

V= (Vu V12)
and
V21 V22
Suppose it is desired to write the joint marginal distribution of y 1 and
are the corresponding partit.ions of Y*, 11, and V, then the con-
Ya· From Theorem 3.3 it follows that y 1 and Ya are jointly normal with ditional distribution of the q x 1 vector Y 1 given the vector
means 1 and 2, respectively, and with covariance matrix
Y2 = Y: is the multivariate normal distribution with mean U 1 +
V12V;l(Y: - U 2 ) and covariance matrix (V 11 - V 12V221 V 21 ).
Proof: By the definition of a conditional distribution we get
1
y y* _f(Y1,Y:) - [l/(217)Jl/21Vl!]e-~<Y*-11rv- (Y*-11) •
VT3 is obtained by striking out the second row and second column from g( 1 1 2) - t 2(Y*)
2
- , * . _1 * >
[1/(217) 1(J>-q>1v221•1e-~<Y: -U:> Vu<Y:-U:
(3.16)
V (since the joint density of y 1 , y 2 , and y 3 is to be integrated over the y 2
space). Since Vt3 is diagonal, we see that y 1 and Ya are independent. where /(Y 1 , Y:) is the joint distribution of the vectors Y 1 and
If it is desired to obtain the marginal distribution of y 1 , we should Y 2 with Y: substituted for Y2 , and f 2 (Yi) is the joint marginal
strike out the rows and columns pertaining to y 2 and Ya (the second distribution of the elemtmts of Y 2 evaluated at the point Y 2 = Yi.
and third) from V and obtain the variance of y 1, which is equal to 2. Ifin (3.16) we replace Y*, p., and V with the corresponding sub-
Using Theorem 3.8, we see that Ya is independent of both y 1 and y 2 matrices and simplify, we get (using Theorem 1.49)
but tl1at y 1 and y 2 are not independent of eac~ other. g(Y1 1Y * tri
2)
Suppose we wanted to find the distribution of the linear combination
of Y given by A'Y, where A' = (1, -2, 1). By Theorem 3.6, we know
that A'Y has the univariate normal distribution with mean equal to
A' 11, which is 5, and variance A'VA, which is 13. We can also find K (3.17)
by examining Q. From Theorem 3.1 we have where K* = (217)q 12 IV 11 - V 12V221 v 21 ¡1 12, and, since V 11 -
V 12V221 V 21 is positive defiñite, the theorem is proved.
K=~= - 1.
(217),,,2 1v11 (211"),,,2 It should be pointed out that g(Y1 1 Y:) is a frequency function of
Y1 for any val ue of Yi. If the matrix in the exponent of J(Y) is
Hence, K= 1 R = V-1 and if, corresponding to the subdivision of V in Theorem
(217)
3
'2.Jª 3.10, we get

R = (Ru R12\
3.6 The Conditional Distribution
R21 R2j
Suppose we have two random variables y 1 and y 2 that have a tben Rn = [Vn - V12V2°21V21r1
bivariate normal distribution with means µ 1 and µ 2 , respectively,
So, if we know the expone1~t matrix ofj(Y) and want the exponent
and covariance matrix V. Suppose we want to estimate the expected
matrix of the conditional distribution of Y1 given Y 2 = Yi, we just
value of y 1 for a given value of·y 2 • This suggests the use of the con-
cross out the rows and columns of R pertaining to the variables in Y 2 •
ditional distribution of the multivariate normal.
This leaves R 11 • The covariance matrix of the conditional clistri-
In this section we shall prove sorne important theorems about con- bution is Rii 1 •
ditional distributions.
 64 LINEAR STATISTICAL MODELS THE MULTIV ARIATE NORMAL DISTRIBUTION 65
+ Theorem 3.11 E(Y 1 1Y:) =· U 1 + V12V22 (Y: - U 2), where 1
wc shall not explicitly indicate the value of Y 2 • If we consider
E(Y 1 1Y;) means the expected value of the random variables in the ••• , yP as given, we get for the mean of y 1
y , y3,
conditional distribution of Y 1 given Y 2 = v:. 2
p p
Proof: The proof is immediately obvious from inspection of Eq.
(3.17).
E('fii) = µ¡ - ::¿ piµi +¡::2
i=?.
L f3iYi (3.20)

+ Th'!orem 3.12 The covariance matrix of the conditional distribu- In (3.20), we see that the rate of change of E(y 1} per unit change in
tion of Y 1 given Y 2 = v:
does not depend on v:. y is f3J· Thus /3; is called the partial reg1·ession coefficient; it indicates
p,..oof: The proof of this theorem is obvious when we examine Eq. tlie change in E (Y 1) per uní t change of y i w hen the other y¡ (i =I= j) remain
{3.17) and see that the covariance matrix of the conditional distri- unchanged.
bution is Rií1 = V 11 - V12Vi;/ V21 and does not in vol ve Y:. In the conditional distribution of Y 1 given Y2 , we shall define the
partial correlation coejficient Pii·rsl···p to be the correlation between
We shall adopt the notation vii = ai1 to indicate the covariance of
'!J; and y, (which are in Y 1) in the conditional distribution of Y1 given
= j) in the joint distribution of y 1 , y 2 , ••• ,
y¡ and Y; {variance of Yi if i
Y 2 , where Yr, Ys, y,, ... , and y,, are in Y 2 • For example, p 13.567 will
y,,. We have shown that the covariance of y, and Y; equals <I¡¡ in the
represent the correlation between y 1 and y 3 in the conditional distri-
joint marginal distribution of any subset of Y1> y 2 , • • • , y,, that contains
bution of y 1 , y 2 , y 3 , and Y.a given y 5 , y6 , and y7 •
Yi and Y;· However, as is stated in Theorem 3.10, the covariance of
r·.
Yi and y 1 in the conditional distribution of Y1 given Y 2 = v: is the
From this it follows that
ijth element of Ril.1 • The following notation will be adopted: ai;·rst··-p
will mean the covariance of Yi and Y; in the conditional distribution of
Y 1 given Y 2 = Yi, where the subscripts on the right-hand side of the
dot all appear in Y 2 and the subscripts i andj must appear in Y 1 • For The partial correlation coefficient Pii·ral···p indicates the correlation
example, o-12•456 means the covariance between y 1 and y 2 in the joint bctween Yi and Y; when the variables Yr, Ys, y,, ••• and yP are held
conditional distribution of y 1 , y 2 , and y 3 given y 4 , y 5 , and y 6 • constan t.
The multiple-correlation coefficient p 1 will be defined as the correlation
+ Theorem 3.13 a 11 •23 •..P ~· ª11· between the two random variables y 1 and z, where
P1'Dof: The proof is as follows: ªn·2-'3···p = R-¡1 = r¡~ = v11 -
V 12Vi21 V 21 ~ v 11 = aw since V12V221 V21 is positive semidefinite
and, hence, cannot be negative. Thus,
In Eq. (3.17), if Y 1 is-1 x l and we make the substitution _ E{(y1 - µ 1 )[z - E(z)]}
P1 - --:::============:::::::::=
.J E(y 1 -µ E[z - E(z)]
1)
2 2
e= (y1 - µ 1) - V12V;~(Y2 - U 2) (3.18)
Now E{í_y1 - E(y1 )][z - E(z)]} = E[(y 1 µ 1 )V12V;i(Y2 - U2 )]
-
it f ollows that e is normally distributed with mean O and variance
= E[(y1 - µ1HY2 - U2)'V2;1V21] = V12V'2clV21
v 11 - V12V;}V21 = a2 (say)
Also
In Eq. (3.17), if we let the 1 x (p - l) vector V 12V221 = ~ = {{3¡),
we get (writing y1 for the conditional random variable) and E[z - E(z)] 2 = E{[z - E(z)][z - E(z)]'}
(3.19) = E(V12V;l(Y2 - U2HY2 - U2)'V;fVn]
= V12V;lV21
which is called the multiple regression equation of y 1 on y 2 , y 3 , ••• , y,,.
To indicate the conditional distribution of Y 1 given Y 2 = v:, we So (3.21)
shall simply write itas the conditional distribution of Y1 given Y2 and
 66 LINEAR STATISTIOAL l\lODELS
+ Theorem 3.14 The multiple-correlation coefficient satisfies the
inequality O~ p'f ~ l.
Proof: py = 1 -(u11 .23 •..p/<1 11 ). ByTheorem3.13,0~(<1 11 . 23 ...p/<111) ~ 1
and the result follows.
From Eq. (3.21) we obtain
C111 - ªii°·23···p 2 either (1) the joint distribution of y 2, Ya, ... , y.,, is known, or (2)
=Pi
<Tn
u 11 is the variance of y 1 in the marginal distribution of y 1 ; u11 •23 ...P is the
variance of y1 in the conditional distribution of y 1 given y 2 , y3 , ••• , yi>.
The quantity cr 11 - <T1i.23 ...P is the amount that the variance of
y 1 (when y 2 , ••• , yP are ignored) can be reduced by sampling from the
distribution of y1 when y 2 , y 3 , ••• , Yi> are not ignored but are known.
For example, let us assume that the heights and weights of indi-
viduals in a large city follow the bivariate normal distribution. If
we ignore the weights of people and compute the variance of the heights
of all the population of the city, we get a number which we shall call
u 11 • If, now, we compute the variance of the heights of only those
,'I
individuals who weigh 150 lb, it is quite clear that we shall get a number,
say, u 11 .2 , su ch that <1 11 ;?: u 11. 2 • That is, it is evident that the variance
of the heights of all people will be equal to or larger than the variancc
of the heights of people in the class restricted to persons who weigh
150 lb. If <T 11 = u 11• 2 , then u 11 - u 11 . 2 = O, and the variance of
heights is not reduced by sampling from the restricted class. If
<T 11 . 2 = O, then u 11 - u 11 . 2 = <T 11 , and thc variance is reduced by an
amount u 11 by sampling from the restricted class. In many investiga-
tions the important thing is not the actual amount that the variance
is reduced but the fractional reduction. Therefore, the square of
the multiple-correlation coefficicnt is an important quantity; it gives
usa measure of the fraction of reduction in the variance of a random
variable when we use related variables.
If we examine the multiple-regression equation (3.19) we can also
seo thc utility of the multiple-correlation coefficient p 1 • In (3.19),
if y 2 , y 3 , ••• , Yv are given (fixed), then the variance of y1 equals the
variance of e, which is v11 - V 12Vz-21 V 21 • On the other hand, if the
y¡ are not fixed but all that is lmown is that y 1 , y 2 , ••• , Yi> are jointly
normal, then the variance of y 1 is v11 • As before, the fractional
reduction in the variance of y 1 that is dueto y 2 , y 3 , ••• , Yv is p¡.
Sometimes rnultiple regression is considered apart from the multi-
variate normal. That is to say, let us assume that the random variable
e is normally distributed with mean O and variance u2 and that y¡ (i =
2, ... , p) are known. Also assume that the relationship of the random
variable y 1 to these quantities is given by (3.19). This could be stated
THE MULTIVARIATE NORl\fAL DISTRIBUTION 67
a.s follows: Assume that y1 is normally distributed with mean µ1 +
f p;(Y; - µ;) and variance a 2 • It is then sometimes desired to find
t.'1~ increase in the variance of y1 if regression is not used; that is to
say, it is desired to find the marginal distri bution of y 1• It is impossi ble
to obtain this from the conditional distribution of y 1 given Y 2 unless
y 2, '!Ja, .•. , y'P are jointly independent of y 1 • This can be seen from
the fact that by the variance of y 1 when regression is not used we mean
the variance of the marginal distribution of y 1 • It is clear that the
joint distribution of y 1 , y 2 , ••• , Yi> (from which the marginal distri-
bution of y 1 must be obtained) is equal to the product of the conditional
distribution of y 1 given y 2 , Ya, ••. , y P and the joint marginal distribu-
tion of y2, y 3, ... ,y.,,. Ofcourse, ify 1 isindependentofy 2,y3, ... ,yri,
then the conditional of y 1 cquals the marginal of y 1•
Let us consider the case in which p = 2, and let y1 =y and y 2 = x.
The regression equation is
y = µ 11 + {J(x - µx) + e (3.22)
where x is known and where e is distributed normally with mean O and
variance a 2 • This indicates that we know that, when x = x 0 , x = x 1 ,
or x = x 2, then y is normally distributed with mean µ 11 + p(.T0 - µx),
Pv + p(x 1 - µz), or µu + P(x 2 - µz), respectively, and with variance
a2. The probability that y is between a and b (this requires the mar-
ginal distribution of y) is not known unless we know the relative
probabilities that we are sampling from the distributions correspond-
ing to x 0 , x 1 , and x 2 • In other words, we need to know the joint
distribution of x 0 , x 1 , and a: 2 •
Sometimes we are not primarily interested in how regression reduces
the variance of y¡ in Eq. (3.19). We postulate that y 1 is distributed
according to Eq. (3.19) for ccrtain known Y; values, and we want to
estimate µ 1 , µ.i, the p¿, and u2 and to test certain hypotheses about these
parameters. This will be discnsscd in dctail la ter.
3.7 Additional Theorems
Sorne additional theorems will be stated in this section; sorne proofs
will be asked for in the problems (y 1 , y 2 , ••• , yP are assumed to be
jointly normal).
+ Theorem 3.15 In the multivariate normal distribution, y 2 , y 3 , ••• ,
y P ar.e jointly independent of y 1 - µ 1 - V 12V2z1(Y 2 - U 2).
+ Theorem 3.16 If cr 12 = cr 13 = · · · = <l¡p =O, the partial regres-
sion coefficients P; in (3.lD) are ali zero.
 .'fi'f'':•"I''
j ••
1.

68 LINEAR STATISTICAL l\fODELS THE .MULTIVARIATE NORMAL DISTRIBUTION 69

+ Theorem 3.17 If a 12 = a 13 = · · · = CTIJ> = O, then <T 11 = a 11 •23 ••.P. where µ 1 = µ 2 = · · · = µ"' = 11., say, then the frequency function of
y is equivalent to the joint distribution of p independent observations
+ Theorem 3.18 If CT 12 = a 13 = · · · = CTIJ> = O, the multiple corre- from the univariate normal with mean oc and variance CT2 • The par-
lation coefficient Pi equals zero. ticular case in which a. = O, that is, where Y is distributed N(0,CT21)
+ Theorem 3.19 If a 13 = <T 14 = · ·· = a1p = <T2a = <Tz4 = · ·· = plays an important part in regression and analysis-of-variance theory. r•

CT2P = O, then the partial corre]ation coefficient of y 1 and y 2 givcn

r + Theorem 3.23 If a vector Y is distributed and if Z = PY,
N(O,a21)
y 3 , y 4 , ••• , y1' equals the simple correlation of y 1 and y 2 ; that
\\ where P is an orthogonal matrix, then Z is distributed N(O,a21),
is, P12·a.i···p = P12· also. That is to say, if Y is distributed N(0,CT2 1), any orthogonal
+ Theorem3.20 Ify 1 , y 2 , ••• , y,,arejointlynormal withcovariance transformation leaves the distribution unchanged.
matrix V, the covariance matrix ofthe conditional distribution of Proof: By Theorem 3.22 we know that Z = PY is normal; so we
Y 1 given Y 2 can be obtained by striking out the rows and columna need only find the mean and covariance matrix of Z, and the
from R = v-1 that correspond to the elements of Y 2 and taking proof is complete.
the inverse of the remaining matrix.
3.7.1 Example. Suppose that the 4 x 1 vector Y is distributed
+ Theorem 3.21 The vector mean of the conditional distrihution of N( µ.,V) and that the quadratic form (Y - µ.)'R(Y - µ.), is given by
Y 1 given Y 2 , i.e., the regression function E(Y 1 1Y 2), is the
vector that is the solution of the equations iJQ/ iJY 1 = O, where Q = 3yr + 2y~ -1- 2yi + y¡ + 2y 1Y 2

Q is the quadratic form (Y - µ.)'R(Y - µ.) of the joint distri- + 2y3y 4 - Oy 1 - 2y 2 - 6y3 - 2y 4 +8
bution of y 1 , y 2 , ••• , Yp· We shall find the following: (1) f(y 1 1y 2 , y 3 , y 4 ), (2) f 1 (y 1 ), (3) Pu>
It was shown in Theorem 3.6 that, if Y is distributed as the multi- (4) p 1n, and (5) the multiple-correlation coefficient p 1 of y 1 on y 2 ,
variate normal, then any linear combination of Y is distributed norm- Ya' and Y4·
ally. For example, if A = (a.,) is a p x 1 vector of constants, then First we shall find R and V. These can easily be found by examining
. p
only the second-degree terms of Q, that is, ay¡ + 2yi + 2yi + y¡ +
the scalar quantity A'Y = I <X;Y; is normally distributed. This will
'2Y1Y2 + 2y3Y4 - This gives
i==l
be generalized to the case where A is not a vector but a q x p matrix.

(: ~ : :¡ (-!
-l
+ Theorem 3.22 If the p x l vector Y is distributed normally with
mean p. and covariance V and if B is a q x p matrix (q ~ p) of R= V=
rank q, the vector Z = BY is distributed as the q-variate normal o o 2 1 o o : _ :21)
distribution with mean B µ. and covariance BVB'.
o o 1 1 o o -1
The proof of this theorem will be left for the reader.
This theorem in effect says tliat the distribution of q linearly Next we shall find p.. This can be found by solving iJQ/iJY =O. We
independent linear functions of variables that have a multivariate get
normal distribution is a q-variate normal. <JQ = 6y¡ + 2y2 - 6= o
Since a multivariate normal distribution is completely specified by ()yl
its mean and covariance, we shall use the notation "Y is distributed
N(p.,V)" to indicate that the p x 1 vector Y is distributed normally oQ = 2y1 + 4y2 - 2 =o
with mean p. and covariance matrix V. ºY2
If the covariance matrix of a normal distribution is diagonal, then,
as shown in Theorem 3. 7, the variables are mutually independent. In OQ = 4y3 + 2y4 - 6 =o
ºYa
particular, if the covariance matrix of a multivariate normal is a 2 1,
where CT2 is a scalar, it follows that the variables are independent and oQ = 2y3 + 2y.. - 2 = o
that each has a variance a 2 • If a vector Y is distributed N(p.,a21), oy4
 ~-.~·1'-~·

~ rr•' '

70 LINEAR STATISTICAL l\lODELS THE l\IULTIVARIATE NORMAL DISTRIBUTION 71

The solution is Yi = 1, y 2 =O, y 3 = 2, y4 = -1; so obtained by striking out the row and column of R corresponding to
y 2 (i.e., second row and second column). This gives

R 134 = (: :
o 1
~)
1
R!a\ =
-
(! ~ -
o -1
0
1)
2
So
o
l. We must exhibit the mean and varíance of the distribution of P13·2 = .J(!)(l) =O
f(Yi 1y 2 , Ya, y4). We shall do this two ways.
a. We shall use Theorem 3.10. We get 5. The multiple correlation coefficient of y 1 on y 2 , y 3 , y 4 is

Jv12 V;:lV21
Vi2 = (-l O O) U2 =(O 2 -1) Pi=
Jvu

v22 = oi
(
o1 -1
º) v;:f = (! : ~) where V¡¡ is defined in part 1 of this example. Thus

o -1 2 o l l
Pi= .J11_! = fI_
Ji ,J6
u1 + vi2 v;f(Y2 - U2> = 1 - !Y2 Another way to find p 1 is to find a 11. 234 first. This we do by striking
out rows and columns 2, 3, 4 from R and inverting the result. We
V11 - Viz v- 1
22 V21 -- ~
o -
_i._ -
15 -
1
3 get a 11 . 234 = r
Also, V 11 = a 11 = i; so
Therefore, f(Yi 1y 2 , y3 , y4) is a normal distribution with mean l - !Y2
and variance .¡.
_j~n -
Pi-
ª1i
O'u234 _
- Ji - A
-2--
o
l _ -
6
b. We shall use Theorems 3.20 and 3.21. In that case we get
R 11 = 3; Riii = l = variance. For the mean we get Problems
3.1 If y 1 , y 2 , and y 3 are jointly normal with quadratic form
oQ = 6yi + 2yz - 6 =o
ºY1 Q = 2y~ + 3yi + 4yi + 2Y1Y2 - 2Y1Y3 - 4Y2lJ3 - 6yi - &y2 + 10y3 + 8
(a) Find R.
Solving for Yi gives y 1 = --ly 2 + 1, which is the mean of the distri- (IJ) Find µ.
bution/(Y11 Yz,y3,y4)· (e) Findf(Y1 1 y 2,y3)·
2. To find the mean and variance of / 1{y 1), we strike out the rows (When a normal distribution is rcquired it will be sufficient to state the vector
mean ami covariance matrix of the distribution.)
and columns of p. and V that correspond to y'2, y3 , y 4• This shows us
3.2 · If a vector Y has a multivariate normal distribution with mean µ. =O
that Yi is distributed N(l, i). and covariance matrix ·
3. To find p 12 we must first find the covariance of the joint distri- '
bution of y 1 , y 2 • We get (let V* be the covariance matrix of y1 , y 2 )

V*= i -i)i P12

-}
= --- = -
l
----= =
.J6
- -
V=(~~)
( -! J(i)(!) J6 6
(a) Find R.
(b) Find the marginal distribution of y 1 •
(e) Find the joint marginal distribution of y 1 and y 2 •
4. To find p 13. 2 we must find the covariance of the conditional (d) Find the conditional distribution of y 1 , given y 2 and y 3 •
distribution of y 1 , y3 , and y 4 given y 2 • The covariance matrix is (e) Find P12• P13' and Pza·
72 LINEAR STATISTICAL l\IODELS THE MULTIVARIATE NORMAL DISTRIBUTION 73
(f) Find PIN and pf. 3.10 In the trivariate normal, show that
(g) In (d), find P3 and P2·
(h) Find u11•2 , u11•3 , u11•23 , and <1'12•3 • P12 - P13P23
(i) Find the mean and variance of Z, where Z = 4y1 - 6y2 +Ya· Pl2·3 = V1 .. V 1 2
- Pis - P23
3.3 If a vector Y has a multivariate normal distribution with mean
3.11 Prove Theorem 3.22.

Furtber Reading
1 C. R. Rao: "Advanced Statistical Methods in Biometrfo Research,'' John
and covariance matrix Wiley & Sons, Inc., New York, 1952.
2 S. S. Wilks: "Mathematical Statistics," Princeton University Press,

-~)
Princeton, N.J., 1943.
V= ( : : 3 T. W. Anderson: "An Introduction to Multivariate Statistical Analysis,"
John 'Wiley & Sons, Inc., New York, 1958.
-1 o 3 4 A.M. Mood: "Introduction to the Theory of Statistics,,, McGraw-Hill Book
find (a), (b), (e), (d), (e), (f), (g), and (h) of Prob. 3.2. Company, Inc., New York, 1950.
3.4 If a vector Y has a multivariate normal distribution with mean O and 5 M. G. Kendall: "The Advanced Theory of Statistics," vols. I, II, Charles
covariance matrix Griffin & Co., Ltd., London, 1946.
6 H. Cra.mér: "Mathematical Methods of Ste.tistics,'' Princeton University

V~(: _: -:)
Press, Princeton, N.J., 1945.
t¡ S. N. Roy: "Sorne Aspects ofMultivariate Analysis,'' J ohn 'Viley & Sons, Inc.,
.New York, 1957.

(a) Find pf,

illustrating Theorem 3.18.
(b) Show that º'u = u11•23 , illustrating Theorem 3.17.
3.5 If a vector Y has a multivariate normal distribution with mean O and
covariance matrix
o o

(~
2 o
V=
o 3 _¡)
o -4
(a) Find P12• P1a• P23• PH• P24.• and P3.t·
(b) Find p12,31 , illustrating Theorem 3.19.
3.6 If y 1, y 2 , and !Is are jointly normal and if
(a) p12 ::fo O and p13 ::fo O, can p23 = O?
(b) p12 = O and p13 = O, can p23 =fa O? .
3.7 Prove Theorems 3.16, 3.17, 3.18, and 3.19, and state the hypothcs1s of
each theorem as a condition on the covariancc matrix V.
3.8 Prove Theorem 3.21.
3.9 The bivariatc normal can be written

f(x,y) = J
2
exp { - 1 [(X---µz) 2
UzO'v V 1 - p (27r) 2( 1 - p 2 ) '1z

Find R and V, and show that var(x) =u;, var(y) =u;, and cov(x,y) = '1zO'vP·
 DISTRIBUTION OF QUADRATIC FORMS 75
In vector notation this theorem could be restated: If Y is distrib-
uted N(µ.,I), then Y'Y is distributed as a noncentral chi-square
with p degrees of freedom and parameter A =!µ.'p..
Proof: The proof will consist in finding the moment-generating
'P
function of I y¡, finding the moment-generating function of the
4 i -1
distribution given in (4.1), and then using Theorem 2.1. The
p
moment-generating function of W = ¡ y'f is, by definition,
i=l
Distrihution of Quadi;atic Forms oo ioo · · · ioo ~
1
mw(l) = E(ew') =
i -CXl -CXl -oo (27T)

X exp [-!L(y¡ - µ;) 2 + lLy¡] dy1 dy2 • • • dy 11

4.1 Introduction We shall work with the exponent, to get it into a more suitable
form. We have
If the reader is acquainted with the arithmetical techniques of the
analysis of variance, he knows that they involve the summing and -!L(y; - P,;)2 + tLy~
squaring of ohscnTations and solead to quadratic forms in the observa-
tions. The process known as the analysis of variance can be described = -!(L!fi- 2tL!fi - 2Ly¡µ¡ + L¡}¡)
ns the partitioning of a sum of squares into a set of quadratic forms.
:Eµ~
2
It is, therefore, olear that quadratic forms play an important part in - 1 - 2t[:E( µ¡ \ :Eµ¡ ]
many segments of statistical applications. In this chapter we shall
- - - 2- Y; - l - 2eJ - (1- 2t)2 +l- 2t
examine the distribution of quadratic forms when the variables are
Lµ~ ( 1 - -
=--• 1 -) - -
1 --2t µ. )2
L ( y.---•-
normal. 2 1 - 2t 2 l 1 - 2t
Thus we get
4.2 Noncentral Chi-square
Since Y'Y is a sum of squares, we know that, if Y is distributed
p
N(O,I), then Y'Y = I y¡ is distributed as x (p), that is, as a chi-square
2
)2] dy
i=l xexp [ - -l -- :2t
E ( y.---'-
µ.
1 ···dy
variate with p degrees of freedom. We shal1 also investigate the dis- 2 ' l-2t 1J

tribution of Y'Y when the variables have the distribution N(µ.,1).

+ Theorem 4.1 If y 1 , y 2 , ••• , yP are independent normal variables
= 1 ex
<i - 2w12 P
[-1¿µ¡2(1 - 1 -
2
_ l_)] - exp (-!:Eµ~)
2t - e1 - 2w'2
with means µ 1 , µ 2 , ••• , µP, respectively, and with variance equal
p
X .exp ~ L µ¡2 ]
to unity, the1\~ y¡ = lV is distributed as the noncent~hi-square
1 • (1 - 2l)
with p degrees of freedom and paramcter A = l~:µr; and the fre- Let A = !:Eµ¡. If we expand e'-/0 -2'> into a Taylor series about
quency function is given by zero, we get
oo _A_iJf'!(P+2i)-le-H"/2 ¡ co -.¡
o~ w <
CX) ..

f(lV) = cA I . 00 (4.1) mw(t) = c"(l - 2tr 11' 2 _¿ . cA _¿ ~ (1 - 2t)-< 1112H>

¡=o il 2!Ci>+2i)r(P ~ 2i) i=O
A
i!(l - 2l)
.-- i =
i=O i!
(4.2)
74
76 LINEAR STATISTICAL l\10DELS DISTRIBUTION OF QUADRATIC FORMS 77
We shall now find the moment-generating function of the non- Since the noncentral chi-square is completely specified by two pa-
central chi-square frequency function given in Eq. (4.1). We . rameters p and íl, we shall adopt the notation: "A random variable W
notice that the noncentral chi-square can be written is distributed as x' 2 (p, .:l)" to indicate that W has a frequency function
given by (4.1}.
The noncentral chi-square distribution, Iike the central chi-square,
possesses the reproduQ.tive property. This is stated in the following
where g,,+ 2,( W) is the central chi-square frequency with p + 2i theorem.
degrees of freedom. Since e-AJ.i/il is the ith term of a Poisson + Theorem 4.2 If W 1 , W 2 , ••• , W k are jointly independent and if
distribution, we see that the noncentral chi-square is the sum of each is distributed as the noncentral chi-square, so that W, has
an infinite number of chi-square frequencies each weighted by a Pi degrees of freedom and noncentrality parameter íl,, then
term from the Poisson distribution. Using the relationship J;
W = _LW, has the noncentral chi-square distribution with degrees
f.m u.+ 21(W) dW = I
i=l
of freedom p =
k
1 p,
i=l
and noncentrality parameter íl
k
= 1 íl,.
i~l

it is e~sily verified that The proof is left to the reader.

f00f(W) dW = i e-?i =
+ Theorem 4.3 If a vector Y is distributed N(¡i.,u21), then Y'Y/á2
1 has the noncentral chi-square distribution with A = fL' ¡i./2a2 •
Jo i=O i!
This proof also is left to the reader. ·
since we can interchange the operations of integration and infinite
summation. The moment-generating function of the noncentral + Theorem 4.4 If a vector Y is distributed N(¡i.,D) where D is
chi-square is diagonal, tlien Y'D-1 Y has the noncentral chi-square distribution
oo oo e-A,ti(w)l(P+2i)-lcw/2 with p degrees of freedom and parameter A = i¡i.'D-1µ.
mw(t) = E(ew 1) =
J: ewt 2 . dw Proof: Sin ce D is positive definite, we know that there exista a
O i=O i!2l(P+2i)r(.P ~ 2i) nonsingular p x p matrix B (not orthogonal) such that B'DB = l.
Let Z = B'Y; by Theorem 3.22, Z is distributed N(B'¡i.,I).
co e-AA,i Loo (w)!(J>+2i)-le-w/2 So Z'Z is distributed as the noncentral chi-square with p degrees
=}; - - e"'t dw of freedom and parameter A = !¡i.'BB'¡i.. But from B'DB = I,
_ i==O i! o 2 l(P+2i)r(P ~ 2i) we get BB' = D-1 ; so Z'Z = Y'BB'Y = Y'D-1 Y and ).. =
!11-'BB' IL = i11-'D-1 ¡i., and the proof is complete.
The integral is, by definition, the moment-generating function
of the central chi-square distribution, and equals (1 - 2t)-H11+ 2 0. 4.3 N oncent.ral F
Thus
Since the noncentral chi-square has properties similar to those of the
(4.3) central chi-square, we consider the possibility that the ratio of two
noncentral chi-squares might have sorne properties similar to
Comparing Eqs. (4.2) and (4.3), we find that Snedecor's F distribution. In fact, the ratio of a noncentral chi-
square to a central chi-square will play an extremely important role
mw(t) = mw(t)
in the theory of the power of tests in regression and analysis of variance.
and, since they exist in so me neigh borhood of zero, we use Theorem Therefore, we shall derive what is termed the noncentral F distri-
2.1. This completes the proof. bution.
If A. = O, that is, if µ 1 = µ 2 = · · · = µ'P = O, the noncentral chi- + Theorem 4.5 If a random variable w is distributed as x' 2(p, íl),
square distribution degenerates into the central chi-squaredistribution. that is, as t.he non~entral chi-square with p degrees of freedom and
 \~ ~~-
~ ....

78 LINEAR STATISTICAL MODELS DISTRIBU~ION OF QUADRATIO FORMS 79

parameter A., and if another random 'rariable z is distributed as If we let (v/2)(1 + I/x) = r, then dv = 2x/(1 + x) dr, and
x' 2 (q, O), that is, as the central chi-square with q degrees off~~eedom,
and if w and z are independent, then the quantity h(x) = L
DO
O¡x-l<11+2)
leo ( 2x --
)l(2i+11+0)r6(2i+P+o-2>e-r dr
i=O O 1 +X
U=~~
_pz co
0 .xl<2i+i>-2>r
'
(2i +2P + q) 21c2H11+0>
is distributed as the noncentral F distribution with p,q degrees = i~O (1 + x)l(2i+11+0)
of freedom and with noncentrality parameter A.. The frequency
function of u is If we make another substitution, u ·= (q/p)x, we get.

DO
r (2i + 2p + q) (l?_)l(2i+JJ)
q
A_ie-A
'U!(2i+J>-2) .
r(2i +2.P + q) (l!_q)l(2i+i>)
00
Aie-A
ul<2HP-2)

/(u)=,~. rWr(2i~p)i! (i+Pq"f"+>+<1 /(u)=.~. rWr(2i: p)i, _(_1_+_p_u_)ª-{2-,+-JJ+-11)

q O~u<co
o~ u < 00 (4.4) which is the desired result.
The noncentral F is generally denoted by F'. We shall adopt the We note that, if A. =O, /(u) reduces to the frequency function of
following notation: "A random variable u is distributed as F'(p, q, A.)," the central (Snedecor's) F. In the F' distribution there are three
this will indicate that u has the frequency function (4.4) with p degrees . parameters: the degrees of freedom for the chi-square in the numerator
of freedom in the numerator, q degrces of freedom in the denominator, of F', the degrees of freedom for the. chi-square in the denominator of
and noncentrality .íl. F', and the noncentrality A of the chi-square in the numerator.
Proof: The joint distribution of w and z is The frequency function of F' has not been extensively tabulated, but
zH11-2>e-=l2 oo e-A¡i wH2i+:P-2)e-w/2 P. C. Tang has compiled tables that can be used to evaluate f.FJ(F') dF'
f(w, z) = f1(w)f2(z) = L -.-, (. . )
2q12r (~) i=o i. 2~c2i+1»r 2i ~P for certain values of F"'. These tables are not given explicitly in
terms of F', but in terms of E 2 , where E 2 = pF'/(q + pF'). It is
O~w< oo easily seen that the frequency function of E 2 is
O~z<oo - r(2i +2 + q) P

g(E2; p,q,l) = i
w
Let - =X W =V . ~-cl(_E2)l<2i+1>-2>ci _ E2)l<11-2>
z
'=º r(¡) r(2i: P) i!
The ~acobian of the transformation is v/x2 • Substituting, we get . o ~ E2 ~ 1 (4.5)
HA =O, g(E2 ; p,q,A. =O) is the beta distribution. Similarly, when
l =I= O, we term g(E 2 ; p,q,A.) the noncentral beta distribittion.
We are interested in evaluating the integral
where
o,= it2•1•rW21121+»r(2i ~ P)
E!
L 0
g(E2; p,q,IL) dE2 (4.6)

The marginal distribution of x is where the quantity ~ is obtained from the integral ..~01 • A ¿'%.
l ~~,.~~l~ •• "'..,.<~~.
.
J,
Ea.
1 g(E2; p, q, A = O) d.E2 = IX b .... )(
)
1( E>
-:::-- 0
¡:¡ • 7)

...~
~~ ~·
..,,v:,,..._....
~º
fi'AC. ClENnIA fil
 80 LINEAR STATISTICAL l\fODELS DISTRIBUTION OF QUADRATIC FOR1\1S 81
where IX is given. Before cxpla.ining how the tables prepared by P. C. here J is the degrees of freedom in the numerator of the F statistic.
Tangare used to evaluate (4.6) and (4.7), we shall discuss the impli. ;he pro~edure for computing the power {J(A.) for a given l is as follows
cation of these integrals in the F' distribution. If we transform from (f and/2 will be given):
E 2 to F' by the relationship \. Choose the probability of type 1 error IX; that is, set IX = .01 or
E2 = pF' ex = .05.
q+pF' 2. Find E! from the Tang tables.
we get J. 1
g(E2 ; p, q, Á =O) dE 2 J. 00
f(ll'; p, q, ¡ =O) dF'
3. Compute <fo = V2l/(/1 +
1). _
IX= 2
=
4. Find P(II) for the appropriate values off1 , f 2 , and q,.
E« F«
5. Then {3(l) = 1 - P(Il).
where F« = qE';_/(p - p.E;_). If a. = .05 (say), we can read F« from Sorne examples will be given in thc use of the tables.
Snedecor's tables for the F distribution with p and q degrees of freedom. 4.3.1 Example. If « = .05, p = 6, and q = 10, we see that
For example, suppose we wish to test thc hypothesis l = O in the ,E20 ,, = .659. Continuing the example, we see that, if A = 14 (say),
F' distribution and use a type 1 error size IX, where the interval tl~;n </> = 2, and {J(l = 14) = 1 - .142 = .858. That is, when
F« ~ F' < oo is the critica! region. In other words, if the observed .a = 14, the probability of rejecting the hypothesis that A. = O is equal
F' falls in this interval, we reject the hypothesis A. = O. The power to .858 when a type I error probability of .05 is used.
of the test {J(J..) is the probability that the observed ll' falls in the critical
region F« ~ F' < oo when A =fa O, and is equal to the integral 4.3.2 Example. Supposep = 2,q = 4;find{J(l = 2l)when1X = .01.
Now E~01 = .900, </> = V 13'fL = 5; so_ l - {J(A. = 1/ ) = .095 and {1(.A. = 12.!i)
{3(Á) = f.
F«
00

f(F'; p,q,l) dF' (4.8) = .905. Thus, if we are usingF' as a test criterion, we compute E 2 and
reject H 0 : l =O if E2 > .900. The probability of rejecting H 0 when
If in (4.8) we transform from F' to E 2 , we get l = Il. is equal to .905.
4.3.3 Example. Suppose that a random variable y is distributed
{3(J..) = f,1, g(E2; p,q,l) dE2 N(µ,l) and that we want to test the hypothesis H 0 : µ =O. Suppose
1'Ja. further that we decide to take a random sample of size n (denoted by
So the integral in Eq. (4.6) equals l - {"J(J..), or unity minus the power y 1 , y 2 , ••• , Yn) from the distribution and use
of the test, which is the probability of a type II error.
U=
y2n(n - 1)
Since most of the test functions in regression analysis and in the :E(y. - 'fi) 2
analysis of variance are based on the F distribution, it is apparent that as the test function. In order to find the critical region for a fixed
the integral in (4.6) will be very important. The tables calculated type I error, it is necessary to determine the distribution ofthe random
by P. C. Tang allow us to obtain {J(l) for various values of p, q, A. and variable u when H 0 is true, i.e., \vhen µ =O.
for IX = .05 and .01. -
Since the basic variables y 1 , y 2 , ••• , Yn are independent and normal
Tang evaluated the integral
with mean O (assuming H 0 is true) and variance 1, it follows that

i l. y is distributed normally with mean O and variance l/n. There-

Eª
P(II) = 1 - {J(</>) = « g(E 2 ; f 1 ,f2 ,</>) dE 2 (4.9)
0 fore, yVn is distributed normally with mean O and variance 1, and
for various values off1 , f 2 , </>, and E!, where E;_ is obtained from Eq. ny2 has a chi-squarc distribution with 1 degree of freedom.
(4. 7) for IX = .05 and .01. In Tang's notation, the numerator degrees
of freedom p is denoted by f 1 , and the denominator degrees of freedom
2. i
i=l
(yi - y)2 is distributed as chi-square with n - 1 degrees of

q is denoted by f 2 • Instead of using the noncentrality parameter .l, freedom. n

Ta.ng used the parameter </>, where 3. Vny and 2 (y¡ - 'fj) 2 are independent.
Therefore, i = 1
82 LINEAR STATISTIOAL l\:IODELS
is distributed as Snedecor's F distribution with 1 and n - 1 degrees of
freedom.
We shall choose for the critica! region the right-hand tail of the p
distribution such that the type I error is, say, 5 per cent. That ¡8
if the observed u is greater than Fa., the tabulated F, then H 0 will b~
rejected. Of course, if µ does not equal zero, we want to reject H 0 •
We shall examine the probability of rejecting H 0 (getting a value of u
in the critica! region) when µ is not equal to zero. To do this we must
find the distribution of the test function u when µ ::/= O. From
Theorem 4.1 it follows that n'fj2 has the noncentral chi-square distri-
bution with 1 degree of freedom and parameter .A = inµ 2 • Also, it
is known that l:(yi - 'fi) 2 has the central chi-square distribution even
if µ =fa O, and the two are independent. Thus, when µ -:f: O, the test
function u is distributed as F'(l, n - 1, nµ 2 /2). If n = 7, we reject
H 0 if the calculated u is greater than 5. 99. The power of the test
can then be evaluated for different · values ·of .A. For example, if
A. = 8 (i.e., if µ 2 = 1/!), then cf> = 2.8 and p (A. = 8) = .899. If n = 21
insteasJ. of 7, then E~05 = .179 and p (A. = 8) is about .955. This gives
us sorne idea of the value of increasing the number of observations
that are taken.
4.4 Distribution of Quadratic Forms
Since the <:Iistribution of quadratic forros will be very important to
us in succeeding chapters, we shall prove sorne theorems that will
enable us to ascertain the distribution by examining only the matrix
of the quadratic form and the covariance matrix of the random vari-
ables.
+ Theorem 4.6 If the random vector Y is distributed N(O,I), a
necessary and sufficient condition that the quadratic form Y' AY
be distributed as z2 (k) is that A be an idempotent matrix ofrank k.
Proof: We shall prove sufficiency, but shall only sketch the proof
of necessity. If A is idempotent of rank k, there exists an or-
thogonal matrix P such that P'AP = (~ :). where 1 is the
k X k identity matrix. Define a p x 1 vector Z by the relation-
ship Z = P'Y. Then Y'AY = Z'P'APZ = z~z 1 ; where Z =
(~j- By Th:orem 3.22, Z is -~&tributJiN(O,I), and it follows
that Z~Z 1 = ! z;, which is a sum of squares of independent
i=l
DISTRIBUTION OF QUADRATIC FORMS 83
normal variables with means O and variances l, is distributed as
x2(k).
To prove necessity, we shall assume that Y' A Y is distributed
as x2 (k) and show that A is idempotent of rank k. Since A is·
symmetric, there exists an orthogonal matrix e such that
C'AC =-D =(di;), where D is a diagonal matrix. If we let
(wi) = W = C'Y, we get Y'AY = W'C'ACW = W'DW =
Lp widii.
2
Since C is orthogonal, the w, are indepen dent normal
i=l p
variables with mean O and variance l. Let v = L Wfdii· If
i-1
we equate the moment-generating function of v to the moment-
generating function of Y' A Y, we ~et
p
II (1 - 2tdii)-1 = (1 - 2w1c12
i=t
It is clear that there exists a neighborhood of zero such that, for
all t in that neighborhood, the quantities on the left and right
sirles of the identity exist. It can be shown that, for this to be
true; k of the d¡¡ must be equal to unity and the remaining dii
must be equal to zero. But, since du are the characteristic roots
of A, this implies that A is idempotent of rank k.
We shall extend this theorem to the case in which the mean is not
zero. The proof foll~ws along the lines of the proof of Theorem 4.6.
+ Theorem 4.7 If Y is distributed N(µ.,I), then Y'AY is distributed.' ( )
as x' 2 (k,A.), where A. =-!µ.'Aµ., if and only if A is an idempotent ·
matrix of rank k.
• Corollary 4.7:i If Y is distributed N(µ.,a 2 1), then Y'AY/a2 is-
distributed as x' 2 (k,A.), where A = µ.' Aµ./2a 2 , if and only if A is an
idempotent matrix of rank k.
We shall now prove sorne theorems that will help us to determine
the distribution of a quadratic form Y' AY when the vector Y has as
its covariance the matrix V instead of the identity matrix l.
+ Theorem 4.8 If a vector Y is distributed N(O,V), then Y.'BY
is distributed as x2 (k) if and only if BV is idempotent of rank k.
Proof: By Theorem 1.22, there exists a matrix C (not necessarily
orthogonal) such that C'VC =l. If we let Z = C'Y, Z is dis-
tributed N(O,I). Also, Y'BY = Z'C-1BC'-1Z, and, by T-heorem
4.6, it follows that Z'(C-1 BC'-1)Z is distributed as z2 (k) if and
only if c-1 BC'-1 is idempotent. That is, we must show that
C-lBC'-1 is idempotent ifandonlyifBVisidempotent. HBVis
84 LINEAR STATISTICAL l\IODELS
idempotent, then BV = BVBV; and B = BVB = BC'-1C-1B
and C-1BC'-1 = C-1BC'-1C-1BC'-1. Also, if c-1Bc'-1 is idem: .
potent, then C-1BC'-1 = C-1BC'-1C-1BC'-1 = c-1BVBC'-1 and
BV = BVBV. This completes the proof.
+ T~eorem 4.9 If Y is distributed N{µ.,V), then Y'BY is distributed
as x~(k,A.), where A. = iµ.'Bµ. and le is the rank of B, if and only
if BV is idempotent.
Proof: As in Theorem 4.8, if we Jet Z = C'Y, then Z is distributed
N(C'µ.,I), and, byTheorem 4.7, Y'BY = Z'(C-1BC'-1)Zisdistrib-
uted as x' 2 (k,1.) if and only if C-1BC'-l is idempotent (where
A = tµ.'CC- 1BC'-1C'µ. = iµ.'Bµ.). It is necessary, then, to show
that c-1BC'- 1 is idempotent if and onJy if BV is idempotent;
but this has been proved in Theorem 4.8.
4.5 Independence of Quadratic Forms
The preceding four theorems give us methods of determining when·
quadratic forms are distributed as the central or noncentral chi-square.
It is also very important to have methods available to aid us in deter-
mining when quadratic forras are independent. This will be the text
of the following seven theorems.
+ Theorem 4.10 If Y is distributed N(µ.,I), the two positiva semi-
definite quadratic forms Y; A Y and Y'BY are independent if and
only if AB =O.
Proof: To pro ve sufficiency, assume AB = O. Taking the trans-
pose of each side gives B' A' = O, but, since A and B are sym-
metric, we get AB = BA = O; tha~ is to say, A and B commute.
Hence, by Theorem 1.32, there exists an orthogonal transforma-
tion P su ch that P' AP = Dt and P'BP = n:, where Dt and
n: are each diagonal. If AB = O, it follows that P' APP'BP =
O, which gives DfDi = O. Thus, if the ith diagonal element
of Dt is nonzero, the ith diagonal element of n:
must be equal to
zero. We can then write, without loss of generality,
:. :.)
D1 O
Di= O O
(
o o
where Di is a Pi X Pi diagonal matrix with rank Pi and O* is the
p 3 X p 3 null matrix where p 1 + p 2 + p 3 =p. If we Jet Z =
P'Y, then Z is distributed N(P'µ.,I). AJso, Y'AY = Z'P'APZ
DISTRIBUTION OF QUADRATIC FORMS 85
Pi
= Z'DTZ = L duzJ, where du is the jth diagonal element of
j:a 1
D 1 ; if we apply the same transformation to Y'BY, we get
Pi +Pi
Y'BY = Z'P'BPZ = Z'DiZ = L d 2 /j, where d 21 is the jth
i=P1+1
diagonal element of D 2 • Since Y' A Y depends only on the first
p 1 element of Z and since Y'BY depends only on the elements of
z from p 1 + l to p 2 and since all the elements of Z are inde-
pendent, Y' A Y and Y'BY are also independent. This completes
the sufficiency part of the proof. The proof of necessity will be
left for the reader.
+ Theorem 4.11 If Y is distributed N{µ.,I), the set of positive semi-
definite quadratic forms Y'B 1 Y, Y'B 2 Y, ... , Y'BkY are jointly
independent if and only if BiB; =O for ali i =fo j.
Proof: The proof is an extension of Theorem 4.10.
+ Theorem 4.12 If Y is distributed N(µ.,I), the set of quadratic forms
Y' A 1Y, Y' A 2 Y, ... , Y' AkY, where the rank of Ai is n¡, -are
jointly indepen9,ent and Y' A¡Y is distributed as x' 2 (n¡,.íli), where
A¡ = lp.' A¡µ., if any two of the following three conditions are
satisfied:
( l) Each A¡ is idempotent.
k
(2) ,L A¡ is idempotent.
i=l
{3} AiA; =O for all'i :¡!= j.
Proof: By Theorem 1.68, any two of the conditions imply the
third. By Theorem 4.7, condition (1) implies that Y'A¡Y is
distributed as z' 2 (n¡,li) where ni is the rank of A¡ and íl.¡ =
!p.'Aj(.1.. By Theorem 4.11, condition (3) implies that the set is
jointly independent. Thus the theorem is establish~d.
An important case of Theorem 4.12 that occurs very frequently in
the analysis of variance and in the theory of regression is when :EA¡ = l.
In this case, condition (1) is necessary and sufficient for condition (3)
(and, of course, vice versa). So we shall state the following very
useful theorem. k
+ Theorem 4.13 If Y is distributed N{µ.,I) and if Y'Y = L Y' A¡Y,
i=l
either of the following two conditions is necessary and sufficient
for Y' A;Y to be distributed as x' 2 (n;,A;), where n; is the rank of
A; and A;= ip.'A;µ., and for the set Y'A 1Y, Y'A 2Y, ... , Y'AkY
to be jointly independent:
{l) A 1 , A 2 , ••• , Ak are each idempotent matrices.
{2) A¡A; = Ofor all i =I= j.
 86 LINEAR STA'.l'IS TICAL J\IODELS
DIS '.l'RIBU '.l'ION OF QUADRATIC FOR!\IS 87
The proof is immediate from Theorem 4. 12. Another important + Theorem 4.17 If Bis a q X n m atri x, A is an n x n matrix, a nd Y
form of t his theorem is
is distril>uted N(µ ,cr2 1), t he n t hc linear forrns BY a re independent
k
• Theorem 4.14 If Y is distributed N(µ ,I) and íf Y' Y =L Y' A .y of t he quadrat io form Y' A Y if BA = O.
i~ l ' ' Proof: Suppose Pisan orthogon al matrix such that P '.AP. = .D ,
a n ecessary and sufficient cond ition that Y' A iY be distributed as
x' 2(n;,A;), where n¡ is the rank of A ; and A¡ = i µ ' A ;µ , and for the
Y ' A 1 Y, Y' A 2 Y, ... , Y'AkY to be j oint ly indepe ndent, is that the
1
~::·;::~:.~;~go::tm:tcix~p ~:dP~Y ~ (~;' th:). :~:,:~:::
r a nk of the sum of the A ¡ be equal to the sum of the ranks of
the separate A ¡; t hat i~ to say, t hat Lp(A;) = p(LA;) = p(I). a diagonal m atrix with nonzero elem e nts on the d iagonal. Now
P roof: It was shown in Theorem 1.69 t h at for t he sum ofthe ra nks
óf t he A; to be equal to the ra.nk ofth e sum ofthe A ; is a necessary 1
O= BA = BAP = BPP'AP = CD = ( Cn C
1-j (º1 º) = (º)
a nd sufficient condition for condi tions 1 and 2 of Theorem 4.13. ,C 21 C2 O O O
Hence the result.
This impli es that C 11 D 1 = O and C 21D 1 = O, which imply
The fa mo us Cochran-Fis her theorem is a special case of Theorem C 11 = O a nd C 21 = O. So C can be \\Titten C = (O,C 2 ), where
4. 14, n a mely, for the specia l case when µ = O. The proof of Theore 111 C12\
4. 14 was first g ive n by lVIadow. (
C2 = C 22J" Now
• Theorem 4.15 If Y is distributed N(µ ,cr I), the positive semi-
2
1
d e finite quadratic forms Y' A Y and Y' BY a re independent if BY =
.
BPP'Y = cz = (O, C.)(z )
- Z2
= c.z2
-
tr(A B ) = O, or , in other wonls, if the covariance of Y' A Y and
Y ' BY equals zero. and
k D1
• Theorem 4.16 Let Y be distributed N(µ ,cr2 I) , a nd let 2: Y'A;Y = Y' A y = Y'PP' APP 'Y = Z 'DZ = ( Z~, Z~) ( O
i= I
Y ' Y, where the rank of A ; is n;. Any one of the three conditions
listed below is a necessary and s ufficient condition that the folJow- So BY d epend s on t h o ele me nts ofZ in Z 2 , a nd Y'AY depends on
ing two statements be true : the elements of Z in Z 1 , but a ll the elements in Z are ind ependent ;
(1) Y' A ,Y/cr 2 is distribu ted as x' 2 (n;)•;), where A;= µ 'A ;µ /2cr2. hence, the elernents of Z 1 are independent of t he elements in Z 2 •
(2) Y ' A ;Y and Y' A;Y are independent if i =F .i· Therefore, t he result follows.
The con di ti o ns are:
(1) A ; is idempotentfor a ll i = 1, 2, .. . , k. 4.7 Expected Value of Quadratic Forms
(2) A ;A; = O for all i =F j.
k
\Ve shall now state two theorems con cerning the expected value of a
(3) .L ni
•- 1
= n; that is, the rank of tho sum of the A ¡ is equal to the quadratic form.
sum of the ranks of the A ¡.
+ Theorem 4.18 lf Y is distributed with mean O and covariance
The proofs of Theorcms 4.15 a nd 4.16 wi l l be left to the reader. matrix cr2 I , the expected value of the quadrati c form Y' AY is
equal to cr2 tr(A).
4.6 lndepende nce of Linear and Quadratic Forms Proof: E(Y' AY) = E(l,Y;Y;ll·;;) = E(2,a;¡y¡) + E(2,2:y¡yp;;).
ii ,,. t~~
By Theorem 3.22 we know that, if Y is distributed N(µ ,V) and if But, if i =F j , then E(Y;Y;) = E(y;)E(y;) = O; h e nce, E(Y' A Y)
B is a kno wn matrix of constants, BY is d istributed N(Bµ ,BVB'). L a;;E(y¡} = a 2 2: a;¡ = cr2 tr(A).
It will be important to be able to d etermine when the linear forms BY i i

and a quadratic fo rro Y' AY a re statistioally independent. This is the + Theorem 4.19 In Th eore m 4. 18, if A is a n idempotent m atrix of
substance of the next theorem.
rank k, the expect ed value of Y' AY is equal to ka 2 •
88 LINEAR STATISTICAL l\IODELS DISTRIBUTION OF QUADRATIC FORl\lS 89

The technique of analysis of variance can be viewed as the process • Theorem 4.23 Suppose u is distributed as F'(p,q,Jt.); then the
of partitioning a sum of squares Y'Y into component parts such as random variable v = u/k is distributed approximately as F(r,q),
8 where k = (p + 2.A.)/p and r = (p + 2A.) 2 /(p + 4.A.).
Y'Y = 2 Y' A,Y. If Y is distributed N(µ,u 2 1) and if (say) µ' Ak = O
i=l Using this theorem, we obtain for Eq. (4.8)
and if we desire to test the hypothesis µ'A t = O (say), then we can
immediately see the utility of being able to determine the distribution {J(l) = f,eo f(u; p,q,l) du
and independence of the Y' AiY. For, if we choose as a test function Fa.
u= Y'A,Y/Y'AkY, we can determine the distribution of u; if, for
which is approximately equal to
example, A, and Ak are idempotent and A,Ak = O, then (nk/n,)u is
distributed as the noncentral F with noncentrality l = EL' A,µ/2a2.
Also, we see that l = O if and only if µ'A t = O, and in that
case (nk/nt)u is distributed as Snedecor's F. Thus we can choose a where Fa. is such that
f ClO

(l/k)Fa.
g(v; r,q) dv

sui~able region of rejection and examine the power of the test by

using Tang's tables. These ideas will be expanded in the ensuing ft> f(u; p, q, A. = O) du = a
chapters. Fa.

j(u; p,q,A.) is the noncentral F distribution, and g(v; r,q) and f(u;
4.8 Additional Theorems p, q, A. = O) are central F distributions. .
4.8.1 Example. We shall illustrate Theorem 4.23 by referrmg
+ Theorem 4.20 Suppose that the n x 1 vector Y is distributed to the example of Art. 4.3.1. We have a= .05, p = 6, q = 10, and
N(µ.,D) where D is diagonal. Then Y' A Y is distributed as we want to find {3 (l = 14). The quantities in Theorem 4.23 are
x' 2 (n - 1, A.), where Ji.= !µ'Aµ, if A = D- 1 - (D-lJD-1/l'D-11).
Also, A. = O if µ = 1µ. (1 is a vector with each element equal to k = p +
2.A. = 6 28 = 5.67 +
1, and J = 11'.) . p 6

+ Theorem 4.21 Suppose that the n x 1 vector Y is distributed r = (p + 21)2 = (6 + 28)2 = 18.06
N(µ,V); then Y'AY and Y'BY are independent if and only if p + 4A. 6 + 56
AVB =O.
Also, ~05 = .659, and from the F table we get F.05 (6,1.0) = 3.22. So
+ Theorem 4.22 Suppose that the n x 1 vector Y is distributed
3 22
N(µ,V). .!_F = · = .568
k+l k IZ 5.67
Let Y'AY = 2 Y'A¡Y, and suppose that Y'AY, Y'A 1Y, ... ,
To find {J (A. = 14) we must find the probability of exceeding an F
i=l
Y' AkY are each noncentral chi-squares with parameters n,l; value of .568 with 18 and 10 degrees offreedom; i.e., we mustevaluate
n 1 ,Jt. 1 ; • • • ; nk,A.k; respectively. If Y'Ak+ly is nonnegative (i.e.,
semidefinite), it is distributed as z' 2(nk+ 1, Ak+i), where nk+l =
k k
fQO

.568
g(v; 18,10) dv
n - 2 n¡ and lk+I =J. - 2 A.i, and Y'A 1Y, ... , Y'Ak+ly are
i=l i=l where g(v; 18, 10) is the central F distribution with 18 and 10 degrees
independent. of freedom. The integral is approximately equal to .86, which agrees
The extent of Tang's ·tables is limited, and it might be desirable to well with the value .858 obtained by using Tang's tables.
find the value of the integral in Eq. (4.8) for values of p, q, and J. not
included in the tables. Patnaik gave an approximation that will allow Problems
the noncentral F to be used to evaluate Eq. (4.8). This is given in the 4.1 Find the mean and variance of a random variable u distributed as z12(p,i.).
following theorem. 4.2 Find the mean of a random variable u distributed as F'(p,q,l).
 DISTRIBUTION OF QUADRATIC FORMS 91
90 LINEAR STATISTICAL :MODELS

4.3 }i'ind the mean of a random variable u distributed as E2(p,q,J..). 4.15 In Prob. 4.14, find E(u).
4.4 Show, by using the transformation 4 .16 lf the 3 x l vector Y is distributed N(O,I), find the following:
(a} E(Y'AY).
E2 = pF (b) E(Y'BY).
q+pF (e) The joint distribution of Y'AY and Y'BY.
(d) The distribution of u = Y'AY/Y'BY, if
that 1(205 in Tang·s tables cot'r<.•sponds t.o the F. 05 rn.h1P of thc ccntt·al P for thc
followin~ vah1<'s of p and q:

p 6 7 2 8
·

=!)i B = (! : !)
} ! !
q 3 10 20 60
u 4.17 lf the p X l vector Y is distributecl N(O,I),
4.5 Evaluate the following integral (and find E~05 ):
(a) Find the matrix of Q1 = p'fi2.
p
(b) Find the matrix ofQ2 = :L (Yi - 'fi) 2 •
p(J..) = f12 g(E2; p,q,.t) dE2
(e) Find the distribution of Q1 •
i=l
JE.o¡¡ (d) Find the distribution of Q2 •
for the following values of the parameters -(use Tang's -tables): (e) Show that Q1 and Q2 are independent.
(j) Find the distribution of Q1 /Q 2 •
. p
2 4 5 6 3 7 7
(g) Show that l 'Y and ! (Yi - 'fi) 2 are_jndependent.
i-1
q 6 2 18 30 5 2 4 (h} Find the expected value of Q1 .
(i) Find the expected value of Q2 •
6 10 18.75 15 4.5 36 64 4.18 Prove Theorem 4.19.
4.19 If the n x 1 vector Y is distributed N(µ,a 2 1), find the expected value of
4.6 Prove Theorem 4.2 by the use of moment-generating f unctions. Y'AY, where A is idempotent of rank p.
4. 7 Prove Theorem 4.3. 4.20 Using Prob. 4.1, find the noncentrality paramoter A of the distribution
4.8 If Y is distributed N(µ.,V), prove that the quadratic forro of the p-variate Y'AY/a2 ·¡f Y is distributed N(µ,o- 2 1) and if A is idempotent.
normal 4.21 Prove Theorem 4.20. Hint: Show that AD is idempotent.
Q = (Y - µ)'V-l(Y - µ.) 4.22 Prove Theorem 4.21.
is ·distributed as x2 (p). 4.23 If the n x l vector Y is dist.ributcd N(O,A), whm·e A is positive semi-
4.9 If Y is distributed N(µ,V), prove that Y'V-lY is distributcd as x'2(p,.i.), dcfinite of rank k, use Theorem 4.9 to provc that. Y'Y is distributed as z'2 (k,0) if
where .t = !11:v-1µ. - · ~ ·-: · A is idcmpotent.
4.10 lf X is an n x p matrix (n > p) of rank p, show that A = X(X'X)-lX' i:;: 4.24 Suppose that y¡ (i = l, 2, ... , n) are independent and y¡ is distributed
is idempotent. N(µ¡,af). Show that
1
4.11 If the n x 1 vector Y is distributed N(O,I), find
!n 2 (y¡ - y•)2
E{Y'fl - X(X'X)-lX']Y} i=l <1¿

4.12 lf the n x 1 vector Y is distributed N(O,I), find the distribution of is distributed as z'2(n - 1, l), where J.. = O, if µ 1 = 11 2 = ··· = Pn· The quantity
(a) Y'X(X'X)-lX'Y. y* is defined by
(b) Y'[I - X(X'X)-lX']Y. * _ :E ( l/af)y ¡
4.13 Ifthen X lvectorYisdistributedN(X~,l),where~isap X lunknown - :El/af y
vector and X is as in Prob. 4.10, find the distribution of Hint: use Theorem 4.20.
(a) Y'[X(X'X)-lX']Y = Q1 4.25 Let Y' = (y,x) be distributed as a bivariate normal with mean µ.' =
(b) Y'[I - X(X'X>-1 X']Y = Q2 (µ , Pz), variances 1 and correlation p. Let Y 1,Y2 , ••• , Yn be independent
1
(e) and show that the quantities Q 1 and Q 2 areindependent. samples from this distribution. Show that for p2 =/= l
4.14 In Prob. 4.13, find the distribution of
n -pQ¡
:E (xi - 2pX;Y; + Yi)
U=--- (a) q = l - p2
p Q2
 92
LINEAR STATISTICAL M:ODELS
is distributed as x'2(2n,A.), where

A = n(µf - 2pµ1"2 + µ:)

2(1 - p2)
(b) _ n:V 2 -:- 2npi:rj + ny2
ql - ---.....:......~--=--
. 1-~
1s distributed as x'2(2,,t1 ), where

,l
1
= n(µf - 2Pµ1µ2 + µ~)
2(1 - p2)
(e) Use the resulta of (a) and (b) and Theorem 4.22 to find the distribution of
5
q
2
= L [(x, - x)ª - 2p(x, _ x)(y, _ 'fi) + (y¡ 'fi) 2]
1 - p2
Notice that q = q1 + q2 • Linear Models
4.26 Use Theorem 4.23 to evaluate the i t 1.
p, q, and l in Prob. 4.5. negra in Eq. (4.8) for the values of

Further Reading
5.1 Introduction
1
A. C. Aitken: On the Statistical lnde end .
Normal Variates Biometrika vól 37 p93 9ence of Quadrat1c Forms in
2 A T e · N ' ' · • PP· - 6, 1950. One of the ·aims of science is to describe and predict events in the
. . ra1g: ote on the Independence of Certain Quad t. F world in which we live. One way this is accomplished is by finding a
Math. Statist., vol. 14, pp. 195-197, 1943. ra ic orms, Ann.
3 P. C. Tang: The Power Funct" f th A · formula or equation that relates quantities in the real world. We
Tables and Illustrations for ~~:irº Useª sZz~~~•s;f Variance Tests with may be interested, for example, in the relation between temperature
pp. 126-146, 1938. ' is· esearch Mem., vol. 2, and pressure in a chemical process or in the relation between the number
4 H. Hotelling: On A Matrix Theorem of A T e ·
15, pp. 427-429, 1944. · · raig, Ann. Math. Statist., vol. of apples on various trees in an orclíard and the amount of fertilizer
5 that each tree receives, etc.
W. G. Cochran: The Distribution of Qu d t" F .
l'roc. Cambridge Phil. Soc., vol. 30, p. l ;8,r~9~4; orms m a Normal System, Suppose1 two variables U* and V* are functionally related by
6 W. Madow: The Distribution of Quad t" F . j( U*, V*) = O. If U* and ·V* can take on every value in a given
Random Variables Ann Math Stati:st ra
7 F A G b'll ' . .
llorms
"vo · • PP· 100-101 1940
;e
Non-central Normal m intcrval, then they cannot be measured exactly, and, instead of observing
i~ th.e Gray 1 1ªL~d G. l\Hfarsaglia: ldempotent Matrices and Q~adratic Forros U* and. V*, we actually observe u and ·v, where u = U* + d and
ti = V* + e, where e and d are errors of measurement.
enera mear ypothesis An Mi th o · However, if
1957. ' n. a . otatist., vol. 28, pp. 678-686,
the error of measurement is extremely small, we may be willing to
8 !~:· !:~~ ~~ ~t· T.voCl.ra2i9g:' pp.
• • UJ .,
On the Decomposition of Certain X2 Variables
608-610, 1959. , neglect it. So me may argue that f (U*, V*) = O is simply a mathe-
9 0. Carpenter: Note on the Exte · f C · ,8 matical abstraction and that no such functional relationship can exist
Variates Ann !lfath Sta/," t
10 R A h : " F" 1
r;;on
. . . is ., VO • ' p. 455, 1950.
°
raig Theorem to Non-central
in the real world. Be that as it may, it is nevertheless true that the
. . IS er. Stat1st1cal l\lethods for Research '"orkers " or d concept of a functional relationship between sets of events in the real
B oyd, Ltd., London, ¡946 . , 1ver an
world is important. And, although the relationship may not be exact,
it may be so clase that the approximation is invaluable in prediction.
Therefore, when we say that a functional relationship exists among
1 Throughout this chapter we denote mathematical variables by starred

capital letters U*, Vt, v:, ... if they are not observableand by U, V1 , V2 , ••• if
they can be observed. We denote random variables by lower-case starred
letters yf, uf, vf, ... if they are not observable and by u, Xp x 2 , ••• if they can be
observed. The letters a, b, d, e will be unobservable random variables. Greok
letters will denote unknown pa.rameters.
93

1
 94 LINEAR STATISTICAL MODELS
a set of variables, we shall mean that in the real world the function n If a functional relationship can be found that relates observable
describes the relationship among the variables to a very close approxi- -·
mation.
For example, consider the relation between time and the distance
that a particle falls under the influence of gravity; that is, S = {JT2.
For many practica! purposes we consider this a-functional relationship,
and we can predict the distance quite accurately in a real-world
experience. Suppose 8 and T 2 cannot be observed. We should then
write the equation as 8* = {J(T*) 2 • If we can observes and t 2 , where
s = 8* + e and t 2 = (T*) 2 + d, we can substitute and obtain
s = {Jt 2 - {Jd + e or s = {Jt 2 + b, where b is a random error. The
problem here may be to estimate fJ by observing values of s and t 2 •
There may be events in the real world thatare related notfunctionally
but in a more obscure manner. For example, consider the weight w
and the height h of individuals. Therc scems .to be no formula that
will enable us to predict the height of an individual from his weight.
Although there does not seem to be any functional relation between
height and weight, there does seem to be sorne kind of relationship.
For example, let us assume that w and Ti have a bivariate normal distri-
bution. In the conditional distribution of k given w, there is a linear
functional relationship between w and the expected value of h. In
'j.. other words, if we divide the individuals into weight classes and
evaluate the average height of the individuals in each weight class,
we find that there is a functional (linear) relationship between weight
and the average height of all individuals who have that weight. We
see, therefore, that, even though we may not be able to predict w
exactly by lmowing only h, the quantity h may still be valuable for
predicting w.
In scientific investigations the concept of cause and effect is often
quite obscure, and we shall not enter into a discussion of it here. We
shall not use cause-and-effect terminology to describe an equation such
as Y = <X + {JX; we shall say .that X can be used to predict Y rather
than that X causes Y.
In many fields of scientific endeavor, for example, in physics, rela-
tionships can often be expressed as functional equations Y = F(X 1 ,X2 ,
... ,Xn)· For instance, Ohm's law states that the electromotive force
Y is equal to the resistance X 1 of the conductor times the current X 2 ;
that is Y = X 1 X 2 • The law of gravitation states that the force of
attraction Y between two unit-mass points is inversely proportiona.I
to the square of the distan ce X 1 between the points; that is, y = fJIx¡.
There are many other such relationships: Boyle's gas law, Kirchhoff's
law in electricity, Newton's laws of force and acceleration, Newton's
law of cooling, and so forth.
LINEAR MODELS 95
variables, then a knowledge of X 1 , X 2 , ••• , Xn and· oí the function f
can be used to predict Y accurately. For instance, the law of a body
falling in a vácuúm under the influence of gravity is Y = {JX 2 , where
y denotes the distance the body falls and X denotes the time the body
fa.lis. lf an experiment is run where a body is dropped and the time
and distance observed, then fJ can be evaluated. However, if another
reading of time and distance is taken and fJ is evaluated again, the
second {J will be quite likely not to agree with the first. The reason
for this disagreement may be either ( l) that the relationship is not
given by Y = {JX 2 ; or (2) that, even though the relationship is given
by y = {JX 2 , the time and distance cannot be measured accurately,
and so an error is introduced; this second type of error will be called
measurement error. If reason 1 is operative, then the real functional
relationship may be Y = f(X,Z), where Z is the initial distance the
body is from the center of the earth, or the distance may actually
depend on many other factors, such as the mass of the body, the position
of the moon, etc. If the distance dependa on many factors X 1 , X 2 ,
. .. , Xn, besides the time X, the relation could be written Y =
/(X,X 1 ,X 2 , ••• ,Xn) or, more explicitly,
Y= {JX 2 + g(X,X1 , ••• ,Xn)
lf Y = {JX 2 + g(X,X 1 , . • • ,Xn) is a relation_s,hip that can be used to
predict Y, then observations will no~ Ü.gr~e exactly when the equation
y = px2 is used instead. This °diságréeirierit of observation with
theoretical relationship will be called equation error, or, in other words,
error due to the use of the wrong equation. It may be realistic to
assume that, for repeated_ observations of distan ce Y and time X, the
variables X 1 , X 2 , ••• , Xn assume values such that g(X,X 1 , ••• ,Xn)
· acts more or less as a random variable, and its distribution may be
inferred. If this is the case, the relationship-can be written Y =
px2 + e, and Y cannot be exactly predicted from a knowledge of X only.
Although functional relationships are assumed to hold in many
fields of science, such as pl)ysics, there are many scientifi.c areas, such
as biology, economics, meteorology, etc., where relationships are much
more obscure. . .
For example, the yield of ;~heat in a given plot of ground cannot be
predicted accurately. Many of the factors affecting this yield are
known, but the equation relating the quantities is obscure. It is
known that tem¡mrature X 1 , rainfall X 2 , amount of ~unshine, X 3 ,
fertility X 4 , and many other factors influence the yield Y. Although
all the factora that affect this yield are not known and although the
relationship is not known, it is useful nevertheless to assume that
96 LINEAR STATISTICAL MODELS
there exist a fi?ite number of factors X 1 , • • • , Xn and a function g
such that the y1eld Y can be cxactly determined by
y = g(X1,X2, ... ,Xn)
Thus, to find relationships that aid in predicting events in the real
world, wc shall assume that the following proposition holds:
+ Proposition Suppose Y is a variable quantity in the real world
which we want to prcdict. Then there exist a finite numbe;
of variables X 1 , X 2 , ••• , X n and a function g such that Y =
g(X 1 , X 2 , ••• , Xn)· . In general there is no re~son to restrict the equation in our definition
We are ~ot saying that X 1 , X 2 , ••• , Xn are capable ofbeing observed,
~mt that, if they could be observed, we could predict Y exactly; that
1s, Y, X 1 , X 2 , ••• , X n are said to be functionally related.
~.,or example, consider again the problem of predicting an individual's
he1ght. We know that we cannot predict his ·height exactly from a
k~owl~dge of his ~eight only. However, we may be able to predict
lus height exactly 1f we use a number of other quantities, such as his
father's weight X 1 , his father's height X 2 , his mother's weight X 3 ,
etc. \Ve assume that the equation
h = g(w,X1 ,X2 ,X3 , .•• ,Xn)
holds. \Ve might also want to assume that we can write this
h =o:+ pw + f(X1,X2 , ••• ,Xn)
and assume that, for a given value of w' the quantities X. 1> X 2' • • • ' X n
change and f (X 1 ,X 2 , ••• ,X n) acts as a random error. The function g
in the proposition above may be·. -··.known and the elements X l> X 2t
... ' xn ~ay be known,. but it still may be impossible to predict y
exactly oWíng to our inability to measure sorne or ali ofthe.Xi exactly.
To sum up, we shall be interested in two type_s of error:
1. Equation error: the error of not knowing the function g or of
not knowing all the variables X 1 , X 2 , ••• , Xn. . We could also have the model Yo + y 1 X* + y 2 Y* =O or Yo + y 1x
2. Measurement error: the error of not being able to measure all
the xi exactly.
5.2 Linear Models
5.2.1 Definitions and Classification. We shall give the defini-
tion of a model that will be used in this book.
+ D,efinition 5.1 By a model we shall mean a mathematical equation
hlvolving random variables, mathematical variables, and param-
eters.
LINEAR MODELS 97
If the distribution of the random variables is given, this will be
considered part of thc model, and there may be unknown parameters
in the distribution. For instance, an equation S* = p(T*) 2 for the
distance that a body falls in a vacuum is a model that does not contain
random variables. If s = S* + e, where e is a random variable,
substitution in the first equation givcs s = p(T*) 2 + e as a model.
If it is further assumed that e is a normal variable with mean O and
variance a 2 , then this distributional property will be considered a part
of the model.
to any particular type, such as quadratic, exponential, etc. However,
there may be certain instances when we want to do so. The major
part of our discussion will concern equations that are restricted to be
linear in a certain fashion. This does not imply that other equations
are not important but only that linear equations have received most
attention from mathematical statisticians and that methods of treat-
ment are available for them.
Therefore, in succeeding chapters we shall be mainly concerned with
linear models, according to the following definition.
+ Definition 5.2 By a linear model we shall mean an equation that
involves random variables, mathematical variables, and param-
eters and that is linear in the parameters and in the random
variables.
For example, if y 0 , y 1 , y 2 are unknown parameters, then y 0 + y 1 X
+ y 2 Y =O is a linear model, and so is y 0 + y~ex + y 1 Y cos X =O.
However, m_odels such as y~ + X sin y 1 + y 2 =O are not linear in
the parameters y 0 , y 1 , y 2 •
In what follows we shall often use only two variables; however, the
resulta will hold for any finite number of variables.
Let us consider the general linear model y 0 + y 1 X + y 2 Y = O.
+ y 2 y = O or even Yo + y 1 X + y 2 Y* = O, depending on whether
the variables were random or fixed, observable or unobservable.
However, we see that it is impossible to have models such as y 0 +
y x + y Y = O, since this would imply that a random variable x was
1 2
a function of parameters and of a mathematical variable Y.
We can write the linear model
(5.1)
y=_ Yo_ Y1x º(5.2)
as
Y2 Y2
 !)8 LINEAR STA'.l'ISTICAL ll'fODELS 99
L I N EAR l\IODELS

oras X =_ Yo _ Y2 y 0 f t he modcl. T he statisticia n looks ata model in a somewhat

if Y1 =fa O (5.3) ineans
. t 1· a h t· if a n error term e is· ·
presc nt 111 t ¡ie m o d e1, 110 d oes no t
Y1 Y1 clifferen 1"' • . . .. . T
r it represents equ a twn e rror or measurement euoi. o
In (5. l ), X a nd Y enter t he equation in sy mmetrical fashion . In care w11e t lle b f t
; ·perimentcr, on t he othe r h and, t his quest ion may e o gre~
(5.2), Y is called the depcndent varia ble and X t h e independent vari- ~ ic ext nce Two models may be quite d istinct so far a s t h e expen -
able; v ice versa in (5.3). The words " independent" and "dependent" 1n1por a . --- ·- h t. t- . .
are used hcre in a mathematical sense a nd do not refer to t he si milarly incn t er ·s
1
concerncd but- cquiYalent so fa.r as t e sta is te1an 1s con-
named co ncepts in random variables. To a m athematician and gener- cerned. . . . 1 Jl
We s hall first discuss the class1ficat1on above, and late1 we s 1a
ally to an engineer or physicist, t hese t hree equ a tions a re equivale nt.
], t t he models as a statistician wo uld view t hem. If we solve t he
If X n.nd Y can be measured wit hout error and if a n experimentcr wants
to predict Y from a knowledge of X, he can use (5.2) . If he wan ts to
loo' a · ·t y
cquation y 0 + Y tX + y 2 Y = 0!01·.Y, ;vesha ll w n te 1 = 0:0 + 0: 1 X ,
Jfwe sol ve it for X, we s hall w n te it X = (3 0 + f31Y·
p rcd ict X from a knowledge of Y, (5.3) is appropriate. Since the Y;
5.2.2 Functionally R elate d Models. T hese mod~l s are c~1 arac­
a re n ot known, t hrec pairs of values X , Y can be observed, and the
tcrized by a fu n ctional relationship a mong mathemat1cal variables,
resu lt ing t hree equations can be solved for t he t hree unknown Y;·
of whi ch ca.nnot be observed owing to errors of measurcment.
If (5 .2) or (5.3) is uscd , on ly two pairs of X , Y values need be obser ved som e . . ,. . · Y* -
S ] Jpose two quantit1es Y* and X sat 1sfy thc equaL10n - ªo
to solve for t he parameters y;fy1 . u X b t1º*
+ o:1X. This im p lies thatwecanobserve utno - uppose t h ere
S
Suppose we want to predict Y* in thc rnodel
is a measurement e rror and , instead of obsen ·ing ~*, we observe y,
where y = Y* + e. S uppose e is a random erro r w1t h mean ~; then
Y* =_ Yo _ Y1 X
E(y) = }'*_ \1\fe can write t he m odcl as ~ - e= a 0 +. a 1 X or as
Y2 Y2
y = ªo + v-~ 1 X + e• It is important to not1ce the n otation ; y and
where y 0 /y 2 a n d y 1 /y 2 a re unlmown and Y* is n ot observable. If we e are random vari ables, y and X are observable. '* .
can obser ve y, whcre y = Y* +e, we can write t he mod elas For example, in clectricity Ohm 's law statcs tha t t he volt~ge T m a
ci rcuit is equal to t he product of th e res istttnce p of t he wire ~nd t he
y = _ Yo _ Y1 X +e current J . Thc cquaúon is V* = pl. , upposc an cxpenmcntcr
Y2 Y2 wants to find t he res istance p of a. circuit. Suppose he can not, measure
vVe can no longer proceed as we did beforo, i.e. , obser ve two values of T'* b nt can o bse rve v, where v = V* + e. T he equation beco~es
y a nd X a nd solve fq r y 0 /y 2 and y 1 /y 2 • In fact, sin cc t h ere is no v = pl + e. H e rc v a.nd e are random variables, I is ~ mathemat1cal
fonctional relations hip between y a nd X , we cannot evaluate y¡/y 2 va riable, and p is an unknown parameter to be d etermm ed. .
cxactly, but we sha ll have to employ s tatistioal procedures t hat will 5.2.3 Mean-related Mod els. T hese models are charactenzed
g ive us "estimates" of y¡/y 2 • by equation e rrors . Suppose t hat a function al relationship is given by
T here are man y types of l inear m od els that the scientist may want
to uso in getting informatio n that w ill hclp him predi et quan LiLie:; in f(Y,X 1 ,X 2 , .. - ,X,.) = O
t he real world . F ive types, adequato for many experimental p urposes, Suppose fort her t h n.tf(Y,X 1 ,X 2 , ..• ,X,.) can be wri tten
w ill be described. 'l'hese a re as fo llows: ( 1) functiona lly r eJated
rnodels, (2) mean-related models, (3) regression models, (4) experi- r = a0 + a.1 X 1 + a 2X2 + y(Xa, ... ,X ,,)
mental design m odels, and (5) component-of-variance models. Each If t he ter m g(X 3 , • . . ,X,.) is dropped , it is clear t hat ~ i~ not e~actly
ofthe five types can be broken in to various subdi visions, which we sh all dete rmined for fixc<l values of X 1 , X 2 , since t he rema111111g van ables
dis cuss in later chapters. rnay t a ke 011 Yarious va lues even t hough t he first two variables are
T hese divisions are made mainly fo r t he purpose of aiding the fixed.
experi mente r. On t he basis of his knowledge of the system t lrnt he Supposc, ho\\-cYc r, we are wi lli n.g .to as.sume. t~1at the variables -
wants to d escribe, the experimente r ca.n choose from t hc catalogue of X 1 , X 2 do a fairly good job of prcd1ct1 1:g ) , rca.11 z111g t~iat ~he oLher
m odels t he type that fits his situation. Having chosen a model and variables X 3 , X ,1, ... , X" will be needed 1f we are to ~red 1 ct J exactl~.
obtained data, he can use statistical techniques to a n alyze t he data by We may not know wha t these va.riables are, but it m a y be a fair
 100 LCNE AH. S 'l'A'1' fS 'L' I C A L l\fODJ<;LS L I NEAR i\IODELS I OL
approxim atio n to ass um c Lha t., fo r fixcd ,·al11es of t hc íirst two vari- . be mcasn rod so accurately t ha.L, f o r ali practica! purposes, we
a blcs, t hc term g(X3 , . . . ,X n) acts as a ra ndom va ri a ble as the quanti-
assume that t hey a re m easw:ed wiLho u t e rror. . The e r ro r ter m e is.·
can
t ies X 3 , . . . , X,, cha ngc. If this is kue, wc ca n t hen write dd d to tak e in to acco unt a ll t h e factors bos1des te mporaturo a ncl
ª .e" time t hat.. affect the " ·eig ht loss. 'l'hus, thc function o: 0 +
Y = o:o + 0: 1X 1 + o:2 X2 + e
·sto1aºc
X + cx 2 X 2 will prediet t he average valuo of.y a n d not }. 1'Lse lf .
IL s h ould be poiuted o u t tl u~t t he X ; can be func t ions of other vari- ';{0 \\~ovor, if the varia n ce of e is s ma ll , Lhis f unct1o n m ay be accun~te
ables . For examplc, jf X 1 = log l , X 2 = 3 1, then enough to be val uable. .
y = cx0 + o:1 log t+ ~3 1 + e
If the vari:111ce of e is zero, t h en Lhis rnodol h as no equat1on error, a.nd
it is fu nctionally rolatecl. If t ho vari ~ince of e is ~o large t hat ~h e mo~el
Or wo oould ha Ye X 1 = t, X 2 = t2 ; t hon we s hould ha ve the cur vilinoar · t useful it may be possiblc to redu ce tho va.n a nce of e by rn c ludmg
model 1s no • , . · · · fT
ther yariable X 3 in the model. r111s may h a Ye a stabil 1zmg o ect
y = o:o + o:¡t + (/../2 + e anothc tol'm g(X , . . . ,X Or, if t ho modol is qu i.te :at1s ac O I')' b ~1 t
· · · f L
0 11 3 11 ) .

one of t he yariables is difficult or expe nsive to obtam , 1t may be dcs1r-

\Ve stress t he fact t hat, in th is model , t he dep e ndent variable y is a
a.ble to o mi t that va ria ble from the m odcl a nd t he n test to see whother
r a nd om variable whereas t he ind ependent va riables X 1 and X are
2 t he ncw mod cl is satisfactory . .
not random vari a b les but are prode t erminod mathe n1atical variables.
We rc mark that, if the re is an e l'ror in mea s uring y, t he eq ua.L1on
A lso, t he ex pecLod valuo of the dope nde nt variable y does not g ive a
fon ctional rc latio 11s hip w it h X 1 a nd X 2 ; t hat is, E(y) =F Y. That is beco mes y* = a. 0 + o: 1X 1 + a 2 X 2 + e. If we let ~ = y* + d, t ite n
to say, thc fnn ctional r olati onship is we ha ve y = o: 0 + o: 1 X 1 + cx 2 X 2 + n, where t ho a is a ra ndori.:i e rror
such that a = e + rl.
y = o:o + 0:1X1 + a.2X2 + g(X3 + ··· + X,,) The importa nt t hing to rcme mbc r about t his m odel is that we a re
whoreas E(y) = a. 0 + a. 1 X 1 + o:2 X 2 , whi ch is equal to the a verage rcplacing t he m odel Y = o: 0 + a. 1X 1 + a.2X 2 + g{~3. ··· ,X ,.) ~y t he
val11 0 of y . mode l y = a. 0 + a 1 X 1 + a 2 X 2 +e. \Ve are in .e ffec t not try mg t~
predict Y d irectly b11t hoping ins toacl Lhat E(y) is close enough to. }
This moclel is impo r tan t in proble ms whore ma ny factors influc nce
to be uscful. I t is important to re mem ber a lso t hat we a,re assurnmg
t he factor r a nd w hc re a li tho factors may not be kno wn but a knowl-
t hat y is a random varia ble a nd t hat t ho mean of y is E(y) = (,l.º +
cdge of sorn e of t hem ma,y be usod to estímate an averngo value of y
"el oso" to t hc t l'uo Y val ue. For oxa.mple, suppose we want to p redicL cx 1 X 1 + 0:2X2· .
5.2.4 Regression Model s . Thoso modcls are characten z.cd by
thc woig ht a p i 11 L of ice Cl'Oam w ill lose when stored at very low tem-
t he fact t lrnt t he variables entering inLo t he m a re rand o m vana,bles.
pornt11 ..es. Tho resoarc hol' kn ows t hat ma ny factors con trib11te to
t ho Joss of weig ht in the pint of ice cream, s u eh as: Let f(y,x) be t he j oin t distribu t ion of y a nd x s 11ch that E(y 1 x = X) =
1. S t orage time X 1 ªo + o: 1X. ' iVo sha ll write th is Yx = a. 0 + a 1X + ~ - * ·*
2. T e mpera.tu re X 2 It ma.y be t hat two unobserva blc random van a bles y and x
3. H umidity X 3 have the joint distribut ion g ive n a bovo. If we ob~erve y = y* + e
and x = x* + d, we then h ave a rogross ion m odel w1t h measurement
4. B utterfat content of Lhe ice croam X 4 , and many othor factors,
out to)(,, CJITOl'S .
F or exarnp le, s uppose it is d esircd Lo pred icL t he temporature !J in a.
\Ve assumo t hat weig h t loss Y can be gi ve n e xactly by Y =
certa in locali ty by u sing only hum idiLy x . \Ve s ha ll a ssume th a~ Y
.f(X 1, X 2 , . . . ,X 11 ) o r by Y = a. 0 +
o: 1 X 1 + o: 2 X 2 + g(X3 , . . . ,X ) .
11 a nd x fo r m a bi ,·ari ate frequon cy funciion. \Ve can use a rcgress1011
H o wevor, we m ay fecl t haL te m perature and storagc t ime a re t he
impor tant fa ctol's; so wc form t hc prediction equat ion mode l and predi ct the average tc mpcraturc fo r a givcn v a l11c of
humidi ty. Jf t h ere a re er ro rs in mea.s urin g e it her ten~peratu l'e or
Y = Gl.o f- G1.1 X l + ª2X2 + e hurnid ity or bot h , thcn we can use tho ~~l tcrnati vc rnod el w1th m ea.surc-
mcnt e rror.
w hore X 1 is storage tinto in wecks, X 2 is t em peraturo m dog.rees 5.2.5 Experimental Desig n Model s . The mod cls consid c~·ed
Fahronheit, a nd y is t hc weig ht loss in grams . Now y , X , a nd X up to now h aYe been such tha.t thcy permi tted us to say somethrng
1 2
 102 LINEAR STATIS'.1.'TCAL J\JODELS 103
LINEAR MO'OELS

aboru t y or E(y) or tl~e })~rametc~s in t he m,odel y = o: + o: X + . ely . The ob1·ect in this model is to observe values of y
espec t iv
0 1 1
ª2X2 +e whcn xi Yaned m sorne m terval. 'I he experimental design :nd estimate ai, ~' an.d a 2 (a2 is the_ variance of e). .
model is s_o mewhat different. In this model Xi takes only the valuea
F or. ox-ample , in measuri ng the rntrogcn .
content of t he fo h age o n a
. . · t' f
O and ~ . For c~ample, s uJ?pose :ve wan_t to examine the durabili·.,y of ccrtam · t l ·ee ' there a re two m a1· or sources of vanat10n: t 11e vana 1011 o
two d1ffe re nt kmds of pamt. .rhe pam ts are each subjectcd to a on t he tree and the variation due to the measuremcnt or
t he leav es ' h 1
friction machine, and the t ime it takes for t his machine to wear thc Jabo ratory error. S uppose we take n leaves from t h.e tree, w ere t le
paint_is r~corded. We shoul~ like to have a formula for predicting . trogen content of t he ith leaf is ai . In t h1s case t h e a 1 are
ac t na 1 111 . · ., s
the t im e 1t takes for each pam t to wear away. Paint 1 and paint 2 . d m variables from a distribution w1th vanance a¡. uppose m
bear no numerical relationship to each other. The prediction equation ian o . 1 't t t
measu rements are made on each leaf to determ1~e t le 111 rogen con en
can, however , be written y = o: 1 X 1 + a 2 X 2 , where X and X takc of that particular leaf. If we !et Y;; denote th_e Jt~1 m~asur~ment ~f the
1 2
t h e values O and 1 a n d where o:; is the t ime it takes paint i to wear away. ith Jcaf, the e;; a re random variables from a d1stnbut10n w1t h vanance
Thus, y= a 1 when X 1 = 1, X 2 = O; y = oc 2 when X 2 = 1, X = o. a2. 'l'he model can be written
1
Thercforc, _if we !et Y; be the time it takes for paint i to wear away,
~ve can wnte t he modcl y = ix 1 X 1 + o: 2 X 2 as Y; = <X;- Actually, y Y;;=µ + a;+ e ;; j = 1, 2, . .. , m; i = 1, 2, ... , n
~s a fun ction of X;, b u t, since X; = O o r 1, X; may not seem to appear
where y¡ 1 is the o bserved ni trogen con ten t of ~he j_th mcasurement on the
rn t he formu la. In addition, there may be an error in measuring y,
ith lcaf. The q uantity µ is a constant wh1ch 1s the average value of
or there may be other factors besides the effect of thc paint that cause
One obJ. ect of this model is to es ti mate ai and a2 from t he observed
values of Yu· Vio note t 1rnt t 11e van·a n ce o f· Y;; equa1s 0'1 + a 2 ,• that
y to take on a particular value. We may, t he refore, wish to write t he - y¡¡- 2
equation Y; = o:; + e, where e is a ra ndom error.
is, it, is a li near function of t..he variances.
For another example, suppose a researcher has developed a new
variety of wheat, which h e wants to compa re with a standard variety.
He wan ts to examine the yield of t he two varieties; so he p lants both 5.3 Model Classification
under uniform conditions. If wc Jet <7. 1 be t he average y ield of the In the previous section we discussed the models from t h e point of
n ew variety and <X 2 the average y ielcl of t he standard variety, we can view of a researcher_ In this section we shall define models_ as a
write the model for the observed y ield as
staListicia n Jooks at them . In subsequent chapters we shall d1scuss
y = ix1 X1 + ix 2 X2 +e in detail the five models defincd below. _
_ 5.3.1 Model 1. Suppose Xv X 2 , . • . , Xi.: are known math e matical
wh ere y is t he observed yield, e is an error, a ucl X 1 and X take on the ya riables, y is an observable random variable, {3 0 , f31, f32, · : · , f31.: ~l'e
2
values O a n d l. Alt h ough the experi menter may attempt to plan t unknown parameters, and e is an unobser vable ra ndom vanable w1th
t he two varieties under very similar condit ions, there a re a great mean O. Und er t hese conditions th e model
many factors, such as soil fertili ty, humidity, moisture, a nd so forth,
that rn a ke the observed yield diffe r from t he tr ue average y ield of t he Y = f3o + f31X1 + fJ2X2 + · · · + f31.:X1.: + e
variety undcr observation. These effects constitute t he random error
t erm e. For example, if X 1 = 1 and X 2 = O, t he n t he corresponcling will be clcfined as model l.
y value is y 1 = o: 1 + e. vVe see t hat t he observed value of y is not Man y of t he models discussed in the last section w~ll fit int~ the
t he true average effect o: 1 but is equal to ix 1 p lus the error due to t he framcwork of this model. For example, suppose t here is a funct1onal
uncontrolJed factors. W'e may want to estimate cx 1 , which is E(y ) . relationship between Y* and X 1 , given by Y* =~ o +f31X1. \~e
A similar s ituation holds for y wh e n X 1 = Oand X = l.
1 cannot observe J'*, but we observe y, where y = Y"' + e, whe1:e e ~s
2
5.2.6 C ompo n e nts - of-variance Model. This model is sim ila r a meas urcment error. vVe t he n h::we y = f3 o + f3 1X1 + e, wh1ch is
tv t he experimental desig n model in t hat the X variables again take model l.
t h e valucs O and 1 o nl y. The model can be writte n y = a X + S uppose the functional relationsh ip Y = g(_X 1,X 2 , . . . ,X~) can be
ª2X 2 + e. However, a 1 and a 2 are not parametcrs, but a re unobserv-
1 1
wn'tte n )r = ,.,R 0 ,_¡- f'R 1 X' i + J¿(X 2• · · · ,.;.\,"''
)' ) wluc h we a1)prox11nate by
1
able random variables from distri butions with varia n ces e?¡ and a~, " 11 = /30 + /31X1 + e
104 LINEAR STATISTICAL MODELS LINEAlt MODELS 105

T~1~s
is a mean-related model with equation error, but it fits the defi- 5.3.5 Model 5: Components-of-variance Models. Let a 1 , a 2 ,
mt10n of model 1. If y is not observable, we write it a be unobsenrable random observations from a distribution
••• , p • 2
with mean O and variance ªª; let b 11 , b 12 , ••• , bpq be unobservable
y* =Po + f11X 1 + e random observations from a distribution with mean O and variance a¡.
If Y = y*: + d, we get y =Po + p1 X 1 + a, where a = e + d. This Lct y¡; be an observable random variable such that
also satisfies the requirements for model 1. Y;; = µ + a¡ + bii
5.3.2 Model 2: Functionally Related Models with Vari-
ables Subject to Measurement Error. Suppose the mathematical whcre µ is an unknown parameter. Models such as these will be
variables Y*, Xi, ... , XZ are not observable but that y, x 1 , ••• , xk ca11 called nwdel 5. One object in this type of model is to estimate a!
be observed, where y = Y* +e and x. =X~ +e.1 (i = 1 2 k) and ai.
Suppose further that there is a functional 'relati onship 'a~~~~' th¿
mathematical variables, gi ven by Further Reading
1 l\f. G. Kendall: Regression,StructureandFunctionalRelationship, Biometrika,
Y* = Po + f11X: + · · · + {3kx: parts I, II, vol. 39, pp. 96-108, 1952.
2 H. Scheffé: Alternative Models for Analysis of Variance, Ann. llfath. StatÜJt.,
'Ve can substitute and write vol. 27, pp. 251-271, 1956.
3 C. P. Winsor: Which Hegression? Biometri.cs, vol. 2, pp. 101-109, 1946.
Y = Po + f11x1 + · · · + Pkxk + e - P1e1 - f32e2 - • • • - f3kek 4 H. F. Smith: "Variance Components, Finite Populations and Statistical
When the above specifications are met, we shall define the model as Inference," N. Carolina Inst. Statist. Mimeo. Ser. 135, 1955.
5 :M. H. Wilk and O. Kempthorne: Fixed, Mixed and Random Models, J. Am.
1nodel 2. Statist. Assoc., vol. 50, pp. 1144-1178, 1955.
5.3.3 Model 3: Regression Models. Suppose y, x1 , • • • , xk are
a set of jointly distributed random variables such that the expected
value in the conditional distrib. ution of y given •x.J. = X.i (i = I ' ...,,
?
... , k) is given by Po+ p1 X 1 + · · · + pkX1.:. We can then write

Yx = Po + /31X1 + · · · + P,.~Xk + e
When the above conditions are satisfied, we shall define the model as
model 3.
The only difference between, model 1 and model 3 is that the X.
in model 1 are mathematical variables, whereas in model 3 they ar~
particular values of random values.
5.3.4 Model 4: Experimental Design Models. Let y be a
random variable, and let X 1 , X 2 , ••• , X k each be equal to either O
or 1. If /3 1 , {3 2 , ••• , /3 k are unknown parameters, then

Y= /31X1 + f32X2 + · · · + {JkXk + e

will be called model 4. This model is a special case of model 1, but,
because of its importance, it will be discussed separately.
This model will generally be written

Ytr·k = µ + Pi + «¡ + · · · + e;r·k
where ¡3¡, «s, ... are unknown parameters and eii···k is a random ¡
variable. >
 JllODEL 1 : GENERAL Ll NEAR HYPOTHESIS OF FULL RANK 107
Equation (6.1) is sometí mes referred to as a prediction equation.
Suppose we wish to predict, for example, what t he value ofy will befar
givcn set ofthe X; . Sioce e, and co nscq uently y, is a random variab le,
~'C cannot in genera l predict t he exact value of y for a given set of t he
X· but we may be able t o p redict an inte rval a nd establis h t hc prob-
~ bili ty t hat t he interval will con tain y . On t he other hand, we may
6 not be particularly interested in p rcdicting t he value of y, bu t we may
desire instead to estim ate E(y), t he expectecl value of y, p ertaini ng to
11 given set of the X; .
Suppose a physicist, in study ing t he motion of a certain type of
Model 1: The General Linear Hypothesis particle, concludes t hat there is a fun ction al rela t ionship between t he
distance d t h at the particle m oves in a certain t ime interval t. That
of Full Rank is to say, h e is willing to assume that t he fun ctional equation d = vt
rcl<Ltes t he d istan ce and the ti me a particle moves. Suppose further
thaL t he vclocity v is not kno"·n , so t he experimenter decides to
measure corresponcling values of d a nd t a ncl t hus ascertain v. H ow-
6.1 Introduc tion / cver, suppose he cannot measurc d acc urately . That is to say,
instcad of measuri ng d he can o nly measure y, where y = d + e,
J n t his chap.ter "'.º shall derive thc d istribution of pertinent statisLics where e is a measurement error t hat is nor ma lly and indepcndently
n ccded for est1mat1on of certain parameters in model 1 and for testing distributed a bou t a mean of O fo r each selected value of t. Therefore,
hypothescs abou t them. the model fi ts t he de finition ofj(y;x;{J) .
6.1.1 Definitions and N otation. Consider t hefrequency fun ction lf we can obtai n an estím ate of V (say, v), t hen the estimated distance
f(y; XvXz, · • • ,x,,; fJ ~· : .. ,{J,,) of a rand om variable y, which d epcnds el that th e par t icle trnvels duri11g t ime t is g iven by J, = vt. Jn t his
on JJ known quant1ties x 1 , . . . , .;P a nd on p unknown p arameters sit uation an experi menter may be interesteu in setting confide nce
fJy f32, .. · , fJ~ . .Tn ~his chap t er 1 we s ha ll in vestiga.te various proper- Jimits o n t he d istan ce t he part iclc t ravels in time t; Lh is wo uld
ties of the d1stnbu t10n of t he random variable y . This freq ucn cy necessitate setting confidence limi ts on E(y) = d .
function will be denoted by f(y ;x;{J), f(y;{J), or f(y). We shall assume For another examp le, Jet ns consider a large ind ustria l fir m t hat
1' has many thousands of employecs . L et us assu me that a n ind ivid ua l
thro ug ho ut the discussio n that E(y) = I {J;x;, where the {J. - are un- is conte mplating accepting employment wit h this co mpany and t hat
i- t '
known para meters, and t h at t he varia nce of y equals a2, where a2 he wants to get sorne idea of its salary system . Suppose he knows
d ocs not depend o n t he {J; or on t he x.. The vector P '. = (y . x x that t he following prediction equatio n is satisfied:
•11 ' J " il ,. ;2,
: · · ,x1,, ) w 1 r epresent a n observatio n fro m this distribution. That y = rt.1 -!- CX2X +e (G.2)
1s t o say, when a n observation y is taken from t his distrib ution t he
corrcspo_nd ing X; v~lues must be specified. Throug hou t t his cha~ter, where y is thc a nnua l sala ry, x is t he number of years cmployed wit h
th e X; w il l be cons1dered known constants, no t random variables. the cornpany, a nd e is a random varia.b le that is, say, normally distri b-
. If in f(y;x ;f3) ."'e make t he transformation e = y - 'L{J;X;, thcn e uted wit h mean O a nd varia nce a 2 • 'l 'hat is to say, t he average salary
1s ~ random variable such t hat E(e) = O a nd E(e2) = a2. This can be is linearly related to the number of years employed. Suppose he
written wanLs to p redict what his sala ry will be 10 years hence. From (6.2)
.,, he knows t hat t he average salary of a li em ployees who have becn wit h
y= I fJ;x; +e
i=l
(G. l) the company 10 years is a 1 + 10:x 2 • HO\rnver, he a lso knows that t he
1 salaries of ali p eoplc w ho ha ve becn employed exactly 1O ycars with
\Ve s ha ll n ot nccessarily a dhere Lo t he notation t hat lower-case letters
the company varíes around t he mean cx 1 + 10o: 2 wit h a normal fre-
rep1·csc n t random varia bles, etc., which we introduced in Ch a p. 5.
106
r1 quency function whose variance is a'. T hus, t he<e may be people
 108 LINEAR S'l'A'.l'IS1'1CAL J\CODELS
J\fODEL 1: OEN JmAL LJ;NJ;:AR llYPOTHESIS OF l'ULL RA;-,rK 100
wh o _h a\·e. b een e m p loyed 1 0 . years wi t h t hís company and whose
salar~es m 1g ht ~e extremeJy h 1g h or cxtrcmcJy low, bu t most of th nd ti¡e11 ra.,ndom ly . se lect a n obser vationr Y1 fro m t he d ístributio n
sala n es (approx1mately 05 per cent) a re with in 2a uni ts of a + l O 0
ª .x 1
= x 11 , x. = x 1 2 , • . • , x,, = xh>). Then we select anothe r set
.
I f a is . JI o:, f(!J . ,· ay x -x x - andan observatio n 11 • at ra.ndo rn fro rn
0f X s S
i , • 2 l • • 22 • • · • ' . '"" .~ -
q ui te sma , a n e mp loyee can p redfot wi t h a fairly hígh prec · · ·
. . . · 1s1on · d 1'.stri bu t ion f(11; x 1 = x 2 1 , x. = x 22 , . . . , x,, = x 2 "). \Ve rcpeat
wh at h 1s sala ry will be 111 10 years. In genera l a; will not be k nown· thc -~ - • ] • J
. . cess until n values of y are d ra wn . No st1p u at1on las yet been
so !le rn ust takc so me obscr vations of sala ries wi t hin t hc campan,' Lh1s pto .1 · · • f t t i1cy m1g · l
esti m ~te rx; , a nd t hen s u bstitute t his estimated value of a; into E), put on t) ie ·X·· ,,. They . neccl n ot a.U be u1sL1nct; . · J11_ ac,
· b 1t
be t he samc. H owever , sorne restn ct1on w1ll e p u t on t hc
(6.2) rn o~·der to pr~dict. If o-_2 is so la rge t hat t he prediction is i:dt 11
ªmatllX ••• of the :i; . in s¡)ccia l instan ces. Therefore, whenever the model
very precise, one m 1g ht Lry a d1ffercnt p rediction equation, say, rJ • ed b 1
y = X {3 + e appears , il will be ass1l11ied thc!l i f was consfruct y l1~e
. g process de'ined above. On t h e has1s of t h e observed matn x
(6.3¡ sampl in :¡• · d ~ •
X a nd obser ved ra.ndo m vari able Y , est1mators fo r t he /3; a n or a-
-~ere x 1 is t h e 1:um ber _of ycars employed, x 2 is t he number of ycars "·ill be deri ,·ed. . . . .
of: fm•mal ed uca~10n, and t he rem a ini ng sym bols are as defined in (l>.2) · 1'he prcceding will be for m ulated m t h e fo llowrng de fi111 t10 n .
w1t h t he exccpt1on Llrnt Lhe r:tndo m n orrn'al varia ble f h as va,ria nce cr.
+ De finition 6.1 T h e modcl Y = X{3 + e [w hc re t he q u an t,i ~i es
T hus, if a¡ < a , onc can do a " better" jo b ofpredícting wit h Eg. ((i.~j
2

t ha n wit h Eq. (G.2). o-iven in (G.G) a r e such t hat Y is a random o bscn ·ed Yector, e _ i ~ a
Now Jet us consider thc general problem, whcre thc m od el is a linear
~andom vecto r, X is an n x p matri x of lrno w11 fixed quant 1t res
fu nction of p variab les as given i n (G. l ) . . a nd {3 is a p ·x 1 Yector of u nknown par::w1etcrs] will be ~alled
rnode l l , t he genc ra l-linear -h ypothesis moclel of foil ra nk, 1f t he
S ínce, in ge neral, the /J; in Eq. (6. 1) are not kn own , we s ha ll havc to
estímate t hem in ordcr to utilize the prcdictíon e quatíon. To estímate r a nk of X is cq ua l top where p ~ n.
t he /3;, a random sam ple of size n wíJI be takcn fro m t he distribu Lion Two cases concerning t he d istribution of t he Yector e \\·ill bo
f (y;x ;{J) . T he sample will be denoted by P ;, P~, . . . , P;., an d thc cxam ined:
relations wí t hi n t hc systcm of obscr vations can be wri tten . Case A: e is d ístri bn ted .N(O,a2 1), w hcrn a 2 is unk nown.
Case B: e is a rando m vector s uch t ha,L E(e) = O a nd cov(e) =
Y; = L" /3;X1; + e; j = J, 2, . . . , n (6.4)
E(ee') = a 21, whe rc a 2 is unknown . . .
i=l Thc defi ni t ion of case A is eqnivalent to saymg t hat ea.ch e, is
or, in Yector fo r m, norma lly distri bu ted wi t h mean O and vari an ~e a 2 a nd t ha._t t he e,
Y = X{3 +e (G.5)
n,re joint ly independcnt. That of case B is equ1 valcnt to saymg t hat ·
the cxpected valuc of each e; is zero, the e; a re un~orrelated, a nd t hc
e. have a comm on un k now n varia n ce a 2 • Case A w1ll be referred to as
'
the nonnal-theory case. . . .
where Y= In usíng Eq . (G. 1) as u. m odel we s ha ll be i~1 tcrcstccl 111 ~scert~1mng
its ma ny p ro pe r t ics. Below is a li st of t ite t h111gs w~ sh all rnves_t1gatc:
J. T he point Cl;t im ation of a 2 , t he {3¡, a 11 d t he l111ear fun ct10ns of
the /3 1
2 . T he point es t ima.tion of E(y) . . .
3. The inter va.I esti mation of a 2 , t hc f3 ¡ , a ncl t hc )mear funct1ons of
(G.G) t he{3¡ . .
4. T hc intcrval cs t imation of E(y) andol a fu t ure obser vat1on y
·5. T be intcr val estim a.Lion of x fa r a n obser ved y when p = 2, t h at
is, in simple li near models
Examining Y = X{3 + e in more detail, we see t hat \ve must first i
Se)ect (eit he r at random 01' by d esign) a set of x's say x X ~·
' ' º 11' " 1 2 , · · · 1 ·'-'l pJ
r G. T h e test of t he hypothesis t h at f3 1 = /3f, f3:? = /Ji, · · · , (31> = f3;,
where t he f3't are g iven constants
 JlO
LINEAR S'.l'ATI S'.l'ICAL lllODELS JllODEL 1: GENERAL LINEAR HYPOTHESIS OF F U LL RAN K 111
. 7·, The t~st of t he hypothesis that the linear fun cti ' . '1'1.Lking t he deri"rntive of logf( e ; (3 ,a2 } with rcspect to t he yector (3,
?o, \\ hc re ris a kno wn vector and r . k on r (3 IS equaJ to
8 TI < o IS a nown sea lar Lhc above can be written
. ie test of t he hy p othesis t hat a . •
a set of known constants w he re tl1f~en s_u~set of the /3i is equaI to
. · ' 1e ma111111
t~1 at is, ; test of the hypothesis t hat = {3* /3g ~· :;re unspec1fied;
"herc f3 • , {3*
. . .
º
- [logf(e ; f3,a 2)J = O
0(3
J_ Llog f (e; f3 ,a2 )] =
ªª2
O

2' . . . '
/3*k are 1{nown constants a nd 1'
le 2 <- /32 , . . . , f3k -- I';
11•
,

-o [1ogf (e; ().

9. T he test of t he h ypoth esis J..' A - .., , A p n 2 (X'Y - X'Xf3) = O
J.. ' P. J.. ' P. , l t" - A 9 t" = • • • - J.. ' P. Ü which give t" ,cr)] = -
. i t" > 21"".' .•• , Ak(3 are linear func t ions o{ (3 wh . - kt" = ' where of3 2a2
Jmearly mdependc nt vcctors . , e re Av A2, ... , Ak ar.:
. For poin t estimation both case A a nd . . ~ [logf (e ; (3,a2)] = - ~ + (Y - X f3 )'(Y - Xf3 ) = O
m terval estimatio n a nd testin of 1 case B w1ll be stnd1ed, but for aa2 2a2 2~
JJ Orma l-theory sit ua tion case Ag 1 1ypotheses \\ "C s ha ll study the
, , on y .
Jf ~ and a2 are the solut ions to t h e resulting equations,1 wc gct
6.2 Point Estimation ;r X'X ~ = X 'Y

'J~he point estimatcs of t he paramet . . .

esis m odel will be consiclcrccl separ a t el rs )n t ille general-hncar -hypoth- and ,.,,..,. 6 2 = ~ (Y - X¡3)'(Y - X~)
621 e e y J.01' t 1e two cases . n
· · a se A: Estimation of (3 d 2 •
S incc we a re considering th . a n .ª unde r Normal Theory 'l'he m atrix equations X'X~ = X ' Y a re called th e normal equations,
n o rm:illy dis tributccl, the m:-x~;se i ~ · wh~ch t he vector ~f errors e¡~ and tbey will p lay a n extremely impor Lant role in our theo ry. Since
estímate f3 /3 /3 el 2 ~m 1i~eh!100 cl me t hod w11J be used tQ X is of ran k p, X 'X is of ran k p and, he nce, has an in verse. Thereforc,
I > 2> • • • , :i> a n a . The hkelihood equatio n is
wc get
f(e; (3 ,a2) = ~ cxp (- e'e/'> 2)

~~ @ ~
(21T1Ti )11f 2 -a

= \ cxp [ - (Y - X(3)'(Y - X(3)] s-'X'Y

. (2rra ) n/2 2a~
Usrng logarithms, we get
/3,,
lo"
º f (e·' t"A ,a2) = - -n log 2rr - -n loa a2 - - 1 (Y - Xf.l.)' y
2 2 º ª2 t" (
,..
- X(3 )
whcre S = X 'X. Wc sh a ll let C = 1. s-
Sincc ~ a nd a2 are maxi-
2 mum-likclihood estimators, t h cy a re cons istent a nd efficient, but we
'J'hc maximum-likelihood cstim ates of P. 2 must examine t hem to see whethcr they are unbiased.
eq uat ions: t" and ª a re the solutions to the
To examine ¡3 for un biascdness, we proceed as follows:

º
of31 Llogf(e ; (3,a2)J = o E( ~) = E(s- 1x ' Y) = s- 1 x 'E(Y) = s- 1 x 'E(Xf3 + e) = s- 1x'Xf3 = f3

So ~ is a n unbiased estimate of (3 . To examine ii2 for unbiasedness we

º
of32 [logf(e ; (3,a2)] = O procccd in similarfashion and getE(ii2 } = (l/n)E[(Y - X~) '(Y - X¡3)].
lf wc substitute for t he valuc of ~ , we get, after somc simplification,

º [.,
~/3 ogf(e ; (3 ,a2)] = O
JJ
E(ii2 ) = ~ E[Y'(I -
n
xs-1X ')'(I - xs-1X ')Y I

º
oa2 [logf(e; (3,a2)] =o 1 In t his a1·ticlc we s hall use Lhe noLn.Lion Lhat the symbol ,.._, refe1-s to a m axi-

mum-like lihood estimatc. If it is u nb iased we shall use the symbol ,,..... .

 11 2 LINEAR S'l'A'l' JS'l'JCAL MODELS
MODEL 1 : GEKERAL L I NE AR llYP O'l'lTESI S OF FULL RANK 113
] t is casily sh o11·n th at I - XS - 1X ' is a n idc mpotent rn a trix a nd, h cncc
t hat ' joint ly s u fficic nt s t aLisLics for t hc JHLr~ m eters . a 2 , {3 1 , {3~, ... , p" nnd
sincc t.he esti112ators a re complote, 1t follo\\·s t hat, 1f n, function
E(a
2
) = ~ E! Y '(I - xs- 1 ' )Y] lt (á2,/J 1 ,{J 2 , . . . ,(3,,) can be fo und s uch t h aL
n
E[h(á 2 ,/J1 ,/J2 , •• . , /J,,)J = g(a2,fJv . . . ,{J,,)
ELY '(I - xs- 1X ')YI = Eíe'(I - xs- 1 X ')eJ
t,hcn h(a2,{J 1 ,{J 2 , • • . ,/j,,) is a n unbi nsecl cstima t or of g(a 2 ,fJv fJ 2 , . • . ,{J")
::tnd by T heorc m 4. 18, wc fi nd t hat t his cqu a ls and has a smalle r varia ncc fo r a given samp le s ize t ha n ci2iy other
unbi used estimato r of g(a2 ,{3 1 ,{J 2 , • •. ,(3,,). For ex a mplc, (3 1 is thc
a2 tr(I - xs- 1 X ')
mini 11111111-vari a n ce nn biased estimator of {3 1 ; ¡3 1 - 2¡3 2 is the minim um.-
:ind tr(I - XS- 1X ') = t r (I) - tr(XS- 1 X ') vnri a nce unbiased estima t or of {3 1 - 2(3 2 ; etc.
Since ~ is cqual to the p roduct of a const a nt m a tri x s- 1X ' and a
whcrc I is t he n X n ide ntity mat rix. Therefore, tr(I) = n a nd , by
T h eore m 1.4ü, t r(XS- 1 X ') = t r(X 'XS- 1) = t r(I) = p, sincc X 'XS - 1 norma lly distribu ted vector Y, Theorem 3.22 ca,n be used t o s ho w that
is a p x p idcnt ity m a tri x. So ~ has t he p-Yariate nor mal distribution . \Ve ha,~e a lread y s h own
t haL t he mean of ~ is f3. The covaria ncc matrix of f3 is
E(a2) = n - P a2
n / cov( ~) = E[( ~ - (3 )( ~ - f3)'J = E[(S- 1 X 'Y - f3 )(S- 1X ' Y - ¡3)']
T he rcfore, a2 is biased , but Jf wc s ubstitute Xf3 + e for Y, we get
a-2 = _1_i_ (Y - X~ )'(Y - X~ )
62 cov( ~ )= E{LS- 1X '(Xf3 + e) - f3)LS- 1X '(Xf3 +e) - ¡3]'}
n-p n - p
= E[(S- 1X 'e)(S- 1X 'e)'J = E(S- 1X 'ee'xs- 1 )
is a n unbiased estimate of a 2 •
Next we slmll exa,mine for suffi ciency. The joint frequc n cy of thc = s- 1x '[E (et!')] XS- 1 = a 2 s - 1X 'Xs- 1 = a 2 s - 1
e; can be \l"ri ttcn So ~ is cli stribu ted N (f3 ,a 2 S - 1). S in ce (n - p)82 = Y '( I - XS- 1 X ') Y
1 n.nd s ince I - XS - 1 X ' is a 11 idcmpotcnt m a tri x of rank n - p, we can
f( e) = l cxp [ - - (Y - X(3)'(Y - Xf3)]
(27Ta2) 11/ 2 2a2 uso Corolla ry 4. 7. l Lo s how t hat (n - p)(82 /a 2 ) is clistribu ted as
T he id en t ity in (3 x'2(n - p , },), wherc ?. = ( l /2a 2) f3'X ' (I - XS - 1X ') Xf3. B ut (I -
X S- IX') X = O; so J. = O, a nd x' 2 (n - p, }, = O) reduces to thc central
- > (Y - X f3)'(Y - Xf3) = (Y - X~)'(Y - X~ ) + ( ~ - f3 )' S ( ~ - (3) (G.7) chi-squ a rc distribn t io n wi t h n - p degrccs of frced om.
We s ha ll now use T h corcm 4 . 17 Lo sh o "" that 8 2 is clistrib11 ted inde-
can be rcadily establis hed . Using t his ide nt ity, we find t hat t he pendc nt ly of t he Yector ~ - The t heorc m statcs t hat t he p linear
joint freq ue ncy fun ction is
fo rms ~ = (S - 1X ') Y a re in depen<lent of t he quadratic form 8 2 =
[ 1/(n - p) ](Y - X~)'(Y - X~), which can be wri"tten á2 = (1/
f(c) = 1 cxp [ - (Y - Xf3)'(Y - Xf3)]
(n - p) ]Y'(I - XS- 1 X ')Y, if t he prodnct of th e mat ri x of t hc Jinea~r
(27Ta2)n/2 2a2
fo rm s a nd the q u adratic fo rrn is the null matri x. Th:it is to say, f3
= l
(2 77<,2) 11/ 2
Cll.'Jl [ - (11 - JJ)á
2
+ (~ - (3)'S( ~ - (3)] itnd 8 2 are in dependc nt i[ (S - 1 X ')(I - XS- 1 X ') = O. Simply by
perfo rm ing t hc indicatcd mu lt iplication , we can easily show t h a t this
2ª 2
is true.
a nd , using t he defini t ion of s ufficicncy in Cha p . 2, we see t hat 82 , fJ , The fo recroincr
1 o o discussion is summed u¡) in t he fo llowing theore m .
{J 2, • • . , f]" form a set of estim a t ors t h at a re jointly sufficie nt for a 2,
{3 1, {3 2 , • •• , f3p· W e s ha ll n_ot gi,·c t he p roof, b ut it can be shown t ha li .......-+ Theorem 6.1 If Y = X(3 +
e is a genenil-lincar -hypoth esis
thc cstimators a2, /J1, /J2, . . . ' /Jv a re complete. m odel of foil ra nk a nd if e is distribut,ed N(O.a2 I ), t he estim ato rs
S upposc, thcrcfore, that it is d esired t o find a n estima t or of the - Y '(I - xs- X ')Y 1

function g(a 2 ,{J 1 ,{J 2 , . • • ,{J,,). S ince '12 , {J 1 , {J 2 , • . • , {Jf) for m a set of f3 = s-1X 'Y, a2 = ---....:'--- --'--
n - p
114 LINJ•:AR S'.l' A'l'IS '.l'ICAL MODEL S i\ JODl~L
,
l: GF.N F.RAL LINEAR HYJ>O'VH B SJS OF J<'ULL JtANK 115

when t hc vector e is nor mally d ist r ibutcd, ~ = s- X'Y

1
h avc t he following propcrties: ved t 11a t
(1) Consistent (6) Co mplete pro lle . varian ce than a.ny other unbiase d esL1ma · t
·or or .....
A

has s1nal Ir t sq ua1·es es t i mator wc can not ma.ke so broad a statement,

(2) Efficien t (7) Minimum va riance u nbiascd t7' r t l C eas - e - • ti t
-"º . t he "aoodness" of A wit h othcr cst1mators . · 1a
·r
(n - p)á 2 • • . t wc can compa1e o t'
(3) U n biased (8) ., is d1stn b uted bu ·t · S])ecified functions of t he observaLions Y . How~vei", J · we
a· are cei ai ll · 1r1 ) asan estimator for
(4-) S ufficient as z2 (n - p) ' . int crested i n u. genera l fun ct1on ,.,yvy 2 , . ·· ,y,, .'
::u e de. quite creneral conditions t he fun ct1on l.i(y 1,Y2• · · · ,yn)
( 5) ~ is d istri bu ted (9) ~ a nd á 2 are ind ependent n t hen, un t º ' . . . <l . s
v;• be expan dccl 1·11to a Tay·Jor series and t he li near teon . use fa .
..N( (3,a2s - 1) e
ca.nirst a )proxim atio n . Although t here ~re some good. rea~ons or
6.2.2 Case B: Estimation of f3 and a 2 a nd the Gauss-Ma rkoff a.. fi t . a ~o rest rict o lll'selves to l inea rfunct1onsof t he ?bseivat10ns y;as
Theore m. In t his a rt icle we s hall assume t hat the ra.ndo m vector \\ :t~ inº . 1· A ofLen we d o not want to so rest n ct om·selves. .A
st11nato1s o t-' ' . t . ti e
e has zero for i ts mean and a 2 1 for its covari a nce matri x . The forrn e ore m t lrnt asserLs t he "goodness" of lca.st-sq uarcs estima es 111 ~
of t he freg uency function of e will be unspecified ; t herefore, t hc t hed 1 y = X (3 + e is t hc Ganss- 1Vfarko lf Lhcorern . Although t lu s
p rincip ie of maximu m Jikelihood cannot be used t o o btain t he esti- mo e ·s ofte11 a.ttributed to Ma rkoff, it ;·cc111s Lhat Ga uss was t he
theorern 1 < • , •
maLors of t he u nk now n parameLers. I nstead, we s h.all 11 se t he mcthod first Lo g ive t he p roof. T he t heo rem is as follO\\S.
of least sg uarcs; t hat is to say, we shall find t he value of (3, say, ~ 'su ch . ]f t hc gene ral-linea,r-hyp othesis model of fo il rank
" ef is a mínimum. • TI1eore n 1 6 · 2 · · d. · thc
t hat t he s um of squares (abbre,·ia ted , S) L T his y = X f3 + e is s u ch t hat the follow ing two con 1t10ns on
gives i - 1
ra.ndo m y ecLor e a re met :
n
.,.,. L: e7 = e'e = (Y - Xf3)'(Y - Xf3)
(1) E(e) = O
i= l

The value of f3 t hat m inimizes e'e is given by t he solu t ion to (2) E(ee') = a2 1
,.
a
- (e'c) = O .' Lhc bcst (m inimum-va riance) linca.r (linear fun cLions of_ the_ Y~
0(3 unbiascd cstim ate o f f3 is g ivcn by lcast squarcs; Lhat is, f3 -
a ~ S - JX ' Y is t hc bcst linear u nbiascd estima.Le • ·
of (3 . .
el let A '1' - AY·
We get o (3 (e'e) = 2X ' Y - 2X 'Xf3 = O. T he least-squa rcs estima.te P roof: Let A be a ny p X n co nstant irn~~nx a n t-' - - ,
(3 * is a, acneral linear fun ction of Y , wh1ch "·e shall tal..e as ~~
of f3 is, t hcrefore, - . . 'tcºor A \Ve must specify t he elcmcnts of A so th a t (3 * ."'J
--- ~ = s- 1x 'Y . es L11n a t-' · . .
bethe besL u11b1ased est 1maLcof (3. L ct A -
_ 5 - 1X ' + B. Srnce
·r A
w hich, of eourse, is t he same as t he maximum -likelihood estímate 1 5 - 1X ' is kno wn , we m ust find B in order to be ab le to spem Y ·
u nder nor mal theory . l\Iinimizing t he sum of squares e'e <loes not F or unbiasedne:s, we h avc
p rovide an estí mate of a 2 . However, t he unbi ased estím ate of a 2
b ased o n t h e lcast-squ ares estim a.te of f3 is g iven by E((3 ':') = B(AY ) = E!(S- 1X ' + B )Y l = (S- 'X' + B)Xf3 = f3 + BX(3
á2 = (Y - X~ )'(Y - X~) = _Y_'(_I_-_ 1
x _s_- _x_n)_Y But. Lo he unbiasecl , E( f3 *) m ust ecp1a l (3 , a,n~ t his implies that
?J, - p n-p BX~ = o for ali (3 . T hns, unbiascdness s pec1fles Lhat_ BX - O.
. ti roperLy of " bcst" "·e rn ust fi nd t hc mat n x B t h_at
F or le P b · t t t he restr1 c-
N ext we sh a ll investigate t he p ropert ies of t he least-sg uares esti- m i ni mizes vR,r({Jf) , where i = 1, 2, .. : , p , su JC C .º
mators. Sinee t he frequency form of t he ra nclom vector e is unsp ecified, ti on B X = o. To exa mine t.h is, cons1dcr t he coYana nce
in gene ral it will not be possible to exami ne t he "good ness" of t he
estimato r ~ rclati,-e to a ll fun ctiom;. Instead, we sh all ha,·e to lim it cov(f3 *) = EL( f3 * - f3 )( f3 ~' - (j)'J
1
o urselves to a s ubset of fu nctions: for example (since ~ is a li near
fu n ctio n of t he y;), t o t h e set o.f ali linear fu nctions of t he Y; · W e havc r = E{[(S- 1X ' + B )Y - f3 l[(S- X'
1
+ B)Y - (3]'}
,,u'" ·" ·

11 6
LINEAR S'l'A'l'IS'l 'ICA.L l\IODELS '' l\IODEL l: GENERAL LINEAR H YJ:'O'l'JIESIS OF FULL IlAN K 117
S ul>stituting X~ + e for y a n<l using BX = O, we get This is not true for funetions i n ~1cra1. For example, if 'rn wish to
cov( ~ *) = E(S- 1X'ee'xs- 1 + Bee' B ' + s - ix'ee'B' + Bee'Xs- 1
estimateii = (/3 1 + /3 2 )/2{33 , t he value ofthe best linear u nbiased esti mate
= a 2 (S - 1 + BB' ) . ) of 1¿ is not gi ven by
3+ G 9
= - -
L.et BB ' = G = (g;;)· T hen cov( ~ *) a2( S - 1 + G) (2)( - 4) 8
diagonal ele mcn ts of co"\j ~ *) a re t he . t· . · The
{Ji* · 1,o m1111111
. . . respec ive vi.Ll'iances of t i
1zc each var({Jt}, we must t h . ~ . . . . ie 6.2.3 Point Estimation of E(y). To estímate t hc m ean of y for
diago nal ele me nt of cov(~ *). Since ª2 ~nde~-~1e, m1111m1ze each a given set of x 1 , x 2 , ••. , x 11 , we can u se t hc fact t hat E(y) is a linear func-
must find a m atri x G s uch that e 1 a· a re constants, we tion of thc {J;, that is, E(y) =
P
2: {J;X;- Hence, invoking the t hcorem
minimum. B u t G - BB '. . ~c l ia~onal element of Gis a i= l
. - is pos1tive sem1definite·henceg >-
Tl rns t 1rn d1agona.l elemcnts of cov( ~ *) ,·11 tt· . ' . . ;~ ,_... O. concerning estimators of linear functio ns of t he {3;, we h ave
when g;¡ = O for 1: = l 2 "i. a am t heir mm1murn
, ' ... , p . But, If B = (b ..) t he n g .. - ./"-. :V

2:" b2 1) , " - E(y) = 2: P;x;

i - 1 ii · Therefore, if (Ju is to eqna l O for a ll i, it must be t rue that i= l
,./'--.
b ~; .= O fo r a ll . i ancl ali j.
Th is implies t hat B = O T he where E(y) is t he least-squares estimator o f E(y) fo r case B , a.11d it is also
~~o~ BO =? is co mpatible wit h t he concli tion of u~biased co~1-
- . 'l he refore, A = S - IX' a nd r.H - - ' . ness,
t hc maximum -Jikelihood estimato r of E(y) for case A .
'fhis a rt icle will be con cluded wit h a t hcorem concerning t he esti-
the proof p 11 · ti t" - ~- 'l h1s completes ma.t ion of t,he vector ~ wh en t he random variables are not unco rre-
. o owrng 1e method used for c· A ·t . .
sh own that á2 fa an uubiased estímate of a2. ase , I is eas1ly lated and d o not have a common variance.
I n t he foregoing proof th ¿· . + Theorem 6.4 If the covarian cc matrix of the vector e in t he
csti mation of t he R. t he mse'l ,rese H1scuss10n has centered arouncl t he general-lincar-h ypothesis m odel of foil rank is equal to Va 2 , wherc
,,, · · · owever we a· [ ft ·
in estimating cer tain fun ctions of t he . , re a so o . en.mter~sted V is a known positive dcfinite m atri x , t he maximum -likcli hood
property of maxim um -Jikelihood esti1!~to ~e~a~se of th~ in var1a nce estimator of í3 is ~ = (X' V- 1X ) 1 X ' V -1 Y a nd t his has propcrt ies
l >rocedure to obta m · ti .
1.e max1mum r J r¡ d
IS, it is a stra.1g htforward
· · simil ar to t hosc listed in Thcorem 6.1.
one t ra nsformation of t hc '/J. 'I'h - i rn.1t 1oot· est 1ma tor of any one-to-
. ,. e s1 ua 10n for least sq . t· T he proof of t his t heore m will be left for t he reader.
m a.tors is not so simp le T I . . . - uares es 1-
. . . . rnre is one important case h o . . 6.2.4The Normal Equa tion s . Early in th is chapter we s tated
w 111ch t he m van a nce property hold e . l , . wevei, ll1
tl . . 1 s .ior east-squares est1mator d t hat thc norma l equations
us I S t le case of linear fonctions of t he fJ TI . . ~, a n
following theorem. i· us is stated m t lie ~/X 'X ~ = X'Y
+ Theorem 6 3 U d . ti . would play a n impo rtant part in estim ation and testing h ypoth escs
Theorem B2 ti ~ ~L t ~ ? general -~mear-hJ'.'pothesis model given in about t he parameters in m odel l. In t he previo us ar t iclcs of t his
bi na . . , w. es mear unb1ased estimate of a ny linear corn-
.t10n of tl~e {J; JS t li e same li near combination of thc be t r chapter the normal cquations occnr ma n y ti 111es; th is is so me indication
un b1ased est1mates of t he (J .· t hat . th b . s ~ near of their imporLance in point estinrnLi on. T he student s honld beco me
estima te of t ' . . · " e JS, e est Jrn ear 1111 biased fam iliar wit h equations of t hi s type n,nd with Yarious methocls of
whe· A. ~ (\\ hei~ tis ap X lknownvectorofconstants)is t'~
te ~is t he bcs t 1111ear unbiased estímate of r.>. t l1at . t ' fi. , solving them , since in most cases of esLimation and tcsting hypothescs
t ' S - lX' Y. < f"" • IS, t" = their solu t ion will be needed. \Ve s hall not d isc uss compu ting p ro-
cedures in t his chapter but dcfer t his disc ussion unt il Chap. 7.
Th~ proof follows t he Ji ne of Theorem 6.2 a nd will b J f The ijth e le ment of X ' X is t he quant,ity 2: X;kX;k , a ncl the ith elem ent
excr c1se for t he read er. e e t as a n k

. F01· exam
· l 1·r t h e 1east-squa res estimators of {J fJ
Pe, d (3 . of X ' Y is 2: X;k'!Jk · T hcse quant it;ics cn.n 1·cadily be fo und by us ing a
tively are 3 6 el v 2, an 3 , rcspec-
esti m~tor of 'say' ~{J1 - iR th+cn5/Jth~ val ue of the best linear ~mbiasccl desk calculator."
, < ' l - 1' 2 3 l S (3)(3) - (2)(6) + (5) ( - 4) = -23. 6.2.5 Choosing the X matrix . The X;; values rnust be kn own
 IIS LIN EAR ST A'.l.'I S'l'TCAL l\IODELS i\IODEL l: GENERAL LIKEAlt llYPO'l'JlESI S OF FlJLL RANK 119

b efore the Y; valnes are sclected at ra nclom. In some cases X;J Yalues 'J' m in irni ~c var (/j 2 }, we choose ou r
s uch t hat L(x; - x) 2 is as la rge as
X;
rnay h e p ickccl or chosen by t he expcrimc nter in a ny way he wishcs· ºssible. To minimizo var (fj 1 ), we choose t he X; such t hat L.xlf
in other cases t hey ca.n not be so con trnlled. lf t hc experim enter ca1~ po 9 •
)'(°¡; . _ x}- 1s as sma
,~( .
11 as poss1. ble. • ,.incc ,¿,,, ,~ 2
x, - x-)2 ~ kJX¡, t hc
ch oose t hc x i; valu cs, t he question of h ow to select t he m arises. In .., · ·('p· ) is mi n imum if t he X; a.re chosen s uch t hat x = O. Th is ~Liso
va1 1 • • .
general, it wo nld secm t hat the best way to pick th em is so t hat thc niakcs t,hc cov(f3 1 ,f3 2 } = O. Note that we ha ve assumed t hat n is
vari ance of certain estim ators will be as s mall as possible . fi xc<l. .
F or exarnple, the varia nce of the estimator of A.' 13 is a 2 A.' S- 1 A., a nd wc To estímate a 2 , we not e t hat a ny of t hc fo llowrng for mulas can be
rnigh t wa nt to ehoose t he X;; t hat minimizo A.' S- 1 A.. \ Ve cannot do t his 11sed:
in general for a ll vectors A., but we mig ht be a ble to for so me. \~Te shall 1
discuss t his fur t her when we discuss sp eci fie examples. / (¡2 = ~ (Y'Y - Y' xs- 1 X'Y) = - - (Y' Y - ~'X'Y)
r:.. •. 6.2.6 Exa mples . A simple linear mod el is n - 2 n - 2

i = 1, 2, ... , n r: l . .
1 •
= - - (Y - X(3 ) 1(Y - Xl3 )
w here {3 1 and {3 2 are un k nown scalar constants a nd t he x, are k nown n - 2
scala r cons tants. T herefore, referring to Eq. (G.6}, we fi nd t hat
(p = 2) 1
= -- (
n - 2
Y'Y
-
A' SA)
t' t' = n--J.-2 {'~"-' (Y;. - -)2
Y -
LL (x; -
~
x)(y; -
-2
L(x; - :i:)
ü)J2}
1
l
X1)
X=
X
z As ~n oth er example, Jet us s upposc t hat we wa nt to predict the
distance s t ha.t a pa rt icle will t ravel in t ime l if t he velocity is constant
(
and cq ual to v a nd if the ini t ial clista.n ce fro m a certa in refcrence poin t is
l x,. ([ . T he relationship is
I t is easy to see t hat 0
s = d0 + vl
n
s-1= l ( LX~ - L X;)
S = X 'X = - - - - -2 Ho\\·ever, Jet ns assume t hat we can not mcasure s accurately but t hat
( L X; nL(x; - .¡;¡ - LX; n
t hcrc is a. random error atta.ched ; i.e., we measure n ot s but d, where
el = s + ~' whcre e is a rando1n errnr . T hcn ou r rclationship is
and
d = d0 + vt + e
Thus,
. (Pi) = s- x 'Y = - -1- - (I,x7I,Y; -
13 = 1 Lx;Lx;Y;)
Since d 0 an d vare not lrnown , we sha ll takc a series of ob servations of d
µ2 n L (x; - :f:)
2
- Lx;LY; + n'I,y;x; nnd t and estim at e o ur nnknown constants d 0 a nd v. If d ; reprcsents
J _ L(x; - x)(y¡ - ?i) • • the ith distancc measurcd at time l 1 a ncl e; is t he correspond ing error,
0 1' f'9 -
- L(x; - x)2
f31 = 'fi - f32x we ha.ve
i = l , 2, ... , n
(3 2 is t he slope of t he line, or, in other worcls, it is t he cha nge in E(y)
per unit cha nge in x, a nd /3 1 is the value of E (y) when x = O. ·
· mo del (p = '>)
a genera l -J•mear -h ypo t h es1s ~ . TI1e obser·,,at1·011s taken
Since t he cov( ~ ) = S - 1 a 2 , we see t hat
are gi,·en below.
· =- a2Lx -
COY P'
- ( 11P2) J'.( - x-:)2
n....,x;
1

19 20 45 55 78
Dis tnnce el 9 15
- <.12 10 12 18
and var ({3 ) = - - - -2 Ti me t 1 2 3 4
2 "f,( x; - x)
 120 L LNEAH. S1'A'.l'IS'.l'TCAL MO D }:r,s 1110DEL 1 : Gl.:NlmA 1~ L INEAR H YP01'HESIS OF lWLL RANK 121
T he form ul as abo ni g i ve is distribu ted as t(n - v) . T h us,
.354G9
s s--1- - .020G5G )
B··~·
_ f3· ~ t,,12)
= ( 7
50
50)
59 (
- .029G5G .0041518 f'ª"
-la.to
t(u) du = P ( - tª
12 ~
, f <JC¡;
= 1- a.

= 941) (/31) = (5.7l)

Y 'Y J2,:20l X'Y = (2,G90 and ¡3 =
/J2 4.02
wherc túi) is t hc dc ns ity fonction of t. After sorn e man ipula tions we
get
- P'X 'Y = 12, l S!l.9 (G.9)
Thercforc
· t , 8 = d 0. + ' or § = •5· 7 l + 4- · 02t • is
vt · t i1c est1
· mate of t i
and t he quantity in p a rcnt heses d efi nes a 1 - a. confidence interval on
t] is anee tic
1 pa l'Lwlc trayeJs from tlie g·
]· . . . 1ven re crcnce rn t .ime t. Wie
i· .
f3¡· Thc width ofthe intc rval is 2ta.12 \ l c;;á2•
~n~w t hat _th i~ predwt1011 is best in t he sense of Thcore111 G 3 TI e F reque nt ly, an cxpcri mcnter is intcrested in setting co11fide ncc limits
estima.te oi a2 1s · · · ie
0 11
sorne fun ctio n of t hc {J;. Exact methods fo r setting con fidence
k( l 2,201.0 - 12, 18!).!)) = 2.22 = á~ intcrvals are not k now n, except fo r special fu nctions . H owever, a
mcthod is availab le for o nc of t he m ost importan t cases, i.e., for t he case
6.3 Interval Estimation of a linear fun ctio n of t hc {3;. L et r be a known p x l vecto r of
constan ts; t he 11 , to set co nfide nce limits of size 1 - et. on r ' (3, we procced
6.3.l Inte r val Estimation of R . a2 atld a Lº F . as follows . Since r' ~ is distribu ted N(r ' f3 ,a2 r 'S - 1 r }, it is clcar that
f {J \V 'J" • inea r • unction
o . ;· . e s ha ll now turn o ur attc nt ion to t he proble m of inten ·al ( r'~ - r ' f3)/a\ / r ' S - 1 r is d istri buted N(O, l ). Procccding as before,
e~tin~at1 o n of (3; and a2 fo r case A only. Since (n _ p)(á2/ 2) _ . we a rri vc at t he probability equation
d1str1bu
. ted as X . 2(n - P ) , a con fid e nce m
. terval can be put a. bout a2
1i is
a ª -
f o 11 ows: s
P( r' ~ - tª12.J á 2 r 'S- 1 r ~ r ' f3 ~ r' ~ + tª12.J á2r ' S- 1
r) = 1 - o: (6. 10)
Let et.o a nd o: 1 be two constants s u ch t hat
p[ :&
et.o ""'
á~(n -
a2
p)
~ C1.1
J= l - o: =J. (ª•
g(u) dti
and t hc quantity in p:uentheses defines the d esircd 1 - o: confidence
interval. T he wid t h of t he interval is 2ta./2 V á2 r ' s- 1 r .
ªo 6.3 .2 Inte rval Estimation of E(y). If t he {3; are known, then
wh ~rc l -: o: is t he confidence-inte rval coeffi cien t. for a givcn set of :i; 1 , x 2 , •• • , x"' t he quantity E (y) can be accurately
bra 1c_11n1,n1pulations, we a rri ve at Aftcr sorne a lgc- V
cstimated, sincc E(y) = ::¿ {3;x; . However, if t he {3; are unlmown, we
p[áz(n - p) ___... á2(n - 2 ___... p)J i- 1
must sel.cct a sample of s ize n, Pj = (y,, X;i , x 12 , • . . , X;v). where
"""' ª """' ª o = l - o:. (o.8)
Cl. 1
j = l , 2, ... , n, ancl fro m t hese sample values obtain an estímate of pi
and t hc l - "a con.fid c nce interva l a bo ut a2 is dc fincd by the bracketed 1>
g ua nti ty. J he w1dth of t he confidencc interval is t he {3;. T hen wc use ::¿ p;x; to obtain a n es t i mate of E(y) corresponding
i~ I

á 2(n - p) - á2(n - p) -- •2
a (n - p) _ _ _
( 1 l) to t he p oint (xvx 2 , ••• ,xv)· Since t he estímate of E(y) is a random
varia ble, subj cct to ra,ndom Auctuations, we might d esire a conficle nce-
et.o Cl.1 et.o et.,¡
intcr val estímate of E(y). To o btain this, let
. To. set. a 1 - o: con fidence inte rval on fJ ;, wc use t hc fact t hat p· ·
d 1stn buteu N({J i• e¡;a 2) ' \\·JlCte
. C¡; .IS t he iJth
.. clc mc nt of s - 1 = ;C.
is 7J

z = ::¿ (p; - {3;)x; = x' ( ~ - (3)

Thercfoi~~· (f; - .fJ;)/.a\~ i_s d istribu ted N(O, l ) and is independent of í= l
(n - p)a-/a-, wh1ch IS d 1stnbuted as z2(n - p). lt folJ ows that
wherc x is a p x 1 Yector whose ith element is X;. .rrherefore, z is
ii = Pi - Pi~ = ¡Ji - {3¡ distribu ted N(O,a2 x ' S - 1 x }, a nd I (p, - {3;)x; is d istributed N(O, l ).
aJ á
C¡; J á c.. 2 2 ;- 1 a \ / x' S- 1 x
"
 122 LI N J~AR S'l'A'l'IS'l'ICAL l\lODELS 1 •· GENERAL. LINEAR H YPOTHESIS OF FULL RANK 123
l\[Ü DEL
'

It is a lso t ru e that (n - p )á 2
/u =
2
w is distribu ted as z2 (n - p) inde- . a random sam p le of k v alues of y is drawn from
J,et us S uppose t hat
p e nd cntly of z. Therefore,
thc f req uency func twn /
z f (y ; Xo1•Xo2' · · · ,xop)
U= - -===
áJ x·s-1x
whme . each of the . k values of y is selected from t he same frequency
is dis tributed as t(n - p), anda 1 - IX confidcnce interval is obtaincd . ¡ e
funct 1011 , . . , w 1th the samc X ; values. d
from I et these k values of y be denoted by y 01 , Y 0 2 , ••• , Yo"' a n let Lhc
( to:12 _, of these sample values b e de not ed by
1- IX = )_ t(u ) di¿ = P(-ta¡2 ~ i¿ ~ ta¡2)
!llean
-let.t~ 1 k
Yo= - L Yo;
Substitutin g for n, w e get k ;=¡

S upp Ose a confiden cc inter val is desi red on the mean y0 of t hese k
· 1 1
values of y. T hat is to say, suppose :ve const1:uc~ a 1: i ~tcrval s uc l t lat
. babili ty that the m ean y 0 w11l fall w1thm it is e qual t o sorne
the p 10
reassigned value 1 - IX . · The inte~v:al w1ll e called
. b
pre ictio.n _ª a· .
After so rn e ma11ip11lations, we a rrive at
~interva l 0'J.r size l - CJ.· ' since the
· probab1 h ty t hat the mean• Yo of a fu t m e
sample of y values_se_l e~te~ at ran dom from t he dens1ty f(y; x 01 ,x 02 ,
P(Li;J;x; - tª 12 ) á
2
x·s-1 x ~ "L{3;X; ~ "L¡];x; + tª12 ) á 2x'S- 1 x) = 1- IX
... ,x01,) will fall w1th m 1t is egual to 1 - IX. •
(6. 11) Since f3 and cr2 are not known, the p rocedure is to select n sample
a n d the quantity in p a re ntheses defines the desired confidence inter- va1ues P ·' -_ (y;,·x 11'. • • • ,.x 111) ' w here J. = 1, 2, . .. , n, use t hese values
val o n E(y) . Th is is a specia l case of the sit u ation described in the t~ esti m~te f3 a nd cr2 , a nd construct the predict ion ~nter~al usi n~ the
estima t es ~ and a2 . T o do t his we observe that, s111ce Yo and ¡3 are
prcvious section. T he width of the inter val is 2to:12 Vá2 x 'S- 1 x.
independent, the quantity
6.3.3 Interval Estímate of the Mean of F uture Observations.
L c t us s upposc that thc eguation w = {3 0 + fJ 1t describes t he weight of z = Yo - ~'xo
chic kens th at h a ve bce n fed a new ration fo r a givcn t ime t. 'l'he weight
w is in g ra m s, and t is in \rneks. S uppose t hat t can be mea s ured wit h no
error but t ha t thei.:e is eith er a n equation error and/or a n error in
is distributed N[O, cr
2
G+ x óS - 1 x 0) J, where X0 is a JJ x 1 vecto r

m easuring the weig ht w . \iVe obser ve y, whcre y = w +e. So thc whose i t h element is Xo; · It follows t h at
mode l w ill be writtcn
Y = Po + f31t +e
where fJ 0 is the initial weig ht of a chicken and {J 1 is t he growth rate. If
we wan t to estím a t e the {J; by observing the weight of a few chickens, is distributed N(O,l ) . Also, v = (n - p )cr~2/ cr-? is disLri buted as
we can u se t he theore ms developed in t h e previous articles. Suppose x2(n - p) a nd is independent of w . Hence,
t h at a farmer p la ns to s hip le chickens to marke t after feeding them for
12 weeks a11d t hat he wan ts to lmow what the average weight of t hese k U=
wJn=-p
chick cns w ill be. The average weight of all chicke ns tha t have b een fcd Jv
for 12 weeks is {3 0 + J 2(3 1 . However, the far mer may not be interested is distributed as t(n - p) . Therefore, 1 - IX = P( - laft ~ u :::;; ta¡2) .
in estimating this quantity; h e may want instead a confidence interval Substitut ing for u, we obtain
on the m ean of k \' a lues of y selected from the p opulation with !Uean
~
{3 0 + J 2{1 1 . Thi s typ e of problem is the s ubject of t his article. We
s h a ll de ri ve formu las more genera l t han those illustrated in the above
example .
l - (/. = p
[
-
t
a/2 ~ J G+ ~'xo
¡¡2
Yo - ~
t '"]
xóS- lxo) "' •. -
 LINEAJt S'l 'A'l'I S'l 'ICAL J\TO OJ.:T.S i\!ODEL I: GENERAL LINEAR HYJ'O'l'HE S IS OF FULL l tANK 125
After some m an ip ulations " ·e ani,·e at
63
.s Inte rva l Estímate on x for a n Observed y in a S imple
P[{3'xo - ta12)á2G + XóS- lxo) ~ Yo . ·ear Model. Let us conside r t hc relations hip betwce n growth of
Ltn. kens anda g1ven · ·
tune · 1Ta1 t 1rnt we e1·1s cusse d a t t· ilC b cgmnmg
mte . .
o º
111
of Art. 6.3.3. 1 f . . t d .
uppose t hat ~ rn a rm er is now rn~eres e 111a so mew1a 1 t

~ f3' xo + ta12)á2G + x~s-1 x 0) J= l - CI.

dilferent proble m . He recen·es a gro up of k ch1cke ns that haYc been
fcd ¡i, sLanda.rd rn~ion for t (unknown) w~cks . The _farmer ob~c r ves the
which gives t h e desired prediction interval. · ¡ ts of t..hc cl11 ck ens a nd wants to est1matc t..he t ime l t hat t hcy h a ve
weig 1 . .
Wc shall g ive a n examp lc to illustratc t he abovc t hcory. becn 011 t l11 s ration. f .
. 6.3.4 Example . Suppose we d esire a !)5 pcr cen t 00 fid At first it may scem t hat we s ho uld sJlvc t h e equat1on w = fJ 1 + {3 2 t
rnterval on f31 a nd _o n fl1 - 2fl2 in the model y = f31 + fl2x +ne~ ence r
¡ Of ,
t obtain t = 0'. 1 + C1. 2w, and use this as t he pred .
iction
.
equation
.
.
shall assume t hat mnc obscrvations are avai lablo a nd t hat t..hc fi
0 11
.~e J{owever, if l is rncas ured without error a nd t h e re 1s erro~· m measunng
h avebeen comp uted: º" 1ng "IV t hen, if y = w + e, we get t = a 1 + 0'.. 2 y - 0'.. 2 e. Th1s clearly <loes
n~t fit t hc dcfin it,ion of any of t he models in Chap. 5. T he rcfore, we
S = X 'X = ( 9 12)
li 18
X'Y
("2'>_l)t
= Y'Y = :W.O n =- 9 p =2
shall use t he model in the form y = {3 1 + {3 2 t + e a~d follow. a n
"inverse" met..h od of estimation . Th is type of problem 1s thc subJeCt
of t his articlc.
T I1erc.1.ore
(' e = s-1 = ( 1.o - .6_') S upposc wc use t he model Y; = (3 1 + {3 2x 1 + e; and sclect a sample
- .67 .:> of n pairs of values denoted by P ; = (y 1 ,x 1 ); P~ = (y2,x2); · · · ;
and ¡3'X'Y = 49.5. Furthc r, p ' = (y,.,xn) · S uppose, fur ther, t hat we select le additional valucs of y ,
e:ch wit h t h c same xya}ue (say, x 0 ) which is unknown. In othc r words ,
~? l ' - . 1
<:r = - - (Y Y - {3'X'Y) = - (54.0 - .!!) 5) - ü4 n + k samp lc points a re selected as fo llows: P; , P ;, ... , P;., P;, 1- • • ••• ,
n - p 7 · - .
P n' + k' whe rc P u' .¡ 1. = (y n +.'' x 0) fo r i > O and wherc :i; 0 is not known.
Tosetaconfidencc
~
in tcn'al on{J l • weuseEq • ("u.u") . 1
··lll CC ta/Z = z.4.
" \\'C Using thesc points, we want to csti nH\,te x 0 • The likcl ihood of the
?et 1a.12 C u¡¡- = (2.4)V( l. 0)(.64) = 1.9, w here Cu = l .0 (the clen;ent sample is
rn the first row and first colum n of C) . By s ubstit u t ina in to (6 ) .
get b · 9 , \\e f( e1,ez, ... ,e,.H) . 21)-\(11+kl exp
= (21Ta {
-
1 [ "
" 2 Í: (Y; -
.t,G i = 1
P1- ,,
f3'!.x;)-
+ 1.9
3.0 - 1.9 ~ /31 ~ 3.0
wh ich g ives t he probabi lity equation +;J.: 1
2
(Y; - f11 - /32Xo) ]}

P( l.1 ~ {J1 ~ 11.9) = .95 Taking thc dcrivative with r espect to a 2 , f3v {3 2 , :i· 0 g ivcs, aJte r sorne
T l!c width of the co nfidcn ce in terval is 4.9 _ l. l = 3.8. simplificaLion (a 2 is conected for bias),
To seta95per ccntconfid enceinterval on{J 1 _ 2(3 we use Eq ( 6 l O)
2
where r ' = (1 , -2) . " cgct ' · · ' - Yo - P1
Xo = P2
r 'f3-= ( 3.0) = 4.0
(l , - 2) - .5 fi _ ..,(y ; - g)(x; - x)
2- 2:(:1:¡ _ x)2 (6. 13)
We substitu te into Eq. (6. IO) a nd get

ta12J a2 r ' S- 1 r = (2.4)J(0.64)(1i} = 4.56

T he p robability equation is
P( - .5(j ~ r'f3 ~ 8.56) = .!)5 1 11+1.: 1 "
with widt h equa l to ü.12. where Yo = - Í: Y1 x= - ¿: xi
k i = 11+l n ;=1
r
l
 1:26 LINEAR STA'l' fS 'l'lCAL i\LODELS i\!ODEL 1: GEN ERAL LINEAR HYPO'l'HESIS OF FULL RANK 127
T h e secon d a nd th ird equatio ns in (G. 1:3) can be solved for (J 1 and ·
2
\Ve sha ll let á2 = v/(n +
k - 3). Therefore, the prob a bili ty is 1
a.ncl
. thesc . valucs s ubstit nted into t hc first cq uation to find ·x-: o· f"f'J~ -l 1IS
t.hat t he fo llowing inequality h olds:
g1ves a po1nt estím ate of x 0 • .
fJ1 - fJ2~;0)
2
T~ obtai n a n inte r val es ti mate of .1: 0 , we s h all proceed in t he followin<>
fash 1on . We s ha ll let 0
á2 ~
(Yo -
+~+ -;
(x -
.
~.o)
2 J ~~ ta/22
(6.16)
[
k n L(x; - i)2
u = Yo - f31- P2x0
Using the equ a lity, we h ave a quadratic equ ation in x 0 , the only
Clearly, ~¿ i s distributed n orm a lly wi t h mean O and vari a n ce
unknown in (6.16). Solving for x 0 gives

a.,2 = [l +
a·, -
k
~ Lx r. .
nL(X¡ - i) 2
2
+ ·x 2O
L(x,. - i) 2
_ -'>XoX-
l:(x, _ x)2
J (6. 14) Xo = X + /J2(i¡ -
J.
Yo) ± ta¡2Ó"
J.
J1.(~ + ~) +
n l.: L(x; - i)
2
(Yo - 9) 2

F rom t his we obtain

whcre
/
v,.2 -_ a 2 -
k
[l + -1+ n
(x0 -
~
:i:)
L:(x; - :c)-
_.,J
2
(6. 15) Thcrefore, a l. - C1. confiden ce inte rva l on x 0 is given by

Therefore ii/a,, is distributed 1V(O, 1). The quantity

X" - /Jl[J - Yo) - la12Ó"J;. (~ + ~) -1- Wo - m-2· ~~ Xo
A- ,
11.
k n "'
"-'(X; - x)-

is dis tributed as x2 (n
is distribu ted a,s 7., 2 (k -
is distributed as x2 (n
the quantity
is distributcd as t(n
If we dcsire a 1 -
~i ta12Ó"JA(~ + ~)
2
- f32W - Yo) + + Wo - '[/) if A. > 0 (G. 17)
~ }, A n k L(x, - i)2
- 2) a ncl is inclcpendent of it. Also, the quantity
If }. < O, it can be seen by exarninin g (6.16) t h at confidence lirnits on
x rnay not exist. Even if co nfidc n ce limits do exist when J. < O, t hcy
V2 = 11+"'"'k (
Y; - Yo -
- )" 0
will in general b e too wide to be of a.ny p ractica! use.
2 L.,; ?
G i =n+l v· 6.3.6 Width of Confidence Intervals. When an experimenter
decides to u se a con fidence in terval, h e s h ould decide wh at widt h is
1) and is ind ependent of u and v 1 . Hence,
necessary in order to make a decision . Y.,Te must, t herefore, investigate
the width to see wh a t is in volved. W'e shall not d iscuss this h ere, but
shall de vote a ch apter in Vol. II to this i m portant s ubject.
6.3.7 Simultaneous Confidence Intervals. The frequency
+ le - 3) ancl is indepcnden t of u Thcrefore, interpretation of the foregoing resu lts on confide nce inter vals is that,
. if man y samples are taken a ndan inter val su ch as that give n b y (6.9) is
constructed , then, on the average, 100( 1 - a) per cent of these intervals
u.Jn + k - 3 will cover t he t rue (unkn own ) value {3¡. This is t rue for one par t icular
ªu·./vja 2 value of i only; i.e ., a sarnple can be selected anda confiden ce interval
set on {3 1 , and the above frequency interpretation will h old. B u t if t he
+ k - 3).
same data are used to set confiden ce intervals on {3 1 and {3 2 , the peoba-
C1. confidence interval abo ut x 0 , we can write
bility is not equal to 1 - C1. t hat t h e result ing confidence intervals will
include both {3 1 and {3 2 • For each set of ob.servations only one confidence
statem.enl can be made using the above form:ulas. T h e same is true for
Eqs. (6. 8), (6.1 0), (6.11), a nd (6.12) .
This procedure does n ot seem to be realistic-setting a confidence
128 LINEAR STA'l'ISTlCAL J\lODELS )JOPEL ) : C:E1\E.RAL LINEAR HYPOTJIESTS 01'' Jo' ULL RANK 129
intcrval on only one {l¡. It seems t hat a n experimente r will want to set . ilar set of values of t he paramcters a 2 , {J 1 , (J 2 , • • • , {J'P) in Q t h at
nn.r t JCt • . ) .
a confidence in terva l on cach (Ji and to .know the p robability that al! r .· 1 ·zest he likclihood fun ction , and let /_,(L) be t he max1mum value.
111nx1111 • . • •
these interYals contain t hcir respective {l¡. If the inteiTals were J,(cíi) has a simila1·.defi111t1on 111 the para.meter space r cstncted by 1:fo·
independent, t his p roba bility would be the product of t he individua! 'fhat is to say, w 1s t he space of a 2 , {3 1 , {J 2 , ••• , (J,, defined by the 111-
probabilities; i.e., in simp le linear models we should calculate two ~quafüy o < a 2 < oo a.ncl by /3 1 = f3i, {3 2 = {3i, ... , {J,, = p;. Actually,
intervals similar to (G.ü), one corrcsponding to {3 1 and one for {3 2 , and · one-dim ensiona. l spacc. To fincl L .(w) and L(ñ) we shall work
(o) IS a . .
t he probabili ty t hat both intervals wcre correct, would be (1 - 0:)2. with the logarithm of t he hkcl1hood funct1on.
Unfortunately , the intervals are not independent, and (1 - cx) 2 is not To find L(w} we procccd as follows:
the correct probabi lity. The problem is more complicated than this ~ n ., (Y - Xf3*)'(Y - X(3*)
and will be dealt with in sorne detail in Vol. II. ¡ f(e· a2 (3*) = - - log 27T - - log a- - .;._---'------
og ' ' 2 2 2a2
\
Since the {l[ are fi xed, this eqnation is a function of a 2 only, and the
6.4 T ests of Hypotheses
value of a2 t hat maximizes it is the solntion to
6.4.1 Testing the Hypothesis (3 = (3*. To test the hypothcsis
d (l f ( . 2 A*)) = (Y - X(3 *)'(Y - X(3 *) - _!:..._=O
(3 = (3 * ( (3* is a known vector) in the general-linear-hypothesis moclei - og e,a , l'"' •4 -2
of foil rank, we s ha ll assume that the vector e is distributed N( O,a2I) · dcr 2
'a 2a
un less it is specifically stated otherwise. Thc solut ion is
Testing (3 = (3* ( (3 * known) is equivalent to testing simultaneously á2 = (Y - .X(3*)'(Y - X(3 *)
that each cocffi cicnt {3 1 equals a given co11stant fJi. It is quite important n
fo r an experimentcr to have · such a test available. In t he model
Y = X (3 + e, for examplc, if (3 = O, a knowledge of t he factors that n"'2e- 11f2
and L( ') - - - - - - - - -- ---:::
correspond to t.he X; does not aid in the prediction of E(y). However, w - (27T)"' 2 ((Y - X (3 *)'(Y - X (3 *)]" 12
if (3 -:p. O, t he x 1 factors wi ll be val uable in predicting E(y).
To test the hy pothcsis H 0 : (3 = (3 * wc must devise a test fun ction, ProceeclinCY
0
in simila r fashion to obtain L(~)), we see t hat t he point
say, u = g(y 11y 2 , •• • ,y,.,x 11 ,x12 , ••• ,x,.v), t hat is a function of the where Jogf(e ; a 2 , (3) attains its maximum is t he solu Lion to t he equations
observations Y; a nd x 1; such t hat t he distribution of u is known when o X'Y X'X(3
(3 = (3 * . In orcler to cvaluate the powcr of the test, the distribution - [lo<Tj(e· a 2 (3)J = - 2 - -2- = O
0(3 t:> • ' ' á - á
must also be known whcn the a ltcrnative h ypothcsis H 1 : (3 -:/=- (3 * is
true. () ~ (Y - X{3)'(Y - X(3) n
- (logf(e· a- (3)) = - - = O
\Ne shall use the likelihoocl ratio Las t he test function. The likeli- ºª2 ' ' 2á4 2á2
hood equation is
n"'2e-,,¡2
1
f (e; (3,a2) e- e'e/20• Wc get
= j(e1 ,e9, ... ,e,.; (3,a-) =
_-2
L(Ó.) = (277 )"' 2 [(Y - X{3)'(Y - X {3 )]"12
- (27T) n/2an

1 exp - (Y - X (3)'(Y - X(3) (G.18)

whcre (3 = s - 1X'Y. T hcrcfore,
(27Ta2)"'2 2a2 2
L = [ (Y - X{3)'(Y - X{3) ]"'
The test criterion is L = L(w)/L(Ó.), where L(w) a nd L(Ó.) are as de- (Y - X (3 *)'(Y - X(3 *)
fined below. If g(L; (3 *) is the clistributio n of L nnder H 0 : (3 = (3 *, the critica!
The likelihood function is regarded as a function of the p + 1
region is O ~ T, ~ A, where A is su ch t hat
parameters {J 1 , {32 , • • • , f3v and a 2 • 'Í'he pa.ramcter space Q is the
p + 1-dimcnsional space clcfined by the incqua lit ies O < a 2 < co;
- oo < (Ji < oo (i = l, 2, ... , p) . Let ñ be the point (that is, the f 1
g(L; (3 *) clL = ex (6.19)
 130 LINEAR STA'l'lS'l'JCAL llfODELS l\fODEL ] : GENERAL LINEAR HYPO'l.'HESIS 01< l!'ULL RANJC 131
where o: is the probability of typc I e rror. To determine A from To see how the theor~ implies (6.22b) wc continuc as follows :
Eq. (G. l!)) we must find g(L; (3 *), 'the distribution of L when Z' AzZfa2 is distribu ted as x' 2 (7c 2 ,}.), wherc 7c 2 = rank of A 2 = tr( A 2 ) = V
(3 = (3 *. Then Lis de ter mi ned fro m collected data, and H 0 is rejcctcd
if L ::;;: A. and
((3 - (3 *)'X'(XS- 1 X')X((3 - (3*) _ ((3 - (3 *)'S( (3 - (3*)
Before determining the distribution of L, we shall study the quan- j, = "~
2a2 -
~u-
t itjes that a_re involrnd, t hat is, (Y - X(3 *)'(Y - X(3*) a nd (Y _
X(3 )' (Y - X(3). definite, Z' A 2 Z/a 2 has a central chi-square
From (6.18) we obtain the identity TI1Cfefo re ' since Sis positive
. . . . *
distribution if and only 1f (3 - (3 * = O; t h at is, 1f and only 1f H 0 : (3 = (3
(Y - X(3*)'(Y - X (3 *) =(Y - X~)'(Y - X~) +( ~ - (3 *)'X'X(~ - (3 *) is t rue. . .
Sta.tement (G .22c) follo'ws 1mmed1ately, by Theorem 4.16.
(6.20) Beca.use of t he distributional propcrties of Z ' A 1 Z/a2 and Z ' A 2 Z /a2
If we s nbstitute S-1 X'Y for ~ ' Eq. (ü. 20) becomes
"iven in (G.22) i t follows t h at
(Y - X(3*)'(Y - X(3*) = (Y - X(3 *)'(1 - xs-1X')(Y - X(3*) "'
Z'A Z n - p
2
+ (Y - X(3 *)'XS- 1 X'(Y - X(3 *) (6.21) i¿= - - -- (6.23)
Z'A¡Z p
If we let Z = Y - X(3*, we get
isdist ributcd asF'(p, n - p , ?.) a nd reduces to Sncdecor 'sF d istribution
Z'Z =(Y - X(3*)'(Y - X(3 ~ ) = Z 'A 1 Z + Z' A 2 Z ¡f and onl y if H 0 is true. It al so follows t hat
where A 1 = I - XS - 1 X ' and A 2 = XS- 1 X' are idempotent m atrices.
Since Y is distributed N(X(3 ,a2 1), it follows tha:t Z is distributed v = _ _ -=.p_u_ _ = Z ' A 2Z (6.24)
N( X(3 - X(3 *, a 2 l). And, s ince A 1 and A 2 are idempotent m atrices, (n - p) + pu Z 'Z
we note (see Theorem 4. IG) that
is distributed as E 2 (1J, n - p, A.).
(a ) Z' A 1 Z. ct·1stn.b utcd as x·(n
• Return ing now to t he cqu ation for the likelihood mtio L , we h ave
- - . - 1s - p).
(j" found that

(l) Z'A. - 1s a·1s t·'-

- ; Z. ri uuted as X'º· (p, A),
. where _ (Y - X(3)
- r(Y - X[3)
- J -=
n/? (l _ v )"12 = { 1 } n/ 2
> -
a·
(G.22)
L - Cv - X(3*)'(Y - X(3*) 1 + [p/(n - p)]u
). = ((3 - (3 *)'X'A2X((3 - (3 *) = ((3 - (3 *)'S((3 - (3 *) (6.25)
2a2 2a2 We observed from (6.25) that Lis a monoto ni c function of v, an d L is
Z'A1 Z Z 'A 2 Z also a m o notonic fonction of i¿. From thcsc facts we see that either
(e) - --
9
and - -0 - are indepc11dent. v or u can be used as a test function fo r t hc hy pothesis H 0 : (3 = 13 * ·
a- a·
For t he distri bu t ion of ii (Snedecor's F) the crit ica,l region that corre-
In a rd er to examine state me nts (G.22a) , (6.22b), (ü. 22c) m ore closely sponds to O ~ L ~ A is F"' ~ u < oo, wh cre.F"' is a constant such that
a nd to see how they follow from Theorem 4.. 16, we note that Z'A 1 Z/a2
is distributed as x' 2 (/c 1 ,}. 1 ), wherc lc1 is t hc rank of A 1 ancl

A _ ((3 - (3 *)'X'A1 X((3 - (3 *)

f 00 F (i¿;1J, n - p , },
F,,,
= O) rli ¿ = (/.

t - 2a2 Similarly, for t hc distribution. of v (Tang's E 2 ) the critical region is

~ v '..;;:;;::
E2ex -.....;.:;::: .,:::: 1 where E ex2 is sn ch
_ that
But, since A 1 is idempoLen L, thc rank equals the trace, a nd so lc 1 =
n - p. Also, it is evident t hat ?. 1 = O. Thus x' 2 (n - p, }, 1 = O) is
f
1

equivalent to x2 (n - p); hence we have (6.22a) .

E2(v; p, n - 1J, A. = O) dv = o:
E (1, '
 ,·

i\! OD'EL ] : Cl~l' 'ERAL LINE Alt HYl'O'l'HBSI S OF FULL RANK 133
132 L1NEA R s·r A'l'lS'r ICAL i\lODELS
thc rninimum \\'it h respcct to í3 whcn t hcre is no rcstriction on f3 ,
The power of t he LcsL is gi \'en by
and
fJ(J,) = J:,,/ 2
(v; p , n - p, },) dv
.?. = . .:.í3(_ - -=-í3_*"'-)'_
2a2
S (;..:._
f3_- ~í3_*)

whe re ). =- (f3 - f3 *)'S(f3 - f3 *) Onc of thc most imporLant quantit ies in the AOV tab le is the
2u2 ror mean square Q 1/n - p. (It should be notcd that t hc
and m ay be eYaluated for differcnt Yalucs of p, n - p , and ). by usin ~:iantity á2 that appears in t he confidence-inte r val equa,tions of Sec.
Tang's tables. g (i.3 is equal to Q1/n - p.) T o calcul at e Q1 we can Jet f3 * = O; thcn
t,hc total sum of s quares Q is Y~Y. l3ecause _o [ its impor tancc we
TAUL"E Ü. J ANA l.Y:-iTS OF VAlUANCE FOB. '!'ES'J'l NG {3 = {3 * rcpcat the fac~ that Q 1 = Y 'Y - . f3'X' Y , where í3 ~s t he sol11 t i_o n of t.he
normal equat10ns . We s ha ll d1scuss mcthods fo r computing t hese
sv Dl<' s~ MS quanti t ics in a later chaptcr.
6.4.2 A Test of the Hypothesis That a Give n Linear Function
Total n Q = (Y - X{3 *)'(Y - X {3 *)
r '{3 (r Is a Known Vector) Is Equal to r0 . In d e ri ,·ing Eq. (G.10) ,
Q2
Duo to !3 JJ Q2 = (Y - X{3 *)'XS- 1 X '(Y - X{3 *) Art. 6.:l. I, we no ticcd Lhat n was distribu ted as Stude nt 's l with n - JJ
p
<logrees of freedom , whe re
E LTO I' n - 1J Q¡ = Y '( I - xs- lX ' )Y ~
n - JJ (6.26)

The evaluatio n of 'IL is gencra lly put in the for m shown in T a Lle G. l ·
t his is a n a_nal ysis-of-variance (AO \ ) table, in which thc d egrees of
free<lom (DF) , s um of squares (SS), and mean square (l\'l ) corre-
sponcli ng to t he , ·a rio us so urces of variat.io n (SV) a re lisLcd. Thc pro-
ced u re fo r calc ulating n is to obtain Q a nd Q 2 by dircet comp 11 tation
a nd to get Q 1 by using t he id en t ity Q 1 = Q - Q2 •
By obser v ing t he likeli hood equation it is casily sho,,·n that L can be
obtained by evaln nting t he fol lowing [w he rc min (Y - Xf3) '(Y - Xf3) ·
m eans the m ini m11 m n ilue of (Y - Xf3)' (Y - Xf3) with respect to f3 ]:
Q = (Y - Xf3 *)'(Y - Xí3*)
= min 1(Y - Xf3)' (Y - Xf3) when H 0 : f3 = f3 * is t rue]
Q 1 = (Y - X~ )'( Y - X~ )
= min 1(Y - Xf3)' (Y - Xf3) wi t h no restri ction on f3]
L = (Q 1/Q) "' 2
'\Ve now state Lhe fo llowing impo rtnnt thcorc m.
+ Theorem 6.5 [n t he general-linear-hy pothesis model g iven in
Defini t io n 6. 1 \\'h cre e is distributed .N( O,u 2 I ), t he q ua nt ity
n - JJ Qz
1l = - - -
p ()¡
is distrilrnted as F ' (p , n - p, .?.), where Q1 + Q 2 is the m ínimum
with resp ect Lo f3 of (Y - Xf3)'(Y - Xf3) wh en H 0 is true, Q 1 is
To test H 0 : r ' f3 = r 0 , we simply replace r ' f3 b y t he kno wn s~alar r 0
in (6.26) a nd co mpare t hi s value of ii wit h t he tabulated value of t he
Student 's t d istributio n with n - p d egrees of freedom . In deri ving
Eg. (6. 1O) we notcd t haL
r' ~ - r 0
V = -;::='====
.J
a 2 r's- 1r
is distributcd .N (µ , l ), wh e re µ = (r ' f3 - r 0)(a2 r ' S - 1 r) - l; t hcreforc,
v2 is distributecl a s x' 2 ( 1, ?.), w here
'l'hus,
isdist ribu ted aslt''( J , n - p , .?.) and red uces to Sned ecor 's ft' ifn,ncl o nly .
ifH 0 : (r ' f3 = r 0 ) is t rne.
6.4.3 Testing a Subhypothesis, i.e., the H y poth es is fli - fn ,
P2 = {3;, .. . , {3.,. = p¡ with the R ema i n ing '(J, U n specifi ed . In
this art icle we s hall examine t hc problc m of Le8Li 11g t hc h y poLhesis
P1 = {3':', {3 2 = f3i, . .. , /Jr = fJ: (r < p) in thc model Y = X f3 + e in
Definition 6. l. This is a vcry useful a nd very impo rtant test .
134- LINEAR S TATlS TICAL lllODELS Jl[ODEL l : GE ·1m.AL LINEAR HYPOTHESIS OF FULL RANK 135
For t he case p = 2 t he equation is . test is equi valent Lo testing t he hypothesis {3 1 = {3t, {3n = {3:, ... ,
t 111s - -
R ={Ji (r < p) in thc mod cl
(6.27) /' r V

Now suppose a n cxperimen ter wa nts to know if he can rcpl ace Eq. Y1 = 2 x;;{3i + e;
i= l
(6. 27) wi t h t he model
'].'he test of the hypothcsis H 0 : y 1 = Yi and its construction are stated
(6.28)
in t he followi ng.
In other words, he wants to test t he hypot hesis {3 2 = O in t he model
• Theor e m 6.6 Let the model Y = Xf3 +e given in Definition 6.1
given in (6.27) wit h no stipulation abo ut t he value of {3 1 • This t est is
be partit io ned so that
clcarly d iffere nt from t he test discussed in the preceding a rt icle; t here
a procedure was devised to test whether {3 1 and {3 2 , for example, were Y = X1 Yi + X2Y2 + e
simu ltaneously equn.l to zero. H ere, if t he conclusion is drawn that
{3 2 =I= Oin mode l (6.27), it follows t hat t he two factors x 1 and x 2 togcthcr where y 1 is of dimcnsion r x I , a nd let e be distribu ted N{O,a2 I ).
are bett er for p redi cti ng y than t he factor x 1 a lone. On t he other h an<l Then to test thc h ypothesis H 0 : y 1 = yf by the likelihood ratio,
if {3 2 = O, x 1 and x 2 together are no better t han x 1 a lo ne. ' the p roccdure is :
A t est of t h.is typc is extremely valua ble in simple linear m odel ~, c.g., (1 ) Obtain the minimum value of e'e wit h respect to thc un-
when x 1 = 1 m model (6.27) . In this case {3 1 is t he in tcr cept ofthe line known pa.rameters in f3 in t he model Y = Xf3 + e , a.nd d enote t his
a nd {3 2 t he s lope. In ma ny cases it is extremcly desirable to be a ble to mín imu m value by Q0 .
t est whether t he slope {3 2 is zero regardless of t he valuc of t he in tcrcept (2) Obta in t he m ínimum value of e'e with respect to t he
{3 1 , or to test w hethcr t he intercept {3 1 is zero regard less of t he s lope. unknown para meters in y 2 in t he model Y = X 1y t + X 2Y2 + e
In the model (this w ill be called thc model reslricted by the hypothesis H 0) .
Y = Xf3 + e Denote this mínimum value by Q0 + Q1 .
(3) L et Q = Q0 + Q 1 + Q2 , where Q = (Y - X 1 y t)'(Y -
partit ion t hc matrix X and the vector f3 so t hat X 1y j"). Then the qua ntity it g ivc n by

n-pQ¡
i¿= - - -
r Qo

where X 1 has d imension n x- r a nd y 1 h as dimcns io n r x J. Then the 1

is d istributecl asF'(r, n - p, ?.), where
model can be written
A = (Y1 - Yi)'B (y1 - y j)
Y = Xf3 +e = (X v X 2 ) ( : : ) +e 2a2

and where
Ol'
Since Bis posit ivo dc fini te, ti is d istributed as F(r, n - p) if and
\iVe desire a test of the hy pothesis y 1 = y i (y i k nown) wit h no on ly if H 0 is t rnc, i.c., if a nd only if y 1 = Yi-
stip ulations o n y 2 • Since P1'0oj: The likclihood fun ction is
f( Y ; Y1·Y2,a2 )

- f31
f32 ) = l
(2..a2)"' 2
cxp [- ~(Y
2a-
- X 1y 1 - Xzy2)'(Y - X1Y1 - X2Y2)]
Y1 = ...
and
( (6.29)

Pr The param etcr space Q for t he u nrestricted model has d imension

13G LlNJ~Ait S'l 'ATlS'l'ICAL l\IODELS J\[ODEL 1: GENERAL LlNEAR HYPOTHESI S OE' FVLL RANK 137
p + L a nd is defincd by the incqualities - ro < {3¡ < o:> (i::::: a nd t hat Lhe mínimum of e'e wit h respect to the unknown p a r a-
1, 2, ... , p), O < a 2 < ro. Sincc this s it uatio n is icl entical , 1·ith meter y 2 is
thaL in r\rt. ü.4. l , \l' C sce that
n nf2e- nf 2
L(Ú) = (277)"12L{Y -
-
X{3)'(Y - X{3))" 2
- ¡
Thereforc,

whe re ~ = S - LX' Y is t he value of {3 t haL maxim izes {6.29). 1f To find thc dis tribuLio n of L, let u s examine the quantities Q0 ,
wccxaminee'e = (Y - X{3)'(Y - X {3),weseethat t;hc m inimuin Q aud Q~. In (6.32) we havc stated in effect that X~X 2 h as an
valuc of thc e'e with res p ect to {3 (denoted by Q0 ) is in~ersc. This foll ows from the fact that X~X 2 is a principal mina r
of thc posit ive tlefinite matrix X ' X. Hence, X~X 2 is a lso posi t ivo
Q0 = (Y - X~)' (Y - X~)
definite. From the fact that
n"12e- nf2
Therefore, L(Ú) - Q - 1112
(6.30)
X'{ I - xs- X ' ) = o
1

- - (27T) n/2 O 1

Thc parameLe r space w for the restricted mode l Y = X 1 yf +

X 2y 2 + e h as dimens ion JJ - r + 1 and is defin ed by {1 1 = Pf,
we get (x:X') (I - xs- 1X ') = o
{1 2 = fJi, ... , {3, = f3:, - ro < /3; < ro (i = r + l , r 2 , .. . , p), + a.nd finally th e two equations
O < a 2 < ro. To o btain L(w) we must find t he m ax imum Yalue x;(I - xs- 1X ') = o
of (6.29) afLer s ubstituting yi for y 1 . If we let (G.34)
X2(I - xs-1X ') = o
Substitutiug for T a nd "Yz(yf} , we get
Eq. (6.29) cu,n be w ri t Le n
Qo + Ql = {Y - X¡y;)'[r - X2{X2X2)-1 X2](Y - X1yi)

f(T; y 2 ,cr2 ) = l~
(27Tcr-)" 12
exp [ - ~
2cr
(T - X 2 y 2 )'(T - X 2y 2 )] (6.3 1) Ji'rom (6.3-!), Q0 ca n be wTitten
Q0 = (Y - Xtyi)' (I - xs-1X')(Y - X 1 yi_')
If wc lct :rz(y t) fLnd á 2 (yt) de note r espectively Lhe valucs of y 2
Using t he n otatio n
and cr2 t hat maximizc Eq. (G.3 1), we get
T = Y - X1Yi
Y 2 Y1*) --
A { (X 2'X 2 )- 1x 2·T -- {v·x
~ 2 )- x '(Y
1
2 - x 1y i*)
A = 1- xs- 1x'
(6.32) A2 = I - X 2 {X2X 2 )- 1
X2
we s hall study the idc ntity
S ubsLitu t ing t hc n1lucs in (6.32) into t he likc lihood fun ctio n (6.3 1),
we have T 'T = T'AT + T'(A2 - A )T + T'(I - A 2 )T = Q0 + Q 1 + Q2
(6.35)
It foll ows t h aL T is distributcd N[X( {3 - {3 *), cr21], where {3 * =
If we examine e'e in t he model restrictcd by y 1 = yi , we see that (y:). since

(6.33)
E(T) = E(Y - X 1 yt) = Xf3 - X 1 yt = Xf3 - x(y:)
138 T., INEAR STA'I'IS1'ICAL l\IODELS
l\fODEL 1: GENERAL LINE AR HYPO'l'HESI S OF F ULL RANK 139
In U:q. (G.35) t he idc ntity ondin 0rr e le ments of the ri ght-ha nd side X ' Y. Now Q1 =
corresp -,X ' Y - 'X'Y J - · ti
I = A + (A 2 - A) + (I - ~)
, , ,
Y'X s - IX' Y - y X 2(X :!X2)- 1 X2y = ~ -: Y:_ 2 ) " : 1ere y 2 I S le
1 1
fon to the reduced normal equat1ons X 2 X 2y 2 = X 2Y.
is obtained. Using (6.34) it is easily verificd that A, (A 2 - A), so ~!h e qua.ntity y~X~Y will be called t hc red'uci'ion d1ie lo y 2 ignoring y 1
a nd (1 - A 2 ) a re each idempotent matrices. H e nce, using
Theo re m 4.1 G, we sce t hat : and will be writtcn R (y 2). . . . r

lf we loo k again to o ur norma l equat 1ons, we p a r t 1t 1on X a nd f3 to get

l. T' A T /a 2 = Qo{a 2 is distributed as x2 (n - p ), since, by (G.34),
t he noncentrality parameter is zero.
2. T' (A 2 - A ) T /a2 = Q1 /a 2 is dis tributed as z' 2 (r, .i!) wherc r
is the rank of A 2 - A a nd }, = (l /2a 2)[E(T')](A 2 - A )[E(T)].
:3. Q 0 /a2 ancl Q1 /a 2 are indepondent. Thc refore, the quantity
u = (Q 1/Q 0 )(n - p)/r is distributed as F'(r, n - p, .i!).
To show t hat t hc rank of A 2 - A equa.ls r we can u se thc fact
t hat A., - A is ide mpo to nt and, h c ncc, t hat p(A 2 - A) =::
tr(A 2 - -A) = tr(A 2 ) - tr(A ) = n - (p - r ) - (n - p) = r . To
examine J, in more d e tail , substi tute X( f3 - f3 *) for E(T ) and get
2a2.i! = (f3 - f3 *)'X' (A2 - A)X(f3 - f3 *) = [(y¡ - r:rx~ + y~X;J
x LXS- 1X ' - Xz(x;X2)- 1 x;]X[1(Y1 - Y7) + X2Y2l
x;x1 x;x2\(Y1) = (x;Y)
(
x ; x 1 x;xJ y 2 x ;Y
S f·om the normal equations we can gct the reduced norm a l cqua tions
l:,~éf 2 = X~Y, from which wc get.y~X~Y = R(y 2). H we so d esire,
.- can get t hc reduced norm a l equat10ns from the model Y = X 2 y 2 + e,
::.~ich is obtained from t hc orig ina l mod el Y
= Xf3 + e with O s ubst i-
Luted for y 1 . WX' Y - y~X;Y will b e called reduclion clne lo y 1
adj~isted Jor y 2 a nd will be den oted by, R(y 1 1 y 2 ) . Therefore, Q1 =
I
H(y 1 y 2 ) = R( f3) - R(y 2) ftnd Q0 = Y Y - R ( f3). . .
These quantities can be put into an AOV table, sh own 111 T a ble G.2.

~ Cr1 r7nx~x1 - X~Xz(x;X2)-1 x;x1JCr1 -

TAnLE G.2 T~;sT OF A SuoM YPOTHEs 1s: y1 = O
or l = 2a- - r:)
8V DF SS l\lS F
But, by Theorcm 1.49, x;x 1 - x;X 2 (~X 2 ) - 1 X~X 1 is positive
definite ; hence, ?. = O if and only if y 1 - y f = O, t hat is, if and Total Y 'Y
only if H 0 is t rne . This completes t he proo f of t ho Lheorcm. Duo to f3 p ~'X'Y
Due to y 2 (unadj) p -r y~X~Y
W o see t hat L = { I + [r/ (n - p) ]ii }- n12 a nd that use of t he test Dueto y 1 (aclj) r ~ 'X 'Y - y~X;Y = Q1
function u is cqui vale nt to the like lihood-ratio Lest, since L is a m ono-
ton ic fon ctio n of ii. Error n -p
Qo_
6.4.4 The Analys is-of-variance Table. Since thc t est of a n -p
s ubhypot hcsis given in the previous articlc is so important, we shall
in vestigat e it forth er. S ince it is often desired to test the hypoth esis
H: y 1 = O, we shall examine thi s test. The quantiLies necd ed are The n otaLion in t his table s hould be s tudied in d etail s ince it will be
nsed often in subseque n t sections . The things to n otice a re as follows:
Qo = Y' (I - xs- 1 X')Y l. R(¡3 ) is ~ 'X' Y, where a li t he ele ments in f3 are incl uded in t h e
normal equations .
Ql = Y'[XS- 1X' - Xz(X2X2)- 1 X; JY
/ 2. R(y 2 ) is y;~Y , where only t heelements in y 2 are used in t h e modcl
vVe can write Q0 = Y'Y - ~'X'Y from which we obtain thc norma l equations.
/ 3. R(y 1 1 y 2 ) is R( f3) - R(y 2 ), wherc y 1 and y 2 comprise a li t he
Y'Y will be caJled t h c lo/al sm n of squares; this qua nt ity is Yery easy to
clements of f3 .
compute. ~ ' X' Y will be called t he red1iclion due lo f3 and will be
_ That is to say, if we want to test t he hypothesis H 0 : y 1 = O, wc ha ve
writtcn"R( f3 ). Ag ain we seo thc importa nce of t ite normal equ·ati~s t.wo mod els:
X'X~ = X 'Y , since R( f3 ) co mprises the clc ments of t hc vect or f3 ,
l. The unrestricted modcl Y = Xf3 + e. From th is model we com-
whic h is t he solutio n of t he norma l equations , multiplied by t he
pute the normal equations X' X~ = X ' Y and obtain R(f3) = ~'X'Y.
140 LINEAR S'fA'l'JS'l'lCAL MODELS !l[ODEf, l: GENERAL LINEAR H YPOTHESI S OF FULL RANK l<J,l
2. Thc modcl rcsLricted by thc hypothesis y 1 = O, th at is, y ,,,, / .. Definition 6.2 If X~X 2 = O in thc model Y = X 1 y 1 +X 2 y2 + e,
X 2y 2 + e. From t his model we compute t he norma l equations then y 1 will be said to be orthogonal t o y 2 .
X~Xá 2 = X2Y and obtain R(y 2) = ? 2X 2Y.
After t he total s um ofsquarcs Y'Y, R(l3), and R(y 2 ) are obtained, the
Suppose we write the model Y =+ e as
X13
restofthe quanLit ies .i n SS can be obtained by s ubtraction. y = X1 f31 + X2f32 + ... + X .,{3,, + e
6.4.5 Orthogonality. Wc ca,n use thc s um of s quares R(f3) and
the error in Ta bl e 6.2 to test the hy p othesis 13 = O. This can be secn whcre X; is an n X 1 vector and {3; is a scalar. Suppose furth ei· that
by obscrving that th ese are exactly the qua ntit ics uscd in Art. 6.4.3. wc wish to makc t he following t est s (there could be m any others):
If wo want to test the hypothesis y 2 = O, wc can get this t est fro 111 J. {J1 = º
the quantities in Ta ble 6.2 if and only if the relationship x;x 2 "" o 2. fl2 =o
holds. If x;x 2 = O, we see that Lite X ' X maLrix is diagonal in blocks, 3. f31, = o
4. {J 1 = {33 = f3 5 = o
a nd we get 5. p., = (33 = {J,,, = O; etc.

(x~xo 1 x;x2
o ) (Y•)
y2 =
(X~Y)
x ;Y
We need the quantities ~ ' X'Y a nd Y' Y, which remain t he same for all
fi vc tests. And we need the follow ing for the respective tests:
J. R({32 ,{3 3 , •.• ,{3,,) that is, the reduction duc to {32 , ••• , {3,, ignoring {31
From this we obtain thc equations
2. R(f31,f33, · · · ,(3,,)

(Yi\
1
3. R(íJ1,f32, · · · ,fJ,,_1)
yJ = ( (X' XO )- (X;XO )(X'X~YY)
1 1
4. R(f32,f34,{JG, ... ,{J,,)
)- 1
2 5. R ({J1 ,{3 4 , . • • ,{J,,__1), etc.
l\1ost of these tests require that the appropriate f3.i be set equal to zero
~ = (Y1) = ((X~X1 )- X~Y)
1
and in t hc normal equations and that the remaining equations be solvcd.
y2 (x;x2 ) - 1x;v 'l'his is a t edious and time-cons uming job. However , if {3 1, (3 2 , • • • , {3,,,
Also, R(l3) = Y'X1(X;X1)- 1 x;y + Y'X2(X;X2)- Lx;y are ali orthogonal, then a li Lcst,s similar t,o !,hose listed a bove aro easily
made. If {3 1, ... , {3,, are o rthogo na l, t hen X ' X is a diagonal matrix,
and R(y 2 ) = Y'X2 (X;~)- 1 x;Y and the redu ction duc to a ny set of t he f3; adjusted for any other set is
so - R(y¡ 1 Y2) = R (l3) - R(y2) = Y'X1(x;xl)- 1 X~Y = R (y¡) simply th e reduct ion due to that particular set of the (3; ig noring the
lf we wanted to test t he hypothesis y 2 = O, t hen , by a method oLhcr set.
similar to t hat used to obtain T able G.2, we would need R(y 2 j y 1 ) = For example, let us suppose in t he model Y = X 1/3 1 + X 2 /3 2 +
Xi13 + e t hat thc normal equa.t io ns a.re
R(l3) - R(y 1) = R( l3) - y ;x;Y. rrx;x 2 = O, wcseethatR(y 1 jy 2) =
R(y 1) a nd R(y 2 I y 1 ) = R(y 2), and we can use T able 6.2 to t est any onc 2pl =4
of t he three h y p othcses 13 = O, y 1 = O, a nd y 2 = O.
The noncentrali ty p arameter in t hc test y 1 = O g iven in Art. 6.4.3 is 3p2 = 3

X{X2(X~X2)- X~X1lY1
1
). = y ax;xl - p3 = :3
2a2 / Since X ' Xis diagonal, the{J,areorthogon al. W egetp 1 = 2,p 2 = 1,
This can be written {J3 = 5, and R(l3) = WX'Y = 36. Snppose Y'Y = 48; then the e rror
1 1 sum of squarcs is 12.
,
A = -2? Y1'X'X ' X' 2 (X'X
l Y1' X 1
1 iY1 - ::;-;; 2 2 )- x :!·x iY1
Suppose we wish to test t he following
· cr ~a-

Since the power fiinction {3(J,) is an increasing junction of J., we wa nt). to l. f31 = o
be as large as p ossibl e. rrx;x 1 is fi xed , J. is a maximum ifX;x 2 = O. 2. /32 = o
Thereforc, if possible, we choose t he X matri x such that x ;x 2 = O. 3. f31= f32 = o
For 1 we need R({3 1 1 {3 2 ,(33 ), which equals R(l3) - R(/3 2 ,/33 ) . But
W e n ow formulate the defini tion of ort hogonali ty.
 1-12 LINEAR S'J'A'l'LS'l'J CAL J\fOD ELS
J\fODEL l : GENERAL L TN EAR HYPO'l'lrnSJS Ol? FlJLL RANK 143
R(/3 2 ,{1 3) is obtained from t he no rmal equations by setting /JJ = o and SoJdng the e<)IHLLions g ivcs
ig n ori1~g the first equation. V1Te get /f 2 = 1, /J3 = fi; so R({Jdl 3 ) = 2
8
T herefore, R( f3 ) - R((J 2 ,{J3 ) = 8. B u t t his is R(p 1 ). •
- ( ::!i.7!) )
I
Fortest2 weneedR(P 2 p 1 ,p3 ), which equalsR( f3) - R(p 1 ,{J3 ). Bya f3 = 8 .79 D* = 22.79 + 8.7!)'1'¡ - 2.69T2
p rocedure sim ila r to tha.t give n abo,·c we can s how t hat R(P 2 p ,{J) _ I
R(f12) = 3. i a - -2.G9
Now, for_tes~ 3 we need R(p 1 ,p 2_ I P3 ), which equals R (f3) - R(f3 ). 'fo estima.te a 2 ancl to test the hypothesis fJ 1 = {3 2 = O, we sha ll con-
B u t , by settmg fJ 1 and P2 zero a nd us111g t he last of t he normal eg uations
3
struct an AOV ta~le. The quantit ies needcd are given below.
I
we get R(/33 ) = 2 5. So R(/3 1 ,/1 2 {33 ) = 11 . B ut ~his eguals R({Jt>[l .): First, R( f3) = f3'X' Y = (22. 79)(290.0) + (8.7 9)(3,264.9) - (2.69) x
whic h is R(P 1 ) + R(p 2 ) . -
(5,!J67.2) = 19,24-0.5.
6.4.6 Example. T he distance a part icle Lra vels fro m a givcn
refere nce p oint is g iven t heoretically by t he curve If we set y 1 = G:) a nd y 2 = {3 0 , the rcduced normal eq:.1ation is
D* =Po + f31 T1 + /32'1'2 obtainedfrom t he model y =Po +e ; thatis, weset{J 1 = {3 2 =O . \Ve
where D * is t he d istan ce, T 1 is t he t ime t he par ticle moves, and T ~ is thc rrct t he normal eq u<Ltior1 8/j0 = 290.0 a.nd y2 = /Jo = 2!)0.0/8 = 36.3
tempera.tnre of t he medium t h rough \Yhi ch t he part icle m oves .- 1'hc ~nd R( y 2 ) = y~X~Y = (200.0)2 /8 = 10,5 12.5: R(y 1 1 y 2) = R( f3) -
t ime a.ncl te mperature can be m eas ured "·it hou t error, b u t, instead of R(y 2 ) = 8,74-3.3.
observing D*, we observe y = D* +e, where e is a normal ra.ndoin The AO\T is g ive n in Table G.3.
er ror wit h mean zero. Th e fo llowing set of measurements were taken:
'J.'ADJ.E 6.3 ANAT,YSI S OF VAR I ANCE
y 6.0 13.0 13.0 29.2 33. l 32.0 46.2 l l 7.5 SV DF SS MS F
2 3 4 5 6 8 20
Total 8 19,286.!)
10 12 11 14 15 D110 to j3 3 19,240.5
18 30
Duo to y 2 (unadj) l 10,5 12.5
l . Find ~ . 8 2• D uo to y 1 (adj) 2 8, 728.0 4,364.0 470.3
E r ror 5 46.4 9.28
2. F ind D* .
3. Test t he hypothesis p1 = {3 2 = O.
We get From this we geL a2 = 0.28. Using Eqs. (G.8) and (G.n) we can set
confide nce inte r nils on the {3; and on a 2 •

+~
4!)
120) 6.4.7 T est of t h e H y pothes is A.;13 = A.~ f3 = · · · = A.;(3 = O. In
X'X = ( 555 1,014 this test we assumc t hn.t t he r x p m atri x

~ (::i
120 1,014 2,110
T he norma l equat io ns a re

sfj0 + 4Dfj1 + 12o¡J2 = 2!)0.0 G,

4!:>/J + 555/J + l ,O L4/j =
0 1 2 3,2G4.!) r

120/J 0 + l ,014/j1 + 2,110¡32 = 5,967.2 has rank r . L et G be a p X p matrix of rank p such that G = (~:).
LetG- 1 = /1 = ( /1 1 , .ó. 2 ),where .ó. 1 hasdimension p X r: Now G isa
n.nd
X'Y (3.:::::)
= k no\nl matrix, hence G - 1 = 11 is also k nown . Let
5,9G7.2
144 J.I ' fü\lt S'l 'A'r lSTICA L l\IODJn.s ;\IODEL 1: CBNERAL LINEAR llYrOTJIESIS O"E' FULL RANK 145
Let Hcro,. = 2 ancl 1..; = (O , 1, - 2); A.~ = (l , - 1, O); t hc on ly ne\\" quantity
, ,c nced to compute is R( cx 2 ) . I n the model wc put {3 1 = (3 0 = 2{3 2 •
1
'l'his gives us
We can write t he_ rn odel Y = X 13 + e as Y = XG- 1 G13 + e oras Y = 2/32 + 2íJ2T1 + /32'1'2 + e
Y = Za. + e. T h1s bccomes Y = Z 1 a. 1 + Z 2 cx 2 + e. Now cx 1 :::: 0 or y = {32 (2 + 21.'¡ + 'l.'.J +e
is equintlent to G 1 13 = O, which is the test we desire. \Ve now follow
which wo "-rite as y= (32x 2 + e
the procedure given in Art. 6.4.4 to find R( cx) and R( a. 2 ). R( cx) is the
same as R( l3), and wc set a. 1 = O and compute R(cx 2 ) . From thes wlicrc x 2 = 2 + 2T 1 + T 2 • Tho reduced normal equation is fJ ,290iJ2
quantities we gct a.n AOV t.able . e = 13,077, which g ives p2 = 1.41. R(a. 2) = if~X;Y = 18,407.7, and
To sum up, we have the fo llowing instructions: To test :J.;13 "" H(¡3) - R( a. 2 ) = R( a. 1 1 a. 2 ) = 848.1. The F value is 848.1/9.28 =
A.~ 13 = · · · = :t..; 13 = O we ha.Ye two models : !11 .:HJ. This is larger than the tabu latcd F valuo fo r 1 and 5 <log rees of
frcc<lom at t ho 1 per cent level.
l. The nnrest rict.ed _:i10del Y = X13 + e, from wh ich we obtain thc
normal eq uations X'X13 = X'Y nncl get R( l3) = j3'X'Y Problems
2. T he model rcstricted by the hypo thesis :t..; 13 = :t..; 13 = · . . ""
1..;13 = O. This wc sha ll write as Y = Z 2 a. 2 + e ; from it we obta,iu the 6.1 Prove LhaL , for s imp le lin ear mo<le ls s u ch ns t ho1;0 o í A r L. ü.2.G,
normal equu.tions Z~ Z 2 éi 2 = z;y a nd get R(a. 2 ) = a;z ; Y. ~[~(y¡ -
2
y)2 - [.E (xi _- x){y¡_-=- 'fj) ] ] = _ l _[(Y - X~)'(Y - X~)]
vVe compute Y' Y n,nd obtain t hc AOV of Table 6.4. For example, n - 2 l.(x; - x) - n. - 2
suppose wc have t he model 6.2 An e xperirnonLer has theore tieal reasons to b cl ie \·o that, in s toring ice
crcum at low Le mporatu1·es, tho a.vernge we ig ht loss E(y) = .& oí t he ice c ren.rn (in
Y1 = f3o + f3tx11 + f32:C21 + f33x31 + {34x4; +e; pin L contn.ine rs ) is linea rly re lated Lo the storage t,ime . 1 10, t here fo re, ossumes
tl mL Lho linear m odel
TAilLI~ G.4 ANALY S IS or.· VARIANCE FOlt T.ESTJNG L = E(y) = {J 1t
t..;f3 = t..; f3 = "~13 =o
rol1llc;; a\·era go we ig h t loss t o storage timo. H e lm om; t hc ro are m an y othcr
.,- DF SS l\'IS F fllct ors bcsiclcs Lim e t hat affect w e ight loss, but it seerns feas ib lo to assumo that
thcsc factors togothe r aet a s a random e rro r c. llenco Lhc mod c l can be wriLton
Total n Y'Y y = {J 1 t +e
Dueto f3 p ~ 'X'Y
Due t,o a 2 (unadj) JJ - T a:;z;v To csLimaLe {J., h o conduets an ox pe rime nt in whie h h e m emH1rcs tho we ig hL loss
Due to a 1 (adj) ,. ~ 'X'Y - a 2 Z~Y of pint.s of ice c rea m O\·er an ex t e nde d p erio d . The resulls (t i8 in weeks; y is in
Error n - 71 Y ' Y - ¡3' X ' Y grnrw;) a re

I¡ 2 3 4 7 8
and we want to test {3 1 - {3 2 = O, /3 1 - 2{13 = O. We can s u bstitute
/3 2 = (3 1 a nd {3 3 = ~{3 1 and gct . 15 .2 L .30 .41 .'19 .!i!l .72 .83

Y; = f3o + f3 1(xli + X2; + ~X3;) + f34X4; +e; EHtinmte {31 and a2.
6.3 Find P.. í32, ÍÍ:¡o á 2, and P1 - P2 + 2/ia fo r
for thc model Y = Z 2 a 2 + e rcstricted by thc hypothesis. ~h e lineal' mode l Yi = {3 1 + {J 2 x 1 i + {J3 x2i + e;
Lhe uaLa lit>low, a s:;u111 i11g Lho.L
flts Definit.i on G. I.
As another examplc, supposc we wanted to test thc hypothesis
/33 = (3 4 , (3 1 = (3 2 • • 111.>stituting, wc obtain y 1 1 5 1 o 1 4 4 - 1
?J; - {3 0 + {J1 (x11 + x 21 ) + {33 (x31 -t= x 41) + e1 ~-l--2-·-1-,-3- 3 3
for the modcl Y = Z 2 a. 2 + e rcstricted by t he hypothesis.
6.4.8 Example. Suppose that, in the example of Art. 6.4.6, we X2 -1- -1--2- 1_1_ 2 3

wish to test simultancously the t.wo hypothescs /3 1 = 2{3 2 and /3 0 = fl¡. 1 1

146 LINEAR S'. rA'l'IS TICAL l\IODELS MODEL l: GENERAL LINEAR HYPOTfCES I S OF FULL RANK 147
.16 In t he m odo! Y = X¡3 + e , n = 8, the values shown in Table 6.5 were

~
6
recorded:
6.4 Ir X ( : : ) , find X ' X , (X ' X ¡->, X ( X ' X¡- ', X(X'X)- 'X', and 1 _
T ADI.E 6.5

X(X'X)- IX' . -y X3 X4 X5 X6 X1

--
Xo X1 }(2
6.5 J n s implo linea r m od ols, as illustrnted in A1·L. G.2.5, provc Lhat, if the :t
can b e solect~d a nywhe ro in the intcrval (a,b) and ifn is un oven in tcger, t hen th' 4 1 1 1 1 1 1 1 1
variance of P2 is minimized if we selected n/2 valucs of X; equal to a a nd n/~ 5 l 1 - 1 l - 1 1 - 1 -1
values cqual to b.
3 1 1 l - 1 l - 1 - 1 - 1
6 .6 Provo thc id enLit y in Eq. (6.7). 2 l l - 1 - 1 - 1 - 1 l 1
ó.7 U se tho X m a Lt-ix in Prob. 6.4 a nd find t r(XS- 1X ') o.nd Lr(I - XS- l X'). 6 l - 1 - 1 1 1 - 1 l - :i
ó.8 Lct kr and k~ be pos itive constants. Provc Lhat 3 1 - 1 l l - 1 - 1 - 1 l
4 l - 1 - 1 - 1 1 l - 1 1
8 l - 1 l - 1 - 1 1 1 - 1
1
is pos iLivc d efin iLc, wh cre X is an n x p m aLrix of rank JJ < n.
ó.9 In Prob. G. 8 , s h ow t h at (a) Find X 'X.
(b) Find R( f3) , R({J1 1 Po.P2• · · · ,fJ1), R({J3)·
v- 1 l
= -;; xs- 1x· + -q1 (I - xs- 1 x·¡ I
(e) Show t hat R(f12 ,f13 Po,P11fJ4, · · · ,{J7) = R(fJ2) + R({J3)·
kr (d) Find t he reductio n due to H 0 (adj) , wh ere H 0 is P1 = P2 = {J3 •
(e) S how t,hat t he re is no unbiased estimate of a 2 •
6.10 In Theore m 6.4 , if V = kiXS- 1 X ' + k~( I - XS- 1 X '), sh ow that ~ is 6.17 In Lhe proof of Theore m 6.6, s how Lhat Lhe matrices A , (A 2 - A) , a nd
Lhe so.me os it is if V = l. I - A. are each ide m potent.
6.11 Provo Lh e fo llowing statem en t, made in A1·t . G.2.6: vn r (P1 ) is o. minimum 6.18- In P rob. 6. 17, show t hat the prod ucLs A (A 2 - A), A(I - ~) and
if tho X; aro c hoson s o LhaL x = O. (A2 - A )( I - A 2 ) a re each e qual t.o t hc null m atrix.
6 .12 r •rovo 'rhoorc m 6.3. 6.19 In P rob. 6. 15, s uppose a value of y equa l (,o 5.3 is selected from an
6 .13 P rovo Thcore m 6.4. unknown X value. Use Eq. (6. 17) to set a 95 por ce nt confid once inte rval on the
6.14 In Lhc m o d c l Y = X f3 + e , whe re n = 10 a nd JJ = 3, t ho foll owing nor. unknown X.
mal c qu u.Lio ns wc re co mputod (Y' Y = 58): 6.20 In t he examplc of Al"t. 6.4.6, set a 90 pc1· cen t con1idence inter val on
f11 - · 2P2·
3/i1 + P2 - ·2Pa = 1 6.21 If n = 20, p = 6, :< = .05 in Eq. (6.8), find t he oxpccLcd width of t he
confidcncc intcr val.
P1 + 2P2 + P3 = 1 6.22 R opea.t Prob. G. 2 1 for n = 40 , p = 6, r1. = .05 in Eq. (6.9 ).
6.23 In Prob. 6.21, s how th at lim E (w) = O, wherc E(w) is t h e expected
wid t h . " - 00
(ci) F ind ~. 6.24 In Eq. (6.9), find Lhe d istribu t ion of tho width w.
(b) Find R(¡3 ) = ~ 'X'Y. 6.25 In P rob. 6.24, find E(w) a nd var (w).
(e) Set, confidenco limit s o n a 2 , p1 , P2 , p3 , and P1 - {J2 • 6.26 Provo that Lhe cocfficient of a 2 in Eq. (6.1 5 ) is equa l to
(d) F ind R(y 1 ) , who rc y 1 = P1 •
.E(x; - x 0 ) 2
I
(e) Fi nd R(y2 y 1), w he ro y; = ({J2,{J3). 1
6.15 ln !he m od c l Y; = /1 0 + /11:i·; + e; (j = 1, 2 .. .. , 20), tl H' fo llowin¡? 11o r· k + n~(.c; - f-)2
m a l cquations wc rc compu tcd p:.yJ
= 90):
6.27 Jn Eq. (6. 12), fincl x~s- 1 x 0 for t he s imple linear m odcl

20/j0 + 10 /j1 = 40 Y; = Po + fJ 1:1·1 1- e¡.

wherc
10/j0 + 6/j1 = 22
1
(a ) • et a 95 por cen t confid cnco in ter val o n E(y), whon X = 3. Xo = ( )
:r
(b) If wc sclcc Lu. su.mplo of 30 values of y fro m the above m od cl wh cn X = 10,
find a 95 p or cent confid cnce interval on the. m ean of t hese y valucs. U se Eq.
(6.1 2).
148 LINEAR STA'rIS'.l'J CAL l\IODELS

F u r th cr Rea d in g
1 O. K empt horne : " D es ig n a nd Analysis of Expe rirnen ts," John " "ilcy &
Sons, Inc., New York , rn.::;2.
2 R. T.... Andci·son and T. A. Bancroft,: "Stat,ist,ical Theory in R esearch ,,
1\IcGraw-Hi ll Book Compa ny, Inc., Ne,,· York , 1952. '
3 c.. .R. Rao: " Advan ced Statistica l l\fct,hods in B iometric R esearch ' " J om
1
Wiley & Sons, Inc. , Ncw York, 1952.
4 H. B. 1\1Iann : " Analysis ancl D csign of Experimen ts," Dover P ub lications

5
New York, 1949.
F. N. D avid a ncl J. Neymn n: Exterrnion of t h e 1\farkoff Theorem on Lea ·t
"
7
Squa res, S tatist. R esearch .111em., vol. 2, pp. 105- 116, 1938. s
6 C. R. Rao: A T h eorem in L east Squa res, Sankhyü, vol. 11, pp. 9- 12, 1951
7 C. R. Rao: On Tra ns formations U seful in the Dis t ribution .Prnble ms of .
L east, Squares, Sankhyü, vol. 12, pp. 339- 346, 1952-1953. Co1nputing T echniques
8 C. R. Rao: Genern.Jizat,ion of 1\forkoff's Theorem and Tests of Linear
Hypotheses, Sankhyü, vol. 7, pp. 9- 19 , 1945- 1946.
9 C. R. Rao: On the L inear Combin aLion of Obpervations ancl the General
Theory of L east Squarcs, Sankhyéi, vol. 7 , pp. 237- 256, 1945-1946.
10 R. L. Plackett: Some Thcore ms in Lcast, Squares, Biometrika, ...-ol. 37
pp. 1-1-9- 157, 1950. , 7. 1 I ntroduction
11 P. C. T a ng : The Powcr Funct,ion of A OV Tcst,s, Statist. R esearch .M cm
vol. 2, J 938 . ., It was sh own in t hc p reccd ing ch apter t hat; to estima.te f3 or an y
12 A. \ Vald: On t,he Powe r l<unction of i,he Ana lysis of Variance T est, Ann." component {3 1 from the modcl Y = Xf3 + e, we must find thesolutio n ~
Jlfath. S tatist., vol. 13, pp. 434--439, 1942. of thc set of equations X' X~ = X ' Y. W e can sol ve for ~ by finding t he
13 A. Wald: On the Effic ient, D esign of Statis t ica l Investigations, Ann . .llfath. in verse of X'X, and get ~ ·= (X ' X)- 1 X'Y. If we want on ly ~ ' we can
S tatist., vol. 14, pp. 1:34--140, 1943.
solvc t hc system of equations X'X~ = X 'Y wit hout actually fi nding
14 S . \ V. Nasl 1: N ote on .Power of 1,he Ji' Test, Ann. 111ath. Statist. , vol. 19
p. 43'1, 1948. ' thc inversc of X 'X . B ut , if we want a lso the covariance matrix of ~'
15 J. \ Volfowitz: The Powcr of the Classical T ests Associat,ecl with the Normal weniust find t he inverse ofX 'X, sin ce cov( ~ ) = cr2(X 'X )- 1 • Both ways
Dis t1·ibution, Ann. :N!ath. S tatist ., vol. 20 , pp. 540- 55 1, 1949. will be discussed. Section 7.2 will be dcvoted to a method of solving a
16 J. E. l\'faxfield and R. S. Ga rclne r : Note on Linear H y potheses wit,h ºPro- system of symmetric equations wit hont actually fi nding t he in verse of a
scribed Mat,rix of Norruul Equ ations , Ann . .lliath. Statist. , vol. 2Ci, pp.
149- 150, 1955.
matrix, a nd Sec. 7.3 will be d evoted to finding t he inverse of a
17 R. A. Fishe r : The Goodness of Fit a ncl R egression Formulae, a nd the symmetric m atrix.
Distrib ution of Regression Coefficie nts , J. R oy. Statist. Soc. , vol. 85, part There are many ways to invert a matri x, and t he method to use in a
I V, 1922; roprinted in "Contribu t ions to 1\fothematical Statis t ics," John particular ins tan ce depends upon what type of calculator or computer is
\Vi ley & Sons, Inc., New York , 1950. a.vailable. \ i\Te sha ll present only one method , the Dooli t t le method,
18 S. Koloclziejczyk: On a n Import,nnt Class of Statis t,ica l H y p ot.hcsos,
Biometrika, vol. 2 7, 1935.
which is especia lly adaptable to ordina ry d esk calculators.

7.2 S olving a System of Symmetric E quation s

7.2. 1 T h e Doolittle M e tho d . To find the solution to the set of
cquations
X'X ~ = X 'Y

where X 'X is a know n symmetric m atrix and X'Y is a known vector , we

shall emp loy a tec hnique know n as t he forward soliition of t he Doolittle
metlwd. \iVe s ha ll illustrate t his method by a simple example.
149
150 LTNEAR S TA'.L' I S'l'ICAL l\IODELS COi\lPU '.L'ING TEC HNIQ U l~ S 151
S uppose wc want to solvc the system Jf wc \\Ti te t h is
4 2
( L)
(2)
2/'J1 + 4P2 +
4p + 10P2 +
1
2p3 =
2p3 = 18
G
(7.1) (: 10 2 ü)
18
(3) 2p1 + 2p2 + 12p3 = - 16 2 2 12 - 16
By mcth ods of elem entary algcbra we can solve thc t hree s imultaneous
equations by the following steps: anc1 rCcluce the 3 x 3 m atrix Ieft
. of the vertical Jine to .a triangular
by row operations a to i, we get Lh e results sh own m Table 7. 1.
.·.X
11111 t 11
a. Mult ip ly Eq. (7.1.1) by-}.
b. S ubtract 2 t imes Eq. (7.1.1) fro m Eq. (7.1.2) .
TABLE 7. 1 REoucn oN oF EQ. (7.1) TO T1t1ANOu1, Art Fo1tM
c. S ubLract Eq. (7.1.1) from Eq. (7.1.3).
This gives
-
Jni;Lr ucLion C1 C2 C3 Ch eck (sum)

(a) P1+ 2p2 + P3 = 3

1 1 ºº
Ri 2 4 2 (i 14
(b) 2P2 - 2p3 = 6 R2 4
2
10
2
2
12
18 :34
o
R3 - l(j
(e) - 2p2 + 10{J3 = - 22 1

Now Jet us continue : ~R1 R4 l 2 l 3 7

d. H.ewrite Eq. (a). R2 - 2H 1 Rs o 2 - 2 G G
U3 - R1 RG o- - 2 10 - 22 - 14
e. Multiply Eq. (b) by t.
J. Add Eq. (b) to Eq. (e). H4 R1 1 2 l 3 7
This g ives o
~R5 Rs 1 - 1 3 3
R6 + R5 R9 o o 8 - IG - 8
(d) P1+ 2p2 + P3 = 3 1
(e) P2 - P3 = 3 R1 Rio l 2 1 3 7
(f) 3p = - rn lls Ru o 1 - l :$ 3
3
/¡ll9 R 12 o o 1 - 2 - 1
If we write (d) and (e) and divid e Eq. (j) by 8, we gct the triangular
system
If wc s um the ele m e n ts of -cach row, we got t hc corresponding
(g) P1+ 2p2 + /'J3 = 3 clcments in each row of the ch eck colnmn. T he ins t ructions each refer
(h) P2 - P3 = 3 toan ope ratio n on each element ofth e correspond ing row includi ng the
(i) clemcnt in the ch eck column. T h e r ows R 10 , Rw and R 12 co mplete the
P3 = -2
forwarcl soluLio11 of t h e Doolittle mcthod. \Ve ca,n solvc fo r the (J;:
It is now quite simple to find t he solutions that is, using R 12 , we get ¡33 = - 2; s ubst it uti ng Lh is into R11> ,\·e get
P2 = i P1 = 3 P~ = 1; con t inuing in to R 1 0 , we get íJ 1 = 3.
\Ve can further reduce t h e la bor involved in soh·ing Lhe sysLem (7. 1)
\ Ve can sol ve t he set of equations (7 .1 ) in fewer steps than we h a ve indi-
by a technique kno " ·n as the abbrevialecl Dooli ff/e metlwd, as follows :
cated; we do not, for example, n eed to wri te (J 1 , p2 , P3 in Eqs. (a) to (i),
Write thc original matrix, t h e 0 0 column , ancl t hc c heck column , i . ~. ,
but we can letposit ion indicate which elem entis involved. EquaLions
rows R; , R;, a nd R~ in Table 7 . 2, o mi tting thc clc ments bclow t he main
(7 . l ) can be put into the m a trix fo rm :
diagonal, s ince t h ese elements are )rnown owing Lo symmc t ry. T hen
reduce thc mat rix to triang ular fonn by fo llowing t he instruct ion
column . Thc symbo ls R;;, R ;j . andr u roprose nt t.hc cl e monts in t h e 1t h
colum ns oftherows R,., R;, and r 1, respcctively. T he row correspondmg
to r¡ is obtained by d ividing every elcment in t he row R 1 by t he first
 COl\IPU'fIKG 'fECH N IQUES 153
152 LLNE.\lt $ 1'AT1S'l'TCAL l\lODELS

no uzero c lc me n t. Th c s paccs whe re a n a s teris k ( *) a ppears need not b Jfowever, t,hc red nction d uc to f3 can b e obta i ned ve ry easily from
filled, sincc Lhe elcmc nt s in t hcm would be zero ifthcy " ·ere co mplete~ Table 7.2. It is
via thc instru ction. After each r ow is complcted, it sh o uld be totaled R((3 ) = ~ 'X'Y = R1or10 + R2or20 + R3or30
to sec whcthcr it e quaJ s Lhe elemen t in t hc check column. which is t h e s nm of the prod uct of t he t hree pairs of Yalues in t hc C 0
col um n. .
T An1, e 7.;!, Auorn:nATED D ooLI'rl'LE l\fET H OD F OJt .·01.v1 NG EQ. (7. l ) Supposc wc wa.11 ted to tes tthe hy pothcs1s (33 :== O. \Ve lrnow from
Ins Lr uc Lion Row Theore m G.5 a nd T a ble 6.2 tha.t we need to_ ob~am:
C2
-
C1 C3 Co Check
l. Thered uctiondueto{3 1 ,{J 2 ,an d{3 3 , wluch1sR( f3) = ~ 'X'Y,whcre
R'J 2 4 2 G M ~ is the solu t ion ~o Eq. (7. 1) .
H.; 10 2 18 34 2. The reduct1on duc to {3 1 , {3 2 (when {3 3 = O), w hich is R(y 1 ) =
R¡ o
~'X'Y (~
3 12 - lG 1
whc rc y- 1 = \ is Lhc sol u tion to t h e norma l equation s in (7 .1)
@ Y1 1 • ~J
R~ R 1 2 ® (i 1-J.
tR1 r 1 l 2 l 3 7 exccpt w ith P:i = O a nd the {3 3 equation (7.1.3) omitted. That is, we
sol ve
R;¡ - Ji 12 r¡; H2 * 2 @ (i G
(7.2)
tR2 r2 * l - L ;{ :1
1
1

R~; - R 13 r 1¡ - R~rv - R3 * * 8
l
- LG
- 2
- 8 and get R(y1 ) = y~X~Y = íJ1(6) + iJ2(18)
tR3 1"3 * * - 1
1 Then the s u m of sq u a res fo r {33 a d j usted fo r {3 1 a n d {3 2 is

Af tcr t he matrix is red uced to triangu lar fo nn , t hc rows r 3 , r 2 , a nd r 1

B (Y2 Y1) I = R( f3 ) - R(y 1) = WX'Y - -y; x~Y
(with check om ittcd) can be used to o bta in t he valucs of 1 , P~, and p3 P N ow t h ese ya] u es can be p icked i m med iately from T able 7 .2.
t h at satisf'y Eq. (7. 1). The t hings to notice hcrc are t he pivota) The reduccd syst em of equations (7.2) is represented in Table 7.2 by
e le ments. For examplc, to get t hejth ele me n t in row R 2 , we nccd only l
·ows R ' a ncl R~ wit h column 0 3 om iLted . Therefore, t he solution can
1
be obtained - l
from r 1 a nd r 2 if column 0 3 a nd the check co umn are
t he jth c le mcnt in row R~, the jth elc ment in row r 1 , a nd thc p ivota[
elc me nt R 12, whic h is mn,rked with a square for emphasis . T o calcu late omitted.
the fou rth e le me nt in row-R 2 : it is eq ual to t he fo urt h elc me n t in R; 'l'he solution is
(wh ich is l ) m inus t he p ivota! eleme nt (w hich is 4) times t hc fou r th
elem ent in ro\\· r 1 (whi ch is 3); t hat is, 18 - (4-)(3) = G. T o fi nd t he and, since X~Y is t hc corrcsponding ele ment in t hc 0 0 column, wc get
values of Lhe q ua ntitics in t hejth column of R 3 we do a si milar opera- R (y 1 ) = y;X~Y = (-3)(6) + (3)(18) = 3G
t io n , excepL t hat we ha ve Lwo pivot a! clements, onc for each r ow of the Howev er, as expla ined bcfore, this red u ction is i mmediately avail able
m atri x t lrn,t has becn compu ted (t his pair ofpi votal e le me nts is circled fromTable7.2. It isasfollo\\·s:R 10r 10 + R2 0 r20 = R(y1) = R(f31,f32)
fo r e mphasis) . To compute t he fifLh element of l'O \\- R 3 : it is cq ua l to = red uction d uc to fJ {3 q i<Ynori n(T f1 3 . T herefore, Lhe rcductio n d ne to {3 3
t he fifth e le mc nt of R~ (whic h is O) minus t he fift h elc mcnL of r 1 (whichis adjusted for {3 1 a nd p~ i~ Jhy~ 1;.) = R( f3) - R(y¡) = ~ 'X'Y - ~~x;~:
7) t im es t he p i,·otal cleme nt in R 1 (which is 2) minus t he flft h ele me n tof = (R1or i o + R2or 20 + R301":10) - (R ior io + R 2or 20) = R3or3o• w luch is
r 2 (w hich is 3) t imes t hc pi vota! ele me nt in R 2 (w hich is - 2); t hat is, Yery sim ple to fi nd from T able 7 .2. It is e qua l to ( - 16)(-2) = 32.
o - (7)(2) - (3)(-2) = - 8. To illu stratc fur t hc r, suppose \\·e " ·ish to test the h ypoth esis {3 2 =
7.2.2 T h e Applicatio n of the Doolittle Method to Ana lys is - of- (3 3 =o. We needthcrcductiondueto{3 2 and {33 adjustedfor {1 1,thatis,
varia n ce Proble m s for Model l. If t he system (7 . L) is a. set of R({J 2 ,fJ3 1 fJ 1 ). Th is is ce¡ ua l to
n ormal e q uatio ns, t h e 11 0 0 is X ' Y, an<l t he redu ct ion d uc to (3 1 , (3 2 , {33 is
WX'Y, wh ich in Lhis example gives R ((3) = WX' Y = (3)(G) + (1)(18) r20R20 + r30R30
+ ( - 2)( - lG) = 68. or, in our problem, (3)(G) + (-2)( - 16) = 50.
154 LIKEAR S'l'A'l'IS1'TC,\L i\IODE LS COl\lPUTING TECHNlQUES 155
If we desire to test t h e hypot hesis fi 1 = O, we must obtain t he
111 rna.trix form this could be ·written
redu ?tion duc ,~º {J 1 adj u s~ed fo r {3 2 a nd {J3 . This can not be readily Y = Z(3 +e
o bta1ncd fro m Iable 7.2as 1t stands. I t could ha ve been o bta ined ifwe
h ad i ntc rcha nged {3 1 a nd {3 3 a nd the /J 1 a ncl fi 3 eq uations in the systern
"•here we must remember t hat 13' = ({3 0 ,{l 1 , • •• ,{Jp_ 1) and that p0 _
p- 1 .
(7 . l ) so t hat, w h e n t he system was reduccd to t ria ng ul a r form , the Iast ¡t + 2 {j¡x¡. If we wri te t he model as we d id in Art. 6.4.3, wc get
row r:i wo ulcl g ive a solut ion for {3 1 . _ The fJ 1 eguatio n in t he norma.! 1- 1
y = Z 1 y 1 + Z 2 y 2 + e, where y 1 = {3 0 a n d Z 1 is a n n X 1 matrix with
equatio ns wo ulcl ha.ve t o be in row R~. T o genc ralizc, we have
cach ele men t equa l to unity. I t is clearly t rue t hat y 1 a n d y 2 a re
• Theorem 7.1 To t est y 2 = O in thc gene ra l-linear-hypothesis ort hogona l according t o D efinition 6.2 (Art . 6.4.5), sin ce z;z 2 = O.
m oclel Y = X 1 y 1 + X 2 y 2 + e , wherc y 1 is k X l a nd t he n ormal 'l'herefore, wh enever t he m odel can be written as (7. 3), a nd we use
equations a re X 'X~ = X ' Y , p u t thc n orm al equ a tions in the fonn dcviations of each X;;, {3 0 is ort hogon al to t he other {J¡ . Also,
of T a ble 7 .2 wi t h t he coeffi cie n ts p e rtaining t o y 2 in t he right-ha nd Jl(fi 0 ,{l1 , • • • ,{J,,_ 1 ) = R(/3 0 ) + R (flv . . . ,{J,,_ 1 ). We shall call R({3 0 )
co lumns of t he m atrix a nd reduce to 1,ria ng ula r form by the the rediu;tion due to the mean; it is clearly egual to (L.y;) 2 /n.
ab broviatcd D oolittle technique. Thc n (see Theorem 6.5 a nd If we want to test t h e hy p othesis {J,,_k = {J,,_k+l = · · · = {J,,_ 1 = O,
T ab le 6.2) t hc e rror sum of squares is the a nalysis of varia n ce can be wri tten in t he for m of T able 7 .3.
T ABLE 7.3 TEST o~· TllE HYPOT1ms1s
Y'Y - 2:" R¡ 0r¡ 0 {J,,_i; = PP-k+l = ... = PP-1 = o
i =l

n.nd t hc r cd uction dueto y 2 adjusted for y 1 is

sv DF SS

R (y2 1 Y1 ) = "
Í: R ;or;o
Total 1i - 1 Í:" (Y; - y) 2
j - 1
i = k -J l
¡J - 1

\Ve s ha ll uot prove t his t heorem , b u t it is cxtrc mcJy important . The P - l Í: rfoRfo
i- 1
rcader s ho uld become well acqu ain ted wit h it if he is going to use t he
p - k-1
abb reviatcd Doolittle technigue t o o btai11 thc qua n t it ics nced ed t o test P - k - l Í: rfoRfo
h y p ot,h eses in model l. i- 1
7.2.3 Alte rnative Method of Presenting the Analysis-of- p- l

v a riance Table. lVfany t imes t h e X matri x i n mod el l h as uni ty for /,; Í: rfoRfo
i - 1>-k
evcry clc me n t in t he first column, and th e cguatio n takes t he form
11 p-l
1)-1 E rror n - 11 Í: (Y; - 'fi) 2 - Í: rfoRfo
YJ = ¡¿ + iI= l xdl; + e; j = 1, 2, . . . , n (7.3) j - 1 i - l

T he valucs r;'b a nd RJi a re valucs tak en fro m a table s imila r to Table

p- 1
If we add and s ubtract 2: {J;i¡, we can wri te t h is 7.2except that t he matrixen tered in the table is (p - 1) x (p - 1) a nd
i= l the elemen ts a re t he corrected (d eviations from t he means) sums of
squa res and cross products. T he row and colu mn correspondi ng to µ
Y; = (µ + "L.{J¡:i¡) + Í: (x;; - X;)/J; + e; are om itted . T hc ele men ts of t he 0 0 colu mn a re t he corrected cross
i
products of t he x a nd y values.
1
w h e re X¡ = - 2: x 1 ¡ . If \\·e Jet x 1¡ - X¡ = z;¡, z10 = 1, a nd µ + L.{J¡i; =
n j 7.3 Computin g the Inverse of a S y mme tric Matrix
/J 0 , we get
1>- l 7 .3.1 The In ve rse. If a confiden ce in tcr val is dcsired on a ny
Y; = 2: {J;z;; + e1
i= O
elemen t of (3 or on a ny linear com bi nation of fJ ;, then the elements of t he
 15G LINEAll. S'l'A'l ' CS'J'ICAL i\IOJ> t> LS COi\IJ?UTI KG 'l'ECJCN IQUES 157
invorse of X ' X are nccd cd [seo Eqs. (G. ü) a nd (H. l O}). T ho in VC' rsc car¡ TAUL E 7.4. T11E !NVJ<:llSE OP X 'X TN E Q. (7.1 )
be fo und by using t he abbreviated Dooli ttle techni q uc.
The t heory can be expla ined by supposing t,hat, A is a symmctric R ow C 1
matrix whose inverso is desircd .
Jnstruction
ª~ -C3- - - -E1
- - --
E2 E3
ªº
Check
- - --- - -- - --
L ct B = A - 1; t hen AB = l. R'1 2 4 2 G l o o 15
L et B = (B 1 , B 2 , . . . , B 1,), whcrc Bi is t he 1ºth col umn of A.-•. R~ 10 2 18 o 1 o 35
Then A (B 1 , B 2 , . . • , B p) = (E v E 2, .• • , E p), whcre E ; is the ith R~ 12 - l G o o 1 l
column of the ident ity matri x l. -JI~ - - -- - - - - - - -- - -- - - -
R¡ 2 4 2 G l o o 15
\Vecan then o btain systems of peq uatio ns AB ; = E ; (i = 1, 2, . .. , :J o o
~JI 1
r1 1 2 1 ~ l.._f>-
p). \ Ve must solve t hese p systems and t hen obtain tbe elements of -- - - - - - - - - - - --
A - 1 . By using a table s uch as Table 7.2, wc can soh-e ali JJ of the
-
u;1 - R12r¡j R2 * 2 - 2 -26 1 o 5
systems by reducing A to t ri a ng ula r for m. We s hall illus tratc by rz * l - 1 3 - 1 } o :;

finding t he inverse of t he matrix in (7.1) .

~ Hz
-
u;; - R¡3T¡j - R23r2¡ R 3
-
*
-- -
*
-- --- --- --- ---
8 - 16 - :~
~

1 1 - 9

=
2 4 2) ~/l3
-
T3
- -
*
-
*
·-
1 - 2 -
;¡
8
- - - - - - - - - - - - - --
l.
ll t - ·a9
X 'X
( 4
2
10
2
2
12
R15r 1i
Rz6r2i
+ Rzsr2i + R3 51"3;
+ R3Gr3i
B1
B2
11
_l.i .. -¡j3
~Q

5
1i l.
8
vVe can find B 1 by solving U37T37 B3 J.
8

~)
4 2
Using columns 0 1, 0 2 , 0 3 , a nd E 2 ofrows rv r 2 , andr3 we get
(: 10
2 12
2

_.1..l.)
by t he a bbreviated D oolittle mcthod tind B 2 by solving
B, ~( ":

(
2
4
4
10
2
2 1
º) nnd, by a similar process, we get
2 2 ¡ :,¿ o
and simila rly for B 3 . \i\fe ctLn save wo rk by p utting Lhc matrix in thc B, ~ (-:ª)
form
2 4
2 11 o º)
21 o l o
-:)
2!) - 11
( : l~ 12 1 o o l Thcrefore, B = (B 1 , B;¡. B 3 ) =~ - 11 5
(
and reducing to tria ng ular for m. This is il l11stratccl in Tab le 7..J, -a I
where all t he operations excep t t hose of t hc last t hrcc rows are exactly
t he sa me as in Table 7. 2. There is a short-cut method for obtaini ng B by using t hc ins tructions
for the last t hree rows ofTable 7.4 and nsing only colu rnns E 1 , E 2 , and
o
Using columns l > 02, 03, a nd E 1 of rows 1" ¡ , r2. anc.l T3, wc find thc
E3 . This gi•es t he clements of B immcd iatcly. In co mput ing t he
element s of B 1 to be
20) rows B 1, B 2 , B 3 notice t he pivota! ele menLs R 15 , R 25 , etc.

B, ~ (- •:;
\Ve rnight poi nt out that t h e dclcrmin ant of A is equal to Lhe prod uct
of t he first nonzcro elements in rows R 1 , R 2 , and R 3 . ln this part icula r
problem it is eqna l to (2)(2)(8) = 32.
 COJ\lPUTl NG TECH N I QUES 159
158 LINEAR STATIS'l 'ICAL llIODELS
TAUJ,E 7.5 p P
.3.2 The General Case . W e shall look at t he solut ion fo r a
AaaitEVIATED DooLrCTLE FonMAT Fon. A x 7
SYMllffiTRIC MATRI X eneral p x p symmetric m atri x. E verythi ng proceeds as for the
~ X 3 case except t hat we shall have more rows. T bc instruction and
InstrucLio n Row CP2 · · ·CJJC 0 E1 ···E.;,¡11 row columns fo r a p X p symmetric matrix are give n in Table 7 .5.
'J'he inst ruction A t means : Divide t he elcmcnts in t he row by the first
110
nzero element of row R t. _
7.3.3 E xample . W e s ha ll demo nstrate t he abbreviated D oolittle
technique by a n example . In measuring t he various constit uents ~f
R',,
cow's milk it would be d esirablc to find a fu nction rclat ing t he q uant1-
- ties: solids nonfat, fat, a nd protein. Supposc we wish to estimate
protein by using a knowledge of factors fat Xi and solids nonfat X2 by
---··------
t he equation
Y; = µ + f3 ix;i + f32X¡2 + e,
By taking samples from l 6 cows t he values shown in Table 7 .6 were
obtained.
TABLE 7. 6 DATA FOR ExAMP1.i:: OF A nT. 7.3.3

Fat Solid nonft\t P rolci n FaL Solid nonfat

P rotein
y X¡ X2
y X¡ X2

8.86
--·- - - - - - - - -1- -- 1-- - - - - 3.75 4.74
3.66
9.50
8.56
3.16
:l. 6fi
3.36
:l.64 9.2 1
3. 19
8.54 3.36 3.92 8.93
2.99 4.27
8.62 3.60 2.99 9.16
:l.46 4.0:l
9. 35 3.87 :1.28 $ .'1.5
p t :1. 27 3.5 1
:3. 14 3.23 9. 09
R' . - ~ R 1·
R,, 3.27 3.97 S. 39
"' _,¿_, <IV Q}
3.23 7.87 :1 .00 :3.Gfi 8.:l6
q- l 2.78
3.79 !.Ua 3. 18 4. 23 9. 28
rV a. 59

To tes t t he hypothesis {3 1 = {3 2 = O, wc s ha ll use t he abbreviated

Doolittle technique with both the corrected and imcorrected s um of
squa res, a nd we s ha ll find t he in verse of X 'X by uoth methods (we shall
use t he uncorrected sum of squarcs fi rst). T he normal equations are

IG.00 59.50
5!).50 224 .47
-; - - ------------t- - ---l- - - -- - - - - - (
141.50 527.0 1
LR;_ v+l!-JriJ
i- t
Thc equations are red uccd by t he abb rc,·iated Doolittle method and
thc desired quant ities computcd. This is illustra.ted in T a ble 7 . 7. The
AOV is g iven in T able 7.8. Soh·ing fo r t hc rcgressio n coefficients givcs
/j 2 = .34 2566, /j 1 = - .OL77!HJ, /t = . 365;{-1 0 . Usi ng Theorem 7. 1, we
get
R( f3) = ~ 'X'Y = 177.65 and R (µ ) = 177.29
 COMPUTING '1'.IW H N IQUES lGl
Thc F valne found in Table 7.8 is less t ha n t he tabulated Ji' val ue ¡1,t t hc
5 per cent lcvel. A test of t he bypothesis µ eq~ al to zern (or to so me

·- -·- --
•O(!:) •n o other constant) can be made by t be t test, us111g the elements from
'º C> o
<X> <X> M O'l
o e oo o in
M
- L-
M'-'l
<O <O
(X'X)-1giyei1in lines B 1 , B 2 , and B 3 ofTable 7. 7. Similarl y for tcsting
<N C'I l.":I "d'i -o
.,., .....
-i

·"''--
"'' O'l
-1 o o - <O
'J'ADLE 7.8 ANALYSJS 01•' VARTANCE FOR DATA OF TABLE 7.6
·-
C-.1

-""
o O>
~ 1 1

sv DF 8S M:S

,_ Total 16 178.66
000 o o o o 00 "" CN<NM
O'l <O o R(¡L,{11 ,pz) :3 177.65
000 o o o o o o <X> ..... o 1 177.29
o o o o o R(p)
~ ~"' º
o º
0º0
o o o
o
o
o
o
o o O
<O
M
<O '<!< <O
Ir.> <X> M
R(PpP2 11) l 2 . 36 .18 2.30
rll
< ..... ºº O M <O O M
13 1.0 l .077
E-l "¡' 1 Error
...
o
< p1 or {J 2 . Also , t he in verse eleme nt s can be used to test a li near com-
o·-
M L') 0

"'
A 000
o 00
00
00
ºo
M M t-
M _,
<X> <O
bination of µ , {J 1 , (3 2 equal to so me constan t and for setting confide nce
o 00 0 0 ..... '<!<
o 00 00 oo "" L') CXl Jimits on µ , {3 I> or {3 2 and on a linear cornbination of t he parameters .
000 00 O M ""o
,..... We shall refer to t his example again later in t he chapter.
1 1
Now we sha ll test the hypothesis {3 1 = {3 2 = O using-the abbreviated
M M C--l Doolittle method on the correctecl s um s of squares and cross products.
o
o o o
o 00
00 o
ºo""
'º .,., "''
1- Ir,)
1-0 O')
M <X>
The corrected sums of squares and cross products are en tered in a table
CX>O .... <O
o <O
º
o ºº 00 o o
·- -
-
M
1 1
<O
..-<
O
O'l <O
L')

.,.: cÑ
1 1
Jike Table 7. 9 and reduced as d emonstrated t here. The correspo nding
TABLE 7.9 A n nn.Ev rA'rEo DooLl.'l'.L'.LE Fo1i M A T J.' OR DATA O.I!' TABLE 7.6,
L') --< CoR1mCTEO fiuM OF SQUARES
'º
L-
·-
M '<!<
<O
CX> O'l <X> Check
<O C\I
<N
~
"'

L.-,
oP""'"1
00 r.-i
t-
e.o
C\I
MM
C\l
~ -
"''º
<O
01 02
ºº E1 E2

C)
.-< '<!<
IJ?
R{ 3. 2018 .80 158 .22 198 1 o -
ri.22ñ:rn
R'2 o 6.06!)36

·-o- ·--oo
3. 1822 1.08558 1
lQ ~ 00 -
,_
L')
<X> <X> R1 3.20 18 .80158 .22 1!)8 1 o 5.22536
o .....
IQ
~e-: ~
0
t-
LI')
º """
l.~~
M

..... <X>
<O -
o'º
00 t:'-1 ·- o
<O

~~
CN .-< --
'"1 1.0000
-·--
.25035 .069330 .31234 .00000 l. 63200
'<!< <N .,.,
,_..¡ lQ ~) .....
""" 2.98 152 l.0300 1 - .25035 1.00000 4. 76 118
..... Rz *
'"2 * 1.00000 .:i4546 - .08397 .33540 1. 59689
- ----- - - - - -- - -
.. ·-oo
lf:)

MO
'<110 B1 .:~3334 - .08397
C) 00
B2 .33540
""~ * *
M-

AOV is given in Table 7 .10. li'rom Table 7 .9 we see t hat thc valu es of
o
o
o o
o o P an d p are the sam e a s whe n t hey are computed in Table 7.7 , except
- -
1 2
<O ¿ .....; * * * * for ro un<ling errors. T h e a nalysis of vn.riance in Table 7 . l O gi ves the
samc mean s qua re for error a nd for t he reduction due to {3 1 and (3 2
~01 ¡.."' 1 adjusted for µas T able 7 .8 a nd, hence, the sam e J? value . The work is
160
 CO~J PUT!NG 'J'ECHNIQUES 163
162 LINEAR STA'rIS'l 'lCAL i\fODELS

pr obably reduccd so mewhat by us ing t hc corrected s ums of s quarcs

problcrns
a nd cross p roducts.
Uso t,ho a bbrov iat,ed Doolittle m e thocl to solve the system of cquat ions
7.3.4 Roundin g Errors. I t is noticcablc in Tables 7.7 a nd 7.g 7.1
that rounding errors can become quite troublesome. lt is essent ial to 3P1 + 2P2 + P3 = 1
carry at least two more signi ficant .fig ures in t he computa t ion t han are 2P1 + 2P2 + Pa = 5
n eeded in t he fina l resul t. P1 + P2 + 4P3 = - 1

T ABLE 7.10 ANALYSlS OF VARTA NCE Q}' CoRRECTED Su~IS OF nnd find t,he inve rse of t h e m atrix.
SQUARES AND Cuoss Pnoo uC'r s 1.2 R epeat Prob. 7. 1 for t ho system

sv DF SS i'l'IS F 2P1 + P2 + 3p3 - P4 = 8

P1 + P2 - P3 + P4 = - t
Total 15 1.37 3p 1 - P2 + 3p3 - 2p4 = 2
D ue to {1 11 {3 2 (adj) 2 .37 .19 2.30
El'l'Or 13 1.00 .077 -Pi + P2 - 2p3 + 4p4 = l
7.3 If t ho u.pproximate invel-se of
Rounding errors can also become quite large in t he a bbreviated
method of finding t he inverse elements. However , t here is a method
.998 - .987
.011)
('. : :) is - .986 2.521 - .507
fo r improvi ng the inverse of a matri x , which is due to H otelling; t his (
is given in the following theore m. .010 - .50 1 . 503

• Theore m 7.2 If Bis a n approximate in verse of t he matri x A , t hen use Theorem 7.2 to improve t h e approx imation. .
a n improvement on Bis given by B *, whe re 7.4 In Al"I;. 7.2.3, prove that t h c maximurn-likelihood estim ate of {3 0 is t he
samc whother we use the model in t he z; or x;.
B* = B (21 - AB ) 7.5 In Art. 7 .2.3, prove tho.t R({J 0 ) = (I:y) 2 /n. .
7.6 \Vorlc t ho problom in the example of Arl. 6.4.6 using t he Dooh ttle
, upposc we w:mt t he inverse ofth e matrix

( 2 -3)
method. . . 2 . . .
7.7 Provo that t ho total corrcotccl sum of s quares cl1v 1dod by a is dist nbuted
2 2 2
l\S 7.2(n - l ); i.e., prove t hat I:(y; - y) /a is distributod as :r. (n - 1) if y is
A=
- 3 5 distr ibutecl N(O,a 2 1).
7.8 T'rove t,hat, if t h e p X p matrix
The invei·se is A - 1 = (: :)

o l o o
Sup pose, h owever , t hat we have on ly an approxima te inverse
B O o o
B = ( 4.!)89 3.011)
3.012 1.001
o o o
1.058 - .0±9)
Then 21 - AB = (
- .093 1.078
o 1 o o
4.908 3.001)
and , t hcrefore, B * = B (21 - AB) =
( 3.002 then B- 1 = O o o
l.!)!)!)
If still further acc uracy is desired , the opcration can be repeated on
B*. o o o l
164 LINEAR STA'J'ISTICAL lllODELS

7.9 If X'X~ = X 'Y is a sys tem of normal equations, whcrc ali t h o e lements
in t,h o first column of X are equal to unity ancl where ~ · = (fi,P1, ... ,p»-tl,
p rove t hc fo llowing:

(a) B 'X ' XB = (nO

O ) , whe1·e t he rsth elemont of Z ' Z is equa l to
Z'Z

Lj (X;r - x.rHx;s - x. 5 ) r '1= l; s *l

a nd where B is as gi\·on in Prob. 7.8.
71 - l
8
(b) (µ,/Jl' .. . ,flv- 1)B '- 1 = (/Jo,/J1, . .. ,/Jv- 1), wh e1·e /Jo = P + L {Jixi.
i~ l
(e) B'X'Y is a vector whose rt,h element is
'L(Y; - y ) (x;r - x.,) r =I= 1 Polyno111ial or Curvilinear Models
(d) Find t he set. of equaiions B 'X'XBB- 1 ~ = B'X 'Y.

Furthe r Rea ding

1 P. S . Dwye1· and F. V . vVaugh: On E rro1·s in lVIart ix Inversion, J. Am. 8.1 Introduction

Stat·ist. Assoc., vol. 48, pp . 289-319, 1953.
2 P . S . D wyer: T h e Doolittle Technique, Ann. Jlllath. Statist., vol. 12, pp.
In t his chapter we shall consider a special case of mod el 1, com mo nly
4 19- 458, 1940-1941. called a curvilinear or polynoniial model. The m o<lel r eferred to can
3 J. U llman : The Probab ility of Convergence of a n Iterativo Process of be written
Inve1·t.ing a l\fatri x, Ann. 'ft1.ath. Statist., vol. 15, pp. 205- 213, 1944.
4 P. S. Dwyer : A Matrix Presentation of Least Squarcs and Correlation Y; = Po , - p¡X;· + 1RJ2•x;2 + · · · _¡__' p,,.x"; +e.]
_i

1'heory w ith Mat.rix Justiñcation of Imprnved Meth ods of Solution, Ann.

.Math. Statist., vol. 15, pp. 82-89, 1944. There are two s ituations in which a n expcrimenter may want to use a
5 P. L. H s u: On t he Power F unctions of t,ho E 2 -T est a n d t he '.7'2 -Test, Ann. polynomial model : . .
Math . Statist., vol. 16, pp . 278-286, 1945.
l. ·wh ere he k nows, t heoretica.Jly or otherw1se, that lus data fit a
6 W. L . F erra r: "Algebra," Oxford Un ivo1·sity P r ess, New York , l 9 46.
7 M. J. We iss: "High e r A lgebra for th e Undo1·grad ua t e," Joh n vViloy & Sons polynomial of d egree p or less, and he wishes to find t he m ~x imum­
I nc., New York, 1949. likeli hood or least-sq~'\res estimate of the {J;, set con fiden ce m tervals
8 S. Peri is: . "Th oory of Matrices," Addison-W esley Publishing Company, on t he /3;, or test hypotheses about t hc /3;·
Cam bridge, l\Iass., 1952. 2. ' Vhere it is not known what fu nction fits the d ata; so a sear ch
9 R. L. Anclerson and T. A. Bancroft: "SLatist ical Theory in Hesearch ,"
McGraw-Hill Book Company, Inc., New Yo1·k , 1952.
must be made to find a poJy nomial of low degree that aclequately
10 C. R. Rao: "Advanced Statistical l\1ethods in B iometric Research ," Joh n describes t hem.
vViloy & Sons, Inc., New York , 1952.
11 H.. A. F isher: "St,atis Lical Mct,hods fo r Rcsea rch \Vorkers," O livor ancl l3oyd,
Ltd ., Lonclon , 191J.G.
8.2 Estimating a nd T esting Coefficie nts in a Poly nomia l
Mode l
Consicler the model

j = 1, 2, ... , n
...
If we ]et· Xi; -- .x ;, ·x 2i -- ·x21 ' •x ª'. = ·x~1, we ~get t he ]Jarticular modcl

Y; = {3 0 + {3 x; + {J x; + {J 3:c~ + e;
1 2
165
166 LINEAR S'l'ATISTICAL J\[ÜDl':LS
POLYNOl\llA L OR CURVILTNEAR l\lODELS 167
This model is exactly model l. The p ert incnL matricf':s are We s hall assu mc that f(x) can be expand ed in to a Taylor series, so
that we obtain
1 X1 x¡? x3
1
+ 0 x + 0 x + · · · + O~ + · · ·
L X¡ :Ex7
fa) = J(x) = 2
y 00 1 2

X =
1
1
X2

X3
x2
2
?
x3
X~

X~ X 'X = ("
L X· :Ex;
LX; LX~
:Ext LX~
L x1 LX 5
'fhis can be writtcn y = 0 <X + a x + e wherc e is t he rcmainder in a
1 1, 1
Taylor series, which--we assume fo1· our purposcs is random error (see

LX~
the equa.Lion-crro r model in Chap. 5). If the fit to a. linear equation is
Lxt L.x1 LX~j 110 t satisfactory, we assu me a new model
l x,. x;, •x3
n
1

Y= f3o + f31x + f32x2 + e 2

wherc e2 is the remainder after a quadratic is fi.tted to t hc d ata. vVe

The theory in Chap. 6 is appli cable.
8.3 Findin g the Degree of a P olynomial That D escribes a
G i ven Set of Data
8.3.1 T h eory. Let us suppose t hat we have evidence that a
quantity y is functiona lly r elated to a quantity x by y = J(x). Up to
n ow we hu.ve been d iscussing p rediction mode ls whc re the fon ctional
form ofj(x) is known but contains unknown paramctcrs. The general
procedure is to collect d ata (various values of y a nd x) and estímate or
test hypotheses about t he parameters inf(x) .
W e sh all no w -t urn our a ttention to a differc nt p rob le m, that of
.finding the fiinctional f orni of J(x) by iising a small amount of data. In
general, this proble m is very complex; in most cases satisfactory solu-
t ions do not exist.
There a re various ways in which a scientist may determine the
fun ctio nal form of j(x). He may determine it fróm a k nowledge of
more fundamental facts , s uch as differentia l equatio ns; he may reason
from a rcla,ted fund a mental law that is known ; he may eo lleet s nch a.
,-ast a mo un t of data t hat he can percei ve certain Lrends; he may evolve
a fun ction by intuitive or visiona ry inspiratio n.
\ •Ve s hall discuss the problem faced by a scie ntist who takes a few
obsen·ations and, having no fnn ction at his disposal, wants a syst ematic
way of determining a fun ctio n that fits his observations. We sh all not
attempt here to p rove or test that t he data satisfy certain functional
relationships. 11.ath er we shall attem pt to fi.nc.l a fon ction thaL.fits the
data well and make decisions aecordingly.
can co nt inue to a ny degree poly nomial we desire. Clearly, if the true
functional relationsh ip is y = f(x) a nd ifj(x) is nota polynomial, t he
n,bo,-c procedurc will not determine t he true formj(x), but will simply
aid the experi mentcr in finding a p oly no mia l of low degree t hat wilJ
help describe thc data. As we mentioned in Sec. 8.2, t lús model
actually satisfics Definition G.l (we are assuming t hat t he x's are fixed
and that y is a ra ndom variable).
The p rocedurc is first to fit the linear poly nomia l y = <Xo + <X 1 x + el>
then to fit the quadratic polynomial y = {3 0 + {3 1 x + {3 2 x 2 + e 2 , t hen
to fit thc cu bic y = Yo + y 1 x + y 2 x 2 + y;¡x 3 + e3 , a nd so forth, until
we find t he polynomial t hat fits the data "best." (We note that the
cocfficicnt of x in t he first-dcgree polynom ia l is not n ecessarily the same
as t li e coefficient of x in Lhe quaclratic polyno mi al. imilarly for other
tcrms.) Poly no mia ls of degree n - 1 will go thro ugh every point
and, hence, fit t he data pcrfeetly . Howevcr, in most cases, t his-is n ot
what we want. ·w e desire a Iow-clcgree p oly nom ia l t hatrepresents the
data .
vVe s ha ll bcgin by fitting a first-degree polynomial y = a 0 + a 1x + e1
and test t he hypothesis <X 1 = O.
The n or mal equations a re
n
( LX;
L X;)(ªº) (LY
2:x7 & = L.x¡y¡
1
) (8.1)
1
and R(a 0 ,a 1 ) = &0 LY; + &1 L y 1x 1. The term R(a 0 ) = i 0 2:y¡, where i 0
is thc solut ion to n« 0 = LY;; that is , a0 = y. T his equation is obtained
from (8. 1) by striking out t he last. row and column of the matrix and
the last row of thc vectors. The AOV is g ive n in Table 8.1.
If, by using the test, we decide that <X 1 = O, we conclude t hat the
line y = a 0 + e fi ts thc dn.ta aclequately. [f instcn.d we decide t ha t
a 1 =I= O, we fi.t t he second-degree polynomial y = (3 0 + {3 1 x + (3 2 x 2 + e2,
as in Tab le 8.2.
1G8 l ' OLYNOMIAL Oli CURVJLINEAR MOlH:LS 169
'J.'ADLE 8.1 .ANALYSIS OF VAIHANC E FOlt LrNE AR POLYNO)UAL 'l'o get t he q ua ntities in Table 8.3, we work with t hc no rm al equations
SV SS

~:; ~:~ ~:~) (~::Y.)

DF l\IS F

Tota l n Y'Y ;:; (;:)

Dueto cx 0 • cx 1
Dueto cx 0
2 R(cx 0 ,cx¡)
R(cx 0 ) (:fo; LX~ LX'~ yy =
LX~ L x:
Lxf
LX~ :Ex~
2 'Lx7!f;
L.x~y,
(S.4)

Due Lo cx 1 (adj) R(cx 1 1 CL 0 ) 3

Error n - 2 Y ' Y - R(cx 0 ,CL 1) El R(y 0,y 1,Y21Y3} = YoLY; + Y 1LY;Xi + JÍ2LY;X [ + y3L.y¡xf, a nd R(yo,Y 1·Y2)
=== y0 Ly¡ + i\Ly;xi + y2 L.yix'f, where y0 , y1 , y2 are obtained from (8.4}
by striking out t he Jast row and colurnn of t he 4 x 4 matrix a nd
T o get t he qua nt ities in Table 8.2, we find the norma l equations,
w hich are TADLE 8.3 ANALYS1s OF VA!UA NCE Fo 1i Cuurc PoLYNOlltrAL

sv DF SS MS F
(8.2)
Total n
Duo Lo Yo• Yt • Y2• Y3 4 R (yo,J't>Y21J13)
Duo Lo y 0 , y 1, y 2 (unad j) 3 R(Yo•Yt>Y2) = R(f30,fl1,fl2)
and R(f30,f3 1.f3 2) = PoLY; + P1LY;X; + P2LY;XT. R(f30,f31) = /JoLY; + 03
/J 1 LY;X;, where Po a n d /J 1 a re solut ions to t he equations D uo to y 3 (udj ) 1 R(y3 1 Yo•Y 1•Y2) 03
E3
Error n - 4 Y 'Y - R(yo,Y1·Y2•Y3) E3

omi tting t he last ele me nt in the two vectors. Clearl y, y0 , y1 , y2 are

respect ively eq ual to P0, /j 1 , /j 2 in Eq. (8.2) , and R(y 0 ,y 1 ,y 2) =
TAHLI' 8.2 :-\ NAf, YS I S OF VAJU ANCE FO J"t QUADHATIC POLYNOMJAL
R({3 o•fl 1,{32) ·
SV DF 8S MS F
If .F is n ot sig nifican t , we conclude that y 3 = O a nd t hat a second-
degree poly nomia l adequately fits t he data. If JJ' is sig nificant, we
Tota l n conclude t hat y 3 =!= O and proceed to fit a fo urt h -degree poly nomi al to
Duo to {J0 , {31> P2 :J B(f30,fl1.f32) t he data. Wc continue in this fashion un t il we arrive at t he first n on-
Due to {3 0, {J 1 (unacl j ) 2 R({J 0 ,{31 ) = R(cx 0 ,cx 1 ) significant resul t; if we get significan ce fo r linear, quadrat,ic, ... , up to
Dueto {3 2 (ad j ) R(fJ2 1 flo,f31) a k - 1-d egree polynomial and then get nonsignificance for a poly-
nomial of deg rce le, we con elude t hat a le - 1-deg ree poJy nomia.l fits t he
Err o1· n - 3 Y 'Y - R(fJo,fl1,f32) E2
data.
\i\Thcnever we conclude t hat a certai n -degree polynomial adequately
These are obtained fro m (8.2) by striking out the Jast row and column fit,s t hc data , wc can t he n estímate t he coefficie n ts and thus determine
from t he 3 x 3 matrix a nd t he last ele me nt from each of the vectors. a Jcast-squarcs curve.
Clear ly, Po a nd /i 1 in (8.3) are t he same as &0 and &1 in (8. 1) a nd, hence, There are two things in t he above proccdure t hat nccd comm ent :
do not nec<l to be eo mp uted again . Also, R({3 0 ,{3 1 ) = R(a 0 ,a 1) . l. T he nonsig nifican ce of a resu lt d oes not imp ly t hat t he d ata, actu-
In T able 8.2 \\'e test {3 2 = O wit h ou t reference to {3 1 . If we eonclude ally carne fro m a ny specified d egree of poly nomia l. l t is merely a pro-
from Table 8.1 t ha.t a 1 =!= O a nd from Table 8.2 that {3 2 = O, we th en ccdural criterion for establishing w ha t p oly nomial is adcq ua t e .
conclude t hat y = a 0 + a 1x + e 1 fits t he data adeq uateJy. Suppose it is decided t bat t he quadratic mod cl y = {3 0 + {J 1x +
If we eonclude t hat {3 2 =!= O, we next fit the c ubic y = y 0 + y 1 x + P2 x2 + e 2 is a n adequate representation of the da.ta. When we
y 2 x 2 + y 3 x 3 + e3 , as in Table 8.3. examined the linear model y = a 0 + a. 1 x + e 1 , t ite t erm e v w hich we
 1 70 LIN Jo:AJt S'l'A 'J'CS 'I 'ICA C l\lOD E L S P OLY NOi\lI AL OR u u n .VJ LINEAR l\l ODELS 171
ass umed too k o n t he as peet of a rando m \·aria ble , has a s trong corn. 'fAIJl.E 8 .4 A.NALYS I S OF VA IUAN CE F Oit L t Nfü\'lt roLY NOJ\rfAL l\Ioo1,;L

---
p o nen t of x 2 in it . T his may int rodu ce a bia s in t he e rror surn of
squa res for linear. Sim ila r remarks hold whe n we decide t hat a pth. sv DF SS MS Pr
degree p oly no mia l fits thc data. T hc rema indcr sum of s quares for
10 1,452.00
the lower degrees may be biased. If a n indcpendent est imat e of the •rota l
v uc t o cxo, ex¡ 2 1, 3!) l.l G
v a ria nce of t he rnndom varia b le e is available, a bett er met hod is the 1 846.40
onc deseri bed in Scc. 8.5. Duc to cxo .
l)uc to CX¡ (adJ ) l 544.7G 544.76 7 1.58
Some sta t is t ieia ns reco m mend t hat, two consecut ivo n onsignifieant J~rro r
8 60.84 7. Gl
res ults appear befo re a d ceision is made o n t he dcgree of poly nornial.
Suppose , for exa mple, t ha t t hc first t wo consecut ive nonsig ni ficant Since we conclude tha t IX ¡ =I= O, we nex t fit a quadratic. vVe get
resul ts a re fo und when t es ting {l 2 = O a nd whcn t est ing Ya = O; t hen
we conclud e that a lin ear poly nomial fits t ir e data. 10.00 17 .00
32.20 ) 02.0 )
2 . The com puting involved is not cliffi cult for IO\\·-cl eg ree poly- X 'X = 17 .00 32.20 65.!)6 =
nomia ls. Table 8 .1 req uires no d ifficult corn pu tations; Table 8.2 (
32.20 65.!)G 142.G8
X'Y
( 114.0
15G.0
reg uires t ha t we so l ve a syst e m of th rcc eq ua Lio ns wit h t hrec un lmowns,
t o obtain t he s u m of squares due Lo {3 0 , fJ 1 , {3 2 • Ta ble 8.3 req uircs t hat \Ve get Po = 4 2.9 6, P
1 = -28.GS, P
2 = 4.6G, a nd R ((J 0,(J 1,/32)
we sol ve a sys te m of fo ur cqua t io ns and fou r un knowns, to obtain t he 1 409.35. R(/3 0 ,/3 1 ) = R{et. 0 ,et. 1 ) = 1,39 1. lG.
sum of sg uares d ue t o y 0 , y 1 , y 2 , y 3 . H , ho wever, t he data fi t a pqly- ' The AOV is given in T a ble 8.5.
no rnia l of degree 3 or m ore, t he co mputation ca n bccome quit e t rouble-
::;ome. 'fABf,E 8.5 A NALYS IS OF VARI A NCE FOit Q UADl tA'l'IC J:'OLYNOlllIAL l\fODEL S

If t he x va lues are in a ri Lhmetie prog rcssion, wc ca n g reatly red uce sv DF SS l\fS F Pr

t he computations by using ort hogona l p oly no mia ls , whi ch will be
discussed in Sec. 8.4. F i rs t we s ha ll illustra t e t he a bove ideas wit h an Total 10 l ,452.00
exa mple . D ue t.o fJo, PI> /32 3 l ,4 0!l.3 5
8.3.2 E xa mple . Givcn t he fo ll owi11g d a t a , wc want to find what Duo t o {30 , {31 (u nacl j ) 2 J ,39 1. I G
degree of p oly nomia l adequately rep rcscnt,s t he m. Duc to {J2 (adj ) 18. 19 18 .19 2.99
E rror 7 42.05 G. 09
y 24.0 1 2 0.0 10.0 13.0 12.0 6.0 1 5.0 1 1.0 ¡ 1.0 1 .o -
ThisF value is not siguificant a.t t he 5 p cr cent leve! ; so we assumc t ha t
- X- --.8-,~--;;:-- ~ -;-;- --;;-1---;;-/--;;-¡-;-;-¡-;;- p2 = o and t hat t he linear polynomia l ad~q uately fit~ t he d ata. These
t\rn t a bles can be summarized in on e, as 1llustrated 111 Ta ble 8.G.
F frs t we s ha ll fi t a linear model y = et. 0 + et. 1 x + e 1
•

T AULE 8 .G ANALY S TS OF VAR I AN CE }"0Jt L lNEATI. AND

10.0 17.0) 92.0) QUADR A'l'I C l?OLY N O MI A L M OO E T..S
X 'X = X'Y -
( ; - ( 114.0
17.0 32.2 sv DF SS l\1. . F Pr
So we get

(ªº)
&1
= ( 31.0424)
- 12.8480
Y' Y = 1,452.0
Tota l
Mean
JO J , 452.0 0
846.40

L inoai· ter·m l 54 4.7G 54 4. 7G 7Ui8 < 5%

R (a 0 , ix1 ) = (31.0424)(92.0) + (- l 2.8480)( 11<1.0) = 139 l.lG E rror fo r linea r 8 60.8 4 7.G l

R (et. 0 ) = (9 .20)(92.0) = 84Ci .O

QuadraLic Le rm 1 l 18 . l !) 18 . l !) ll.99 > 5%
E r ror fo r quadnLLic 7 42.05 G.00
The AOV is given i n Table 8.4.
172 LI N J~AR S 'l'A'l'IS'J'ICAL MODELS POLYNOJ\TIAL OR CUR VILINEAR l\lODELS 173

8.4 Orthogon a l Poly nomials ,rhich wc s hall write as

Y = Xcx. + e
8.4.1 Introduction. T he central idea in vol ved i n u si ng orlhogonal to estimate rt. 0 a nd cr. 1 , and t h en u se these estimates a nd solve for Po and
polyno niials in a cu rvi linear model is t h at th e compu t i ng is m adc casicr p1 by (8.5). Let u s look at the X vector and X ' X m atrix (remem bering
by a trans f'ormation made on t he x val ucs so t hat t hc matri x X'X i = l , 2, . . . ' n ) :
bcco m cs d iago na l. S ince X ' X is diagonal, th c pararneters are orth01, _ (1 - n)e¡
o n al, acco rding to Art. 6.4.5 .
0 1 Co + .:___ __:__o

2
O r thogonal polynomials can be used \\·he t h er t he x val u es are c qually
or un e qua.!ly spaccd. Howe ver , t hey s imp lify computation g reatly l Co + .(3:. ___- ___:n)e¡
_. . :
" ·h en t hc x va,Iues a,re in e qua] stcps; so we sh a ll discuss t hat case only. X= 2 X' X =
8.4.2 Orthogon a l Polynomials for Linear Models . W e shall
d iscuss t hc ideas fo r a linear model first a.nd t h c n point out sonic
gencralizatio ns . l Co + .(n - l )c
:. ____ ~
1
2
S uppose we havo sorne data (y and x values) to which we wis h to fit Since th e constants c 0 ande 1 are at our disposal , we sh all ch oose c 0 = O
a polynomial. ' nppose t he x values are in equa l s teps ; i .e., s upposc such t,Jrn.t X'X is diagonal and c 1 s uch that fractions are climinated in
x 1 = a + h; x 2 = a + 2h; ... ; X; = ci + ih; ... ; x,. = a+ rih. t he model. If n is an odd number, c 1 = l; if n is even, c 1 = 2. The
For cxamplc, if t he X; a r e 4 .3, 4 .5, 4 .7 , 4.9, 5. 1, t h en a = 4. 1, h = .2, modcl becomcs
and n = 5. F irst we s hall fit the linear m odel Y; = Po + P1 x; + e¡;
bu t, instcad ofwrit ing i t this way, we s h a ll write it Y; = rt.o + ª1P1 i (. n+l)
-2- +
- ei = <Zo + Ct.1C1 (2i - 2n- l) + ei
V; = ª o+ a 1P 1 (i - ·i) +e;
where P 1 (i - i) is a fi rs t-d egr ce poly nom ia l in i - i, w hc rc 'i is thc whcrc P(i - ~)
l 2
2i - n -
2
l
if n is a n odd integer
mean of t he i values . T hat is to sa.y, s ince i takes on th e val urs (8.6)
1, .. . , n, ·i = (l/n) í:i = n(n + 1)/2n = (n + 1)/2. Thcrcforc, P1 ( i - n ;
1
) = 2i - n - 1 i f n is a n cven in tcgcr

P 1 (i. - .-)
t -_ 1,, (.
1
i- +
11 -
-
2
1) = C
o + e1 (.
i - n
-- +2 1) 1'his gives

is a firs t-d eg ree poly nomia l in i - í , where c 0 a.nd c 1 are cons t a nts . lf X'X= c2 n(n +Ol )(n - 1)
)
=
(n
0
(8.7)
we set t he polynomial i n X; equ a l to th e polynomia1 in i - i, wc get 1
12

Po + fl1x; =ªo+ ª1[co + c1(i - n; 1

)]
Also, X ' Y = ( .;.,y¡ "p(·
L Y;
1 i - n+l)
--
)

Since th is is a n identi ty in t he .x., " ·e can equate cocfficic nts (re m e mber- , 2
ing x, = a + ih) a.nd get So t he normal equations X ' Xéi = X'Y are easily solved. ·w e get

Coe,lficient o.f iº: a + [c

0 0 - e¡(n : l )]a1 = ffo + a{3 1
(8.5)
1
- L.yi
n
Coe.fficient of i : c1a 1 = h(J 1
Wh atever t h.e valu es of c 0 ancl c 1 (h =f.=. O) , we can soh ·e for t he fJ's if t he
<X. = ,~.;..,yi p 1 (·i - n-+-
2
1) (8.8)

a's are kn ow n . The reforc, we s ha ll use t h.e m odel

Y; = ªo + ª 1[co + C1 (. i -
n+l)] + e;
~
Substituting into Eq. (8. 5), we can easily obtain the f] 1.
174 L INEAR S T ATIS'l'ICAL J\IODEL S POLYNOJ\IIAL OR CURVILINEAR l\TODBLS 175
If wc wi sh to test t hc h y pothesis cx 1 = O wc need the following From Eq. (8.8) we get
quantitics : red1i,ction clue to a 1 adjii,sted for a 0 , dcnoted by R(a 1 j CY.o),
and reditction dite to a 0 and cx v d enoted by R(cx 0 ,a 1). Because of the
orthogonality of a 0 and o: 1 , these qua nti t ies are ~ = e~º)
_ R o: _ & X y _ {Ly¡P 1 (i - (n + 1)/2]} 2 From Eq. (8.7),
+ l)/2]}2
(~
R (CJ. 1 CJ. 0 )
1 - ( i) - i i - L{P¡[i _ (n
2
X 'X = 1
:)
a nd R(CJ.0 ,CJ.1 ) = R(cx 0 ) + R (a1 ) = &0X~Y + &1X~Y = (:Ey¡) From Eq. (8.5),
n
{:Ey;P 1[i - (n + l)j2]}2
&o - 3&1 = Po + 4.8¡1 1

+ L {P1 [i - (n + 1)/2]}2 &1 = .3iJ1

'Ne see, the refore, t,hat the analysis ofthe model is very simple provicled whichgives/1 1 = 3.33& 1 ,¡1 0 = & 0 - 19& 1 • Weget
on ly that t he p o lyno mia l

Pi (i _ ~- l) (2i - ;• - l)
n = Ci
~= ( - 14.1)
3.0
can be cvalu ated for various values of n. The values of this poly- Also, R(a 1 j a 0 ) = 8.1 ; R(cx 0 ,a 1 ) = 53.1 ; Y' Y = 55.0. So the AOV is
nomial have b een tabu latcd [1] up to n = 104. The computations as shown in Table 8.8.
for a fow values of n a re given in T a ble 8.7 [Eq. (8.6) is used].
TAill..E 8.8 A N ALYS IS OF VARL\NCE FOR LINEAR POLY NOJ\UAL
TAilL E 8.7

2 3 5 G ¿p¡
sv DF SS M:S F Pr
n 4
Total 5 55.0
3 - 1 o 1 2 R(cx 0 ) l 45.0
4 - ~! - 1 l 3 20 R(cx1 1 cx 0 ) 1 8. 1 S. L 13.5 < 5%
5 - 2 - 1 o 1 2 10 E rror 3 1.9 .G
G - 5 - :3 - 1 l 3 5 70

The cen tral feat ures to notice in using orthogonal poly n omials to
8.4.3 Example. Give11 t he d a ta
fit a first-d egree poly no mial when t he xi are equally spaced a re as
'!J LO 2.0 4.0 3.0 5.0 follows:
l. Since, by Eq. (8.5), fJ 1 js zero ii a nd only if cx 1 is zero, we can test
X¡ 5. L 5.4 5.7 6.0 G.:3 {J 1 = O by using the test fo r cx 1 = O.
2. \Ve can obtai n point estimates and interval estimates of {3 0 a nd {3 1
we scc that the X¡ a re equa lly spaced , anda = 4. S, h = .3, n = 5. By by using Eq . (8.5) .
u sing Table 8.7 for n =- 5 we get t he table bclow. 3. The AOV on t he o:i is very easy to comp ute, since t he qua ntities
in Eqs. (8.7) a nd (8.8) are easily obtained.
Y; 1.0 2.0 1 4.0 3.0 5.0 15 = L.y¡ If onl y a linear polynomia l is to be fitted, orthogonal polynomials are
~J-o- - =_1'-~y-,-
.P-_(_i___ n_;_
1
P i (i - 'i) - 2 _2_ , __9___ not wort,h while . But if we want to fit first a linear, t hen a quad ratic,
1- 1_)_
cte., until we fi nd a " best " fit a nd if the X; are eqnally spaced, t hen
1
ort hogo na l po.ly nomia ls are a great h elp. In the next article we s hall
L.y'f = 55 l:[P 1 (i - i)] 2 = L.Pr = 10
use them to fi t a second-d egree poly nomial.
176 L ! N" i': Al t S'l'A'l' IS'l' ICAL l\IODELS P OL YNOl\lIAL OR CUR\' f LT KBAR MO DELS ] 77
8.4.4 Fitting a Qu a dratic b y O rthogona l Poly nomia ls. The and X 'X =
m odel wc sha ll fi t is
Y; = Yo + Y1X; + Y2x7 + e; (8.!l)
,. ¡P+ -n~ l)
'
wh ich we shall \\Tite as
fr.(i- n; l) f [P,(i- ~ J)J •1

?11 = Oo + c51P1( i - n ~- 1
) + 02P 2( i - n ~ 1
) +e; (8. l O)
í.P:( . n + 1) ,L. 1, (· n + J)P (·
i - -?- 1 t --
9 - : n
1 - - ).- + 1) L-'. [l'--:_.r\ i _ 11 +
._,. L)J:
where P1 (i- n +2 ) = +
1
d0 d 1 (1 - n + 1)
2
d 1 -::/= O
¡. - i -

If X'X is to be diago na l, wc must liaYe 'LP 1 = L.P 2 = L P 1P 2 = O.

.... '

an d P 2 ( i . - + -1) = fo + (.
n- 2 f1 +
n---¡--1) + f2 (. +
n~ 1) 2 'l'hisgi,-es usd 0 = O; f 0 = - f,:_[(n + l )(n - l )]/ 12; and f 1 = O,since
i - i -
di =f. o.
With t hese values t hc p oly nomia ls can b e wri tten
T he gu a nt it ies d0 , d 1 , f 0 , f 1 , f 2 a re a t our d isp osal to determine as we
please. The b \·o poly no mials (8.!J) a nd (8 .1 0) can be rewritten (since
X; = a + ih) P(i - ~)
l 2 = d(i - ~)
2 l

Y; = Yo + }'1(a + i h ) + y 2 (a + 2
ih) +e; (8.14)
P.(i _ +2 1) l)(n + l ) + (i _ + 1)2]
(8. ll )
! 2[
Y; = Óo . (·
+ O¡[do + tl1 i - n+l)]·+ ~2 [f o + f1 (· n+
z- ~l) i - -
n = - \n -
u 2
n

where d 1 a nd f 2 a re chosc n su ch t ha.t, ea ch poly nomia l has i ntegral

n + 1
+ J2 (i. - ~ )2] +e; (8.12) coeffi cient s. \ Ve can write Eq. (8 .12) as
=
If \\·e equ a tc coeffi cients of i'' (p O, 1, 2), we get
-~ + U¡
.1: d ( · _ n + 1) + -~ U oJr:2 [ - (n - l)(n+ l) + (· _ n + 1)2] + e,.
Coefficienl of i 0 : 00 + ( d0 - n +
d1-
2
- 01 + l) [fo- f n -1
1- -
2
l+f (n-12- 1) O-.,
2 --
2
]
Y•. -_ Uo ¡ i
2 - 12
¡,
2

= Yo + ªY1 + ª 2Y2 (8. 13)

o,
Coej}icient of i : d 1 + (f1 - (n + l )j~) c5 2 = y 1h + 2ahy 2
'l'hen X'Y =
Coe.fficient of i 2 : f 2 o2 = -y2 h2
If we ca.n cstimate t he ó's we can use Eg. (8. 13) to est ima t e t he y's. "'
L<Y;
J::>2 ( i - - +
n~ l)
T he qua ntities cl 0 , d 1 ,f0,f1 ,f2 are at o ur d isposa l, and wc sh a,Jl set t hem
equal to qu a nt it ies su ch t hat t he X 'X matrix of t he rnode l g ive n in
(8 .12) becom es diagona l. lf (8. 12) is t he i t h Lcrm of
Y = XS +e
p (l _ + l)11. l'., (l _ + l)
n
,.
,,_,¡, .J.J 1 (./ --- n + 1)
.' 2
J 2 - 2

we h ave X =

1P ( n--
i n- + l) ( n·(- 1)
P2 n - - -
2 2
178 LINEAR S'l 'A'J'ISTICAL l\IODELS POLYN Ol\UAL OR CURVILINEAR ll10DELS 179
An important p oin t to notice here is t hat t he coefficicnts of c5 0 and d The AOV is given in T able 8.10.
are the samc as thosc of t he poly no mia l when only a linear is fitted'.
that is, 80 = &0 ancl 81 = & 1 (where &0 and &1 are as in Art. 8.4.2)'. TABLE 8. 10 ANALY SJS 0 .F VAH I ANCE FOR QUADRATlC Por,YNOM I AL

That is to say, when we fit t he guadratic, thc on ly coefücie nt we need SV DF SS MS Ji' Pr

to co mpute is 82 • '.L'he olher coe_ffecienls remaúi lhe samie. Also, - 1
Total 5 55.0
)fonn = R (ó0 ) 1 45.0
Linear = R(ó1 ) l 8.1 8. 1
Quadra t ic = R(ó2 ) 1 .07 .07 < l > 5%
Error 2 1.83 .92
1 1

T he reason that the computations are so easy is t hat P 1 (i _n; 1) All the entries in Table 8. 10 are t he same as in Table 8.8 except the
quadratic and the new error term, which is obtained by subtraction.
and P 2 ( i - -n +
2
- 2)
h ave been tabulatcd [1].
The estimates of 0 0 and 01 a re the same as thosc of a 0 a nd (/.¡, respec-
tively, in Art. 8.4. 2. If we want to estímate t he y 0 , y 1 , and y 2 in Eq.
Table 8.!) g ives t he poly nomials for a few valucs of n. They are (8.9), we use Eq. (8.13). We get
computed from thc guantities in Eq. (8.14). , <>2 .07
Y2 =- = - - = - .7!)
.00 .0!)
TADLE 8.!) 91 = 12.0
·Po = - 3!).6
n

_ 1_ ._2_ _ 3--4--1 ~-1 __ 2_ _:1_ _ 4_1~

E~
2 8.4.6 The General p th-degree Orthogonal Polynomial. In
t he previous articles we have exp laincd in detail the construction a nd
use of orthogo na l polyno mials of degree 1 a nd d egree 2. \;ve shall now

: =~ ::! ~ ; 1 2 ! ::11::: 1 _: 1 2 1:
discuss pth-degrce or t hogonal polynom ials.
Let a pth-degree poly nomia l
+ f31xi + {32x¡ + · · · + {3 Px:' + e;
Y; = f3o (8. 15)
The values for P 1 are the same as those given in T a bl e 8 .7 . where t he xi a re equally spaced (x; = a + ih), be rcpresented by t he
8.4.5 Example. Suppose we want to fit a quadratic poly nomial polyno mial
to the data in Art. 8.4 .3. We get Y; = a:0 + a: P 1 1 (i - i) + r1..i.P2 (i - i) + · · · + a:J)P ,(i - i ) + e¡
1

i = l ,2, ... ,n (8. 16)

Yi l 2 4 3 5 L.yi = 15
Pi(i - i) is a lt h-degree polynomial in i - i, where i = (n + 1)/2.
\.\1e ca.n represen t t hi:c. as
Pi -2 - 1 o 1 2 L.Pf = 10

P2 2 - 1 - 2 - 1 2 ¿p~ = 14
J:.>' = P t (.i - i
_) = p ' ( i· - n2
- +- = 1) aº' + <t11
(·
i -
n2
- + -1).

+ ª_21(i - n ~- )2 + · · · + ªu (i - n ~ 1)'
1
(8.17)

where the a 0 , , a ~,, . . . , a11 are constants, whi ch wc s ha,ll determine so

that the X 'X matri x is diagonal a nd so that <d l thc cJe ruents in P 1 are
whole numbers.
180 LINEAR STA 1'J ST1CA L MODELS POLYNOi\ l(A I~ Olt cu1i vn.1:,rJ.:A1t 1\lODE LS 181
If we substitute a + ih for X; in (8. 15) ancl equate coefficienLs of i' If we turn ba.ck ~o Eq. (8.16) a. nd wri tc t he modcl as Y = Xa. + e,
in (8.15) a nd (8. 16), we get a set of eq uation s t h at we can sol ve for the )e rtinent m atrices are :
rf..; in terms of t he f3;·
t 1lC l

Coefficient of i 0 :
The equ ations a re
1 p (l _n + 1)
1 2
p
p
(i _ +2 1)
11

Aoo:;i:o + Áo1rf..1 + · · · + A o PO'.P = Boo/Jo + Bo1f31 + ·· · + Bo,,f3,,

X =
p (
1>
2_n +2 1)
Coejficient of i:

(8. 18)
..... ... . .... .. .. ... . ... . ... . . ... ... .. .. . . . . . ... ....
Coe.fficient of i,,:
Ifwc use the notation L.P ,P. to mean ;~
1
Pr ( 1,.
1

1 -
n~ 1)
+ 1::>• (i. -
+
n~ 1) ,

w h ere A , 1 is t he coefficient of i• in t he polynomia l P, [i - (n + 1)/2] wc have

a nd B , 1 is t he coeffi cient of i• in the quantity (a ih) '· + n LP1 ~P2 _, J\, )
Vi' e can write Aa. = B13, where ex is t he vector of 7.¡, 13 is t he ,·eetor of
/J;, and A and B are (p + 1) x (p + l ) m atri ces whose ijth e le ments
are A ;; a nd B ;;, respectively. Since A;; =!= O (i = O, 1, .. . , p) and
B ;; =!= O (i = O, 1, ... , JJ) and s ince A a n d B a re tria ng ula r matrices,
X 'X =
(
~~1 ~:~i.....~~,<~~
.. ... . . . ~~1.~v
"'P J) LP 'J) P1 'i:.J> 11 P 2 · · · L.J>"!.JI
the in verses A - 1 and B - 1 both ex ist. \Ve can wri te 13 = B - 1Acx = Ca.
LJ

So we mus t choose the coefficients a11 in (8. l 7) so a s to rn ake X 'X

By the theorems in Chap. 6 we know that ~ = C&. \.Ve a lso know
<lia.rronal. Thcse coefficicn ts h ave becn ca.lc ulated fl] fo r n up to 104.
that we can test hypotheses a bout t hc e le me n ts of 13 or set co nfidencc
If ,~e use t hcse tables, t he calculatio ns are extr:emcly casy. Sin ce
limits on ele me nts in 13 by using t hc fact that t he /J; a re linear combina-
t ions of t he rx;. ln using orthogona l poly nomia.ls we are esti mating or L.y¡
testing hypotheses o nly abo ut t he rf.. 1 • If we wa nt to say so mething
a bout the /J; we can use Eq. (8.1 8).
[
One very important thing to obse r ve is t hat rf.. 1, = O if a nd 0 11ly if
{3 11 = O, where p is t he hig hest-ord er Lerm ; Lhis fo ll ows from t hc Jast
equation in (8.18). It means that, if we fit a linear equation in x, t hc
coefficient of t he linear term in x is zero if a nd ou ly if rf.. 1 is zero. lf wc L.y;P,,
fit a quad ratic in x, t he coefficie nt of thc quadrntic t e rm is zcro if a nd weget X 'X&: = X'Y and a = (X'X)- 1
X 'Y
on ly if rf.. 2 is zero; a nd so fort h . \Ve m ns t rcmcm bc r t hat eac h t i me we l
cha nge t h e deg ree of t he cquation in x we cha ngc a li t he coeffi cien ts. -L.y,
n
This is not true of t he a.;; the coeffi cie u t of thc first-clegree or Lhogonal
poly nomial is rf.. 1 no maLtcr how ma ny more t.crms ,,.e fit. A simila r
situation holds fo r t hc coeffi cie nt of a ny degrce ort.hogona l polynomial
Therefore , the procedurc is to use o rt hogo na,I p oly no mia ls o nly so
that " ·e can casily add a hig hcr-clegl'Ce tcrm un t il we fincl out what which is a= L.y;P2
degree polynomial adequat.ely represents t he d ata. lf a li we a.re looki ng L.P~
for is t he degree of t he polynomial , t he n we are fin is hed. lf, ho\\·e,·er,
we want to estimate Ü1 is polynomia l (its cocfficic: nt.s), wc can use eithc r
Eq. (8. 18) or thc ori gina l modcl Lo fit Lhe poly no mia l of t hc dcsired
d egree.
 18:? L l i\'J':AH STATI ST I:CAL i\I ODELS
POLY NOi\lfA L OR CU JW ILI N J~,\H. l\IODELS 183
Also, .
R(o:q
1
o:o,0: 11o:q- 1•o:q+1• . . . •~,.
)
= R(
o:q
)
= ('Ly,.Pq}'i
L,p'.! This is becausc, if a cubic fi ts t he data, a linea r is quite Jikely to
use.·e a s i<Ynifica nt r ecl11ct1on
· , b ut a qua.d rat1c
· may contriºb uLe no L111ng.
·
o
lllª'l "' .
A lso, var (& 0 ) = a 2 f''LP~ . The quantities L.P~ are a lso tabu latecl in In fact, when a ny e\·en -cl egree.polynorn 1 ~l fits the dat~, any odd-degree
Rcfcre nce [ 1). 'l'he o nl y quantities t ha t necd to be cornputed a re ~~ oly nomia.l is likcly Lo contnbute ~othm~; h ence, 1f we s top at the
Ly,., a nd L.l\y; (q = 1, 2, ... , p) . " ~rst nonsig nificant result we may miss t he 1mportant resul ts.
8.4.7 Example. Thc following rainfa ll was recor<lccl at t he ind¡.
TADLE 8. 12 A NA LYS IS OF VALU A NCE OF RAI 1'" "FALL D ATA
cated year . Suppose we desire to fincl t he polynomia l that describe.~ 1
the data. SV DF SS l\IS F Pr
1

Y Ci\lº 1944 1945 ] 94-6 1!)4 7 1948 1949 J!l50 1 195 J 1 1952 I 1953 , 1!)54 , l 95,¡ •rotal 12 12,8 15.99
Rain- - - - -- - -¡ - ¡- -,- ,-
Hc<luctio n for mean 1 12,538.87
fa ll :rn.2 32.2 :15.1 34-.2 39. l 41.3 36. l 30. l
1
30.5 20. 1 24.8 ! J 2s. 2 Hcmninder fro m m ean l L 277. 12

Fro1\1 [1] we record t he linear, quadratic, cu bic, a nd qua rtic poly nomial Lincll r 1 7 1.55 7 1.5:3 3.48 > 2%
for n = 12. We s ha ll use the 2 pcr cent F point as t he index for adc. E rror fo1· linea r 10 205.57 20. 56
guate fit. The AOV is g iven in Tabl e 8.1 2.
Quadratic 1 103.96 103.96 9.21 < 2%
T An u ,; 8. 11 · PoLYN OMIALS F O lt R A r NJ.'ALr, DATA
Error for quad ratic 9 101.GL 11.29

i 1 38.48 38.48 4-. 88

Cubic > 2%
( ycnr .¡ 5 6 i 8 9 10 11 12 Error for cub ic 8 63. L3 7.89
codcd)

Rninfnll 30.2 32.2 35. I 3~.21~~~~

-- -- - - - - - -- - - - - - ---- - - -- -
30.5 2ü. l 24.8 28.2 Quarlic
Erro1· for quar Lic
l
7
34.43
28. 70 1
i :!4.43
4-. lo
8.40 > 2%

- 11 - 9 - 7 - 5 - 3 - 1 ~ 5 !l 11 572
1

55 25 1 - 17 - 20 - 35 - 35 - 29 - 17 :u; !j!i J ::!,O ! ~

- :33 :1 21 25 19 7 - 7 - 19 - 2[) - 21 - :J 3:3 !i, 148 If we desire t o fi 11 d t hc clegree polynomia l that represents a give11 set
;3;¡ - 2i - 3:1 - l :l 12 28 28 12 - l :J - :J:J - :!7 :1:1 s,oos
of data a ncl to estímate Lhc p a ramet crs in the poly nomial, t ite p rocedure
y = 32.3:!5 "'i:. /' 1y 1 = - 2Ó2.30 "'i:.P2 y 1 ~- l , 11 7 .:i "'i:. f' 3y 1 =·l -l :i. I O is (1) to use t he res ults of this section to find the desired d egrec poly-
"'i:.l",,y, = 525.10 nomia l, a nd (2) to use Lhe results of Sec. 8.2 (the results of Chap. 6) to
estímate t he parameters in the poly no mial orto test hypotheses about
Table 8. J 2 tells us t hat the quadratic poly no mial adegu:itcly describes them.
th e da.ta if we use t he 2 per cent value of Fas t he index.
The p oJy norn ia l can, t herefore, be written as 8.5 Repeated Observations for Each X
Suppose t hat t he observecl random variab les y havo t he fo llowing
structure:
T he abbreYiated D ooli ttle techn ique can be used to es tímate {J,. a nd
obtain s tandard erro rs fo r /J;. j = 1, 2, . .. ' ni; 1n > 1
Y ;; = f(x,.) + e;;
8.4.8 S ummary . If t he x's a re eq ually s pacetl a nd it is dcsirecl i = 1, 2, ... , k
to find t he degree p oly nomial that adequa tely r epresents a gi,·cn set of wh cre we postu latc t hat f(x) is a fonction "·hich ca n be expanded into
da ta, pick thc d csircd s ig ni ficance Je,·el ancl use t he mcthod uf orLhog- a Taylor series, a ncl e; 1 ;"\,re 11n correlatcd norm a l ra ndom v ariables with
onal p oly nomials prcscntecl in this section. lt is advisa ble to obtain mean s zero a nd varitLnces a 2 . The prob lem is to find a polynomial that
two nons ig nifica nt rcs ults before cleciding o n t he clegree poly nomia l to adequately represe nts f( x) . This model may be realistic in a situa tion
184 Ll N l ~A l t S 'l'A'l' JS'l'lCAL J\'lODELS POLYKOMTAL OR ClJH.VI LlNEAlt l\10DELS 185
wherc t he exporimcnter can contro l !,he poi nt,s X; " ·here t he obsorvations (b) E sLim ate t he cooffi cionts in Lhis poly n om ia l by us ing tho abbrov iated
Y;; are takon. 'l'he mod el assum es t hat at each X; point, rn (m > l) olitt lo m eLhod .
valu es of Y;; are o btain cd. Thus wo can gct a n unbiased estímate of Do(c) F ind the standard e rro rs of Lhe cooffi c ie nts.
a 2 by using t he guant,it,y s.S U so Lhe r csul Ls of this ch a.p ter Lo íintl t ho firs t throe orthogonal poly -
n.ornia ls for n = 5. . . .2
1 k 111 l k "'
S.6 In a quadmt1c p oly nom1al. m odol . !J = {1 0 + (J 1x + {J2x + e, fmd t he
á
2
= 2.: 2.: {?/¡; - y,y = 2.: I (e;; - é¡f· coeffi c1·en ts y·' in tcrms o[ tho cooffic1e nls {J,. 1( we
.
use Lho m odol Y = Yo + y 1z +
.
k (rn - 1) i=J ;=1 k(m - 1) i= J ; = 1 2 + e whero z is a coded vo.lue of x; Lhat 1s, z = :>; - h, wh e1·0 h is known
i'tz '
/,·(m - 1)6 2 constan t.
A lso a2 is distri buted as ;¡: 2 [k(m - l )] regardless of what
Further Rcading
fun ctionf(x) is.
The co mputations procced as o ut,li ned in (,bis chapt.er cxcept t hat in 1 R . L. Andorson and E. E. Housemnn : Tables of Orthogono.l Poly nomials
Values Extended lo N = 104, Iowa S talc Coll. Agri. E xp. Sta. Bul . No. 297,
each table t he error sum of squares can now be broken into two Apri l, 1942. . . .
parts: one term called t he lack of fit, t he other t he error su m of s quares 2 A. l\I. l\[ood: " Introduc Lion to the Theo ry of StaL1sL1cs ," l\[oGro.w-H1Il Book
k(rn - 1)62 • The e rro r sum of squares is easily computed, and so it is Company, In.o., Now York, HJ50.
su btracted from the re ma inder to o btain t he lack of fi t tei·m. 3 M. G . Kendall: " Tho Advanood Theory of StaLis Lics," vols . I, II, C harlos
Gdffm & Co., LLd., London , 194G.
If the modcl is act ua lly linear , then the mean s qua re lack of fit t erm, 4 R. L. Anderson a nd T. A . Bancroft,: "StaLisLical Thoory in Rosearch,"
which is t he er ror sum of s qu arcs for linear minus k(ni - l )á2 ali l\foG1·aw-Hill Boo k Compa ny, In.o., Now York , 1952.
dividecl by t he d.f. , is a n unbiasecl estimate of a2 . If the model is
not lin e~tr, t he n this tc nn is o n t he ave rage la rger tha n a 2 . The lack
of fit mean squa re di\"id cd by á 2 is d istribu tcd as F if the model is
linear . If t hc hypoLhcsis is rejected , t hen the laok of fit term for
quadratic can be used in t ite numorator and 6 2 in t ho denorninator of
the F to test for qua<lratic. This proccss is continued until the
propcr fit is concludecl.

Problcms
8.1 It is known LhaL t ho follo wing data fit a c ubic modol. Set a 95 p er cent
conficlonce inton ·a l o n each of Lhe coofficion ts y 0 , y 1 , y 2 , ami y 3 .

y .5 3.0 1.6 .2 .5 - .1 1.2

X 1.0 l. 5 2.0 2.5 3.0 3.5 4.0 4.5

8.2 Jn Lhe exam ple o f ArL. 8.:t2, íi t, n, ou uic n.nd qua r Lic poly nom ia.l by using
t he abbrcv iaLed Doolit,Lle 1110Lhocl, ancl inLerprnL Lho rnsul ts .
8.3 In Lho moclc l Y; = (J 0 + {J 1x , + {lzXi + e¡, fine! t he maximum -likolihood
esLimato o f t ho m nx imum o :· minimum value of E(y) (assumo i = l , 2, ... , n).
8.4 In a n ex porimen L on co1Tos io n of m e tal Lho fo llowi11g cla t,a were collected:

Yolt.ago applie d 1.5 2.0 2.5 1 3.0 3.i'i 4.0 4.5 5.0

Corrn;;io n , % 1.1 0 ~~1 3. 1 2 2.50 -;:;-- 2.50 5.90

{a) F ind t he d egree o f poly 11o mia l lha L deso1·ibos t ho data.


9 1. T he case in which the ratio J. = a~/a; is known
J\1odel 2: Functional Relationships
9.1 Introduc tion a nd Definitions
In t his ch apter we s ha.ll consider m odel 2, in which t here ex ists a.
functiona.l relations hip among math ern:itical variables, variab les Lhat
cannot be o bser ved owing to errors of measuremen t. For example,
suppose distan ce S and t ime Tare related by t he m odcl S = IY.. + {J'l',
wh ere 1Y.. is t he di stan ce at t ime T = O a nd {3 is the velocity. ow
supposc t h atS and Tare n ot observa.ble but t h at s a nd t can l.ic observed,
wh ere s = S + e a nd t = T + d, wh erc el and e are mcas uring crrors.
vVe can writc t he relationship as
s= 1Y.. + {Jt + (e - {Jd)
It may appear at first sigh t t hat we can set t h e rando m variable e - {Jd
equ al to b, w ri te t hc modcl as s = 1Y.. + {Jt + b, a nd o btain a case of
model l. Howeve r, in m odel 1 the quantity analogous to lis specified
to be a mat he matical Ya.ria.ble, whereas h ere t is a ra ndo m Yariable
and t is not indepcndcnt of the error b ; t he refore, th is relation does
not fit in to the fra m ework of model I.
The fact t hat b and l a re corre lated in troduces a grcat man y complexi-
t ies. In most of t he d iscussion of model 2 we shall consid e r on ly the
case of o ne independent a nd one dependent Yariable. T h e results wi ll
general ize. Therc may be many specia l cases of model 2, but wc shall
discuss only those Jisted below.
T hroug ho u t t his ch apter the quan t it ies Y , X , U, a n d V will be
imobservable mathematical quantities, and y and x will b e observable
ru.ndom Yariables, where y = Y +e a nd x = X + el. Also, a , b, d,
ande will be unobservable random errors with means O a nd Yariances
~, ai, a~, a nd a;, respectively. T he functional relationship between
186
i\IODEL 2: FUNC'.1.'IONAL RELA'J'IONSlUPS 187
the 11 nobservable mathematical V<triablcs X and Y will be given by
J' = C/. + {JX.
Oiven a sarnple of n pairs of obser ved valucs (xv y 1 ), (x 2 , y 2 ), ••• ,
(x,., y,,), t he problem is to estimate IY.., {3, a;, and a~ and to test certain
hypothcses abo ut t hese parameters.
'"'' e s hall ass ume t hat t h e e; a nd d; a re independent nonna,l variables,
a nd we sha ll assume further that we h a ve oneof thefoJlowing two cases:
2. A controlled-independent-variable model
\Ve must make some such assumpt ion because othenvise t he prob-
Jcms associated with estimating t he parameters are very d ifficult; a
complete solution does not seem to haYe been obtained np to the
prcsent ti me. In other words, al th ough we may prefer not to assume
cither case 1 or 2, we find that we must do so, s ince the theory is n ot
yct suffi ciently developed to do wit hout the m . There are oth er
assumptions for which solut ions h ave been obtained, but we s hall
discuss o nl y the t wo listed above.
. Let us consider first the assumption of case l. A n experime n ter
may nevcr know t h e exact value of /,; however, he may feel quite
strongly that t he varia n ce ofthe measurement error in Y is of t he same
order of mag ni t ude as the variance ofthe measuremen t error in X. If
this is so, then }, can be taken equa l to l. Or the cxperi mcnter may
ha.ve a "good" estima.te of J. from previous theory or expcrience.
We co nsid er ncxt the controlled-independe nt-variable model, case 2.
This con cept is due to B erkson [2] and serves to ma,kc t he problem
trn.ctable. Essen tia lly, the conditions for this type of modcl are t hat
the ~xperimenter must decide beforehand what values of X; he is going
to observe a nd t hen obtain them. In other words, i n t hc illustration
given at t h c bcgi nning of this chapter, the experimentcr migh t , for
cxamplc, decide that h e will rneasure h is distance s at t i mes t = G, 8,
and 10, respectively. Clearly, the true times 1' will not equal 6, 8, and
10, respectively. This does not m atter. It is, however, i111portant
t hat readings fo r s be taken w hen his instrumc nt reads t = G, 8, and 10.
This is wh y it is called t h e controlled-independent-variable model.
These a ssumptions seem to be quite distinct from each other, and in
fact t h ey are. T he experimenter must decide w hich (if eiLhc r) scems
plausible in each particula r situation. \ Ve sha ll notice that t he
inferences drawn wiU in general be different fo r the two cases.
9.2 Point Estimation
9.2.1 T h e General Procedure. T h e proble m is a s fo ll ows:
There is a fun ctional relationship Y; = C/. + {JXi rclating t he math e-
matical quantities Y; a nd X ;. However, YiandX;cannot beobservcd,
188 L l NEAR S'l'ATIS'l'ICA L l\IODELS l\LODEL :l: FUNCTIONA L R l~ LATIONS ll H'S l S!l

bccau se of mcasurement errors; Y; a.nd xi are ob served , w h cre Y;"" Jf wc s um t ho n equatio 11s in (9.2), wo gct
Y; +e; a 11d X¡ = X; + d;. The e; are independont norm al variables
with mean O and varia nce a~. T he d; are simila rly distrib u ted with {J- 'L(y, - & - /iX,) L(x, - X,) =
va ria n ce a~. \1\fe shall attempt to find maximum-likelihood estimates •'.!
a,
+ a,
-2 0 (9.D)
1
of (J., {3, aJ, aml a~. Th c lik elihood func t ion is
JL.we s ubstit u to Eq . (!l.4) in to the first term of Eq. (9.9) , then (9.9)
beco mes
(!U)
'L(x, - X,) = o (9.10)

S ubstitu ting fo r e¡ a nd d;, we gct If we t ra nsfcr the socond term of (9.2) to t he right-hand side of the
equa lity sign, we got

(y, - a. - PX.,lfi = - x, - k1 (9. 11)

S u bstituting (J. + {3 X ¡ for Y; a nd ta.king logarithms, a;
Squaring boLh sidos a11d thc n s u m mi 11g,
log L = - -n log a~., - n i ., l "
- og a;; - n og "L.rr
2 2 /3-.,- ""( ~ #Ji..". )2 ) (x, -
""' .x.··1)º'-
_ ~ ['L(y¡ - {3X;)
2
+ L:(x, -: 2
X¡) ]
-;¡ """ y, - (1. - /J ' = -~ (9. 12)
(J..,- <Jr a,,
2 a; a;¡
Subs t it ut ing (9. 7) and (!l.8) in to (9. 12),
T here a ren + 4 unknown parameters, namely, X 1 , X 2 , • . • , Xn, (J.,~.
a;, a nd a~. T a king t he de ri vative wit h r espect to t h ese unknown
para metcrs, (!l.13)

alog L = (y, - a. - ¡3X.,lP +xi - x, = 0 t = 1, 2, ... , n (ü.2) or (9. 14)

ax1 á! á~
This rosult is not satisfactory, since it does not secrn reasonablc that
a 1og i = L.(y¡ - a. - PX.J~'<. , =
0 (9.3) t he ratio of t hc va.ria nccs s hould be eq uid to {3 2 • Appa rcn t ly, we must
ap e; ha.ve so mo informatio n about t he unknow n paramotcrs if we a re to get
al og L = l:..(y¡ - a. - Pi~.¡) = o (ü.4)
a reasona.blo solution to t hc likelihood eq uations. Thc one assumption
t hat a n expcrimenter may be will ing Lo make is t hat the ratio of the two
ª(J. á~
variances is known ; i.c., that J. is kn own , whc rc J. = a~/a'; . Th is is
case l ancl wi ll be d iscussod in t he next a rt iclc .
(9.5)
9.2.2 Case 1: J. = a~Ja; Known. If we assu mo that }, is known,
wc can s ubstit11 Le a;¡ = J.a~ i•1 t hc li kel ihood cquation (H. l ). The
(9.6) likclihood cquation now becomes

Sol ving Eqs. (9.5) and (ü.6), we obtain n ., n .,

1og L_, = - -2 l og a-e - - log
2
J.a~
e
- n log 2rr

(9.7)
- ~[L.(y¡ - (J. - {3.l()2 _!.... E( x; - X,)2] (0. 15)
2 a; ' Áa~
(9.8)
Wc now have n + 3 unk now n parameters X 1 , X 2 , .. . , Xn, (J., {3, a nd
 190 LlNEAit S 'l'A'l'IS'l'TCAL J\lO DELS J\fO DEL 2: FU NC'l'IO J\ AT~ RELA'l'IONSHIPS 191
a~. T a king t he p a r t ia l d c ri rn.t ives \\" Ít h respcct to each of t hese n -L and whe re t he sig n u sed for t he first 1,crm is t lrn,t which will maximize
parameters, \\"C obta in ' 3
the Jikelihood function. If wc substi t ut,e in to (9. L7), we get
alog L (.111 - & - {JX,)/j X¡ - X, 1
/j(x¡ -
:;--K
<J.L t
= ·2
ar + ) ... .a~
= O l = l ,2, ... ,n (!l.lG)
a;, = 2 l:(y; - !í)[(y, - y ) -
·n
i )J (9.23)

It can be sh own t h at this is nota consistent cst imate of lf it is a;.

to be consistent, t h e d e nominator must be of thc order of n instead of
(!l.li)
2n. Accordingly, we let the denominator be equal to 2n, t he number
a log L 'E-(y; - & - RX .)X. o
of degrecs of freedo m , minus n +
2, thc numbc r of unknown param-
- -- -
of3 - á; I' 1 t
= (!l.18) etcrs (that is, rx., (J, and the X ;), a nd we gct 2n - (n + 2) = n - 2.
Using this denom inator, we obtain
oIocr L L:(y . - &. - {Ji.) = 0
,,_, Yt - y-¡9-
-~"- =
Q(/.
1 •

á;
1
(!l. 19)
•2
(Jo = - _1-2 ["'( - ¡¡"'(X¡ -
I''-' -
.1.:}(!J¡ - '!i)J
n-
From (9. l fl) we gct \Ve have the following theorcm:
+ Theorem 9.1 If Y; , X¡, Y¡ , X ; satis fy the co ndi t ions in Scc. 0.1 a nd
if ;. = aj/a; is known , then t hc maximum-likelihood estimates of
a nd from (!) .16) a~, u., and f3 (t he divisor of a; is changed ) are

fi = ± ( u2 + 1Y + u
w hich girn I:(x; - X;) = O a nd, finally, a.= fj - Px
& -= fj - /j:f; (9.20) a~= n-::.
~[L(Y; - f/) 2 - ~'2:.(?J; - fi)(x ; - :i)]
Sol ving (0. 16) for X 1 g ives
These cst im ates a re consistent cstinrnLes of t heir rcspectirn
x = x, + J. flyt - ;,{J& parameters .
t 1 + ;.p2 (9.21)
From (9.18) " ·e get 9.2.3 Example. Suppose the following n d ucs ·of y ¡, X; are
recorded under t he assu mp t ions of t he prcccding article (assumc
f1 = L:(y¡ - &)X;
). = 1) :
I:(X ;)2
?J¡ 6.3 7.9 8.2 9.4 10.8 l.l .i3 12.9
Substituting (9.20) a nd (9.21 ) into this last equation, after some
simplification, g ives
X¡ 11.l 9.9 S.2 7.3 0. 1 G.O tJ-.2

f1 2
(},2:(y¡ - y)(x; - x)] + {J[L:(x; - x) 2 - J.L:(y¡ - Y) 2 ]
Weget l:,(x; - x) 2 = 34.337 ; L,(y; - [¡}2 = 3 1. 7 1 -~ ; !:,(!/ ; - fj)(:¡;¡ - x) =
- L:(y; - jj)(x; - i) = O - 32.311 ; n = .7; x = 7.543 ; '[j = 9.5 71 ; U = .O-l0;í8!l ; ¡i = - .060;
This is a qua dratic in f1 a nd, whe n solved, gives & = 16. s 1 ; a; = . 13 o.
9.2.4 Case 2 : Controlled-independent-va riable Model. Let
f1 = ± [ uz + 1] + ul (9.22)
thefunctional relations hip be V = u. + {JU, wh erc ca pi tal lc t,tcrs st a nd
for m athe matical quantities a nd lower-casc le ttcrs f'o r ra.nc.l om v a ri-
ables. \'Te assu me that V a nd U cannot be o bscrnx l b11t, tha t, \\"e can
where U = L(Y; - '[¡)2 - (l /í.)l:,(x; - x)2 observe x and y, whe re
22:(x; - x)(y; - y) y = V +e (9.24)
]!)2 T, l N 1.;A lt S'l'A'l'JS'l'ICA L J\fODELS i\lODEL 2: l !'U "CTION.-\.L RELA'l'IONSHIPS 193
where d and e are errors of measurcment. In case 1 wc assumed that which becomes
e and d were norma l a ncl indcpend cnt; s incc U is a mathematical vari-
a ble, t his would makc rl a nd x functionally rclatecl. For case 2, h ow.
cvcr , wc s ha ll assume that x is set cqna l to predetermined quantities 13ut t his does n ot fit the de fln it ion of m odel 1, sincc the error· term
xi a nd , h ence, t ha t X takes the role of a ma thematical variable. This e_ f3 1d + {3 2d 2 - 2{3 2 Xd d ep ends on X.
forces U to be a ra ndom varia ble; hcnce V a lso is a random variable. 9.2.5 Exampl e. Suppose an experimenter has a 1·csistor that
Vle sha ll rewri te (9 .2-l·) he wants to meas ure. H e assumes that t he la w E = RI holds, where
X=u-1-d (9.25) E is thc voltagc ofthe circuit a nd I is t he current rneasurcd in a mper es.
a nd assume tha.t e is independent of u, v, ancl d but that v, ii, a nd da.re lle cannot measure E and I exactly, but he ca n observe y = E + e a nd
fonct ionaUy relatcd. The p hysical meanin g of this assumption is this: x = J + ll. To use t he controlled-in<lepenclent-variable method, he
V-le must decide bcforehand wh at values x will take (we denote these decides he will bring his a mmeter to t h e following values : X = 10, 15,
20, 25, a nd 30, and rcad t he corresponding vo ltages y. H e observes a
val ues by X ) and thcn bring t he rccordi ng i nstxument t o those values
a ncl meas ure y. Accordingly, X is termcd a conlrolled variable. voltage for each of the a mpere read ings a nd get ::; a set of val ues:
\ Ve can now rewrit e v = r1. + {3ii
y- e = r1. + {3(X - d) O l' y = r1. + {3X + (e - {Jcl) (9.2G) --=---~ 15.0 ~ ~1~
Jf we let f = e- {3d, we gct y 3. l 4.8 7.2 8.4 1 9.7

y = rJ. + {JX + f
From t hese h e computes R = "Ly;XJL.Xl = .33; this cst.irnate of R
a n<l t his fits thc definiti on of model 1 in Chap. G. H ence t he theory in has ali the propcrt ies listed in t he consequcnt of Theorc m ü. L.
Chap. G app lies.
If we ha ve t he more general function al relationship
9.3 I nterval Esti matio n a n d Tests of Hypotheses
V = r1. + {3 U + {3 U + · · · -1- (3kU,,
1 1 2 2
(9.27) Thc o nly case we sha ll cl iscuss for in terval estirn atio n an ti Lcsts of
and if y = V+ e x; = U;+ di i = l , 2, ... , l.: hypotheses is the controlled -variable model, case 2. The rcsu lts of
we can control X; (i.e., set :i;; = X;) and gct Chap. G a re a pplicaLlc. It s hou ld be noti ccd that the varia ncc of y in
this case is· equal to a~ + (J2a~ . This appears in t he no nccntl'ality
v = r1. + f31Ui + · · · + fJkuk parametcr in tests of hy p othcses, and the po wer fun ction is affoctcd.
(9.28)
i = l , 2, ... 'le
Substituting, we get Problems
9.1 The fune t iona l re lat ions hip Y = a + {JX is known lo hold. Tlw rnat he ·
Y= r1. + f31X 1 + f32X2 + · · · + iJkXk + a (9.29) maLical yar iables Y n nd X ca nno L b e obscn ·ed , buL the follow ing value,; o f
where g is a r andom e rror snch that !/¡ a nd X¡ a re obscr ved , whe rc '!}; = Y, + e; und X; = X ; + d ;:

U = e - f3id1 - fJ2d2 - · · · - f3kdk '!/¡ 10.3 12.6 l l. 2 15.3 18. l 20.0

'l'he t heory in Chap. 6 now applies to t his mo<lel.
If t he U; are not linear, t he theory in Chap . 6 m ay not app ly . For x,. 3 -J 3.3 5. 1 i.9 l 0.3 12.0
examplc, if the functiona l relationship is
Assu m ing ). = a~/a'; = l , find lhe maximum- like lihood esti m a t es o f a. {J , nnd a;.
V= r1. + {3 U + {J U
1 2
2
9.2 (: iYe a n cxamp lc o f n f"un ct iona l l'ClnLions hip fro m sorne sc icnLific: fi c ld
whcl'e t.hc rc :i re er rors in m c1.1su1·ing ali ,·ai·ia blcs .
" ·e s ubst it uto X - d for U, y - e for TI, and get
9.3 Discuss t ho phy:;ica l inL01·p rct.aLion t.o be pu L 1,: 1 thc conlrollcd-variable
y - e= r1. + {3 (X - 1 d) + {3 (X -2 cl)2 modcl.
194 LIN"EAR STA'l'IS '.l'ICAL :\IODELS

9.4 In an c xporimon t, d esig ncd Lo m ens ure t,hc d ens it y of gol<l, i,he following
v a lues w ere obtaincd ( w i::; wc ig ht, v is volu m c) :

-
w 19.0 44.0 G0.7 74.0 82.0 90.3 109.0 156.0

V 1.0 2.2 3.1 3.8 4. 1 4.7 5.8 8.0

Th e fun c tional re la tio nship is lV = óV, whc ro 11' is weig ht in grnms and r is
v olnm e in cubic ccnt,im ct.ers . Howe vor , s in ce t.h cro are errors of m easurement
w a nd v were reco1·ded. Assuming ;, = 1, find t,he maximum -likelihood estimat~
of t he dens it y ó.
10
9.5 In P 1·ob. 9.4, a ssume t h at the re ·is n o erro r in m eas ur ing V, and find thc
m a ximum-lik e lihood cstima te of ó. Not,ico Lho difforence betwoen t,he 1,wo esti-
1natcs .
9 .6 Prove that a;
is g r:cat.er t han 0 1' e q ual to Z Cl'O in Theorom 9.1.
l\1odel 3: Regression Models
11
9.7 For the quanti t,ics in Art. 9. 2.2, p1·o vo t,ha.t L (x ,. - X;)X; = O.
i= I
9.8 For t.hc quo nt.it.ies in Ar t . 9.2.2, provc t,hn.t, L.(y,. - ci - ífx;)X ; = O.
9 .9 F o r t he qua n t,it,ic::; in A r t . 9.2. 2, pi·o vo t hnt Eq. (9.2:3) ca n be \\Tittc n 10.1 lntroduction
l l:((y¡ - ?/) - {j(X; - x )]2
Q-2 In this chapter we s ha ll d is cuss wh at is often called nmltiple regres-
• = 2n 1 + ;., p
2
sion. If y, x 1 , x 2 , • • • , X1.: a re ra ndo m variables whose joi11 L<lis Lri bu t ion
Furthe r Reading
is gi\·e n by f(y ,x 1 ,x 2 , . . • ,x,,) and if t hc expcctcd value of y in t he condi-
t ional dist ribution f(y 1 x 1 = X 1 , x 2 = X 2 , . . . , X1.: = X 1.: ) is equal to
1 O . L. D avies: " D csig n and A n a lysis of Indus t r ial E x pcrime nts ," Olive r and {J 0 + {J 1 X 1 + /3 2 X 2 + · · · + f31.: X 1.:, wc shall say tha t therc is a linear
Boye! , Ltd., L o nd o n , 1954.
regression of y on x 1 , x 2 , •• • , X1.: a nd ca ll t his mod el 3. \\'e can write
2 J. B erkson : Aro Thc rc Two R cgrnssio ns ?, J. Am. S talist. A ssoc., vol. 45, pp.
164- 180, 1950.
3 E. S . K eeping : Not,e on Wald 's l\lo thocl of Fit,ting a S tra ig ht, Lino when
Bot h Variables A ro . ºubjcct t o Error, B iom etrics, ,-ol. 12, pp. 445-4 48, 1956.
where the {3¡ are unknow n parameters, wbere X ; are par ticu lar (known)
4 M. S . Bart.lett.: F it,t,i ng n. Straig h t L ino whc n B oth Vmiables Are S u bjcct to
Errnr, B iomclrics, vol. 5, pp. 207- 212, 1!l4!l. values of thc random variables :i·;, a nd wherc e is a ra ndom Ya riable with
5 E . L. Scot t: Not o on Cons is te n (, E s timates of t,he L inear Strnctu ra l R ela t ion mean zero.
bctween Two Varia bles, A nn. Math. S tatist., vol. 2 1, p p . 284-288, 195 0. T his model is simila r to model J , t he d ifference being that in model 1
6 T. C. K oopma ns a nd O. R eie rs o l: Tho I d en t ificaLion of Strnct.ura l Cha rac- the X ,. are mathematical variables and not pa rticula r Yal ucs of random
teristics, A nn. Jlfalh. S tatist., , ·o l. 2 7, pp. 105- 18 1, 195 6.
variables. T h is difference may seem s light at first , but it is quite
7 l\L G . K e nda ll : R cg1·essio n, SLru ct,uro a nd Functio na l R e la Lionship, B io-
m etrika, pa rts I a nd II, ,-o l. 39, pp. 96- 108, 1952. important when we consider its consequences. For exa mple, in model
8 H.. C. Geary : Non L incm· F unc Liono l R e lnLions hip be Lween 'l'wo Var iables 1 there are np Ya lues of X ; involvecl. The probabili t y of t he confiden ce
whe n Onc Variab le Is Cont.ro lle d , J. Am. 8 /alisl. A ssoc., Y O L 48, pp. 94-103, statements a nd tes ts of hypotheses was ha.sed on the fact that repeated
195 3. values of y¡ were to be drawn from these same np v alues of X ;. ' i\'e
9 A . \ \'a ld: The F it,t,ing o f St1·aig h L Lines if BoLh Varia bles Are S ubj ect t o
shall n ow extend Lhis i11ference to oLhcr X ; by using model 3. Also,
Erro r , A nn. 11/ath. S tatisl. , ,-o l. 11 , p p. 284.- :300, 1940- 194 1.
10 D. \ -. Lindlcy : E s t,imaLion of a. Funct,io na l R e laLio nship, Biom etrika, YOL correlation was not defin ed for model 1 (correlation is not dcfin ed for
40, p p. 47-49, 195:3. mathematical variables), but it will be d efi ned a nd usecl for t he random
variables in model 3.
In t he functio11al form s = vt , fo r exa.mple , it is difficu lt to i magine
the t ime t p laying t he part of a random variable . T his wo uld be
possible, but it secms as if we s hou Id wa n t to calcula te t hc d is tance s for
195
l 9G LIN l~ A Ji S 'l'A'J'íS'l 'lCAL l\IODELS
lllODE L 3: RECrliESSJON J\IODEL S 197
prcselcctcd Yal ncs of l. Also, it is clear t ha t , if t is a ra.nd o m variable u 2•
t hen s m ust also be a random varia ble, a nd t he correlation between th~ pa.i·arnetcrs {3 0 , {3 1 , a nd
L
'J'his m ea.ns t ha t t hc j oint distribution of
two guantiLies is equal to uni ty. On t he othc r h and , consider the !/ 3.11d •x can be w ritte11
following examp les, which seem to be d ifferent in charactcr from the
) _ h(x) _ l_ e- Ct/2a'JCv - /1 0 - P 1 :i:}' -oo < y<oo; -oo < x <oo
a bove : f(y, x - . u~

l. The rclationship a mong hcig ht , wcigh t , arm length, etc., of

12-year-old c hild ren where h(x) d oes not d epend 0 11 u 2 , (3 0 , {3 1 .
2. Thc rclationshi p a mong maximum tc mperatu re, maximum hu 111 ¡_
Case 3. The rando m Yaria,bles x a nd y h a ve a biYa riatc normal
dity , etc. , fo r each hour o f Lhe ycar dist ri but ion, but t herc a lso arccrrors of mcasurcment involvcd. Hcnce
we cannot observe y a nd x, b ut we do obser ve 1i and v, where ·u = x + d
3 . The relatio nsh ip a rn oug pc r cent calcium, pe r cent protcin, per
and v = y + e, whcre e a nd d a re independcn t n ormal variables which
cent butte rfat, etc., of t he milk of a certain cow for each d ay of the year
are a lso indepcndent of y a nd x .
I n t hese examplcs t hc re would in genera l be no atte mpt to find We shall discuss thcse three cases in tu m , bu t firs t we s hall prove
f1inctional relationships amo ng thc vario us factors, as in t he equation sorne theorems con ccrning t he mnlt i\·ariatc n o rm a l distrib u t ion.
s = vt . In t hcsc cxamples we wo uld be in terested rather in predicting 'fhcse will be a n cxtcnsion of t he thco ry in Chap. 3.
onc fa ctor fro m t hc othcr , rcalizing t hat t hcre is available n o fun ction
t hat cxacLly relates the various quantitics. Wc shall ret urn Jater to 10.2 Case 1: T h e Multivariate No rma l
t his p rob lc m of precliction versus functionalfonn. It may seem reason-
ablc to assume t hat t hc quantitics in l , 2, or 3 a bove h ave a multi- 10.2.1 In t r o du c tion. We s ha ll use t hc notation int roduced in
Ya ria.te dist rilrntion a nd Lhat one of t he factors has a linear regression Chan. 3. I n t his a r t iclc wc s ha ll fi nd poi n t a ncl interval estimates of the
on t he othc rs . lf t his is t rnc, t hen we can use m odel 3 a nd the results par~m e te rs in t he m u lt ivn.riate n orm a l a nd g i\·c certain i nterest ing
of t his chap ter to flnd this linea r prediction function. tests of hypotheses. In most cases t hc proofs wi ll be g iven on ly for t he
I t seems " ·or t h rcpeating t hat in model 3 therc is in genera l no bivari ate ca. e .
fimctional rclations h ip a mo ng the factora but t here is a linear regression. 10.2.2 Point Estima ti o n. L et us a ssume t hat t hc vect or
T h is rcgrcssion fon ction ca,n be used fo r predicting.
10.1.1 D efinitio ns. Althoug h modc l 3 wou ld ordinarily be de-
fincd fo r k + l random va ri a bl es y, X v x 2, . . . , xk, we shall study only
(:) is distribn ted as a bi\-ariatc n orma l distribu t ion with means (:j
and covari nnce m a.t rix
t he t wo-varia ble case, dcnoted simply b y y , x. All t h e results will
generalizo to t hc k + l situation, a nd wc sh all state sorne general <111 <112)
t heorems but omit t he p roofs . T herefore, through ou t t his cha.pter, V = ( u 2L ª22
lower-casc lctters y¡, X; will d enote ra ndom varia bles from a bivariate
dist ribu t ion. Thc Jinca.r regression fun ction of y 0 11 x will be d enoted If wc select n vectors (X¡) fori = l , 2, ... , nfrom t his d istribut ion, t he
by fj, and E{'fj) will be d enotcd by Y ; so Y = {3 0 + {3 1 X, where en.p i tal Yi
likelih oocl equation is
letters Y and X a re not random variables . e - Q12c1- p'>
\ Ve s hall consid e1· Lhe fo llo wing t hree special cases of mod el 3: f = f{y ¡.X¡,?fz,Xz, · · · ,y n•Xn ) = / ,,
Case l. The ranclo m variab les y a n d x ha vc a, bivariate normal (27T..., (1 - p-Jª 11ª22r
d istribu t ion. 2 2
Case 2. The random variables y a nd x h a ve a bivariate nonnormal where Q = l:(x; - 1'1l _ 2u L(x; - l' iHY; - l-'2)
12
+ l.(y; - µz)
distribution, but t h e condi t ional d istrib ution g(y 1 x = X) is ªu ª1 1<122 <122

_ l_ e-(1/2a' )(v-Po - P1X)'

uj2;
and t he m a rgina l distri bu tion of x <loes n ot d epend on t he unknown
198 L TN:BA R S'I 'A'r!S'l'J CA L l\IODELS l\lODEL 3: R EGRESS10N J\IODELS
l!J!I
,
givcs thc maxim um-li kelih ood esLimators (the last t.hrcc quan tities ar() (7) That ¡.í 2 be independent of áll> é1 22 , c1 1 2
divided by n - J ins tead of n, to cor rcct fo r bias) (8) That µ 1 , ¡1 2 be j ointly di strí buted as t he bi,-ariate norma l wit h
mean ¡.t 1 a nd µ 2 a nd covariance nrntri x (1/n) V
/l- i = -1 .<.J"' X¡ = -
:i;
We shall exam ine Po an d ti 1 to show that t hey are unbiasccl. T o <lo this
n
we sha ll p roYe t he fol lowíng lemma .
- 1~
/t2 = - .<.JY; = Y-
n • Lemma 10.1 Let j(x,y) be t he j oint distribu t ion of t " ·o random
varia bles x a nd y. Then
ª- u = - 1- ~
.<.J(X; -
-~
x)- E[h(x,y)J = E .,{E yixlh(x,y)]}
(10.l)
n - l
where h (x,y) is a ny function su ch that E[h(x,y)] exists a nd where
- 1 ...., - 2 t hc notation E * denotes t he expected value in the conditional
ª22 = --1 L....{.IJ; - y) d istribu t ion of y gi ven x and E "' the expectcd val ue in t he marginal
n-
distribution of x .
-
a ¡2
)~
= -] - .u(X¡ -
-
X){!f¡ -
-
y) Proof: L etf(x,y) = k(y 1 x)g(x) .

From Thcore m 3. L l we kno" · t ha t

11 - 1
E [h(x,y)] = L: L :h(x,y)f (x,y) dx cly

=L: L : h(x,y)k(y 1 x)g(x) dy dx

which we sha ll \\Ti te as r = {3 0 + {3 1X. So we shall let =L: [L: h(x,y)Á·(y 1 x) dy Jg(x ) clx .

a nd (10.Z)
Thc term in t hc brackets is Eu 1.,[h(:i:,y)], which is a fun ction of x
o nl y . S ubstitu t ing gives
sin ce
R _ ª 12 E [h(x,y)J = L : {Eu¡.,[h(x,y)J}g(3:) ch = E.,{Eui.Jh(x,y)]}
F1 - - and
a ll
and the lemm a is p ro,·ed.
Sin ce µ 1 , ¡.í 2 , c1 11, c1 22 , ancl a1 2 a re 1rntxim11m -likelihood estimators, t hey
a re co nsis ten t a nd efficicnt . It can also be show:n t hat t hey forma set
No w, E({J.) =E [E ({J. )J = E
1 ., t.<lo: l z
{E [í:(y¡ }:(x¡
t.<lx
- y)(x;_ .i)2- x)]}
of s ufficient estimators a nd they a re compl ete a nd unbiased. \ Ve shall
sum up t his inforniat ion in the foll o \\·ing t heorem. ·
• Theorem 10.1 lf (x;, y ;) fo r 1· = 1, 2, . .. , n reprcsents a random
sample fro m t he bi variate n orma l díst ri bution, th e maxi mum - Bnt
likelihood cstim atcs (correctcd fo r bias) of µ 1 , µ 2 , cr w a 22 , a 12 giYcn
in (10.l ) haYc t..hc fo llowing proper t ies :
and
( L) Cons ísLcncy
(2) Efficiency
(3) Completencss so
(4) i\Iinim um n1 rian ce unbia scd
(5) S ufficiency
Also,
(6) That (t 1 be indepc nden t of é1 11 , c1 22 , c1 12
200 LTNEA.l't S'l'A'J 'IS'I'ICAL MOD"ELS l\IODEL 3: mmRESSlON MODELS 201
So {j 0 a nd p 1 are un biascd csiimato rs of (3 0 a nd (3 1 , respccti,·c ly, but Lhey
a re not norm a ll y <listributcd as when t hc X; a re fi xed. \ Ve ha.,·e !f wo Jet
establish ed the following theorem.
+ T h eorem 10.2 Thc ma.ximum -likelihood cstimates of /3 0 a.nd {3 1 then
givcn i n (10.2) ha ve t.he following prope rt.ies:
( .1 ) Consistency
(2) Efficien cy
(3) l\Iinirnum varia n ce unbiased
10.2.3 T h e Wis h art Distribution. We s h all now find t he joint T hc integral ex ists, sin ce we can choose t ; small e noug h so that
distribution oí t he quan t ities (n - l )all, (n - 1)& 12, (n - l )a 22 . v- 1 - 2Tis positived cfinite. Thcrefore, ifwele t V- 1 - 2T = C,
F irst " ·e s ha ll pro,·e t he fo llowing t heorem. we get

+ T h eorem 10.3 LeL U , =(X;)

Y;
for i = 1, 2, .. . , n; n ;?:: 2 be a

rnndom sam ple from t he distribution .N(O,V). Let b 11 = 1.:tf;

Using the res u lt of Eq. (10.4), we get
b 12 = b 21 = 'Lx;y;;b 22 = L.y'f . Thenthejointdistribut.ionofb 11 ,
b 12• b22 is ¡c¡-1112 ]
r e- ltr<nv- ' >¡ B¡ !<n - 3) Jll(t ,t.,t,) = -- = . = jl - 2VT!-"'2
1 if B is positi,·c definitc
i - 3 jVj "/2 jV(v- 1 - 2TJ1 "'2

f(bwb12 •bd = ~ 2n¡v¡1112,.112r(~) r(n; 1) ( 10.3) Now, from t he distribuiion of U; in t h e theorem, we s ha ll find t he
moment-gc11erating fun ctio n of L,x~ L.x¡y¡, L,y[. L et us desig nate
lo if Bis not positirn dcfinitc iL by
b 11 b 12)
where 611 ;:;;::: O (
B = b21 b22
Proof: It is clear that 'Lu,u; = B. We s h a ll find t hc joint mom ent-
genera ting function of L-:i?;, "i.x¡y¡, Lyf, s ho" · t h at it is e~ n a~ Lo ~he
= f · · · f ""
-ao
a:l

-oo
e
lr(T!:U·U')
1
• g(x1 ,x2 , ... ,y,.) dx1 dx2
·
• • • dy ..

mome nt-gencrating function of b11 , b 1 2 , b 22 , \\·here t he ch stn but10n By definition of a ra ndom sample of vectors,
of b 11 , b 12 , b 22 is given by (10.3), and u se Theore m 2. 1. It can be
s hown by direct integration t hat

co f"" e lr(T!:U, u;¡

1.'- u'v- 1 u' dx dx · · · dy1
so m(t1t0 ,t.)
'- 3 = f-oo · · · -co ¡v¡ "'~(2rr)"
e-= ~ •
1 2 "
a.nd h en cc
Jo Jo . - co
f
{ '° { '° '° c-}tr<nv- •>¡ s ¡Hn -3) rlb11 db22 db12
= 1 f'° ... f 00 etr[(!:u , u ;lTJ -! !:u ;v- 1u, dii
IV! "'2(2rr)" -co -oo
2"1Vl "12,.1r(~) r(n ~ )
1
= =K (l 0.4)
where dit = dx 1 d:i; 2 • • • cly,.. Using Thcore m 1.46, we sce that
\Ve s hall u se t his resu lt to find the momcnt-gcncrnting fun ction. tr(L,U1 U¡ T ) = trfEU;( U ~T) ] = t r(L,U¡TU;) = "i.U¡TU,, since
The join t morncnt-gcneratin g fun ction of b 11 , b 22 , b 12 is eq ua l to 2:U;TU¡ is a sea.la r. The exponcnt can no"· be simplified :
202 L I NEAR S TAT ISTI CA L JITODELS J\IO DEL 3: REC xBSSIOX J\IODELS 203
¡c¡- 1112 us ma kc Lhc fo llo ,,·¡ng t ritns form atio n 011 t,hc ,·ccL<m; Y 1 :
Wc gct m.(t1 ,lo,t 3 ) = -- = ¡1 - :2VT¡- 1112
- LVI n/2 l
W1 = ~ (Y 1 - Y2)
\Ve sce that t he two mom ent-generating fu nctions m(f 1 , t 2 , t 3 ) a( ntl
lll(t 1 ,l 2 ,f 3 ) are cqua l ; hence, with t hc application of Thcoren1 '> l
1 \ V? = -= (Y1 + Y? - 2Y 3 )
t he proof is complete. -. - ,/ü -
. The distri butio~ g i,·en_ in_ Tl:eorem 10.3 is know n in statistical
1
h terat ure ~s t he TVishart distnbution. \iVe sha ll genernlizc t he t heorcni W 11_ 1 = .j .
ntn - 1)
[Y 1 + · · · + Y, 1_ 1 - (n - l)Y,.]
to a p-vanate normal bu t we s ha ll not g ive t hc proof.
The W ; a re indepcndent, and W ; is clistr ibuted N(O,V). Also, it is
• Theor~ml0 ._4 If avectorYi~distribu tcdN( O , V) , whercYis7) x 1, easy to see t hat
a nd if ~ 1 (J. = _1 , 2,_ ... , n) is a set of n random vcctors (n ;?: Jl) n- l n
from t h1s d 1s t nbu t1011, the clements of B = L:Y.Y'. 1 1
= (b 11.. ) ha,. :¿ wyv; = :¿ (Y; - Y )( Y ; - Y)' = A
th c j oin t d is t ribu tion e i= l i= 1

Hence we ha. ve , by T heorem 10.4, t hat A is distributccl as JV(p,

e - !tr(BV- 1) IB IJ(11- ¡1 - J) n - 1, V).

f (b 1 1 ' b12 1 . . . J b ,,,, ) = 7Th>C11- Il;¿ n11/21 Vl "' 2 fr f'(n+ iJ - i) \Ve ha ve s h0\\"11 t hat, if X; and Y; are o bscrvatio ns fro rn N( µ ,V), thcn,

I
l o
i= 1

if B is p ositivc d cfi11ilc
if n is not pos itive <lcfinilc
lctting
v = (~11 ~12)
ª21 ª22

where á,1 is dcfined in ( 10. 1), we fi nd t hat (n - l)V is distributed as

When a set of V<tria bles b;; has t his distribution , wc shal l say that the 11'(2, n - 1, V).
niatrix B is dislributed as IV(p,n, V ).
10.2.4 Exa mple. The widths X; ancl surfacc a rca y, of t he lea ves
• Theo r e m 10.5 If B 1 is cl ist ributed as JV(p,n 1,V), if B 2 is distribu ted of a t ree a re assu mcd to fo llow a bivariatc normal distribution. Since
~s JV(p ,n2 ,V) , and if t he clements of B 1 a nd B 2 a re mu tually
surface a rca is quite important in ma ny investigations a nd sincc its
rndepcndcnt , t hcn B = B 1 + B 2 is d istribu ted as TV (p, n 1 + n 2 , V). measurement is a ]engthy process, it is d esircd to fin<l a n cc¡uation t hat
ca.n be used to pre_d ict t he surface area of a leaf from knowledgc of its
Th is reprod ucti rn property of t he Wishart d ist ri bution can be width. Ten lea ves were examined; t he valucs (in ccn t imcters) are
extended to a finitc nu m ber of independent matrices B ;. The theorem given below:
can be p roved by using t he moment-gencrating fun ction of t he
distributio n. Y; 8. 1 1 12.3 8.0 15.4 1 8.3 1 8.8 1 16.2 1 15.8 1 18. l ; 16.2

• Theo rem 10.6 If Y ; is a rand om vector from the distribution --:;- ---;.;-¡~ ~--;;-¡-;;-¡--;;-¡-;;¡--;;-¡--;;-1~
N( µ ,V), t hen
The following qua.ntities " ·ere calculated:
A =I
n
(Y¡ - Y)( Y¡ - Y)' .
ª
i=J [¡ = 1í2 = 12.72 fi =
/JO • - -;;-"
/12 /11 = - :.'>() · íi1O
1? '
O"¡ ¡
is d istributed as IV(p, n - 1, V), wherc Y= ( l/n) "LY¡ for n :;;:::
p + l. x= {t 1 = 2.48 Ó-12 = 1.10 P1= ~12 = 13.4-o
Proof: It is cle.?-r that ali
11 •2
I (Y¡ - Y) = o p•2 = - 0" 12- = .90 Ó"n = .082
i=l Ó"n Ó-22
ancl, hence, that t he Y; - Y ar e not linear ly inclepcndent. Let The regression cquati_o n is Y = - 20.GO + 13.40X.
 1
204: LINEAR S'rA'fISTlCA L i\lODELS MODEL 3: :i<.EGRESSION J\lODELS 205
10.2.5 Interval Estimation. ln t he biYariate normal distrj. wheref{l,x 1 , • . • ,x 11 ) is thc joint density of t a nd t be X ;. Hence, thc
bution it mig ht be desirable to be ab le to set confidencc li mits on the robabili ty statement in Eq. (G.10) is t rue when the X¡ a re ra ndom
parametcrs µ 1 , µ 2 , (3 0 , and {3 1 • Let z; = ax¡ + by;; thcn , by Theorcn¡ ~a.ria.bles, i .e., when \\·e sample from a mu ltivariate inst ead of from a
3.22 , the z; a re dis tributed indep cndently N(aµ 1 + bµ 2 , a 2 ) . Therc. conditional distri_bution. T he joint distribution , howcver, must be
fore, Studcnt's distribution can be usecl to set confidence li mits 011 such t hat the conditional is normal and satisfies Definition 6.1.
aµ 1 + bµ 2 • If we Jet a = l and b = O, we get confidence limits on µ We sclect ed _o nly onc ty pe of confidence-interval statcment to
and similarly for µ 2 • ¡, dcmo11strate the result ; however, the same result holds for any
The situation looks more complex if wc desire to set confidence limits confidence statement in Art. 6.3. l.
on {3 0 or {3 1 . However, we sha ll s how t ha t the theory of A rt. 6.3 .1 can be The expected width of the confidence interval is different in the two
used. To demonstrate this, s upposc we considcr thc general-linear. situat ions: (1) when the X ; are fixed and (2) when the X; are random.
hypothesis modcl of Definition 6.1 , ancl in particular let us considcr 10.2.6 Example. vVe s hall set a 95 per cent confidence interval
setting a confidence interval on r'{3, as in Eq. (6.10}. This probability 011 p1 for the example of Art. 10.2.5. R egarding these data a s com iug
statcment as we derived it is val id for repeated random samples of Y; [rom model 1, t he X¡ fixed , we can use Eq. (6.9} and obtain the 95 per
from the samc set of X ;. However, if wc change th e X; values and cent confidcnce interval
draw a ra ndom sample ofy; from the new X;, the probabili ty stat ement 9.8 ~ f31~ 17 .l
is still true. H cnce it is true for any set of X¡, sincc the confidence
Accor<ling to the theo ry of Art. 10.2.4 , t his statement mea ns t hat, ifwe
coefficicnt <loes not depend on the X;. Thcrefo re, wc can also select the
tn.ke repeated sets of y mcas ure ments from these xi and calcul aLe 95
X ¡ at_rando m from any distribution, so long as thc conditional d istri-
pcr cent confidence intervals for each set, then , on t he average, 95 per
bution of y given x is normal and satisfics Defi11ition 6.1.
cent of all intervals wi ll conta in the true unknown parameter {3 1 . Th is
To demonstrate further, the quantity
type of infercnce does not scem to be too useful. Howcver, by using
r'~ - r '{3 the theory in the preccding a rticle, we can select repeated sets of leaves
u = -:===== (thc X¡ vn.lues may changc from set to set) and set a confidence interval
J á 2 r ' S- 1r
on fi 1 for each set. \Ve then know that U5 per cent of all intervals
is distributed as Student's t whe n thc X¡ are fixed. Let this t distri- contain t he true unkno\\'n para meter {3 1 .
bu t ion be m·itien g(t 1 x 1 , . . . ,xn)· Tite prol>a.bility statemcnt of Eq. 10.2. 7 Tests of Hypotheses. Thcre are various hypothcses
(6. 10} can be written that are intei:esting to test in thc bivariate normal distribution . Those
- i - (/. = P[ - e,.
- -
~
r'~ - r '{3 ~ t. •
(á2 r ' S- 1 r )' -1-
, J wc shal 1 discuss are:
l. That the vector of mca ns µ.i s equal to a known vector µ. *
la10 2. That thc r egression coeffici ent fJ 1 is equal to a. known const ant f3i ;
= P(-t1112 ~ iL ~ l 1112 ) =
f- 11110 g(t 1 x 1, . . . ,Xn ) dl and similarly for (3 0
There are other t ests that a re important (on the ele ments of V for
examplc), but we shall not discuss them.
If h(x 1 , ... ,x 11 ) is t he density fun ction of thc X ;, then
Tite hypothesis H 0 : µ. = µ. *. To test H 0 : µ. = µ. *, where µ. * is a
J>( - la/2 ~ iL ~ la¡2) = 1 - (/. kn own vector, we shall use t hc followi ng t heorerns, which we sha ll give
= 1{ "° · · · f"°
without proof.
(l - (J.)h(x1 , ... ,x,,) dx 1 · • · dxn
.. -o:> -c:o + Theorem 10.7 If the p x 1 vector Z is distributed N( µ.,V), if t he
= f eo · · ·f eo [f la1o g(t 1x 1 , .. . ,x 11 )/z{x 1, .. . ,x 11 ) dt Jdx 1
p x p matrix A is distributed Jl'(p,n,V), and if the elcments of Z
are independent of the ele ments of A , the quantity
- co -<X> - 12 1~

· · · dx 0 n = Z' A- 1 z 11 - p 1- l
co f eo f la1o p
= f ·· · f (t ,x1 , ••• ,x11 ) dt dx 1 • • • dx ,.
is d istributed F ' (p , n - p + 1, .A), where ;, = t µ. 'V- 1 µ..
-oo - oo - la¡ ~
206 LINEAR STATISTICAL MODELS MODEL 3: REGRESSION MOD:~LS 207
The proof of this theorem was given first by Hotelling. The·:! between y and X is not defined. In the model of Sec. 10.2, however,
quantity [np/(n - p + l}]u is generally referred to as Hotelling' 8 p2. :} correlation does have meaning, as it did in the multivariate normal of
Cbap. 3.
+ Theorem 10.8 If the n vectors Y¡ (i = 1, 2, ... , n) are random ~~ As we saw in Theorem 3.14, the square of the correlation coefficient
samples from the p-variate N{µ,V) and if .~
gives the percentage decrease in the variance of one random variable
- S = -1- k~ (Y¡ - -Y){Y¡ - Y)'
- due to use of information available on a related variable. Also, if the
n - 1 i=l correlation between two random normal variables is zero, the two
variables are statistically independent. However, if the random
then S and Y are independent. variables are not jointly normal, then zero correlation does not
This theorem is an extension of the independence of fi and s 2 in the ' necessarily imply independence. In fact, the correlation coefficient
univariate case. . between two random variables can be zero and they can still be func-
We shall now state the theorem that will be used to test the hypothesis tionally related. For example, suppose we ha ve four points (x, y), each
fL = µ*. with probability !, that is, (1, 1), (2, 4), (-1, 1), and (-2, 4). Now,

+ Theorem 10.9 If Yi (i = 1, 2, ... , n) is a set of random vectors ; E(x) = (I)(!) + (2)(!) + + (-2)(!) =O
(-1)(!)
from the p-variate N(µ,V), the quantity and E(xy) = (l)(!) + (8)(!) + (-1)(!) + (-8)(!) = O

u= (Y - µ *)'s-i(y - µ*) n(n - p) andso P:i:11 =O

n>p
p(n - 1) But y and x are functional1y related, since y = x 2 • This demonsÚates
is distributed F(p, n - p) if µ = µ *. The test function u is · the fact that, unless random variables are normal, it is difficult to draw
equivalent to the likelihood-ratio test of the hypothesis µ = IL *. conclusions on independence when the correlation is zero.
However, when the correlation coefficient between t.wo random
To co.mpute the test function u, the· inverse of S need not be cal- variables is equal to plus or minus unity, this does give valuable
culated. The Doolittle procedure outlined in Chap. 7 can be used. lf 'information, as follows.
we set up the equations S~ = (Y - µ *) in a form like Table 7 .1, where
+ Theorem 10.10 If x and y are random variables and if the correla-
~ is an unknown p x 1 vector, we find that ~ = S-1 (Y - µ *) and tion between x and y is equal to plus or minus unity, then y and x
W(Y - µ *) = (Y - µ *)'S-1 (Y - µ *). But this latter quantity is are functionally related in a linear manner; that is, y = ex. + Px-1
the sum of products of the elements in the O 0 column of Table 7 .1. _ where ex. and {J are constants.
Tite hypothesis H 0 : p1 = Pi. Any test of hypothesis that we derived Proof: Suppose P:i:11 = +l. Let y* = (y - µ 11 ) /<111 and x * = (x - µ:i:) /
in Chap. 6 was for a conditional distribution of y given x = X. How- <I:e· Now,
ever, by methods similar to the interval estimation of Art. 10.2.5, it can E(y*) 2 + E(x*)2 - 2E[(x*)(y*)] =O
be shown that the probability of a type I error is exactly the same if the
sampling is from a joint distribution of y and x, so long as the conditional since, by hypothesis, E[(x*)(y*)] = Pxv = +1
distribution of y given x =X meets the conditions of Definition 6.1. Tlms E(y* - x*) = O 2
and E(y* - x*) = O
It seems that the two situations are not identical (the X¡ fixed, and
the x, random). In fact, the difference shows itselfin the powers ofthc so the density function of x* - y* is a point density with its total
tests, which are different when Xi are fixed and when x, are random. probability at y* - x* =O; hence, y* = x*. Substituting
gives
y-µ.,, x-µ:.r:
10.3 Correlation
---=--- or y=cx.+Px
<111 <1z

w h ere ex. = µ
<J,, µ:i:
10.3.1 Simple Correlation. A simple correlation coeffi.cient is 11
__ and
defined as a certain operation on two random variables. Hence, in the ; <1z

general-linear-hypothesis model given in Definition 6.1, the correlation · A similar proof holds if P:x:11 = -1.
208 LlNEAR STATISTICAL l\IODELS MODEL 3: RF.GRESS LON i\IO DELS :W9

For example, if x ancl y are ra.nd om variables a nd tbe co rrela tion + Theorem 10. 12 If p = O in t hc bi variate norma l, t hen
bet\\·ee n y and f(x) is equal to uniLy, t he n y = <J. + (Jf( x). In this
respect co rrelation coefficients can be useful in obtaining the relation- r(n') 1)(1 - p2)l(•H)

ships among ranclom variables . f (p;O) = ~ -l ~ p ~ l

If either of Lhe variables is nota ra11dom >aria ble, t hen a correlation
coefficicnt mcrcly describes the relations hip between the sets of points
r(n 2)rG) 2

observed , and it might be extrem ely da ngerous to draw in ferences as if Proof: The proof is immediatc from Theorem 10. l l.
both varia bles were random. Howe,·er, when t he two variables are
+ Theorem 10.13 If p =O, tite n
indeed rando m, t he square of t he correlation coe fficicnt is an estimatc
of the perccntage reduction in t he variancc o[ ono of t he variables by
using the othor.
r (n- 1) (l - p:!) l(n-4 )

~ O ~ p' ~ 1
2
w ·e shall statc so me theorems (somo with out proof) on the corrclation f<P' ;O) ( ) ( )
r n ; 2 r ~ (p2)!
coeffici ent . In T heore ms 10. 11to 10.21 \rn shall assume that U¡= (X¡)
Y· + Theorem 10.14 If p = O, E(¡)2) = I /(n - 1).
for i = 1, 2, ... , n is a ra ndom sample from thc bi,·ariate norm; l
d is trib ution with correlation cocfficient cqual top a ncl t hat • Theorem 10.15 lf p = O, t he qua nti ty

l =
pjn,_ _
- 2
.,,) 1 - p2
is distl'ibuted as Stude n t's l with n - 2 <log rees o( freedom.
• Theor em 10.11 The dens ity function of pis
To t est t he hy pothesis H 0 : p = O wc can use S t u<lcnL's distribu t io n,
f (p; p) = (n - 2)(1
- p
2)~(n-1}
(1 - p2)~(n-4)
f"' dw but to test Lhc hypothesis H 0 : p = p* (p* =!= O) wc m11st know thc
distri bution o ( p whcn p =/= O. lf n ~ 25 , David's La.ble:; can be usccl.
7T o (cosh w - pp)n-I
lf n ~ ~ 5, inLerpolation in David 's tables can be uscd, but wit h so rne
-1 ~ p ~ 1 s:icrifi ce in accurncy.
Thc proof of t his theo rem will be omitted. The theorem can be It may be desirnble to test t he hy pot hesis t hat two or lll O l'C corrclation
obtaincd b y using Theore m 10.3 wit h p = 2, substituting p fo1· á 12/ cocffi cients a re equal. T hi s t;y pe of prob lcm can be ha nd lecl quite
casily by using ~L transformation dnc to R. A. Fis hcr. This is t hc
·•/ a11á 22 , a nd in teg rating o ut á 11 and &22 . substance of t he next few theorems .
The density fon ction f(p) is difficult to work with. T he parameters
in f(p ) are p , which is unlmown, and n , which is known. To test Fisher h as sho wn that, if we m akc t he transformation
h y potheses a bo ut p a nd set confidcnce intervals on p, it is d esirable to 1 +
Z = ~ log. - ~
A

h av e = a rcta nh p
1 -p
Po

J f (p;p) dp = JJ(p :::;; Po

_
1
1 p)
:i.nd let o= } iogc
1
l -
+p=
p
arctanh p

tabulated for various values of p 0 , p , a nd n. This has been done by

F. N. Davidfo r thefollowingvalues: p 0 = - 1.00, - .05, - .90, ... , .05,
1.00; n = 3, 4, 5, ... , 25, 50, 100, 200, 400; p = .O, .1 , .2, ... , .9.
B y using DaYid's tables we can compute thc powcr of thc test for
Yarious h ypo theses about p. The use of the ta bles will be demonstrate<l
later. li'irst we sh all state so me useful theorems about the clistrib ution
of P·
t hcn Z - ó has Lhc remarka blc prope rLy o [ approx imati ng t hc norma l
<listribution e ve n for fairly s ma ll n . \Ve s ha ll statc t his in Lhe follow ing .
+ Theorem 10.16 Thc quantity Z = a rctanh p is approx imately
11ormally d isLribu ted with mean eqmd to o = [trctanh p a nd ,·ar·i-
ance (n - 3) - 1 . A slig ht ly more accu ratc mean of Z is a rctanh p
- p/2(n - 1).
2.10 LINEAR S'.I'A'l'TR'l'COA!. !\lODELS MODEL 3: REGRESSlON J\IODELS 211
+ Theorem 10.17 To test t h c hypoth esis p = p * (p * known ) DaYitl' • Theor e m 10.21 T osetan approximate l - 1:1. confidenee limito n p.
tables [9) can be used if n .:::;; 25. If n ~ 25, t hen
8
wc use t he fact tha t (n - 3)11 2 (a.rctanh p - arctan h p) is approxi-
mately distributccl N(O, l ). A 1 - 1:1. confidence in ter val on pis
n= (arctanh p - a rcl,anh p*) Vn - 3
can be co nsiclcrcd to be app roximately d istL·ibuted N(O, 1).
Lanh (arctanh p-
Jn -
zª 12
3
) ~ p .:::;; Lanh (arctanh p + Jnzª-12 • )
3
+ Theorem 10. 18 S uppose t hat k-bivariate n orm a l populations haye
correlatio n eocfficie n ts p 1 , p 2 , •.• , Pk and t h at p1 , p2 , • • . , Pk are the where z,,.12 is the appropriate value for t he normal d istribut io n.
estimates based on samples of s ize nv n 2, . .. , nk, respceti \·eJy. To
test t he hypoth esis HI): p 1 = p 2 = · · · = Pk = p* (p* known), the R. A. F isher h as tabul ated-} log0 (1 + x)/(1 - x) for various v alues
quantity, of x, a ncl man y of t hc approxim ate tests can be readily applied by u sing
k his ta.b les. If n .:::;; 25, o ne should use t he tables preparccl by David .
U= 2: (arctanh p; - a rctanh p*)2 (n; - 3) If n > 25, thc n thc Z !,rnnsfonnation is satisfactory.
i = l
10.3.2 Example. W e shall illustratc so me of the theorems with
has a n a pprox imate chi -sq uare distribution wit h le deg rccs of an cxa.mple . L e t us considcr t he corrclation between protein and fat
freed om. Rejeet H 0 wi t h probabi lity 1:1. if U ~ x~(k) " ·herc 1.~(k} for four breeds of d a iry uows. The two constituents protein and fat
is the app ropriate ehi -squarc y a Jue for /~ degrees of frecdom and a.re rcgarded as ele ments in a bivariatc norma l distribution. S uppose
p robabili ty 1:1. . t hc co rn puted corrclation coefficie nts bctwee n protein a nd fat, fo r fo ur
+ Theorem 10.19 In t h e prcceding t h eorcm, s uppose i t is clesircd to breecls of dairy cows are
test the h ypo thesis that all the eorrclation eocfficie n ts are equal
P; .028 1 .054 1 .407 .381
without stating wlrn.t t hey are equal to ; t hat is, H 0 : p 1 = p 2 ===
· · · = Pk· The n we can use the quan t ity --::;-- ~1--;;-1--;;--;;-
TI' = L(n ; - 3)(Z; - Z)2
\Vc shall first test the following hypot,heses wit..h t he probability of
as a c hi -square Yariate wit,h k - 1 dcgrces of freedom , whcre typc I e rror equal t,o .05:
Z = L(n; - 3)Z; J. p 1 = O; alternativc h ypothesis is p J > O; that is, t his is a one-
í~; = arctanh /3; a nd
sidccl test. Calcul a.te t he power if p 1 = .2, .3.
Z(n; - 3)
2. p3 = .5 ; a lternative hypothesis is p3 =I= .5; that is, t his is a t wo-
• Theorem 10.20 If p 1 = p 2 = · · · = Pk in Thei-eo m 10. l!l, thcn the sided tes t. Calc ulate t he power if p 3 = .2, .3.
" best" liucar combined estímate p of t he com mon corrclation p 3. p L = p 2 = O; a lternative hypothesis is t hat one of t he equalities
("best" mea.ns weig h ted wit h invcrse Yariance) is g iYen by docs not hold.
p = tan h Z*, wh ere 4 . p 1 = p 2 = p 3 = p 4 ; a lternative hypothesis is tha t at lcast one
Z* = Z- mp * eguali ty does not h old .
2
l. We can use Thcore111 10.15 and have an exaet t est. \;Ve get
w h erc Z is defined as in Thcorem 10.19 a nd
l =
0'.)8
. ~ -.~-
/'>-> - . 13 1
p * =-¡
1 ""A
L..P;
-./i - (.02 ) 2

'"
m =
Lf(n; - 3)/(n; - 1)1
-'-;......;;.~_;..'-'-"'-~~
which is not signi íiean t at the 5 per cent level. Hence \\"C eannot reject
Z(n; - 3) H 0 • The power functio n for p = p* is
T he improvcd es t i mate givc n iu Theo re rn l O. l Gis used to obt,ain t hc
pooled estimatc. {J(p*) = fP:z.
f(p ;p*) dp
2 12 L I NE AR STA'rlST lCA L i\IODELS MODBL 3: REGRESSTOX MODELS

whe re p" is such t hat ..\rctnnh p ~ = a rctan_h O = O. So ~ = .08!J6, an~l we CO lllparc t hi s

p(f.
wi th t he ch1 -squ:ue w1t h 2 d cgrecs oí ireedom . It 1s not sig nili c;int at
=
.95
J f (p;O) dp
- 1 the 5 pe r cen t le ve] ; he nce, we s ha ll not rejcct H 0 .
4 . \Ve can use Theorc m 10.1 9, wh ich is applied by comput,in o- t hc
From D a ,-jd's tables fo r n = 24 a nd p = O we get Pa = .3447. l?t-oin 0
cntrics in T a ble 10.1.
David 's tables (using t hi s va l11e of Pa) we obtain {J (p* = .2) = .2·11 ;
{3( p* = .3) = .42 1. The power using the Z transform ation givcs
1'ADLE 10. l TABLE Fon T r::sn :-ic Pi = P2 = P3 = P.1
/3(.2) = . 239; {J(.3) = .413. .
2. \Ve can use D aYi<l's tables a nd have an exact t est, or we can use 2 ;3 4 S um
l~i sher 's Z trans fo rm ation a nd Theore m 10. l 7. Using the Z trans-
fo rmation we get p,. .0280 .05 40 .4070 .:18 10
Z = arctanh .407 = .432 Z; .0282 .0540 .4:320 .40 12
11o¡ - ~l 2L 25 21 17 84
ó = arctanh .500 = .549 Z;(n; - :J) .5920 l .~500 9.0720 (i.820·1 17.8344
Z[(11; - 3) .O LG7 .07 29 :l.!J l!)l 2. 7::!60 G.7447
Jvar(Z) = (T = - 1- = .218
,J 21 4-.58
:From t he table we compu t e
and 1¿ = (.432 - .549)(4-.58) = -.536
which is not s ig nifi cant at t he 5 pcr cent level. Since u is dis tributed z= ~( 11.; - 3)Z; = ~7 . 344 = _2 lt
3
N(O, l ), thc c rit ica,! region is t hc two inter vals -oo < u< - 1.!)6 and L:(n; - 3) 84
l .96 < i i < oo. T hc Yal ue 1i = - .536 d oes n ot fa ll in t he critica!
rcgio n ; hc n cc, we sha ll not rejcct the hypothesis. vVhen p = .2, wc and lV = ¿(n; - 3)(Z; - Z)2 = ¿(11; - 3)Z7 - Z22:(11; - 3)
get ii d ist ributecl lV( - 1.587, 1). In tegrating t his over thc criLic:tl
regiun gives {3(.2) as approxirnatcly .:l!lO. For p = .:3 t he same procecl- = G.7447 - (.:2 L23) 2 (84) = 2.!l:i!\.
ure g i,·es {3(.3) app rox ima tely . 1!):3 . Ifwe compa,rc this ,-aluc o f rr \\·it h iL chi -square rnriate wit h 3 clcgrecs
The exact test fro m David's tables gives t hc critica ! region as t hc of frecclom at thc 5 p er cen t lcYel of sig nifi cance, " ·e conclude t hat ,rn
t\\·o interva ls - 1. 0 ~ x ~ .130 a nd .758 ~ x ~ 1.0; since p i s not in havc no reason to rej ect t,he h y pothesis that t hese p; are a li estimates of
this region, the hy pothesis cannot be rejected. The power fun ction is t he same p.
In add it ion to t h e a bovc tests, s upposc· Lhat we wa nt (1) the 95 per
{J(p* ) = 1- JP' f (p; p*) cl p cent co nfide nce in terval o n p 4 a nd (2) to pool t he csti mates of p 1 , p 2 , p 3 ,
~/lo
p~, assuming t h at p 1 = p 2 = p3 = P~·
whe re Po a ncl p 1 a re s uch t hat The 95 p er cent Confidence l nlerval on p 4 • ' Ye shall use T hcorem
+Po 10. 21. For a 95 per cen t confidcncc in terval, zª = 1.96, a nd
J f (p;.5) dp = -Q( l - .95) = .025

a nd
- 1

r 111
f (p;.5) dp = .025

Notice t hat a n er¡u a l two-tail t est has been uscd. Using this, wc get
which g ivcs
"
.4 O1 ~ -
l .!)(j
fT77 ~ arctan
vl7
- .0745
.

~ ar clia 1~h
1
1 p ~ .401:2

p ~ .87G!J
l.!l(i
+~
,! L7

p 0 = .1 3; p 1 = .758. Thisgives{J(. 2) = .363;{3(.3) = .1 98. and , fina lly, - .0743 ~ p ~ .70-1-!)

3. \ Ve can use Theore m 10.1 8 with p* = O; we get
Pooling the E stimates o.f p v p 2 , p 3 , and p 4 • T o pool t hc cstimates o f P;
a r cln nh p; .028 into a comb i11ed estimat,e p of p , '~e can use Thcorc m 10.20. \ 'Ve get.
p* = .87/4 = .2175, m = .0434, Z = .2 123, a 11cl Z* = .2076· hen ce ) )

n; - 3 21 25 p = .205.
214 LINEAR S1'ATISTICA L i\CODE LS l\I O D~L 3: REGRESSlON '.'TODELS 215
10.3.3 Pnrtial Co rrel a tion. To gafo a better jnsig ht into hypot hes.es a bo11 t t he pa~·t_i al correlatio n coe~ci en ts . Lct us pa rt ition
r clations hips a.mo ng rando m variables in a mu ltivn.riate normal popula- the 11 rnt nx B as ,,.e part1t10ned V. We obta m
tion , it may be desirable to stratify the popubtion into s ubpopulations
in whi ch o ne o r more of the variables is fixed and then determine the B =(Bu B12\
correlat.ions n. mong the other variables. B21 B2j
This was t he case in observations about how average yea rly tempera- Define Bll. 2 to be (Bu - B 12B 2l B 21), and !et b;n denote t he ~jth
ture x 1 a nd average yearl y ra infall x 2 affected the y ield y of a certain clcmen t of B u.2·
agricu ltura! crop. The simple correlations recorded were
+ T h eor em 10.22 Under the conditions expla ined above, the maxi -
Pvi = .90 Pu2 = - .45 PJ2 = - .55 mnm-likeJihood estímate of t he part ia l corrclation coeffi cient
It is su rp risi ng that t here is a negative correlatio n between yield, .and .. 2 ¡,1b11.-
.. + 1 , ... ,P = b lJ.
Pij•q+ J... .,'J) is p" 1)''1 .. • b'1.2·
..
rainfall ( - .45), since rainfall is expected to incrcase the yield. F<tiftli~r'J Proof : Th is t heorem foll ows immediately fro m Lhe invaria nt prop-
investign.tion reveals t ha t temperature and rainfall are negatively erLy of t hc m aximum-likelihood estimates.
correlated ( - .55), as they sh ould be. Thc con clation b etwecn rainfall + Theorem 10.23 Under the conditions abovc, Lhe eleme nts of the
and y ield in t he subpopu lation derived by holding tempc rn.t ure con- 11mt rix B 11 .2 a re dist ri b ut ed as W[p , (n - 1) -- (p - r¡), V i 1.2J.
stant clarificd the p icture greatly. T his implied t hat, for constant We sha ll not provc t his theorem , bu t a proofcan be fo und in [U]. \Ve
t e mperature, rainfall tends to increase y icld , as cxpectecl. are no w in a p osit io n to state a very important Lheorcm.
In Cha p . 3 th e partial eorrelation coefficient was defined as t hc simple
correlation between two ra ndom varia bles '~·l10n certa in other rando111 + Theorem 10.24 If t he p X 1 vector Y is p a,rtitioncd into (y(I >) ·
y 121
varia bles a re held . constan t. Let t he p X 1 vector Y be distributed
.i.V(µ ,V). ] nrther, let us partition Y into a q X l vector Y<ll a nd a wh ere Y(I J is a q X 1 vector, and i f Y is distrib11ted N( µ ,V), then
(p - q) x 1 vector Y<2 1 such t hat a li th e t heorems 10.11 to J0. 2 1 are va.lid for t hc d isLribut io n of
P ii·N l ,.... v if n is replacecl by n - p + q a nd p is re placccl by
y=(y<O)
y c2¡
P;;·q+ 1. .. .,11·
10.3.4 Example . It is assumed that t hc 4 x 1 vector Y is
From Theore m 3. 10 we know t hat t he condit ional distribution of y w distributed .i.V( µ ,V ). On the basis of 24 observations t.hc following
given Y< 2> is n orma l wit h m ean U 1 + V 12V221(Y 121 - U 2) a nd with co- nw.trix was co mpuLed :
vai·iance ma Lrix V 11 - V 12V2z1 V 2 1 . \iVc sl111ll üse thc symbol V 11 . 2 to
-lü)
10 !) - 1

(-!
denote V 11 - V 12V2z1V 21 . The part ia.I corrclation between Y; and !) 20 - 3 - Hi
Y;[Y; and Y; are in Y!l>] hold ing Yo+i • Yo+ 2 , ••• , y,, constant is equal to S=
- 3 5 3
<1¡¡.q+J ... . v
- Hi - rn 3 27
lt is desired
where a iJ·o+ • •.. .,,, is the ijth ele mcnt in the covt~rian ce matrix V 11 . 2 • l. To find p 12 . 3 4
Suppose a random sample of n vectors Y 1 , Y 2 , • •. , Y ,, is taken :!. To test. t he hypothesis p 12 . 34 = O at t he 5 pe r cent· leve! agn.inst
fro m the norma l distributio n dcscribed a.hove. J t was p roved in pre- t hc a lternati,·e p 1 ~. 3 ~ =I= O
ceding sections t hat the ele ments of the matrix :t To set !)5 pcr cent co nfidence limits on Pu·H
n
l. We fi ne! S JJ ·Z Lo be equal to
(n - l )S = 2: (Y; - Y}lY¡ - Y)' = B
i=l
1 ( 49 - 35)
are d ist ri butcd as W( p, n - l , V). On thc basis of t his fact t hco rems
12G -35 1,285
on simple conelation coefficients were deri ved. \iVe sha ll now state
w it hou t proof a simila r theorem t hat wil l enablc us to es t i mate a nd test and fro m this we get Pi2 · 3 .1 - .139.
216 LINEAR S'l'ATISTICAL l\IODELS l\lODEL 3: REGRESSION MODELS 217
2. Using David's tables with paramet.ern - (p - q) = 24 - (4 - :?) parameters "='{:J., or <J. ~rom this it ~ollows that the condition~l distri-
= 22, we find that the two-tailed critical region is -1.00 ~ x ~ - .42a bution of y g1ven x = X 1s normal w1th mean a + {JX and var1ance a2 ;
and .426 ~ x ~ 1.00. Since p12 • 34 = -.139 is not in this critica[ that is,
region, we do not reject H 0 •
3. The 95 per cent confidence is, by Fisher's transformations, - .53 ~ f (y 1 x = X) = _I_ e-<If2o2 )(11-a:-PX>'I.

P12·34 ~ .30. -
a.¡:x;.
10.3.5 Multiple Correlation. The conditional distribution of t0.4.2 Point Estimation. If n pairs of sample values are selected
y 1 given y 2 , y 3 , ••• , yP is defined in Chap. 3. If the p x 1 vect01· Y is at random from the distribution defined in the previous article, the
distributed N(µ,V), the conditional distribution of y 1 given y 2 , ••• , :Y,, }ikelihood function is
. e-0/2a11)'E(1"-a:-p:z:,)2
isdistributed normally with meanµ 1 +V 12V2l(Y 2 - U 2 )and varianco L = J(y1 ,x¡,y2 ,x2 , ••• ,yn,xn) = li(x1 )h(x2 ) • • • li(xn) - - - - - - -
V 11 - V 12VilV 21 • If we let z = µ 1 + V 12V2;1(Y 2 - U 2 ), t.hen the ( 27T0'2) n/2
multiple correlation coefficient is defined as the simple correlation To find the maximum-likelihood estimates of 0t, fi, and u2, the deriva-
between y 1 and z. The importance of this coefficient is explained in tives of log L with respect to the three parameters are set equal to zero.
Chap. 3. It is defined as This gives (Ó'2 is corrected for bias)

P1- - (1 - ª11·23··. 11)l

p= L(Yi - y)(xi - x)
~(X¡ - x) 2
0'11

so the maximum likclihood estímate of p 1 is

a= y - Px (10.5)

... _ ,. . )1
0'11.23 · · · P -
Pi- (1 - A

<Tu By methods exactly analogous to those used to prove Theorcm 10.1,

We shall next state a theorem concerning the distribution of p1 when we have
p 1 is zero. + Theorem 10.26 The maximum-likelihoodestimates for theparam-
eters 0t, {J, and a 2 in the density defined·in Art. 10.4.1 are given in
+ Theorem 10.25 If Y 1' Y 2 , Y 11 are independent p x 1 vectm'S
••• , Eq. (10.5). These estimates are
from the distribution N(µ,V), then the quantity (1) Efficient (3) Unbiased
(2) Sufficient (4) Consistent
fii n-p
W=------
1- PiP - 1
10.4.3 lnterval Estimation. By the same argument as that
used for interval estimation for case 1, model 3, inSec. 10.2, it follows
is distributed asF(p - 1, n - p) if p 1 = O, that is, if u 12 = · · · = fhat all the confidence-interval statements in Art. 6.3. l hold for ix, {J,
O'¡p =o. and u2 in case 2, model 3.
10.4.4 Tests of Hypotheses. Again by the same argument as
that used for testing hypotheses for case 1, model 3, in Sec. 10.2, it
10.4 Case 2, Model 3 follows that tests of hypotheses on 0t, /3, and u2 as defined in Chap. 6 have
10.4.1 Definitions. Case 2 of regression models is defined by the the same probability of a type I error if the model is case 2, model 3, as
following densi ty function of the random variables y. x: defined in Art. 10.4.l.

h(x)e- U/2172 ><u-a:-pz)'I.

j(y,x) = - - - - - - 10.5 Case 3, Model 3
uJ2tr
10.5.1 Definitions. Let x and y have a bivariate normal distri-
where h(x) is the marginal distribution of x and does not contain the bution with means µ 1 and µ 2 , variances <Ti and a~, respectively, and
218 LINEAR STATISTI CAL MODEL S :'ILODEL 3: REGRESSJON MODELS 219
covari a nce a 1 2 . Suppose, however, that wc can not observe y and :r, f ,, wou ld b e an unbi ased estímate of Y., if Po and p1 wcre unbiascd esti-
but t hat we observe u and v where i i = x + d, v =y + e, where e and ¡natcs of {3 0 and {3 1 , rcspcctively . U nfort unately, X ; cannot be m eas-
d a re measurement errors t hat a re indcpcndent normal variables with ured; so " ·e must use it in place of x to estímate y . T hat is to say, we
111 ust use the regrcssio n of y on it, whi ch we s hall write as Y,. = et.o + rx 1 U,
mean s Oa nd variances ~ and o~, respecti ,-ely. Also, let e and d be i ndc-
pendent of y a nd x . where
The main objcctivc in a model such as th is is to use t hc rcgression et.·o = µ2 - 2 ª+12 2 µ1 a nd -
Ct.1 - 2
<112
?
fun ctio n of y and x to predict y fro m a knowledge of x . However, ª1 ªc1 a1 +a;¡
b ecause of meas urement errors, y and x canno t be obser ved. This was Therefo re, Y u = &0 + & 1 U is an unbiascd estímate of Y,, if &0 a nd &1
the case in a n cxtensive set of m easurements on t he cons tituents in are unbiased estima.tes of rx 0 a nd rx 1 , respectively . Again t here is diffi-
cow's milk. It was desired to predict t he per cent p rotcin in cow's cul ty, beca.use we cannot take pairs of valucs ii;, Y; in order to obtain &0
milk by measuring the per cent butterfat, sincc the per cent bu tterfat and &1 . The only pairs of values t ha t ca.n be obscrved are it;, v;.
is fairly inexpensive to measure. H owcver, in a given day 's milk from Therefore, we s hall examine the regression of v on ii, d cnoted by V,. =
a cow, the per cent butterfat and per cent protein cannot be measu red Yo + y 1 U, wherc
acc urately . A few samples of t he total day's production of milk is
taken and measured ; so u and vare observed instead of y a nd x . Yo = µz -
ªi
+
,, ª12 , µ1
cr;¡
and
Y1 --
CTj"
+ a;¡.,
,, ª12
In one sense there is a lways meas urement error present when continu-
o us variables are involved. T he experimcnter must decide whether Therefore, Yo = et. 0 a nd y 1 = et. 1 ; so wc observen p a irs of values 'lL; , V ¡

t hese measuremen t errors are large enough to be of importance or can and gct
:E(u; - ii:)(v; - v)
b e ig nored. and
A

Y1 = IX¡ =
A

Returning to t he a bove definitions of x, y, it, a nd v, we have, by :E(n; - 17,)2

Theorem 3. 22, the following properties:
l. u and v have a bivariate normal distribut ion with means µ 1 and
µ 2 , variances ªT + aJanda~ +a;, r espectively, a nd covaria nce a 12 .
2. u a nd y havc a bivariate norm a l distribution wit h mea.ns µ 1 and
µ 2 , varia nces ai + a~ anda~, resp ectively, a nd covariance a 12 .
3. v and x havc a bivariate normal distribution wi t h means µ 1 and
µ 2 , varia nces a~ + a~ a nd df, respect ively, and covaria nce a 12 .
4. x and y h ave a biva riate norma l distribution with means µ 1 and
µ 2 , vari ances ai anda~, respectively; and covariance a 12.
10.5.2 The Regression Functions. In functional relationships,
say Y = rx + {3X, the problem is to estímate rx and {3 . If & a nd Pare
unbiased estimates, f = & + px is an unbiased estímate of Y.
If t h ere is no functional relationship betwcen two random variables
y and x but if they ha ve a bivariate normal distribution, t hen t he regres-
sion function of y on x can be used a s a predictor. The regression
function is the expected value of y in t he condi t ional distribution of y
g iven x = X. \ i\Te sha ll write this
E(y 1 x = X ) = Y., = {3 0 + {31X
where ª12
{3 o = µ2 - -;;- µ1 an d {3i -- <112
a¡ ai
T he problem then reduces to taking a set of n pa irs of values y¡, X¡
and estimating {3 0 a nd {3 1 . Y.-le could t hcn wri te f ., = Po + 81 X, and
T hen f., = Yo + y1 U can be used to predict y . This is t he solutio n to
t he problem t hat wc set o ut to obtain.
10.5.3 Exampl e . The ideas in t he previous articlcs concerning
case 3, model 3, will be cxpanded by cont inuing t he example g iven in
Art . 10.5.1. Let x , y re present respcctively t he per cent butte rfat
content and per cent protein of one day 's product ion of milk o f one cow.
If we consider a li t he x, y valnes for a ll cows in a g iven dairy herd for a
period of a ycar or mo re,- we can i magine x, y as having a biva l"i ate
normal d istribu t ion with parameters as given in Art . 10.5.1. It would
be desirable to know the per cen t protein of each day's p roduction of
each cow. Th is seems impossible to predict for future days. One
altcrn ative is to choose one number a nd use it to represent each future
day's production for each cow. The number t hat would be selected is
t he mean of the y val ues, t hat is, µ 2 • Si nce ¡.t 2 is t he mean of a norma l
population wit h varia nce a~, it fol lows that, regardless of t he t rue value
y of a given qua ntity of mi lk , we would know t hat about 05 per cen t of
t he t ime, t he t rue va lue y will be within 2a2 uni ts of µ 2 . Sin ce µ 2 is n ot
known, a few samples would b e take n a ndan estímate fi 2 = 'fj obtained.
T herefore, fj would be uscd to represent µ 2 , which is t he best number
:wa.ila b le to represcnt each cow 's daily production of per cent p rotein.
The va.ri a ncc of y is aª/n. Since a day's producLio n uf milk for each
cow is (say) i n th c neig h borhood of 3 or 4 gallons, t he exact pcr cent
protcin for t his amount could not be measurcd. A few samples would
220 LINEAR STATISTICAL MODELS MODEL 3: REGRESSION l\lODELS 221
be secured and the per cent protein ascertained. Accordingly, we ob- The following data are assumed to be a random sample of n vectors
10.2
serve not y but v. So we cannot use y to represent µ 2 ; we must use from a bivariate normal:
instead v obtained from a sample of n. However, since E(v) = µ 2,
v, like 'fj, is an unbiased estimate of µ 2 • The variance of v is (a~ + X¡ 6.8 17.3 15.1 26.7 13.2 5.2 17.1 8.3
<i;)/n, which is larger than the variance of 'fj. We must paya price for
not being a ble to measure y exactly, and this price is the increased vari- '!Ji 27.0 35.1 36.2._ 45.1 32.8 27.1 39.5 30.1
ance of the estimator of µ 2 •
The experimenter may feel that µ 2 is a poor number to represent per Use T,!1eo!em 10.9 to test p.' = (15, 30).
(a)
cent protein of a day's production of a given cow, and he may prefer to Find P0 , {J1 and test P1 = O.
(b}
find something better. Since x, y are distributed as a bivariate normal, Set a 95 per cent confidcnce interval on p1 •
(e)
(d) Set a 95 por cent confidcncc interval on p .
the regression of y on x can be used to represent per cent protein if the 0
10.3 Evaluate K in the integral in Eq. (10.4).
per cent butterfat x can be measured. Thus Po + P1 X would be used 10.4 Prove Theorem 10.5.
to represent the per cent protein of a certain cow's production on a give11 10.5 Prove Theorem 10.12 by using Theorem 10.11.
<lay, where X is the per cent butterfat ofthat particular cow's milk on 10.6 Prove Theorem 10.13.
that particular day. 10.7 Prove Thcorem 10.14.
By normal regression theory we know that the conditional distribu- 10.8. S~ppose the foll~wi_ng e_stimates of correlation coefficients were computed
from b1var1ate normal d1str1but1ons (n¡ a1·e the respective samplc sizes}:
tion of y given x has a mean of Po + p1 X and variance

ai(l - ui~
U~2) = u2 Pi .04 .05 .81 .72

So it follows that, if Po + p1X is used to represent the per cent protein 100 120 90 95
of a quantity of milk when X is the per cent butterfat of the same
quantity, then, about 95 per cent of the time, the true value y will
(a) Use Fisher's transformation to test p 1 =O against the alternative p >o.
be within 2cr units of {3 0 + {J 1 X. Then, since a 2 ~ ~' the regression (b) Use Studcnt's t to test p 1 = O against the alternative p > o.
1

estímate is generally better than using µ 2 •
Since x is never known, the quantity {3 0 + {J 1 X cannot be used even
if {3 0 and {3 1 are given. What is needed is a regression function based
on ii, the obsm·ved butterfat content. The regression equation Y" =
cx 0 + <Y. 1 U, bai:;edon thedistributionofuandy, can beused. However,
cx 0 and ix 1 are unknowns. So, as explained in the preceding article, the
regression of u on v can be used to obtain an unbiased estímate of o: 0
and (X 1 , and then f" = &0 + oc 1 U can be used as the prediction equ&tion.
10.9 . In Prob. 10.8, use :F'isher's transformation to test p~ = Pz against tho
alternattve p1 p2 •*
10.10 (a) In Prob. 10.8, use Fisher's transformation to test the hypothesis
p4 = .80 against the alternative p 4 =fa .80.
(b) Compute the power of the test for p = .70, p = . 75, p = .85.
10.ll In Prob. 10.8, use Fisher's transformation to test Pa = p4 = .75.
10.12 In Prob. 10.8, use Fisher's transfo1mation to set a 95 per cent confidence
interval on p3 •
10.13 In Prob. 10.8, use Fisher's transformation to set a 95 per cent confidence
interval on p 4 •

Problems
10.14 n:
p 3 = p 4 , use the data in Prob. 10.8 to find a combinc~d cstimatc>.
10.15 Thc 3 X 1 vector Y is dist.ributcd .V(p.,V). On thc basis of lOO
10.l If (xi, Y;), wherc i = l, 2, ... , n, is an n-sample from the bivariate observations the following matrix was ·computA.>d:
normal distribution defined in Art. 10.2.2, show:
(a) ¡1 1 = x is an unbia.C)ed estimate of µ 1 .
(b) ¡1 2 = 'fj is an unbiased estimate of µ 2 •
96 67
-10)
-~:
1
48 -8
(e) - -
n - 1
:I:(x; - x) 2 is an unbiased estímate of 0'11 • s = -8
(
20
~(Y;
1 Find Pt2·3 and P13·2·
(d) - - - y) 2 is an unbiased estímate of a 22 •
n-l 10.16 In Prob. 10.15, test thc hypothesis p 12•3 = O against the alternativa
l P12. 3 -=;é O at the 5 per cent level.
(e) -- ~(xi - x)(yi - 'fi) is an unbiased estímate of a 12• 10.17 In Prob. 10.15, set a 95 per cent confidence interval on p13•2'
n - 1 .
222 Lt N"EAH. S'l 'A'l'I S'l 'I CAL MODE LS

Furthe r R eading
1 A . :!\ [. l\lood : ··rn troduutio n Lo Lh e Thcory o f St.atis tic::<," i\IcGraw-lii U
J3ook Compan>·· Tnc .. ~ew York, Hl50.
2 P. C.:. Hoel : ' ·In t roduct.ion Lo í\IaLhem at.ical S t at is t ics," J ol m \r iley & Sons
Inc., X cw Yod ;:. l !:l5ü. '
3 ~ [. G. K endall : " The Ad,·anced-Tl'heo ry oí. 'tatisLics," ,·ols . I, II, Cha rles
C:riffin & Co. L td. , L ondon, 1946.
4

5
0. \ 'V. i::inedccor: '"Statistical l\letho d s, .. Iowa Stat.e Collcge P ress, Ames,
lowa, 1958.
H. L. Ande rson a nd T. A. Banc roft: "Stat is Lica l Theory in Research,"
11
McGt·a\\·-Hill Book Company, In c., New Yol'I<, 1952.
ó T . \ V. A nderson : " A n In Lroductio n to Mu lt in tr iate StfitisLical An a lysis,"

7
.Jolin \Viley & Sons, I nc., New York, 195í.
~- :-;, \\'ilks : " Mat.liem atical SLatis t ics," Princeton Univei·s ity P ress,
Model 4,: Experiinental Design JVIodels
P 1·i111:cl o n, N .J., 1 94:~ .
8 C. H . Rao: "Ad v a nccd fltaListical M ct,h o d s in. B iom et 1·ic Research ," J ohn
\\'il<>y & S ons, In c., New York, U:l52 .
9 F . :": . Dav id : "Tables o f t he Correlation Coef'fic ie nL," Biome t rika O ffice,
Uni vet'Rity College, L o ndon , 1938 . 11.1 Introduc tion
10 H.. A. F ish er: F requcncy Distribut ion of Lh e Values o f the Correhition
(\¡cffl c ien t in Sam ples from an I n d c fin il e ly Largc Popula tio n, Biometrika, In Ar t. G.3.4 it was stated t h at model 4 is defined as
\ 'O I. 10, pp. 5Üí-52 l , 19 15.
11 H. A. Fis het·: On t he Probab le E n ·o1· of a. Coeffic icnt o f Correlation Deducccl Y = f31X1 + f32X2 + · · · + /31;Xk +e
fro m a ~ma l! i::ia.mplc, 1llctron, vol. 1, p a rt, 4, pp. 3- 32, 192 1.
12 H. A. F isher : T he Distrib11 t io n o í t,hc Par t.ia l Corrclatio n Coefficient,
where y and e a re random variables, /3; a re unknown paramet ers, a nd
J fi.ll'un, \"O I. 3, pp. a29- 332, HJ2 l. the X; take o nly t he values O a nd l. T o expla.in t his in more detail ,
13 H.. A. F ishe r : T lw Ucnera l :-iampling Dist1·ibut.io n of t hc Mult iple Cor rclation Jet us consider two examp les.
Coefficient, P roi;. Hoy . Soc. Lo1ulrm, ser. A, vol. 121, pp. 654-673 , 1928. Suppose a manufactu re r of light bu lbs, looking for \\·ays to increase
t be life of his p roduct, has developed two che mical coatings to p ut on
t he fila ments of t he bu lbs. If no coating is put on t he fil a mcnt, t he
bulbs will Jast a n average of µ (unk nown) hr. T he manufactu rer
assumes t hat, if he p uts coating 1 o n the fil ame nt, it will increase t he
fila ment life by T 1 (unknown) hr and t hat , if he uses coating 2, it will
increasc the life by T 2 hr. Now, he would like to fin d T¡ a nd Tz, t he
·number of ho urs t hat coatings 1 a nd 2, r espectively, leng t he n t he life of
the bulbs ( T 1 or T 2 may be zero or negati ve), and T 1 - T 2 , t he difference
between t he effects of t he two coat ings . T o evaluate t hese constants
the manufacturer could m ake a b ulb wit h coating l ét nd t est it to see
how many h ours it will last, Lhe n m ake a bu lb wit h coa.t ing 2 a nd see how
many ho urs it will last. The model can be \\Ti tten

Y1 = µ + +e T1 1

Y2 = µ + 7 2 + e2
where Y; is the n umber of h ours t hat the bulb \\·ith coating 1· lasts, and
where ei is a r an dom error d ue to.all t he uncontroll ed factors, s uch as
nonconstant voltage, imperfections in t he manu fact ure of t he va rio11s
223
2 24 L l NEAR S'l'A'l'l STI CAL l\fODELS J\IODEL 4: EXPERil\lEN'l'AL DESIGN J\lODELS 225
corn p on ents, t emp cra.t ure, an<l h umidit y . No w, t..hc mirn ufacturct or in matrix notation as Y = U ex + e, or
will p ro ba bly not b e contcnt to d raw conclusio ns based on o bscrval,ion Yn 1 O
of o nly one lig ht b ulb for each coating. L ct us sa.y t ha,t he decides to
m akesix bu lbs a ncl coat t hrec wit h chemical 1 a nd i hree wi t h chcmi cal 2. Yl'!. 1 O
T he moclcl can be writtc n o
+ C13
1
Y 11 = µ + Ti + e11 (C'/·1 ) ( 11.4)
o 1
Y 12 = µ + Ti + e 12
Cl.2 e?.1

Y 13 = µ + T i + e 13 ( ) l.J )
o 1 e22

Y21 = ft + T2 + e 2 1 Y2:J o l C23

Y22 = µ + T2 + e22 T he U ma.t..rix is G X 2, a n d its rank is 2. H encc, this m atrix is of

Y 23 = µ + T2 + ez:i full ra nk, and a li t he t hco rems of Chap . Gare applicable fo r estimating
or , more compactly, and testing hypothescs n.bo nt t hc clcments (/. 1 a nd C'l. 2 • So, when t he
Y;; = µ + T; + e;j i = 1, 2; j = l , 2, 3 1nn.trix is not of full ra.nk, we use t his a.lternati'rn approacb . T he mo<lel
( J 1.4) is cu,l led a repararnetrization of t he model ( 11. 2) . \Ve shall de tine
where Yii is t..he obser vcd ho nrs oí li re of t hejth bn lb (by somc systcm of
Lhis t rans form a.t ion l;tLcr .
ident ifica t ion) t hat has recei rnd t..hc i t..h chcmica l coating, a nd whcre e;;
r\ s 1tnothcr cx:unplc, s upposc a rcsearclicr \\·a.nts to measure t hc cffoct
is t he a ssocia t ed ra.ncJo rn e1To r.
of t \\'O diffcrent chemical compou nds ancl two d ifferent methods of
If we write t he a bo,-e system in ma.trix forrn simila r to t..hat.. uscd fot· -
Jnodel l , we get Y = X f3 + e, or applying Lhcsc compo un ds on t he yicld of a certain variety of corn.
Su pposc T¡ is t he cffect.. of t he ith ch emical (i = 1, 2) a nd /3; is t he effect
Ya l o (? ll of t he .ith method of ap plying t he compo unds (j = 1, 2) . If t he
o rrscarchcr ass umes t ha t t..he effects a re add iti ve, he mig ht assumc t he
Y12 <' 12
following modcl:
Yl3 l o C¡ 3
( 1l.:!) Yn = µ + T i + f31 + e11

CJ
..L
1

Y2 1 o l C2 1 Y 1:1. + r1 + fi2 +
= fl e 12
(11.5)
Y22 1 o J e~:! ?/21 = µ + T2 + Pt + €21

Y22 = µ + T2 + f32 +
Y23 l o C23
e 22

I n t his case X is <L 6 x 3 matrix, a nd its rank is 2. H encc, t.. his modcl 0 1' Y;; = µ + T¡ + {Jj + €¡; i = 1, 2 ; j = 1, 2
is no t of ful! rank, a nd t he t heore ms of Chap. G a re not i rn mcd iatcly where YiJ is Lhc obser vcd y icld of cor n on a certain plot o f gro uncl. T he
a p pli ca ble for estimating a nd t cst,ing hy potli cscs abo ut t hc comp oncnts rcscarcher is ass uming t hat.. t hc obser vation Y;; is cq11a l t o a constant µ
of [3, t ha.t is, µ , ..1 , T 2 . (Lite average yielcl whcn no chc mi cal is applie<l) p lus t he cffect d ueto the
Suppose t hc ma nufacturer is intcrcs tcd o nl y in µ + T ¡ <Lntl ¡t + -r 2 ith che mical, p lus t he e ffcct d ueto t hc.fth mcthod of app li cation, p lus a
r ather t ha n in T i a nd T 2 . l f wc writ..e µ + T 1 = (/. 1 a ncl ¡t 1- T 2 = !:1. 2 . random erro r d uc to a.JI t he uncont rollcd facto rs, s uch as differences of
we can write t he moclel as fcrt ility amo11g t he p lots. T hc cxpcrimentcr m ;Ly dcsire to test or
Yn =+ e ll
C'I.¡ estimatc t hc pMa metcrs ¡.¿, T;,.fl;· Jn mat rix notat..io n t his m oclel is
Yi2 = C'I. ¡ + C 12 Y1t l l o 1 o µ eu
?Ji 3 = C'I.¡ + <' ¡ 3 Ti
( 11.3) Y12 l o o l e.12
Y2 1 = C'l.z + ez¡
T2
-
o 1 o Pi +
Y22 = + C'l.2 e 22
Y2 1 C:!. l

Y23 = u"2 + e2:i Y22 l o 1 o 1 f32 €22

226 LTN"f:AR S'l ' A'l'J S'l 'ICAL i\IODEL S
The X matri x is 4 x 5 w it h r a nk :3, a.ncl d ocs n o t. fit into t h e fra me-
work of m odcl l . I n defining m odel 4, we have s t ressed t h e fact that
the X i can tak e only Lhe values O a nd l. H owever, i f t his we re t he only
distin et ion betwee n model 4 a nd rn odel l , a ll the theo re ms in Chap. 6
would be a ppli ca.b lc to model 4 a lso . The main d istinct ion to be
n oticed bet\\·een mode l l a nd modcl 4 is t hat in mod cl 4 t he rank ofthe
n x p (p ::::;; n) ma trix X is equa l to 7~ < p. Thus t h e rnat rix X'X
w hich occurs so frequ e nt ly, <loes not h ave a n inverse. H ence. th~
t heore ms in Chap . G a re not di reet ly a ppli cable to model 4. ' t he ra n k of t h e cocfficie n t matri x (si n cc a ug mc n t i ng a mat ri x by a nother
\ Ve sha H now form ulate a de finition of nwdel 4.
+ Definition 11.1 If t he linear matrix model Y = Xf3 + e is as
d e fined in Definit ion G. l exccp t t h a t t he mat rix X eonsists of O's
and l 's a nd t hat t he r:tnk ofX is eq ual to k < JJ, t he n Y = Xf3 + e
w ill be call ed m o<lel 11, somc t irnes refcrred to as a genernl-linear-
hy pothcsis rn odcl of lcss than foil rank o r a n experimen tal design
mode l.
Two cases wi ll be diseussed:
Case A: T he Yector e is distri buLed 1\ (O,a2 1); t hat is, the e rrors are
indepe ndcnt normal va.ria.bles with means O and va.ria nces a 2 .
Case B: Thc ,·ccto r e is s uch t lrnL E(e ) = O;wd co,·(e) = a 21 ; t hat is,
t he errors are 1111correlated, " ·ith mea.ns O and Yaria nccs a 2 •
\Ve s ha ll be intercsLed in t hc fo llo wing:
l. P oin t estim ::ttes of a 2 a nd ccrtain linea r fun ctio ns of the {3¡
2. lnten ·al csLimatcs of ccrLa,in linear fun ctions o [ t he (Ji
:3. T ests of t he hy pothesis t hat cer tain Jinca.r functions of the
p a ra.met ers a,re equal to k nown const a nts
4. Tes ts o f t he h ypo Lhesis_fi 1 = {3 2 = · · · = {3" (q ::::;; p)
\i\'c shall examine itc m l for boLh case A a nd case B , but 2, 3, a nd 4for
case A only.
11.2 Point Esti m a tion
\Ve sha ll füst discuss p o i ntest imatcs oflin car functio ns ofthe {3; uncler
case B. W e s hall assumc moclel 4 , Y = Xf3 + e, whe re X is of o rcler
n x p a,nd ran k k < p ::::;; 11, and whcrn the e rrors a resuch t hatE(e) = O,
E(ee') = a 2 I.
11.2.1 Point Estímate of a Linear Co mbination of {Ji under
Case B. If \l'C use l c~tst s q nares, \l' C musL minimizo e'e =
(Y - X f3 )'(Y - Xf3). The p a rLia l de ri v<tLi,·c of e 'e wit h resp ect to ~
g i,·cs
a(e'e) = 2X'Xf3 - 2X ' Y
ª f3
If t his is set e qual to O, t he resul t ing n ormal cquatio ns a re X ' X~ = X ' Y.
l\LO D EL '1: l~XPERBLE N'l'AL DES ICN MOD ELS 227
If X is offull rank, X 'X hn.s n,n in ve rse a nd the sol u t ion for pis u ni que,
and t his is an unbiased estímate of (3 . H o wevcr, if X is of less th an full
rank , t hen X ' X has no invcrse, a.nd we must c xa.minc t he system to
see \rhcthe r a solnti on e x ists. Using T heore m 1.5 1, we see t hat the
cocfficic nt matri x is X 'X = A a nd t h at t he a ugmented matrix is
(X' X 1 X ' Y) = B . W c can '''tit e B as X ' (X 1 Y); t hus, t he r a n k of Bis
Jess t han or eq ua l to the nin k of X ' (w hich is precisely t he ra nk of A ).
But t he rank of t he·a ugmen ted m atrix m ust be g rea ter than or equal to
matri x or vector ca nnot decrease t he d imcnsio n of t hc largest non-
yan ishing d etermina nt in t he ori g ina l ma trix) . H en ce t he ra nk of
(X'X 1 X ' Y) must be equal to t hc rank of X 'X , a nd t he syste m is
consisten t . HoweYc r, sin ce X ' X is ofd imc nsion p x pand rank k < p ,
Thcorem l. 5 2 states t hat t herc a re a n infini to nnm bcr of d iffe rent
ycctors ~ t hat satisfy X'X~ = X ' Y . Thi s d oes no t secm to be a very
happy state of a ffa ir. , fo r two rescarchers with the same d ata, both
using t he sa me mcLhotl o f cstim ation , ca n d raw different conclusions.
Sincc a ny solu t io n to t hc no rma l cquations X 'Xp = X ' Y for p will be
linear fun ctions of t he o bscrTa.tion vecto r Y , it might be in teresting to
see ,,·hethe r t here a re any li nca r fun ctions of Y whatsoe,·e r t h at g ive rise
to mibiased estimates of (3 . L et C be a p X n matri x whose elcme nts
are constants indcpendc n t o f (3. D oes thcre exist a C such t hat
E(CY ) = (3 1 If so, ,,.e gct, E[C(Xf3 + e )) = CX (3 a nd , if CY is un-
biased, t h is must eq ua l (3 , or CX = l. But Lhis res ul t is i mpossible,
sincc C X is at m ost of ran k k a nd I is of ran k p > k. So t he re exist no
linear fun ctio ns of t he obser vatio ns y¡ t hat yield unbiased estimates
of (3.
It wou ld seem natural Lo investiga.te next whethc r t here exis ts a n
nnbiascd estim a.te of a.ny linea r combinatio n of t h c {3; . That is to say,
if :A is a known p X l vecto r of co nstants, <loes t here cxist a n unbiased
estimate of A.' (3, wh ere A. ' (3 = L.?..;{Ji? T hi s is cert a.inl y n ot true for
every A. ; fo r, if },t = O for a li t except t = i and if },i = l , t he n A.' f3 = {3;,
and ifLhere we rc a n un biased estímate of A.' (3 = {Ji t he re would t h e n be
a n un b iascd estima.te of (3, a nd we h avc shown a.bovc t hat t here is n one.
Befo re proceed ing Jurt hcr wc s hall fo r mulatc two useful clefinitio ns.
• D efi ni tion 11.2 A para.meter (a. function of paramcters) is said to
be estima,ble if the rc exists ::in unbi a. ed estima.te of the p aramct er
(of the fu nctio n of t hc p ::iramctc rs) .
• Defi nition 11.3 A p arametcr (a fun cLiu11 of param eters) is said to
be linear/y estima ble i [ t he rc ex ists a, li near co mbination of the
observations w hose exp ectcd value is cqual to the par ameter (the
fu nctio n of p arameters) , i .e., i f t he re exists a n u n biased es t i mate.
228 LTNEAR ST ATISTJCAL ?ll O DF. LS
Througho u t t his chapter, iinless spec~fica lly statecl othen vise, we shall
m ean linearly estimable whcn we say estimable.
\Ve sh all now pro ve a t heore m t hat will a id in d etermining w hether a
·given linear fun ction is estimable.
• Theorem 11.1 In model 4 , case B , t he linear combin a.tio n A.' (3 (A. is
1
a Yector of kno,,·n consLa nts) is estima ble if and o nl y if t hcrc ex ists
a. solut io n for r in t hc equatio ns X 'Xr = A..
P roof: \ i\1e shall let S = X 'X. \ Ve need to show t hat t here is a vector
b s u ch that E( b ' Y) = A.' (3 if and only if t here exists a Yector r s uch
t hat Sr = A.. If A.' (3 is esti ma ble, therc is a vecto r b su ch l hat
E( b' Y) = b 'X(3 = A.' (3
which implies that b 'X = A.', or X ' b = A.. This implies t hat the
mnk of the coefficicn t matri x X ' equa ls t he ran k of t he a ug mentcd
matrix (X' 1 A.). If Lhis is trne, the n t he ra nk of X 'X equals t hc
ra nk of (X ' X 1 A.) a nd , he n ce, S r = :A has a solu tion for r. On thc
othe r hand, if Sr = :A has a solution for r , t iten " ·e can \\Ti te
X '(Xr) = :A a nd !et b = Xr.
\Ye s ha.ll now proYc a Lheo rcm for mode l 4 a na logous to t hc Causs-
Ma rkoff t h eorem fo r model 1.
+ Theorem 11.2 In model 4 , case B , t he best linea r unbiased estima te
for any est inrnblc fun ction :t..' (3 is r 'X ' Y, whc rc r satisfics t hc
eg uation S r = :A.
Proof: L et u s ass ume t ha.t the best linea r 1111 biased estima to r of :A' f3
is b ' Y , whcre b ' = r ' X ' + a ' . T hus b is completely ge ne r:tl,
s ince a is genera.l. \ i\'c must d et ermin e t he vector a s uc h t ha,t
(1) E(b' Y) = :t..' (3
(2) var( b ' Y) is lcss t ha n an y other linear fun ct ion of Y t hat sa.tis-
fies (1)
F or unbiased ness, we get E( b ' Y) = b 'X(3 = (r 'X' X + a 'X ) (3 =
:t..' (3 . Sin cc on r hy pot hesis states t h at Sr = :A, we must have
a ' X = O. Also,
var(b 'Y) = E(b 'Y - :t..' (3)2
= E[( b' Y - :A' (3)(b' Y - :t..' (3)']
= E((b' X(3 + b'e - :A' (3 )(b'X(3 + b' e - :A'(3)'J
= E L( r 'X'X(3 + a ' X(3 + b 'c - :t..'(3)
X (r 'X'X(3 + a 'X(3 + b'e - :t..' (3)']
= E( b 'ee ' b ) = a b 'b = rr (r 'X'
2 2
+ a'Y(Xr + a)
= a~r 'X'Xr + a 2 a ' a
(using the fa.et that a'X = O).
!ILODEL 4 : E:X P .C:Rl l\!EN'l'A L D ESJON i\IODELS 229
T herefore, to mini m izo var(b 'Y) \\'e m ust minimi ze a'a = La[.
This is a mín imum w hcn a = Oa.nd t his is consistent with a ' X = O;
hc nce, b ' = r 'X ', a.ntl t he bcst linear un biased estimate of the
estimab le fun ction :t..' (3 is r ' X ' Y.
Sincc S is not offu ll ra,nk , there are infin itely many solu t ions to t he
system Sr = A. if :t..' (3 is a,n estinrnble fu nctio n. H owever , wc shall
110 w p rovea t heore m on 11ni que ncss.
• Theore m 11.3 If :t..' (3 is a n est im a ble function, t hen a ny vector r
t hat satisfics Sr = :A g ives t hc same es t i mate of :A' (3 ; t hat is, if r 1
~
and r 2 both sa,tisfy Sr = :A, t hc n r ;X' Y = r~X' Y = :A' (3 = :t..'~-
Proof: L et ~ be a ny solu t ion to t he syste m X'X~ = X ' Y. Using r 1
and r 2 , wc have r; X' X~ = r ;X ' Y and r~X'X~ = r~X' Y. But
/'.
r; X'X = r~X' X = :A' by hy pot hcsis; hc nce, :t..' (3 = r;X' Y = :A'~
,,./"'- ~
and :t.. ' (3 = r~X' Y = :t..' (3 .
~
That :t..' (3 = :A ' ~ mcans t ha.t, if :t..' (3 is estim ab l ~, :A ' ~ is t he estímate,
wherc ~ iR a ny soluLion to t he n or mal cquations .
I t wi ll be i m por ta.n t to lrno w how ma n y linear fun ctio ns a re estimable,
but first we sha ll formu late t he fo llowing .
• De finition 11.4 Thecstima b le fun ctions :t..;(3 , ~ (3 , . .. , A.~ (3 aresaid
to be linearly indepenrl<'nl P~sfimablefimctions if t hcrc e xist vcctors
r 1 , r 2 , . • • , r ,,such t hat Sr 1 = :A. 1, Sr 2 = :t.. 2 , • . . , Srq = A.Qand if
t hc vecto rs :t.. 1, :t.. 2 , • • • , Aq are linea rly indepc ndent. If t he A; a re
not linearl y indepc ndc nL b u t if t he matri x f\. = (:t.. 1 , :t.. 2 , • . . , :t..0 ) has
n1nk t, then t he set conta ins t Jinearly indcp_endent estima ble
fu nctio ns.
• Theor e m. 11.4 Therc are cxactly k linearly inclep e ndent estima ble
functi ons, whe rc k is t he rank of X .
Proof: ·w c must s how t hat t he re a re exacLly k linearly independent
vecLors :A t hn,L lcad to a solu t ion fo r Sr = :A, whe re k is t he ra nk of
X . Tf therc a re q vecLors sat;isfy ing Sr = :A, !et them be A¡, :t.. 2 ,
... , :t.. 0 (q > k). T hc n , by Thcorcm l l.l , t herc ex ist q vectors
r 1. r 2 , . •• , rq s uch that Sr 1 = :t.. 1 , Sr 2 = :t.. 2 , . • . , Sr"= :t..,,, or
S (r 1 , r 2 , • • • , r ,,) = (:t.. 1 , :t.. 2 , • • • , :A"), or SR = 1\., whe re R is Lhe
p X q 11mt ri x (r 1 , r 2 , . • . , r ") a.ncl f\. = (:A¡ , :A.2 , ••• , :A,,) .
B u t S is of ra nk k; so f\. m ust be at most of ra n k k; hencc t here
can be at m ost k lincarl y inclep cnd ent estimable fon ctions.
Lct Xf be the ith row o fX. \Ve sh a ll s how t haL x; (3 is estima.ble
for every i. To sh ow t hat x; (3 is es t i ma ule we 111 ust show th at
X 'Xr = X ;adm itsasolut ion r . T heran k ofX'X cg ua ls therank
230 Ll ' EAR STA'l 'lS'l'lCA L l\lO UBLS
l\lODBL 4: E XPBRU.IEN 'l' AL DESlGN l\IODELS 231
o f (X ' X 1 X ;). H en ce, x; (3 is es t i mu.ble for i = 1, 2, ... , n. But co111bina tion ofthe bcst linear unbiasetl est.imates ofthe estimable
these X ; fo rm a. set of k linearly indepcndcnt vecto rs, and the fun ctions; i .c., if (X'Y (i = 1, 2, ... , q) al'e the best linear unbiasecl
t hcore m is provccl. est imates of the estimable functions J..; {3 (i = 1, 2, . .. , q), then
Ncxt we sh all extcnd Defi nition 11.3. l.a ;r¡X 'Y is t he bei:; t linear unbiased estímate of La;A; {3.
+ Definition 11.5 L et A bca matrix s uch t hat A = (A 1 , A 2 , . • . , A) Thc proof will be Jcft for the reader.
- 111

where A ¡ is p x J . \ Vhe n we say that t hc matrix fun ction A'(3 is tt.2.2 Examples. To illustrate the preceding theorems, Jet us
estimable, we sha ll m ean that each A; (3 is estima ble (i = 1, 2, considcr the model give n in Eqs. (11. l ) a nd (11.2) .
. . . ,m) .
• Theorem 11.5 X (3 a nd X'X (3 are estimable. Y;; = µ + T ; + e,.; i = 1, 2; j = 1, 2, 3

The proof " ·ill be left for thc reade r. As a consequcnce of t his Wc hiw c a iread y s hown tha t (3 is n ot estimable, since X is oflcss than
thcore m , E(y;) is estima ble fo r e very i , sin ce E( Y) = X(3. full rnnk. Thc first question we shall a nswe r is : I s T 1 - • 2 estimab le~
It is clcar that
+ Theorem 11.6 lf J..~ (3 , J..~ (3 , .. . , J..~ (3 are estimable, a ny linear
combin ation o f t hese is estimable.
Proof: L et a 1 , a 2 , • •• , ª"be constan t scala rs . \Ye must show that
J..' (3 is a n estima ble func tion if A = L:a ;A,. L et r ; be s ueh that
Sr; = A; and r = L:a;r .;. Then r satisfi es Sr = A, u.nd t he proof
is comple te. We rnust see " ·hethe l' t here ex ists a vector r that is a soJu t ion to the
equations X ' Xr = A. Now
• Corollary 11.6.1 If J..' (3 is estim able, t he n J..' = a ' X , whe re a' is a
l x n Yeetor ; t hat is to say, if J..' (3 is estimable, J..' 111ust be a linear
co mbination of thc rows of the matri x X. =
G3 3)
Proof: X(3 con tains /.;, linearl y independe n t estima bl e fon ctions;
X 'X
(3 o 3
3 :l O

sin cc t here a re exactly k such fun ctio11s , J..' mus t be a linea r corn-
bination of t he l'O\\' S of X . and Sr = A. g ives t hrce equa tions and tluee unknowns.
This corolla ry is valua bl e in d et ermining wha tfonct ions a.re estimable

(~ o~ ~)
by inspection of the m od el Y = X(3 + e . This will be illustrntcd in
detail later. : )(::) = (
+ Corollary 11.6.2 If A.' (3 is estimable, there exists a Yector b s uch 3 3 13 - 1
that J..' = b 'X'X, a nd the best linear unbiased est ím ate of J..' (3 is
To in vcstigate the existen ce of a solu t ion , we see that the rank of
b 'X'Y.
X' X is 2. The a ug mented ma trix is
Thus we can d etermine frorn the n o rm a l cquations what is estima ble

(~ :: ~)
ancl what t he best linear nnbiasetl es limate is .
+ Corollary 11.6.3 Let C be a n y 111 x n matrix ; t hen E (CY) is
est imable. 3 o 3 - 1
Proof: Since E(CY) = CX(3, the resul t follows from Thcorcms 11.G
and this matrix a lso has rank 2. \V1·i tin~ out the system a nd soh·ing in
and 11.G.
ter nis of r1
+ Theorem 11.7 The b cst linear unbiascd es timate of a linear r2 = ! - r1
combination of estima ble fonctio11s is g i ven by the same linear
r3 = -k - r1
232 L 1N F.AR S1' A'I' l.S'l'JCA L l\lO D ELS i\LODEL 4: EXPERii\IE N'l'AL DES CGK lllODEL S 233
By fix ing r 1 at any val ue we p icase, we gct a soln t io n to t he cqnation~ .By investigating t hc r a nks " ·e sec Lhat the ~·a1~k. of t he coefficicnt
X 'X r = 'A. For cxa rnp le, if \\'e lct r 1 = O, wc get niatrixis 2 a nd t he rank ofth caug m en Lecl matnx is 3. H cncc T 1 + Tz
is not estima.ble.
This is quite a clifficu lt proccdure (and beco mes increasingly labori o us
ifthe dim e nsio n ofX'X is large) forexami ning the ex istenee of estinu 1.ble
fu nctions. B y using the model a nd T heo re m 11.5 (instead ofTheorem
JI. l ) we can so me times te ll immedi ately whethe r a eerta in fu netion of

= (O,~. -!)(~, )
the parameters is estimable . For exa.mplc, X (3 is estima b le a nd it
and equals
r 'X ' Y
J 2·
+µ Tl

x·v ~ C:)
/L + Tl
s in ce X(3 = ( 11.6)
/L + Tz

2. µ -j- Tz
whe rc Y;. = L Y;;; a nd r ..
j
= L Y;;·
ij
So T1 - Tz is estima.b le, a nd the
µ + Tz
best linear unb iased esLim ate is
or the general t erm of t his yector can be written
E(Y;;) = µ + T¡ i = ]. 2; j = 1, 2, 3
By T heo rc m l 1.6, a ny linear combina t io n of µ + T; is estim a ble.
ln fu r the r demonsLnüion o f Thcorcm 1 1. 1 , we see t hat Also, since X (3 contains k = 2 linear ly inde pe nde nt estima ble
fun ctions, e,·ery estima.bl e fu nctio n m ust be a linear co m bination of the

E (}. _ Y,) = ( +
l.
3
-, ]!} ll
r
T1 + _J_
;{
Í: e¡;
- µ - T .. -
-
2 e2 ; )
- 1-
3
= Ti - Tq
-
rows of X (3 . S in ce µ occurs in every r o\\' of X (3, a ny csti 111ab le fun ctio n
that does not contai n ¡i m ust be s u ch t hat t hc coe ffi cicnts of t he T, acld to
zero. For example, 3µ -l 2T 1 + T 2 is estimable (fi rs t row p lus seeond
i.e., there d ocs exis tan unbiascd estilllate of T 1 - T 2 . row plus fourth row), bn t there is no linear co mbin ation of t he rows of
T o demonstrntc Theorcm 1 1.3, s uppose we take a nothcr solu t io n of x13 that gives T¡ + Tz; hc 11 cc T I + Tz is noL estim able. Therefore, by
X ' Xr = 'A ; t h at i:;, lct r 1 = 1- W e get r ' = (:},O, -·}), a nd displaying X (3 = E(Y;;) we can genernll y see what is a,nd what is not
estimable .
After we d ecide t hat a certain fu nctio n is estim a ble, t he re still
r ' X'Y = C, O. - 5)
(
)> =
y ) Y
··
- ·)Y.
:~ - -· =
Y
1.
- l"2 .
3
remains thc proble m of fi11din g th e best estimatc. Th is can be aeco m-
plished by using thc no rm a l cquations a nd Corolla ry 11 .G.2. F o r
) 2.
cxample, hc re the no rm a l equations are X'X~ = X ' Y, " ·hi ch are eq ua l
th e sam c esLirnatc ns befo re. to
No" · we s hal l in vesLigate wh cLher T i + T2 is estim a ble. In t his case (a) G¡í +
37\ +
3f2 = .r
'A = (O, 1. 1), and X 'Xr = 'A becomcs (b) 3,ii +
3f1 r1. ( 11.7)
(e) a,ú + 3f~ = r 2 .
By Thcorems 11 .5 ancl 1 1. 6, a ny 1inea.r combina Lion of t he rows 0 11 t he
left sid e (wit h h ats r e moved) is estim ab le , a nd , by Corolla ry 11.G.2, t he
best linear u nbiased estim at e is give n by tite sam e li near combination of
234 LINEAR STATJS'l'ICAL l'\IODELS 1\IODEL 4: EXPERii\IEXTAL DESrGX :\L O DT~LS
235
rows o n t hc rig ht -ha nd side of the equations. Suppose we take Eq. ,\s in t he prcvio us ill ustration a ncl by Theorem l l. 5, each i·ow of X'X:
(11.7b) minus Eg. (11.7c); weget lcads toan estima bl e fun ction, ancl the estím ate is cqua l to t hc ricrht-
1Ja n
d side of t he equation; e.g., fro m row (e) " ·e know t hat 2µ + -T
'> ~ +
,,
3-í\ - 3f2 = Yi. - Y2 • p + p2 is estimable a nd t ha t t he best linear unbiascd cstin;ate
O t' f - f - Yi. - Y2. (Corollary l 1.6.~) of this functi on is equa l to }" 2 ,. \Ve see that the
1 2 - 3 foJlowing a re estima ble:
But, by Theorem 11.3,
~
/31- /32
Tl - Tz = A
7"1 -
A
7"2 = Y l. - Y 2. 71 - 72 + /32 - f31
3
71 - 'Tz + f31 - f3z
so t hc bcst linea r unbiased estímate of Ti - T
2
is
etc., a nd that t hc best unbiased estim at es are irnmcdiatcly available
Yi. - Y2 • from Eq. (11.8). For example, t he best linear unbiascd cstimat e of
3 .,. _ 72 is o bta ined by taking ·} times Eq . (11. Sú) min11s ~- tim es Eq.
1
the samc estima.te t hat wc obtained by solving X 'Xr = ).. and using (ll. Sc). This gives
r 'X ' Y. By exam ining the normal equations we see th at 3µ + 3T1 and
3µ + 3T 2 are cach estima ble (since they are rows ofX'X) a nd that they
f1 - f2 = HYi. - Y 2.l = Yi. - Y2.
are li_ncad y i_ndep endent. T~rnt is to say, )..~ = (3, 3, O);)..~ = (3, o, 3) Notice that the only linear com binat ion of t hc T 1 t ha t is estima ble is
are l111earl y rndependent. Smce the rank of X 'X is 2, we know fro 111 l:c¡ T ¡, whcre Le¡ = O. ·This prompts t hc following dc finition .
Theorc m 11 .4 t hat every estimable function ).'(3 must be a linear
combination of )..; (3 and ).~ (3 . + Definition 11.6 In t he model Y = X(3 + e t hc linear combination
of p ara meters "l,c¡{3¡ is ca ll ed a contrast if ~e; = O.
F or a nothcr e xa mplc, Jet us examine Eq. {11. 5). From
11.2.3 R e p a rametrization. In order to ut il izo lihc theorems in
E(y¡;) = µ + T ¡ + /31 Chap. 6 on model 1 wltcre X ' X is of fo il ra nk, we s l1<i ll rcpant111etrizc t he
wc seo that a ny linear co mbination of µ + Ti + {31 is estima ble. If we model of l ess th a n foil ra nk to a model of ju ll rnnk.
examine t he norma l equations, we get for X'X~ a nd X'Y
+ Definition 11. 7 B y a rcpa rametrizatio n of thc rnodcl Y = X (3 + e
4 2 2 2 2 y we s ha ll mean a t ransformation fro m thc vcclor (3 to t he vector
a by a = U (3 , " ·here each element of a = U(3 is an estima ble
2 2 o l 1 yl.
fon ct io n.
X'X = 2 o 2 1 1 X'Y = r 2. Since X 'X is posit ive semidefinite of ra nk k , we know that t here exis ts
2 1 1 2 o y .1 a nonsing ula r matrix W * (p x p ) su ch that
2 1 1 o 2 r .2
A dot in t he s ubscript of Y ;; means that t hey;; a re to be summed over (W*)'X'XW* = (: :)
t he subscript th at is replaced by the dot . Therefore, wc get
where Bis k x k of ra nk l.:. If we parti t ion W * in Lo W * = (W, W 1 ),
(a) 4¡1 + 2-í\ + 2f2 + 2/j1 -!"" 2p2 = Y ..
where W is p x k , we get
(ú) 2µ + 2-r1 + P1 + P2 = r ..
(e) 2/i + 2f2 + P1 + P2 = Y2. (ll.S)
(:;)x'X(W, W1 ) = (: :)
(el) 2¡1 + f 1 + f 2 + 2~ 1 = Y.1
(e) 2¡í, + f 1 + f 2 + 2/j2 = Y .2 which gives W 'X'XW = B a nd W~X'XW 1 = O. T his implies that
236 LINEAR STATISTICAL MODELS
W'X' is of rank k and that W~X' = O. vVe can wri te the modet •
Y = X(3 +e as Y = XW*(W*)-1 (3 +e, and, if we let (W *)-1 ::::
(~J we get
U* =
Y= X(W, W1 )(~) 13 +e
or Y = (XW)(U(3) + (XW1 )(U1(3) + e
which reduces to Y= (XW)(U(3) +e, since XW 1 -;- O. Letting XW::::
Z and U(3 =a., we can write Y= X(3 +e as Y= Za.+ e, where Z is
n x k and has rank k; hence we ha ve a full-rank reparametrization, i.c.,
from a less-than-full-rank model to a fitll-rank model. Thus we ha ve
the following useful theorem.
+ Theorem 11.8 Let a. be a k x 1 vector of k linearly independent
estimable functions of the parameters (3 in the model Y = X(3 + e,
where X is an n x p matrix of rank k. Then thcre exists a repara-
metrization to the fulI-rank model Y = Za. + e.
To estimate a. or any linear combination of a. we use the normal
equations (Z'Z)a = Z'Y, and all the theorems of Chap. 6 apply.
Another method of proving that a. = U(3 forms a set of k linearly
independent estimable functions is to show that a., = u,(3 is estimable
far cach i = 1, 2, ... , k, where U¡ is the ith row of U. By Theorem 11. l,
this means that there must exist vectors r 1 , r 2 , ••• , rksuch that X'Xr1
= ui, ... , X'Xrk =u~. Putting these into a single matrix equation,
we get X'XR = U', where R = (r 1 , r 2 , ••• , rk). So we must finda
matrix R satisfying X'XR =-U'. Using (W*)'X'X(W*) = ( : :).
we can obtain X'X(W, W 1) = (U'B, O) by multiplying on the left by
(W'*)- 1 • From this it follows that X'XWB- 1 =U' and R = WB- 1 ;
so a. = U (3 is estimable.
There may be different matrices W * that will diagonalize X'X and,
hence, many different full-rank reparametrizations. For example, in
the model Y = X(3 +e, suppose two full-rank reparametrizations are
represented by Y = Za. + e and Y = T8 + e. By the definition of
reparametrization, this means that there exist matrices V and U of
rank k ancl of dimension k x p such that a. = U(3 and S = V(3. But
there exists a nonsingular k x k matrix A such that U = A V. This
shows that thcrc is a linear relationship between full-rank reparametri-
zations. That is to say, if the full-rank reparametrized model Y =
Za. + e is used to estima te the estimable function A' (3 and if another
l\IODEL 4: EXPERIMENTAL DESIGN l\IODELS 237
J
full-rank ~eparametrized model Y = TS + e is used to estimate A' (3,
tben the two estimates of A' (3 are identical. Therefore, we shall state
an important corollary to Theorem 11.8 on the uniqueness of estimates.
+ Corollary 11.8.1 Any full-rank reparametrization giYes the same
estimate of the estimable fun:_tion A.'(3.
In the full-rank model in Chap. 6 we found that, if the matrix X'X is
diagonal, this leads to sorne simplifying results. Wc shall now show
that a model can always be so reparametrized that the resulting matrix
of normal equations is diagonal. W e shall first. state the following
definition.
• Definition 11.8 By an orthogonal reparamctrization of the model
Y = X(3 +e we shall mean a full-rank reparametrization to the
model Y = Za. + e, where Z'Z is a diagonal matrix.
We shall now show tha.t there always exists an orthogonal repara-
metrization.
• Theorem 11. 9 If W * is an orthogonal matrix su ch that
(W*)'X'XW* = D
(D is a diagonal matrix), there exists a partition of W *. say, W* =
(W, W 1 ) (where W is J> X /~), such that XW *W *' = XWW' and
a. == W' (3 is estimable and W'X'XW is diagonal of full rank.
Proof: This follows from the fact that there exists an orthogonal
· matl'ix W *su ch that (W *) 'X'XW * = D, wherc t.he characteristic
roots of X'X are displayed down the diagonal of D. Exactly k of
these roots are nonzero. \\7e can writ.e W* = (W, W 1), nnd
(W*)'X'XW* = (W'
W'
)x'X(W, W)= (DO Oº)
1
1
1
where D 1 is k x kof rank l.: (nonzero characteristic roots ofX'X are
on the diagonal of D 1 ). Thus W'X'XW = D 1 and W~X'XW 1 =
O, which implies that W~X' = O. Now we can write Y = X(3 + e
as Y = XW*(W*)'(3 +e,
or Y= X(W, W,)(;) 13 +e= XWW'13 + XW1w;13 +e
orY = (XW)(W'(3) + e,sinceXW 1 =O. lfweletXW = Zand
W' (3 = a., we get Y = Za. + e, and, since Z'Z = W'X'XW = D 1
(diagonal), the theorem is proved.
238 LIN EAR S'l'ATISTICAL l\ TODEL S llWDEL 4 : EXPERIMENTA L DESIGN MODELS 239
+ Corollary 11.9.1 If W is as clefin ed in Theorem 11.0 a nd if wc de- ~ +~
note XW by Z a nd W ' (3 by a , t hen the model Y = Za + e is an
orthogonal repara metrization of t he model Y = X(3 + e.
• Corollary 11.9.2 If W ' (3 is a.n ort hogona l repara metri zation of t he
and (U *)-1
= W* =
(
~

-t + ! +t
- ~·
+!)
J.)
m oclel Y = X(3 + e, t hen X = XWW'.
This corollary wi ll be qui te useful in reparametrizing .
11.2.4 Examples. \~'e sha ll ret urn to Eq . (1 L. 2) to illustrate
reparametrization . Fro m Eq. (11.2) we see t hat µ + -r 1 a nd µ + 70
so w ~ ( _:
t
-!
are two linearl y independent estimab le fun ctio ns. T hey are esti mable-
1 o
since E(y 11 ) = µ + -r 1 a nd E(y 21 ) = ¡.t + T 2 ; t hey a re linearl y inde~ l o
p endent, since
1 o
and Z = XW =
o 1
o 1
o 1
The normal cquatio ns a re Z'Za = Z' Y; so
and

and since A. 1 a nd A. 2 are Jinearl y indep ende nt . To illustrate Thcorem whichimpliesth at& 1 = !iYu and &2 = !Y2 _. Now<X 1 - <X 2 is estim-
11.8, let 0'. 1 = µ + -r 11 <X 2 = ¡.t + T 2 ; we get able, and <X¡ - <Y. 2 = -r 1 - -r 2 ; so f 1 - f 2 = ·} Yi. - }Yv just as i n
the model before it was repa ra metrizcd.
11.2.5 Variances and Covariances of Estimable Functions.
In Theorem 11. 2 we proved t hat, if A.' (3 is estimable, r ' X'Y is the b est
(minimum-varia nce) linear unbiased estímate~ of A.' (3, where r satis fies
Sr = A.. \\Te also found the variance of A.'(3 , a nd n ow we stat e the
To find Z in the n ew model Y = Za + e , \1·e need t.o fi nd W * = (W, W 1) following:
= (U *) - 1 , where + Theorem 11.10 If A.~(3 a nd A.~ (3 are two estima ble functions, the
U* = (~J respective variances of t he best linear unbiased estimat es are
a2r;X'Xr 1 a nd u 2 r~X'Xr 2 , where r 1 a nd r 2 , respectively, satisfy
X'Xr 1 = A. 1 and X'Xr 2 = A. 2 . The covaria nce of the estimates of
Sin ce
u=
1
( .L
l
o
º)
1
A.;(3 a nd A.; (3 is equal to a 2 r ;A. 2 = u 2 A.;r 2 •
P roof: \Ne get

we need to find U 1 s u ch t hat U * is n onsing ula r . It is easy to sec t hat cov(A.~~' A.;~ ) = E[(A.i ~ - A.i(3)(A.;~ - A.;(3)']
U 1 = (O, 1, 1) will satisfy t his condit ion. So = E [(ri_X'Y - A.i_(3)(r;X' Y - A.;(3)']
= E[( r~X'e)(e'Xr2)]

U* =
(
1
1
1
O 1
º) = u2 r i.X'Xr2 = a2A.~r2 = u2 r~A. 2
To find the varia n ces, A. 1 can be set equal to A. 2 , a nd t hen r 1 beco mes
o 1 1 r z.
240 L f).'"EAR S'l 'A'J'IS'J'lCAL i\I ODELS llrODEL 4: EXPERl i\IEN 'l'AL DESIGN l\lODELS 241

To show why an o rthogonal repara.mcLrization is sometí mes uscfu¡ is invariant for any ~ that is a solution to the normal equations
w o sh all prnvc Lhe fo llowing Lhcorc m . ' X'X~ = X ' Y.

+ Theore m 11.11 If Y = Za. + e is a n orthogona l rcp;u a metriza. \Vhen we say that á 2 is úivaricmt we mean that á 2 is the same rega rd-
t ion o f Lhc modcl Y = X~ + e , Lhc cle men ts of a re unco rrelatc<l a lcss of wh ich soluti on to t he normal equations is used. The proof will
Proof: ex = (Z 'Z )- 1 Z 'Y = D ~Z'Y , whe re D 1 is diagonal. . bo lefL for t he rcader.
co,·(a ) = E[(ii - a.)(a - a.)'J = E{[(Z' z)- 1Z'Y - a.][(Z 'Z)- 1z·y - al'} • Theorem 11.14 In. Theorem 11.13 Lhe q uantity
1
= E{((Z' Z)- Z'(Za. + e) - a.]
X [(Z' Z)- 1 Z'(Za. + e) - a.]'} (n - k)á2
a "-
= E{[(Z 'Z)-1 Z 'e][(Z'Z)- 1 Z'e]'}
= u2 (Z 'Z)- 1Z' Z(Z 'Z)- 1 = a 2D! 1 is clistributecl as x2 (n - le), a nd á2 is an unb iased estím ate of a 2 •
So cov(&;,&;) = O if i ::F j, a nd t he t hcorem is proved. The proof of t his t ltcorem will be left fo r t hc reader.
11.2.6 Point Estima tes of a Linear Combin atio n of ~ ; un der
Case A . If e is d istributed N(O,a 2 1), ma ximizing the likelihoo<l 11.3 Interval Estimation
equ ation leads Lo thc samc n o rm a l cquations as t he Jeast-squarcs
m cthod under case B. 11.3.1 Inte r va l Estímate of Estim a ble F unctions . To set; a
L et us reparamc t r:ize t he mocle l Y = X~ + e to a modcl offull rank coníidcnce intcn ral on an estimable function A. ' {3, the proceclure is t o
s nc h as Y = Z a. + e. The n, by t hc inv<uiance property o f 11rnxim111n rep:uametrize t he model Y = X{3 + e, wh crc e is distribu ted N(O,a 21),
likelihood, t he max imum-likclihoocl estímate of a. is = (Z 'Z )- 1Z 'Y,a in to a fu ll -rank moclcl Y = Za. + e, w here, say, 0'. 1 = A. ' ~- Thcn ,
a nd a li t h e propcrtics listed in Theorcm G. 1 apply to a (re me mbe r et¡~ from Lhe normal equations (Z'Z ) a = Z ' Y , t he estima.te &1 can be ob-
a linearly i ndepende nt set of estima b le fon ctions) . This res ult is gi,·en taincd. By Theorems 1 J .12 and 11.14 it follows that & 1 is di strib nted
in t ite fo llowing t heorem. N(a 1 ,c 11 a 2 ), wh ere c 1 t is thc first d iagonal elemen t of (Z ' Z )- 1 , t h at

+ Theorem 11.12 ln model 4, t he model of less than fo il ran k , nndcr á2 (Y - X~)'(Y - X~ )

(n - k) - = -'------'---"'-----''-'
case A, t he Jeast-sguares nrnximu m -likelihood esti1n a te of any 0"2 ª2
estimable funetio n of ~h as a li the propert ies Jisted in T heorc m C.i.I,
w he re is distri buted x2 (n - k), a nd t hat á 2 a nd t hc &; a re i ndependent . 'l'here-
1 forc
á2
=- - (Y - ZéX.)'(Y - Z&)
n - k &¡ - O'.¡
V = .- -
"·hei'e Y = Za. + e is thc reparametri zed m o<lel, a ncl /.: is the ra.nk -/cllá2
of X.
is disLributed as 'tudenL's l with n - k degrees of freedom. This can
T he proof of Lh is t hcorc m will be left for t he reader. he uscd to set a con fi dence in tcrval on a ny es tima ble function 0'. 1 = A. ' ~ ­
By t he t heorcms in t his clrnpLer we kno\Y Lh at, if A.' ~ is est imable, thc L:itcr we shall show tha L we need not find Z in order to find v .
best linear uubi ased csti mate is gi,·en by A. ' ~ , whcre ~ is a ny solution
to t he normal equa.tions . \Ve sha ll sLaie a si mila,r t heorem for the esti·
rnation of u:!. 11.4 T esting H ypoth eses

+ Theorefl] 11.13 In model +, Y = X ~ + e, where X is of rank k, 11.4.1 T e s t of t h e H ypot hesis t h a t a n Estimabl e Function
thc qua n t ity of {3 Is Equ a l to a Kn o wn Con stant. To Lcst thc hypoLh esis
H 0 : A. ' ~ = íl.(l' (w hcrc c<J is a lrnown constant), whcre A.' ~ is an esLi rnablc
á2 =-
1
- (Y - X~)'(Y - X~) fu ncLion, we can repara rnetrize Y = X~ + e to a full -ra nk m od el
n- k
242 LTKEAR STATIS TICAL i\rüDELS l\LODEL 4: EXPERIMENTAL DESIGN l\TODELS 243

Y = ZCI. + e, whcrc o:1 = :A.' (3, a nd use the test funct ion in Art. l l.3.l J,ct t he s X 1 \ecto r C1. be

(J. = (~:)
with o: 1 replaccd by o:J; hencc, if H 0 is t rue, t he quantity
2 (&¡ - rt.~)2
V = ---='-----"'-'--
<f?
C11

is distribu ted as Ji"(l, n - k, }.), where c 11 is the first d iago nal elernent A.~13
1 Furt her, Jet A.: +1 13, .. . , :A.~. 13 be k - s estimable functions s uch t h at
of (Z'Z)- 1 a nd where the noncentrali ty }, = - - 2 (A.'(3 - o:ti)2.
t..;{3, A.; [3, ... , J..~. 13 form a set of k linearl y inclep endent estimable func-
2c11a
11.4.2 Test of th e H y pothes is H 0 : {31 {3 2 = =···=
PQ (q :s;;; k). tions. Also, !et

(
A.~+113)
This is one of the most useful tests in the genera l linear hypothesis of
less Lhan fuU rank . For example, in Prob . 11. 2, it may be clesirablc to
test 7 1 = 7 2 = 7 3 . J..:+213
y =
\iVe shall discuss t he testing of estimable h ypotheses only. That is
we s ha ll considcr the test ing of t he h y pothesis {3 1 = {3 2 = · · · = {Jq ¡f
J..~.13
a nd on \y if t hcrc cxisLs a set of 1inearly independent csti mable functions
:A.; (3, A.; 13, . .. , :A.; 13 such t hat H 0 is t rue if and only if :A.; (3 = J..; ~ ::: Jf we lct S = ( ~) , th~n, by Theorem 11.8, it follows t hat wc can repara-
= A.;13 = O. For example, consicler t he model g ive n by
rnctri:w fro m t he less-tha n-full-rank moclel y = x 13 + e to thc full-
Y;1 = µ + 7; + O;+ e;; i = 1, 2, 3; j = 1, 2, 3 rank mod cl Y = ZS + e . This can be writtcn
Suppose we wish to Lcst H 0 : 7 1 = 7 2 = 7 3 • By exam ining t he modct Y = Z 1 a + Z 2y + e
we see Lhat 7 1 - 7 2 a nd 7 1 + 7 2 - 27 3 are two linearly independcnt Now H 0 is t rue if and only if C1. = O; t herefore, to t est H 0 we u se
est imable fun ct ions. It is also evident t hat H 0 is t rue if a nd only if Theorem G.G a nd test a = O. This is de monstratccl in T able 11.1.
7 1 - 7 2 a nd 7 1 + 7 2 - :.h 3 are sim ultaneously equal to zcro. Thus, The impo rtant qua ntities are :
H 0 is anesLimable hypothcsis,and we s hall test7 1 = 7 2 = 7 3 bytesting l. Sum of squarcs due to e rror , which equa.ls (Y - ZS)'(Y - ZS),
whcre 5 is t hc solution to t he normal eq uat ions Z ' ZS = Z 'Y.
2. Sum of s q uares dueto C1. adjus ted for y , which is cq ua l Lo R (a 1 y )
= S'Z' Y - y'Z~Y, where y is the solution to t he no rma l eq uatio ns
• Definiti o n 11. 9 A hy pothcsis H 0 wi ll be called est i mablc if t here z;zá = z ; Y .
exists a set of linearly indepen dent estima ble functions )..; [3, /..~ ~. These nor ma l eq uations are deri ved from the model Y = Z 2 y + e .
. .. , J..;13 s uch t hat H 0 is t rue if and only if )..;13 = :A.; 13 =- · · · = Jf we set
)..;13 = O. 5Z'Y - y 'Z;Y n - k
V = Y ' Y - S'Z 'Y - s -
In genera,!, suppose " ·e wish to tes t t he hypothesis H 0 : {J 1 = {J 2 =
v is dist ribu tcd asF'(s, n - k, },) .
T he value ofA wi ll be discussed la ter.
··· = {Jq in moclcl 4, the less-t ha.n-fu ll-ra.nk model Y = X13 + e . , 'up-
lt wou ld be quite a tedious job to find t he matrix Z if t his were neces-
pose there cxists a set of linearly independent es t imab le fun ctions A; ~,
sary in order to find v, but fortu nately it is n ot necessary. vVe can use
:A.~ [3 , . . . , )..: (3 such t hat H 0 is true if a nd only if
Theorcm 11.1 3 (,o show that (Y - z5)'(Y - ZS) = (Y - X~ )' (Y - X~).
So t hc de nominator of v can be obtained fro m t he normal equations
J..;13) X'X~ = X ' Y. By t he same token t he t erm (Y - Z 2 y) ' (Y - Zá) can _
:A.213 be obta.i ned from t he normal equations t h a t are dcrived from t hc model
(
= 0
Y = X[3 + e with the condition /3 1
forc provcd t he following t heorem .
{3 2 = =···=
{J 0 • \Ve have there-
J..:13
244 LINEAR STA'l'IS'l'ICAJ, lllODELS llIODEL 4: EXPERIMENTAL DESIGN llIODELS 245
• Theorem 11.1 S In model 4, Y = X f3 + e , to test Lhc hypothesis • Theorem 11.17 Let {3 1 , {3 2 , ••• , {3Q be a subset of t he elements of
{3 1 = {3 2 ---= · · • = {30 (q ~ k), wh ich we assume is cqui valent Q

to testing t he li nearly estimable fon cLions A.; f3 = A.; [3 = · · · : : : f3 in m odel 4. Suppose that .L cJ3; is estimable for every set of
q i- 1
A.~ [3 = o, constants C; sueh that I C; = O. Then t he hypothesis H 0 : {3 1 =
(1) Obtain any solution to t he normal equat ions X'X~ = X'Y i- 1

and form (/ 0 = (Y - X~)'(Y - X~)- ' {3 2 = · · · = {3 0 is a n estimable h ypothesis.

(2) Obta in any solutio n to t he normal equations z;zzr = Z~Y Proof: Sin ce :E c¡{3; is estimable fo r cvcry set of e; s u ch t hat :Ec; = O,
whieh are de rived from t he model Y = Xf3 + e under the c~n'. we lmow in particular that t he following are estimable:
ditions,8 1 = {3 2 = · · · = ,80 (denotethe reduced modcl by Y ::::: A.;[3 = f31 - f32
Z 2 y + e), and form Q0 + Q 1 = (Y - Zá)'(Y - Zz'Y).
A.~[3 = f31+ f32 - 2{33
n - kQ1 ~ 'X'Y - y ' Z;Y n - le ~[3 = f31 + f32 + .Ba - 3{3.1
Then 1J = --- = --
s Q0 Y'Y - ~ 'X' Y s
is tlistributed as F'(s, n - le:, i.). A.~-1f3 = f31 -!- f32 + .Ba + ... + {3q-¡ - (q - 1){3º
It is easy, then , to show that A.; [3, A; [3, . .. . A.~_ 1 f3 constitute a set
'J'h is can be put, in t he form of a n AOV table such as T a ble 11.1.
of linearly ind cpendent estimable funetio11s that are ali zero if a nd
only if {3 1 = (3~ = · · · = {3 0 , and t he theo re m is establis hed.
'l'Al3 1.E J l.l ANALYSJS OF VA Jl lA NCE }'OR TES'fJNO
)..~ f3 = · .. = )..; f3 = O
11.5 N ormal Equations a nd Computing
DF' fiS 1!'
11.5. 1 Obta inin g the Norma l Equ ations. Since t hc normal
Total n Y' Y cqua.tions are so importa nt, a method for finding them wi ll be d iscussed.
Duc t,o f3 k (3 ' X 'Y In model 1, the no rmal equations were fou nd by getting the sums of
Duc lo y J.: - s :y·z;v squares and cross produets of the X; and Y;· Th is methoc!. can a lso be
a (adj) s (3 'X'Y - y·z;v = ªss uscd for t he normal equations in model 4. Howe \·e r, si nce t he X
Error n - k Y'Y - (3 'X'Y = E ss matrix for model 4 eonsists ent irely of O's a nd l 's, a. method will be p re-
sented that may save so me computationa l labo 1·. In m oclel 4 the n)odel
~ otc i h c use of Lhc nolaiion ass and .l!Jss for i he s um of squa rcs, a n d a:1115 and is not us ual ly w ri tten out so eompletely as it is in model l; i.e., the X
Hms fo r the respective mean squarcs, which is i hc s um of sq uares divided by lhe matrix is not g iven explicitly. Instead, the model is usually written
clcgrces of frecdom. 'l'his noi.ation will bo used ih roughou t..
somethi ng like Yw. = µ + 'T; + <:1.; + (T<:t.)ii + e;;1., etc. ; that is to say,
only the parameters a re given, indexed on ccrtain s ubscripts. From
The q ua nt ity cx.s is t he adjusted sum of squares for testing t hc
this t he X matrix can be obLained, but the work may be tedious if there
hypothesis. By us ing t he fact that cx:;s/a2 is distributed as x' 2 (s,?.), and
are many obse1Tations. The norma.J equations could a lso be fo und by
Prob. 4 .1 , we see t hat E(rt.:;s/a 2 ) = s + 2i.. Hence a t heo rem to a id in
e:quating to zero t he vario us derivati ves of t he quantity e 'e, bu t t his too
cornp ut ing t he nonce ntrali ty is as follows.
can beco me labo rious.
+ Theorem 11.16 Under t ho co nd it io ns of T heorom 11.1 5 t he non- An a lternative easy meLhod for find ing t he norm al eq uatio11s will be
eentrality parametcr is given. T he normal equations are X' X~ = X ' Y. There are p eq ua-
tions and p parameters. Therefore, we s hall associate one equation
). = s[E(rt.ms)] _ !_
with each parameter. The procedure will be to fin el the right-ha.nd side
2a2 2
of the no rma.! equations X ' Y and to take t he expecte<l value to get the
Ncxt wc s hall prove a t heorem t haL "·ill be helpful in <lcterm ining lcft-hand side; tlrnL is,
wh ether a specified h ypo thesis is estim able.
E(X 'Y ) = E[X'(Xf3 + e)] = X ' X f3
 LINEAR STATISTICAL i\IODELS i\lODEL 4: EXPERTi\TENTAL DESIGN J\rODELS 247

L ct.us writc X = (X 1 , X 2 , . . . , X v), where X ; is t he ith column of X. ¡11 thosc cquations in t hc model w hich in vo h·c Y]j· So the s um of Yv
The model Y = Xí3 + e can be written as Y = "'ZX J3; + e , where {Ji ovcr those which contain -r 1 is
is thc ith element of í3· Let us exami ne X 1 {3 1 . T he elcments of the
n x 1 vector X 1 are only O's or l 's. T herefore, t he parameter {3 1 occurs
in t he nth observation ofthe model if and only if t he nth elcmcnt of X Next we e\·a luate
is equa l to l. Now exami ne X~Y. T his is the sum of the elements of
Y fo r those elements of X 1 t hat are equal to l. T herefore, thc term E(Y1 .) = E[ t
+ T 1 + rt.; + ev)]
(µ
X~Y can be found by s umming t he elements of Y over those clements in = 2 (µ + T¡ + CI.;)
the m odel that contain {3 1 . This samc procedure applies to all t he {3¡. j

Now t he normal equations can b e obtained by findi ng x ;v for cach {J;, = 2µ + 2-r¡ + CI.¡ + Cl.2
t ak ing t he expcctation of ea ch x ;v to obtain x ;xí3, t hen putting thc
'l'his gives the equa.tion correspondi ng to T 1, wh ich is
s ig n . . . . over each p a rameter. Th.is gives

X~Y = X{X~
The cquations fo r T~ a nd T 3 are obtained in a simi la r fashion. The
x~Y = x~x~ cquation corresponding to o: 2 , for e xamplc, g ives

X ' Y = X ' XA L Yi2 = Y.2

i
" " t"'
These ideas will be demonstrated furthcr by considering t he following since et. 2 occu rs only in those eq uations in t hc model \d 1ich invoh-e y; 2 .
model : Also,
Yii = µ + T ; + rt.; + e;; i = 1, 2, 3; j = 1, 2 E(Y.2) = 3¡t + T¡ + '2 1- T3 + 30:2

The set of norm al equations consists of six equations, one corresponding Thc complete set of norm al egua.tio ns can nO\\º be writ.te n, as follows :
to each of the para meters µ , T 1 , T 2 , T 3 , o: 1 , rt. 2 . First find t hc normal ¡t: G(i + 27\ + 272 + 2f3 + :3&l + 3&~ = r ..
cq uation corresponding toµ. 'rhe ele ment of X 'Y corresponding toµ
is cqual to x;y and is t he sum of t he elemcnts Y i i over all t he equations
'T¡: 2µ + 27l + &¡ + &2 = y l.
in the model in w hich µ occurs. By examini ng the model we see that ' 2: 2¡1 + 272 + ª1+ &2 = J r2. (11.9)
µ occurs in every one of t he equations of the model ; hence, 'T3: 2¡1 + 2T3 + &¡ + ª2 = y 3.
CI.¡ : 3,ú + 71 + 72 + f3 + 3&1 - y .1
X~Y = 2,yii = Y ..
;; «2: 3{t + -í\ + 72 + f3 + 3&2 = Y.2
T he next q ua nt ity to find is t he expected value of Y... T his is The work of evaluating t he normal eq uations can be s hortened ma ny
times by finding on ly a represcntat ive equation in each set of theparam-
E(Y.J = E[~(µ+ T; + o:1 +e;;)] ctcrs. For instance, in t he exa mpl e above, Yii = µ + Ti + et.; + e;;.
thcre a.re t hree sets of parametcrs, µ, T, a ncl et.. In st ea.d of fi nding a ll
= 2 (µ
ij
+ Ti + CI.¡ ) thc normal equ atio ns, s u ppose we find t,hc norma l equation co rrespond-
ing to ¡i, t lrn,t corresponding to T 0 (the qt,h T), a nd that fo r e1., (the sth e1.).
= 6µ + 2 T ¡ + 2T2 + 2T3 + 30:1 + 3 0'-2 This givcs ro. for t he rig ht- ha nd side of T(I and Y .• for t he rig ht-h a nd
Putting the symbol . . . . on t he pa1·am et ers, we get for the fi rst cquation sidc o( e1. ,. H cnce we obtain
in t he set of normal equations
ft: G¡1 + 27. -! 3&. = Y ..
µ: 2µ + 270 + &. = r Q. q = l , 2, 3
Next we shall look for t he equ ation corresponding to T 1. Ti occurs a, : 3fi, + 7. + 3&. = Y .• s = 1, 2
248 LCNEAR S 'l'A'l'IS'.L'CCAL MODELS l\[ODEL 4: EXPERillIEN'l'AL Ol •:SIGN i\rODELS 249
where &. = L.&1 and f. = L.f;.· This is <L very eompaet representation The normal equations are g iven in (l 1.0). From these we see t hat
of t he nonnal cq uations and easy to obtain from the model. ,. _ T 2 and T 1 - T 3 are esti mable. H ence H 0 : T 1 = T 2 = T 3 is an
11.5.2 Solv in g the Norma l Equations. Sin ce th~ X ' X matrix c;timable hypothesis. Using the nonestima ble condit ions f 1 + f 2 +
is p X p of rank /..; < p, the~e are in fi ni t,ely man y vectors !3 tltat satisfy f = O a nd & 1 + & 2 = O makes thc n orma l eq uations easy to solve.
3 . •
t he n orma l equ aLio ns X ' X!3 = X ' Y. '~'e ncecl to fincl only one such The solut1on is
vecto r. Now, by Theorem 11.5, X' X~ represen ts a set of k lincarly.. fi=Y ..
independent estimab le functions, a nd every estimable fun ction is a f1 = Y1. - Y ..
linear combination of the rows of X'X~. L et V be a (p - k) x 11
matríx of ra nk p - le su eh t hat V!3 is a set of JJ - k non estimable func- f2 = Y2. -Y ..
t ions and such that no linear eombination of V!3 is an estimable func- f;¡ =Ya. -Y ..
tion. It can be show ri that th ere ex ists a vector ~ that satis fies the &1 = Y.1 - Y..
2p - le eguations X'X~ = X 'Y and V~ = O. This follows from the
&2 = Y.2 - Y ..
X ' X) .
fact t hat the matrix V has ra nk p, s ince V is of rank p - le (by the Therefore, t he quantity ~ 'X' Y in Theore m 11.15 is
(
way ít is chosen) and sin ce the rows ofV are linearly independen t ofthe R(µ,T,a) = f1Y .. + f 1 Y1 . +f 2 Y2 . +f 3 Y3 . + &1 Y. 1 + & Y.
2 2
r ows of X ' X or else so rne linear combina,tio n of V!3 wou ld be a set of The error sum of squares is
estima.ble fun ctions. No w V !3 can often be so chosen as to make the
solution ofthe norma l equations quite easy . Also, n onestimable func- y2 3 J'~ y 2) ( 2~ y 2 y2 )
t ions Vf3 can often be fou nd by examining the modcl.
~
,(,J
2
Y¡; fi 'X ' Y -_ "'
- 1-' y2
..(.J • ii - G.. - ( ;:¿ - '·
~1 2
- -·· -
G
:¿ -" - -··
1- 1 3 6
11.5.3 Exampl e. L et us find t he solution to t he n ormal cquations
g iven in Eq. ( L1.8), ,,·hi ch come from t he model To get ·r z;v, we use t he model Y;; = µ + +a; +e;;; wo have p u t T
Ti = T 2 = 3 T Now µ + will be replaced with µ* . The nor-
= T. T
y, 1 = /L -l T; + <1-; + e;1 i = 1, 2 ; j = 1, 2 mal equations are
Exam ination oftli ese normal eq 11ations re ,·ea.ls t hefact that Eq. (11.Sd) µ*: G,ü* + 3ii + 3éi"2 =
1 Y ..
plus Eg. (1 l. 8e) minus E g. ( ll. 8a) is cqual to zero; also, Eq. (ll.8b) }Jlus
Eq. {ll. 8c) minus Eq. ( ll.8a) is equa l to zcro. H e nce, t here are at
3P,* + 3ii 1 = Y. 1
most t hree lincarly indcpendent equat ions. 'l'he refore, we must find 3P,*
two linearly índependent equa.tions t hat are not estimable. By exam- These can be obtained from (11.9) by letting T 1 = T 2 = T 3 = O and
ining t he model it CéLn be seen t hat we can use using only t he equations for µ, <1-v and a 2 . The solution is easy to
obtain if we use the nonestimable condition ii 1 + ii 2 =O. The solutio n
IX1+ IX2) is
V!3 = (T ¡ + T2
p.*= Y..
\ i\fe could h avc fo und many different fnn ctio ns that co uld be taken fol' ii1 = Y.1 - Y ..
V!3, but we chose t hese because t hey make t he solntion of the normal
equations qui Le casy. Setting V~ = O g iYes &1 + &2 = O a nd f 1 + Also,
ª2 =-= Y.2 - Y ..

f 2 = O. Then, from Eq. (1 1.8ci) wc get µ = tY.. = Y.. ; from Eq. * -, , _* r J'2 ( 2 y2)
(Ll.Sb), 7- 1 = p·i. - Y.. = Y1. - !J .. · Continu ing, we get f 2 = Y2 . - R(,.'' ,<1.) = y Z9- Y = µ 1 . . + <1-_ l r . + _ - Y ·- = -·
1 1 0:9
G· + ;~1
9 ' -·
3 - -·
G·
y21

Y .. ; &1 = Y.1 - Y .. ; &2 = Y.2 - Y .. ·

11.5.4 Testing H ypot h eses. Su ppose we dcsirc to test the y2 -y2
R(T 1 µ,<1.) = R(µ ,T,<1.) - R (p*,rx) = 2: -f - --¿;
hypoth esis T 1 = T 2 = T 3 in t he modcl i 2 (,

i = l, 2, 3; j = 1, 2 This is generally written in a table s uch as T able 11. 2.

250 LINEAR STATISTICA L :MODELS MODEL 4: EXPERIMENTAL DESIGN l\TODELS 251

TAllLE 11.2 ANALYSlS OF VAilIANCE :E"OR TES1' I N'C 'T¡ = 'T2 = T3

(a} Find thc normal e qu ations .

.,. DF SS F EMS
~
(b} Find t,wo lincarly indcpe nde nt est imable func tio ns .
(e) Find t,hc varianecs and eovariances of the estimates of thc fun ct.ions in (b).
1 11 .2 Fo1· t,hc model
-
Totnl 6 2
L Y;; Y;; = /1 + T¡ + Ó; + C;; i = 1, 2, 3; j = 1, 2, 3
;j
Due to ¡t, 'T, et. 4 Si = R(µ,T,et.) (a ) Find t he normal cquations .
Due to,,, et. 2 S 2 = R(µ.,a.) (b) Find two l ineurly independen t estimable fun et,ions .
(e) Fi nd Lhe variances and covaria nces of t,he estima tes of t he fu n etions in (b).
Duo to 'T (adj) 2 S i - S2 = 'Tss
Trns
-- 0'2 + .L ('Ti - i'.}2
11 .3 For Lhe mod el
E rns i
Error 2 L Y'f; - S1 = E 55
ij
r~ = l. 2
J = l, 2

T he RMS is t he expected mean square and is obtained only for the

qnanLi ty R(-r J µ, r:1.). By Theorem 11 .15, Lhe quantity Tss/a 2 is dis- (a) Find Lhe normal cquations.
k = l, 2, 3 l
(b) Fincl two linearly indopenden t es t imable func t ions .
t ributed as x' 2 (2)) . To find?. we use Theorern 11.16. This gives (e) Fi ncl t he varianccs n.nd eovaria n ces of t he est imatcs of t,he fun etions in (b ).
11.4 P ro,·c Theorem 11.5.
. E(-r:s) = p + 2}, = 2 + 2?. 11 .5 Pt·ovc The.>rcm 1 l. 7.
a-
Probloms 6 to 15 rofe r lo t he modo! Y = Xf3 + .e, which is cxplie iLly w ri t ten
But, by the term i n the EM:S colu mn, we get Y1 = 'T1 + 7 2 + T3 + C¡
Y2 = 71 + 'T3 + C2
E(Tss)
--.,- = 2 + 9<r2 'L.,; <-ri - ·n-., Y3 = + 7 2 + C3
a- 11 .6 Find X.
11.7 Fincl X 'X.
11.8 Fincl t,h e ran k of X.
a nd }, = -12 L.,
' (-r·- T)
- 2
11.9 Fine! t,ho normai equations.
a ; ' ·
11.10 F r om tho m oclol, show t h at T¡ + 'T3 - 2T2 is est imable (use Thcorem
This can be used to evaluat e the power function by using Tang's tables. 11.5).
11.11 F rom t,he norm a l equation s, find the best l inent· u n biused est ima.to of
'T¡ + 'T3 - 2'T2 (use Theorem l 1.5). -
11.6 Optimum Properties of the Tests of Hypotheses 11.12 Fincl t,wo fu ll -mnk reparame Lriza t ions, a nd show t,ha t t ite est.im a to of
.,- -
1
'T
2 + 'T3 is tho samo fot· both.
' T he test procedure out lined in Theorem 11.1 5 is equivalent to the 11.13 F in d an orthogonul repurnm etrization of t hc modol.
Jikelihood-ratio test given in Chap. 6. This tesL has cerLain desirable 11.14 F ind t ho vuriu nct1 of tlie estimates of -r1 - 2'T2 + 'T3 , 'T1 + 2'T2 + -r3 •
p ropcrt ies, which will be stated with outproofi n thefollowing theorem. 11.15 Fi nd t,he eovarianco of the estimates in P rob. 11.14.
11.16 Prnvo Corollary 11.9. 1.
+ Theorem 11.18 To test t he hypothesis 1..; (3 = A.~ (3 = · · · = A.~ (3 = 11.17 P rovo Corollary 11.9.2.
O in model 4, wit h t he alternative t hat at least o ne A.( (3 -::/= O, t hc 11.18 Pro,·e Corolla ry 11.6.2.
11.19 Pro vo Coro llary 11.S. l in dctail.
test p rocedure given in Theorem 11.15 is a uniformly m ost power-
fnl LcsLin the class of tests whose power depends only on t he single In Probs . 11.20 to 11.36, assume that t he ,·eclor of errors e is distributecl
para meter?. (the noncentrality). N(O,a 21).

11.20 Find t,h o norma 1 equA.Lions for the modol

Probl ems i = 1, 2
11 .1 F or lhc m oclcl Yiim = /t + Ct.¡ + f3; + Ym + C¡;,., j = 1, 2
{
i = 1, 2, 3; j = 1, 2, 3 m = 1, 2
252 Lll\E AR ST ATTS T tCAL MO DJ.;LS l\fOD E L 4: EXPERLMEN TAL D ESTGN l\IO DBLS 253
11.2 1 )11 Prob. 11. 20, find a sot of linca rly inde pcnden L est ima b le functions 5 O. L. Davies: "Desig n and Ana lysis ofJnclus lria l Exporiments ," Oli ,·er and
J 1.22 In Prob. 11.20, find ~' X'Y. . Boyd, L Lcl., L ond on , 1954.
11..23 Fi~d a so lu Lio n to Lh~ n~rmal cq~iaLions g iven in ~q. ( 11.!)) ~y using 6 R. L. Anderson and T. A. Bancroft : "StalisLical Thcory in R csearch ,"
Lwo lmearly mdcpcnde n t. no ncst1maolo funcL1ons o t.hcr Lhun LT; = O and L.:i; ;,,. o. McGraw-Hill Book Company, Inc ., .r ew Yor k, 1!)52.
11.2 4 In P rob. 11.20, find Lhe estimuLe of a 2 • 7 C. R. R ao : "Ad,·anced S tatistical l\l olhods in B iomotric R escarch," John
11.25 In P rob. 11. 20, cons LrucL a n AOY table l o tesL t.h c h y pothesis cc 1 ==. cc2. Wiley & Sons, Inc ., New York , 1952.
11.26 1 11 rrob . l l.25, find thc n onccn t rnlity paramc l er }.. g J. 'Vo lfowitz: Tho Powe r of t hc Classical T ests Ass ociatcd with t.he Normal
11.27 P rovo Thcorcm 11 . 1:3. Distribution, Ann. l\Iath. Statist., v o l. 20 , pp. 540- 55 1, 1949.
11.28 P rovc Thcorom l 1.14. 9 S. ,V. Nash : Noto on Powcr of t ho F T est, Ann. !tfath. S tatist., vol. 19,
11 .29 In Lhc mod<.'I p. 434 , 1!)48.
JO A. '"'a.Id: On Lho l?owe r Func Lion of t ho Analysis of Vari ancc Tes t, Ann.
Yii = /t + T; + {31 + e1; i = 1, 2, ... , n; j 1, 2, .. . , 1n Math. S tat·i st., vol. 13, pp. 4 34-439, 1942.
n n 11 P. C. T an g: '"l'he Po we r Func tion of AOV T csL:;," S tatist. Hesearch Mem.;
show t hat 2 ci;-r; is e;;tim ablc if and on ly if 2 a; = O. vol. 2, 1938.
i- 1 i- 1 12 C. R. Rao : Gen eralisation of Ma rkoff's Theore in ttnd T ests of Linear
11 .30 fo T ah lc l 1.2, s how Lha t, H (rJ. l 11 ,-r ) = R(rJ. l 11). Hypotheses, Sankhya, vol. 7, pp. 9- 19, 1945- 194 6.
11.3 1 1n Prob. 11.2!) w it,h n = :! and 111 = 4, tlw fo l l ow in ~ values are givcn: 13 C. R . Rao: On Lhc Linear Combina tion of Obscrvat ions a nd the Gen era l
Theory of L east Squa rcs, Snnkhy a, vol. 7 , pp . 2 37- 256, J !)4;, _ 194G.
Y11 Y14 Y32 14 S. Kolod z iojczyk: On a n lmpor tant Class of StaLis tica l H ypothcses,
B iom etrika, vol. 27, 1935.
6.2 2 .0 5.8 6.3 5 .1 5.3 5.8 5.4 6. 1 6 .2 5.7 5.9 15 H . Sch c ffé: " The Analysis of Vat·ia nce," John \\' iley & Sons, Inc ., New
York, 1959.
Compu te lhc q ua n t it.ics in T a ble 11 .2 to Lest t he hy pothcsis -r1 = .,.2 = .,.3 , thc
alLernativc bcing t hat at lcast o nc inc qua lity ho lds . Use a probabi lity of type I
e rror equa.I to .05.
11.32 In P ro b . 11 .:3 1, find the powcr of t hc test for the fo llowin g values

l 2 .25
1 2 2 .25
l 2 2 . LO

11.33 In Prob. 11.3 1, set a 95 pe r cen t confidenco in t.erval on T¡ + 3T2 - 4T3.

11.34 Find the width a nd thc expect od width of thc in ter val in P ro b. 11.33.
11.35 Pravo Theorem 11. l 2.
11 .36 L e t. b be a vector o f const.an ts s uch t lrn.t E(b 'Y) = O; thcn b 'Y will be
called a n unbiased estí mate of zero. Provo that a n unb iased estímate o f zcro is
uncorre lated with t h o besL linca1· unbiased esLimatc of any est ima ble fun ct ion.

F urthe r R eading
1 G. ' " · S ncdecor: "Stat.is t ical McLh ods ," Co wa StaLe Uollegc Press, Ames,
Iowa, 1!)56.
2 ' "· G. Cochran and G . l\L Co x: " Experi me n tal D cs ig ns," John Wiley &
Sons , Inc., New Yo rk, 1!)57.
3 O. K ompt,lio rne: " Desig n a nu Ana lysis of E xpcrime nLs," John " ' iley &
Sons, I nc., Now Yo rk, 1952.
4 C. H . Goulden: " Me thods of S t a t is Lical Analysis ," John Wiloy & Sons , Inc.,
N ew York, 1!)39.
 THE CROSS-CLASSIFICATION OR F AC'rORI.AL MODEL 255
discuss t he two-way classi fi cation m odel a nd later extend ou r discussion
to n,n N-way classification model.

12.2 T h e One-way C lass ification Model

12.2.l Defini tio n a nd Notation . S uppose the observed random
vn,ria bles y 11 , y 12 , . . . , Yrrn, (the subscripts are for identification pur-
poses) a re assumed to ha ve the follmving structure:
12 Yo = µ + rx, + e;; j = 1, 2, ... , 1n;; = 1 , 2, ... , r
i
(12.1)
1::mi = JJ1 each m, > O
whcre µ a nd rx, (i = l , 2, . . . , r) are u nknown constants, which will be
The Cross-classification or referred to as the mean and adclitive treatmenl constants, l'Cspectively,
tind whe re t hc e;; a re ra ndo m varia bles. If m; = m far a.ll i, the rn oclel
Factorial lVIodel ¡5 said t o be balcincecl; if m ; =!= m for sorne i, t he model is said to be un-
balanced. For what fo llows we assume m, =!= m for sorne i .
'l'he model can also be writtcn as Y;; = (µ + a.) + (a; - a.) + e,;,
which we rewrite as
12.1 Introductio n - 1
Y;; = µ* + ex.¡' +e;; wherc ex.. = ]lf L a,m;
In t his cha p ter a nd some· of t he fo llowing chap ters yario us special
cases of mode l 4, the model of less t han ful! ra11k , will be discussed. In Wenotethat 2: afm; = Oandthatµ* = 2:E(y;;)/M . This isa repara -
i ij
the general case o f m od el 4 discussed in Chap. 11 , t he X mat rix was met ri zation of t he original m odel. Although it seems t hat t he m odel
d efi ned to cons ist on ly of O's and l 's. ~ l a n y of t he mod els underlying Y;; = ¡t * + rx{ + e; 1 may h ave adva ntages of interpretation in experi-
controlled scie n t ifi c expe riments can be wri ttc n in t his fashio n ; that is mental work, we sha.11 in gene ral work with the model Y;; = µ +a; +e;;,
t o say, many scie ntifi c experime n ts a re so clesig ned t hat t he o bserved where t he rx; do not su m to zero. Since one of these models is a re-
quantities are assumed to h ave a stru ctu rc o f the fo rm of t hc model in para metrization of t hc other, Lhe estimates of estimable fu nctions will
Cha p. 11. Sometí mes, a lso, the o bser vations from unco ntroll ecl or be the same regarcllcss of which is used.
semicontrolled expe riments are assumed to fo llo w th is moclel. There- 12.2.2 Point Estimatio n. Using the proccdure in Scc. l l.5,
fore , it seems worth while to study ,·ario us s pecial cases of model -1-. we can obta in the follo wing normal equations :
Th c study o f th ese special cases m ay help t h<' experimenter f' o d esign
" bctter" experime nts or to in terpret bctLe r those wh ich ha.ve bcc11 µ:
d esig ned. mi{t +m &1 1

T h roughou t th is eha pter we sh a ll ass ume that t he re exis ts a set of ni.¿fi- + mé2 (12.2)
Obse n ·able ra nclo m Ya.ria bles y .. 1 \\·hose structure is s u ch t hat
l}Ull}q. ••

-
Yr iJm1,q ... t - µ dmvq ... t +e.
11mpq ... t1
wherc /l 11mJlQ
·· . .. t
a re a set of constants rx,:
and e tJmJ>Q
.. ... t a re a set of uncorrelated rn.ndo m Yariables with means O
and constan t Yariance a 2 • F o r confidencc internils a ncl tests of or, more co mpactly,
hypotheses we s ha ll make t he furth er assump t ion that t he e;;mpo ... 1 are
n orma lly distribu tecl. (12.3)
\i\' e s hall start with t he simple. t moclc l in terms of thc numbcr of
a0 : m 0 ¡1 +m & =
0 0 Y.,. q = 1, 2, ... , r
elemen ts present- the o ne-way classifi cat io n mod el, wh ich is some· Since the sum of t he last r rows of Eq. (12.2} is equal to t he füst row,
t im es referred to as the conipletely random?°zed model. W e s hall then t here is at least one linear depende nce. It can be seen also that
254
256 L CNEAlt S'l'ATIS1'1CAL MODELS 'l'HE CROSS- CLASSIF ICA'l'ION OR FACTORIAL i\IODEL 257

thc last r l'O\\"S are linearl y indcpendent. Thus, t he rank of X'X , + C"J., whcre <Y. 1 = C"J. 2 = · · · = C"J., = r1. . There is o nl y one normal
11
is r, a.nd ihere are r Jinearly independent estimab le fun ctions (by eqnat,ion, n n<l, by th e p rocecl u re of See. 11.5, this is
T heorcm 11.4). A lso, by T heorem 11.6, the quantities E(y;;) and any Mji* = Y ..
fL*:
linear fun ction of E(y;;) a re estimable. Thus, f' + r1., a nd a ny linear
fon et io n of t he µ + <:1.; are es timable. vVe can use Lhe (i + l )st cqua,. J{enec, R(1t) = Y .. fi* = Y~/J.ll. The AOV is presented in Table 12.1.
tion of t hc normal equations (1 2.2) a nd Corollary 11.G.2, \\"hieh states
t hat t he best linear unbiascd estima.t e is t he rig ht-httnd side of Lhc cor- TADLE 12. l ANALYSl S OF VATIIANCE FOR TESTING Gl1 = Glz = ... = rx,
/'-.-. -
r espond ing equation; t hat is, µ + r1., = Y ;./nt; = Y;.- If L:c; = O, S \' DF SS MS F EMS

then :Ec;C"J.; is estimable and t hc estím ate is 'f.c,y;.· Suppose 'f.d,C"J.; and -
Totnl 1\ (
Í: Yi1
L.f;C"I.; a,re t wo estimable fon ctions of the C"I.¡. Sinee they are both estim- ij
able, sorne linear eombination ofthe left-h and side of t he normal equa- 1
Y~.
Duo to mcnn -¡¡
tions ( 12.2) must yield L.d ¡&;. Thcn t he same Jinear eombination of the
r•
Ii - '· Y.'.
right-hand side of E q. ( 12.2) will g ive the best li near un biased estímate. Cl.ss CX.ms 1
Due to rx (ndj) r- l ass = a•+ - - ,2 m.(rx1 - ii.)•
The linear com bination is obtained by mul.t iply ing Lhe (i + l )st cqua- Jll 111¡ r- 1 11' DlS r - l .
'
t ion by dJ11i, and adding. F o r Zd;r1.; to be estima. ble it must be true J;rror ilJ - T ll"ss =
L Y,} - _L- yo _.!;
ir••
a•
ij i M-r
t hatL.cl; = O. Theestimateis ,2Y,.dJm,.. Simila rl y,theestimateof '11l¡

i
'Lf,rJ.; is .2: Y ;J¡/m;.· The covariancc of t he esiim at es is
i To find t hc cxpeeted mean square of treatments, eonsider t hat
/""'-... /'"--.. -2 d 1.¡.1
cov("2:d¡r1.,, 'f.f;C"I.;) = E[("i.cl,y,_ - "i.d¡r;.¡)("i.f ;Y;. - "i.f1r1.;)] = <rL - - y'~ Jr2 .,
m, rl.s.~ = I -'"
m¡i
- -··
JI
= I (Y; . -
;;
yJ-
T he two esti ma.tes a re uneorrelated if and o nly if
1 1 l
But Y;. = - Í: Y;;= - Í: (µ + C"I.¡ +e;;)=µ + <f.¡ + - Í: e;;
l.: dJ, = o ?n¡ J ?n; j ?n; :1
?n¡
1
If m; = ni, t he two estima.tes are uneorrelatcd if a nd only if "i.dJ; =O. and Y.. = -;;--[ Í: Y;;
.1• 1J
The Yaria nee of t he esti mare of "i.d;C"I.; is

/'"-... ) = vttr ( L. dT.

var ('Ld;r1. -'- '-·) = L.....!..
cl a 2
2 - = ;Jfr 1
(¡t + C/..; + e;;)]
1
m¡ ?n;

If ni; = ni, t his variance of a eontrast is a 2 L.dUm. = l;f[t m;(µ + <f.; ) + fr e;;]
12.2.3 Tests of Hypotheses . Suppose it is desired to test t he
hypothesis <Y. 1 = <Y. 2 = · · · = C"J.,. By Theorem l l . l 7 , t his is a n csti m- l 1
able hy pothesis, since L:c;ix; is estimable if "i.c¡ = O. T he qua.ntitics
= '' + -M I; ?n¡C"I.¡ + -11! I;; e;;
l
needed a re R (µ,<Y.), R(¡t) , and fina lly R(C"J. ft) = ll(µ ,C/..) - R(¡L). To Substit uiing gives
obtain a solution t o t he Jtorma l equa.tions (1 2.2), we use t he nonesiim-
able eonditio n 'f.m;&; = O. This gives ¡1 = Y .. ; &a = Ya. - Y .. fo r q = E[fr (V;. - v.f]
1, 2, . .. , r. The reforc ,
y2 ( ) '2
R ( µ ,(/.) = ªt-' 'X'Y = Y . . ¡í + 'f.Y •.. &.' = -Jlf_·· -1- ¿....:i:. _ -··
y2) · [
= E .2:;; ( µ + a.; + m;
-l .2:; e;; - !' - -1 .2: m,,r:1. 1,
JII ,,
- -
l .2: eM
JII
)2]
?n · JI[ 1J(/

•
To find R(µ), we can write the model Y;; = µ* + e¡;, where µ * = = Í: m;(<Y.; - <i.)2 + (r - l)cr2
i
258 LINEAR S'l'A.'l'IS'l'I CAL i\IODELS 'l'HE C.dOSS-CLASSIFI CA'l'ION OR FACT ORIAL l\IODEL 259

J whcrc Yu is a n o bservation, ¡.t is an unknown parametcr, t he -r 1 are one

whcre a. = lit I m;r1..¡. Thereforc, by Theorem 11.lü, the no nccntrality set of parameters, and t he /3; are a second set of para meters. T he set
1
.. will be associated with a certa in factor, say, fa,ctor A, which mig ht be
J. is 1

?]
1
a set of machines or a set of chem ical t reatments; t he set {J; will be associ-
( r - 1) [
I m;(íl.; - a·+
)2
a- a.tcd with a certain factor , say, factor B, which mig ht be a set of temp-
}, = (r - 1) r - 1
cratures.
2a2 2 For example, suppose an experimenter wants to meas ure thc effect
of different o,·ens a nd d ifferent tempera t u res on t he strength of a certain
metal. If he desires to use fo ur tcmperat ures, !et these be factor A,
n,nd Jet the set of parameters be T t , T 2 , -r 3 , T 4 , the respective addit ive
lf m; = m, this is trcat mcnt constants due to temperatures. I f, say, three ovens are
available, let t hese be factor B , a nd Jet t he set of parameters {J 1 , {J 2 , {1 3
be t he respective additi ve treatment constan ts due Lo ovens. Jf µi s a
general constant, t he model might be wri tten as Eq. ( 12.4) , where Y;;
wherc - 1 is i he obsen 'ed strength of t he materi a l when t he ith temperatu rc is
íl., = - 2: (1.¡
r ; a,p plied in the .ft h oven. ·
Sin cc thc p ower of t hc test is a n in creasing fun ction of J., this formu la Sorne might p refer to writc the molle! as
fo r }, g ivcs an expcrimenter so rne insig ht into how he can improvc his
experimcnt, i.c., by either increasing mor decreasing a 2 , or both. Y;; = (¡,t + :r. + /J.l + (T¡ - T.)
To set a confidcn cc in tcrval on any treatme nt contrast L:c;íl.;, we can which we can write as
use the fo llowing facts :
Yu = µ* + r¡' + p; + e;; (12.5)
l. 'J:.c,y¡, is distr.i butcd N(z:c,íl. 1, a2:E e¡).
ni 1 'l'his is a. repara metrization of (12.4) a nd, by Coro ll a ry 11.8. l , \\'ill leacl
2. ll'ss/a 2 is distributcd as ¡,,2(111 - r). to thc same estimates of estimable fun ctions. Notice t hat I T{ =
3. ll'ss a nd :Ec1y;. are independent.
('J:.c,y 1• - :Ec1íl. 1)(.ilf - r)l
'1;.Pt =
]
Oand t hat E(¡ Yi;)
1)
= btµ *. 1\'l odel ( l 2.5) seems to be ~uperior
Hencc, for interpretation in m a ny experimental situations, b ut \\'e sha ll some-
_ ( W55 Í:.c~/m;) 1
timcs use model (12.4) to dernlop the theo ry. Modcl ( 12.5) can of
is d istribu tcd as Studcnfs f with JJ[ - r degrees of freedom. The l - rx course be deri,·ed from (12.4) . The e11 are rando m errors, which are
confide nce in teryal is assumed to be uncorrelated wi th mean O and varia nce a 2 • Fo r tests of
hypotheses and interval estimation, the errors wi ll be assumed to be

'f.c,y¡, -
TI'SS
la/2 ( - - - 'f. -
c7 )}< L C¡O'.¡ < °f.C1Y1. + la/2 (- w-·-:E -e¡)!
SS normally d istributed.
Jlf - r m1 fil - r m; The object in t his model is generally to estímate t he contrasts L C;r;
and L,d;fJ 1 and to test t he hypotheses T 1 = Tz = · · · = T 1 ancl /3 1 =
The width is ?[ _ _s_·s_ Ir ' ), ~2)l- P2 = · · · = flb·
-' a/2 (111 - r ,&..J

m; 12.3.2 Point Estimation. The normal equatio ns are

12.3 Two-way Crnss Cl assification: No Interaction

µ: bt µ + b-r1 + · · · + M + tPl + · · · + t/J b= Y ..
t

'T JJ : b¡í + bTP + Pt +·· · + /Jb = Y7). ( 12.G)

12.3.1 D e finition and Introduction. Th e two-way bala nced p = 1, 2, ... 't
cross classifica,tion w it hout intera.ction is defined by the m odel
t/i + 7\ + · · · + f 1 + )'
.Q

Yu = µ + T ¡ + fJ; + e;; i= l , 2, ... ,l;j= l ,2, .. . , b (12.4) q = 1, 2, . . . 'b

260 LINEAR STATISTICAL l\IODELS THE CROSS-CLASSIFICATION OR FACTORIAL l\IODEL 261
The only linear combinations of the -r¡ or ofthe /J; that are estimable a.re TABLE 12.2 ANALYSIS OF VARIANCE FOR Two-WAY CLASSIFICA'l'ION MooEL
contrasts. The contrast :Eci-ri is estimated by :Ec¡y¡,, and :Ed;f31 by
:Ed;Y.;· The variances of these estimates are :Ec1a2 /b and :Eáfa2 /t, re-
spectively.
12.3.3 Tests of Hypotheses. To test -r1 = -r 2 = · · · = -r 0 we
--lsv

Total
1
DF

bt ZYl1
ij
SS MS F E.l\IS

must find R(µ,-r,{3). To solve the normal equations, we can use the two Y~.
nonestimable conditions :E-r;= O and :EP; = O. This gives fi =Y.. , }lean
bt 1

-T :11 = Yi,, - y,,, and Pq = Y.a - Y .. · Therefore, 2Y' .¡

R(µ,-r,{3) = fiY .. + :E-7\,Y + :EPqY.Q

j).
{J (adj) ! b-1 Bss = _;_ -
t
Y~.
bt
Bes
b=-i B,., I ' + b -' 1 J.. ((1; - iJ.)'
Eme a
J

= Y~.+ (:EY;. _ Y~.) + (:EY~0 _ Y~.) 1 ¡ Yf.

~
2'se
bt b bt t bt .,. (adj)
l t - l Tsa = _i_ -
,,
Y;,
bt t - 1
1 Tms ali+ t
Eme
l ! (T, -f.)Z
1 i
The model under the hypothesis leads to the normal equations: Error 1(b - 1 )(1 - 1) ' Eae
Esa 1
1a
2
(t - l)(b - 1)
! i
µ: btp, + t¡J1 + · · · + t/jb = Y ..
tp, +tilo =Y .Q q = 1, 2, ... 'b and that for testing r 1 = r 2 = ··· = Ti is
To solve these we can use the nonestimable condition :EiJ; = O. This b
gives µ = Y.. and Pa = Y.r: - Y.. • Therefore, -
2a2 f
""'(-r. - ;: )2
' .
Y2 1'2)
R(µ,{J) = ¡¿Y .. +t -
fJ;Y.; =
y2
b;· + ( :E-:- - bt 12.3.4
size 1 - ex is
Interval Estimation. A confidence interval on :Ec¡r¡ of
Weget
R(-r 1 µ,(3) = ll(µ,-r,{J) - R(µ,{J) =
y2
¿,; - Ú. = ~y2
(Yi. - Y.J2 LC¡Y;. - ta/2
~ 2)l
(E--b-
msL.rC¡
<
,
LC¡T¡ < LC;Y;. + ta/'}. (E--b- ~ 2)l
'nu;....,C ·
1

By a similar procedure it can be shown that The width is '>t

.... a/2
(EmsLc7)i
--b-
Y2
R({J '· µ,-r) = :E -1' - Y2Ú. t = (Y.; - Y.J2
Similarly, for :Ed;f1;,
.;.d t (Ems'Ld¡)l {3 ~,d;Y.; + ta/2 (Emi;:Ed¡)l
z yi -
'li:'
~ ;Y.; - a/2 t < ~e; ; < """ t
Also, the error sum of squares, which is R(µ,{J,-r), is
ij
1
Z y¡_ 2 Y~; Y~. The width is -Jt
-' a/2
(EmsLd7)
t
f;
" 'Y¡;
2 - -i b - - -
;
t- + bt - f; (y¡; -
-""'
Yi. - Y.; + Y.J2
l~1 ~ is the appropriate value ofStudent's t with (b - l)(t - 1) degrees of
·we see that
y2 freedom.
2 Y~; = _ .. + R({J 1 µ,-r) + R(-r 1 µ,{J) + Ess
ii bt
12.4 · N-way Cross Classification: No Interaction
The AOV is shown in Table 12.2.
The noncentrality for-testing {3 1 = {1 2 = · · · = {Jb is __The N-way cross classification is an extension of the two-way cross
classification to include N sets of parameters (.N factors). \Ve shall
t 2 L.
""' (/J; - 2 demonstrate by discussing a four-way model. The reader should ha ve
-2
<J i
- {JJ no trouble extending this.
262 LINEAR STATISTICAL MODELS THE CROSS-CLASSIFICA'l'ION OR FACTORIAL M:ODEL 263
Let °'i (i = 1, 2, ... ,p), fJJ (j = 1, 2, ... , q), rdk = 1, 2, ... , r), and This gives
(m = 1, 2, ... , s) be four sets of parameters (treatment constants).
.,.m
Let the observation Yiikm be defined by
R(µ,cx.,fJ,y, 7 ) = ¡1Y .... + 2i &¡Y; ... + 2i P1Y.1 .. + 2 YkY ..:~. + 2m T
l·
111
Y ... m

or
(12.7) _ Y~...
- pqrs
- + -qrs- -pqrs
- +
(t YL Y~... ) (t Y~;.. -Y~···)
-
prs pqrs
+ ri. +P. +Y. +f.) + PJ + (yk -
(2~.k. (2 Y~
Yiikm = (µ (oc; - &.) + ({J¡ - 'YJ
+ (Tm - f.)+ eiikm + k ~-··) +
___ m .. m _ __ ~···)
which we write as pqs pqrs pqr pqrs

Yiikm = µ* + ex.~ + P: + r: + -r! + eiikm Hence, the error sum of squares is

where the eiikm are uncorrelated random errors with mean O and vari-
2222
m
Y~;krn -
i ; k
R(µ,cx,p,y,-r)
ance a 2 • = 2222m (Y;;km -
i ; k
Y; ... - Y.; .. - Y ..k. - Y ... m + 3Y ... J 2
By the procedure of Sec. 11.5, the normal equations are as follows:
Suppose we desire to test the hypothesis cx. 1 = cx 2 = · · · = cx.P. This
µ: pqrs¡1 + qrsL&¡ + prsLP1 + pqsLyk + pqrL7m = Y ... . is an estimable hypothesis, since LC;cxi is estimable if Lci = O. The
ex¡: qrs¡1 + qrs&¡ + rsLP1 + qs"Lyk + qr't-Tm = Y; .. . new model is
i = 1, 2, ... p Yiikm = ¡¡, + {Jj + Yk + Tm + eiikm
wliere we have substituted ¡¡, for ex. + µin (12.7), where we let cx 1 =
¡3¡: prsft+ rsL&¡ + prsP1 + psLy,. + prL-Tm = Y.J .. (12.8)
« 2 = · · · = cxv = ex. The normal equations for this model can be ob-
j = 1, 2, ... q
tained from the normal equations (12.8) by letting &1 = &2 = · · · =
'Yk: pqsfi + qsL&i + psLP1 + pqsy,. + pqL7-m = Y .. k. &11 = Oand by eliminating the equations for rx;. The normal equations
k = 1, 2, ... r are
71'1: pqrfi + qrL&; + p1·LP1 + pqLy,. + pqr7-m = Y ... m p,: pqrsfi + 11rsL/ji + pqs"L.yk + pqrLf rn = Y ....
m = 1, 2, ....~ {31 : prsfi + prs¡ii + ps'Lyk + pr'Lf m = Y.; ..
It follows that: yk: pqsfi + ps"L¡Ji + 11qsyk + pq'Lf m = Y ..k.
l. Ld,cx., is estimable if Ld, = O, and the estimate is LdiYi ... ; thc T m: - pqrÍÍ + pr"i:.íJ¡ + 1>q"i:.yk + pqrf"' = Y ... m
variance is a 2 Ldfjqrs. Using the nonestimable conditions '"i:/i1 = O, Lyk = O, Lf m = O, we
2. Lf¡/31 is estimable if Lf1 = O, and the estimate is Lf;Y. 1.. ; the vari- solve these normal equations and get
ance is a 2 Lflfprs. _
3. LUk'Yk is estimable if Lgk = O, and the estimate is Lgky .. 1;.; the µ=Y ....
variance is a2 LgUpqs. /J; = Y.1 .. - Y ... .
4. "LhmTm is estimable if Lhm =O, and the estimate is LhmY ... m; the Yk = Y .. k. - Y ... .
variance is a 2 Lh;,1¡pqr. :¡.m = Y ... m -Y ... .
Use of the nonestimable conditions L&¡ =O, LP1 =O, Lyk =O, "Lr m = This yields
O allows for easy solution of the normal equations. The solution is
R(µ,{J,y,-r) = fiY .... + 2 iJ;Y.; .. + 2 YkY .. k. + 2 fmY ... m
i k m
fi=Y ... .
&, = Yi ... - Y ... .
_ Y~...
- pqrs
(t Y~ .•
- + -prs- -vqrs
- +
1 Y~... ) (t Y~.k. -Y~- .. ·)
pqs pqrs
P1 = Y.1 .. -Y ... .
Yk = Y ..'/c. -Y ... . 2 Y~.. m Y7...)
+ (m ---
Tm=Y ... m-Y... . pqr pqrs
26-! LINEAI't S'l'ATI S1'1CAL MODET,S 1' 1[1<; CROSS-CLA SSIFICA'l'IQ N OR l•'AC'l'On rAL MODEL 265
W e h aYe R(et. 1 µ ,T,{3,y) = R (µ,Cl. ,{3.y,T) - R (µ ,{3.y ,T) 5qnarc; a nd a li are independc nt . Thcrefore, t hc AOV Table 12.3 can
bo nsed to 1cst t.he fo ur separate hy pothoses:
=
:L YL
-;_ _ _
yz
_ _

qrs 1iqrs (1) CI. ¡ = Gf.2 = ... = (1.p Noncentrali ty = qrs? L (('/.¡ - a.f'
2cí i

= IIII (Y; ... - Y ... s·

= prs
-9 " L, -
i ; k m ?
(2) N
r o ncentrnlit y ({Ji - {3.)-
d enote<l by et.ss · Simi larly, to test {3 1 = {:J 2 = ··· = (:J 0 , we could get -a_ 1

LLLL
i i k m
(Y. ;.. - Y ... f (3) Y1 = Y2 = ... = Yr Noncen t ra lity = pqs L (yk - y.)2
2a2 k
de n otccl by f:ls.~ , a n<l we co uld get similar results if we wa ntecl to test y 1 =
Y2 = ... = y,O I"T¡ = 7"2 = ... = T ,.
(·J.} Tl = 7"2 = ... = T s Noncentra li ty = pqr2 L (T - f )2
It is intercsting to obserrn tha t 2a m m ·

y2
_._
... + R (et. I p ,{:J,y.T) + R (f3 I µ,r:t.,y,T) + R (y 1 µ,et.,{3,T) + R(T 1 µ ,C1.,{3,y) The 11011conLrnlity parameters are obtained from the E l\IS column a nd
11qrs Thoorern 11 . 16.
Con fidoncc inte rvals can be set on a ny contrast by using Ems as the
+ E ss = LLLL Y7ikm
i ; k "' cstimate o f a 2 •
-The q uantity Y~ ..fpqrs is sometimes called Lhc smn of squares elite lo lite
mean, a n d R (r:1. I ft,{J ,T,y) is called t he swn of squares duelo <1. (adj ustcd), 12.5 Two-way C lassification with Interactio n
etc. T hus we can get t he AOV s hown in T a ble 12.3.
Beforc d iscussing the two-way classification wi t h intcraction, wc shall
T A BLE 12.3 ANAL Ys1.s OF VAlllANCE FOR Fouit-WAY Mon E t,
defi ne what we mean by t he term inleraction.
12.5.1 Defi nitio n of Interaction. To d efino the conoept of
~ \' DF SS l\I . El\18 intoracLio 11 , conside r t he f unction of two variablcsf(x,z) . \Ve form ulatc
1 a defin it ion as fo llows .
T otal 1 JJq rs I Yiikm
.,
ijkm • Definition 12. 1 f( x,z) wi ll be defined to be a funotio n with no inter-
- actio n if a.nd only if t hcre exis t functi ons g(x) and h(z) s uch t h at
J\fean 1 -Y~-..
pqrs j(x, z ) = g(:1;) + h(z) .
For exrLmplc, Lhc fun ctions x 2 + xz, x 2 + log z + xz 2 , e::'', and e=+:i: h a ve
qrs
r.t. (udj) 1' - l « sg GCms ª2 +--I(r. t., - ci.J2
- p - l i
interaction, lrn t t he fun ctions x + z, log xz, a nd x 2 + 2x + z2 + 2z
fJ (udj ) q - 1 fJss fJms a-n+ q-vrs-I
- l j
(/J · -
'
fJ- )-.
.
ha\' C no irücracLion. T hc a bove defin it io n can be extended to any
num bcr of \'ltriab les; i. e., the fu nct ion f(x,it,v, ... ,z) h as no interaction
71qs I -. ifj(x ,u ,v , ... ,z) = h 1(x) + h 2 (u) + h 3 (v) + · · · + h 1(z), a nd has inter-
y (adj) r - L Yss Y111s a-• + - - (y. - y) -
acLion oLhe r wisc.
r - 1 k k ·
The thing to 11otice in t he model wit h no in tcraction ,J(x,z) = g(x) +
(acJj) s - L npqr I (T
a-+-- _)"
T 7 ss 7 ms s - 1 ,,,, m.
- T
.
-
h(z), is Lhat,, fo r t"·o x values x = a and x = b, t he guantity f(ct,z)
f(b ,z) i ~ indcpc ndc n t of z. Simila rly fo r two z values.
E rror pqrs - p - q - r - s +a 1
E ss Em~ a2
Tite l,wo- way classifi cation modcl can be wri ttcn as ?'J ·¡ = µ .. +e .. .. t " ,,,

whcrc µ;¡ i:; Lil e ' ·t,rne'' total e ffect of t he combin a t ions of elc ment i from
By T heo rem U .15, t h c quantit ics ('/.ss/a~ , flss/a 2 , Yss/a 2 , a ncl Tss/a2 are factor A a rH.l olc rnc 11 L.i from factor B. If t his " t rue" total effect is j ust
each d istribu tecl as a noncen tral chi -squarc; B ss/a2. is a central chi- the su n1 of Lhc ith effeet of A, which is T¡ , p lus t he jth effect of B , which
 THE CROSS-CLASS1FICA1.'ION OR FACTOR(AL i\TODEL 267
266 LINEAR STATCS TlCAL l\lODELS
In the two-way classifi cation mode l without in tcraction, t he contrasts
is fJ;, p lus p, Lhcn /.t;; = µ + T¡ + {J,. To consid e r t his more carcfully,
of t he -r¡ a nd ofthe /3; we re estima ble. By examining Lhe norma l equa-
we see t hat
tions for model ( 12. 9) it can be seen t hat here the contrasts of t he T ; or
and the /J; are not estimable. In other words, t he p a.ramcter (T/3),,. cannot
bo separated from T ,,. The model can be written as

or , more gcnera lly ,

y¡;=[µ +f.+ P. + (T/3) . .J + h - f. + (-r/J)¡, - (-r/3)..J + [/3; - P.
for a li i, i ', j, j'
+ (T/3).; - (T/3) . .J + [(-r/J)¡¡ - (-r/3);. - (T/3).; + (-r/3) ..J +e¡;
or Y;; = p * + Ti + /37 + (T/3)~ + e;1
No ti ce that t he ter ms can be rearranged as follows :
The " true" mean e ffect of thc ith element of fac tor A co uld be d efined
(/t;; - µ ¡r ) - (µ;·; - µ¡ ·r) = (/'3; - flrl - ({J; - Prl = O
as -r[, and this is estimable, sin ce T'! = T; - f. + (-rfi);. - (-r/3).. . We
\ Ve n ow formu late t he fo llowing de fin ition. gct f[ = Yi. - Y .. from (12.1 0). If we use the nonestimablc condi-
• Definition 12.2 T he two-way classification mode l Y;; = µ¡; + e;; tions f . = O; íJ. = O; (;}J) 1 . =O, . .. , (-:::P) 1. = O; and (~).i =O, . . . ,
wil l be said to be a.11 a dd it ivc modcl , or, in other words, a model (-:P). b = O, t he n orm a l equa.tions (12. 10) a.re easil y solvcd. The solu-
w ith no inte ract ion , if f'¡; is s uc h t hat (µ;j - µ;) - (µ;r - µ;'i') = O tion is
fo r a li i, i', j, j' . In t he contrn.ry case it will be said to b e a non- µ = v..
a<ldit ivc modcl, ora model wit h interactio n .
f ,, = !/,,. - Y ..
S upposc t hat !';; = µ + T ¡ + fi; + (T{J) 0 ; t he n (µ¡; - µt'i) - /'3{} = !f .a -Y ..
(µ; r - µ¡· r) = (T{J)..; - (TfJ );·; - (TfJ);r + (T{J) cr· lf th is is not zero, the ,,.....
implication is t hat t he "true" effect o( t he difference of two elemcnLs of (T/3) 1,(} = Y,"' - Y11. - Y.{} + Y ..
Thc quantity
A depends on wh ich c lc ment of Bis used. The quantit y

1 R[µ ,-r,{3,(-r/3)] = /iY .. + .L T¡Y;. + L P;Y. ¡ + .L (;p);;Y¡¡

Ü 1.
· = -vf
""'µ .. = µ + T· + /3- + (T/3)·
- i j 'IJ

(t Y~
j •J , . ' ·

_ Y~. (~ Y7. Y~.) 1 Y~-)

wi ll be call ed t hc "trne" mean e ff.ect of Lhe iLh ele111e11L of A in t he pres- --
bt
+ -b- - -
bt
+ -t- - -br
ence o f the elements of B. A simil a r d efiniti on applies to /1 .;·
12.5.2 T h e Two-way C lassification Model with Interaction. + .Lii Y;;(Y¡; - !/;. - !/.; + Y ..l = LY7;
The t wo-way eross-classification model with inte raction will be defincd ,¡

by So t he e rror s um of squares, which is L yJj - R[(µ, -r,{J,( -r/3) ] , is cqual to

Yu = µ + T; + fJ; + (T/31; + e¡; i = l , 2, .. . 't; j = l , 2, ... 'b ij
zero. H ence, in t liis model there is no estimate o f t h e \·a ri a.neo. So
(12.!l)
wc cannot make t h e com·entional tesLs of hy pothcscs o r set confid ence
T he norma l equa tions can be found by t he method of Sec. l l. 5. They intervals.
a re as fo llows: To get a n estímate of a 2 there must be mo re tha n o nc obsen·ation for
at least one ~i com b ination. l! or examplc, s uppose t,hcre a re r obser-
µ: bt¡í + bf. + tf + (:;jl)._ = Y .. vations p er ij combination. The n t he mode l bccornes
'T J} : b/i + bf,, + P. + (:;jl)¡,. =
t(t + f. + tPq + (;p)_q =
Y,,. p =
=
l , 2, . . . 't
I i = l , 2, ... , t
Y .q
p
<j
=
l, 2, ... ' b
1, 2, .. . 't
(12. 10)
l j = 1, 2, . . . ' b (12. ll )
µ+ f,, + ílQ + (:;jl )JJQ = y 71<1 {q L11¿ = 1, 2, ... , r
= 1, 2, ... 'b
268 LlN'EAR S'fA'l 'JSTICAL i\lODELS THE CROSS-CLASSIFICATION OR F:\C'l'OJUAL l\tODEL 269
The normal equations are 13ut th is equals (r /3 }ii - (-rfJ).; - (-rfJ};. +
(-r{J) ... Next assu me that
µ: rbl,,ú + rbf. + rt{J. + r(;/j).. = Y (-r{J}j = O for all i and j. Then it is a lso true that {-rf3)t - (-r{J }[::i -
(-rfJ}Ú' + (-r{3}~/ m ust be equal to zero for a ll i, i' , j, .i'. B y s u bstitu ti ng
rb¡í. + rbf + rfJ. + r(;{J)p. = Y v..
1, p = 1, 2, ... 't
1
, .. - µ - r ; - /3; for (-r{J); 1 , we gct O = (-r(J}'lj - (-rf3)ti - (-rfJ)t. +
(;P)tr = (µ ;; - ft ;-;) - (¡.tii' - µcr)· Wo havc, thereforc, s hown
/31': rt{i + rf. + ri{Jq + r(:;¡J),., = 1".a. q = 1, 2, ... 'b (12. 12) tha,t there is no interaction if and only if (-r{J}t} = O for a ll i~'tndj. So
p = l, 2, ... 't we shall test t he h ypothesis that (-r/3}ij = O fo r a ll 1: and j . By (12.10)
it follows that (r/3}ú is estima ble, a nd, hence, that (r/3){j =O (all i andj)
{
q = 1, 2, ... 'b is a n estimable h ypoth esis.
To test this hypothesis we shall work with model (12.13}, realizing
The rank of this systcm (thc numbe r of linearly indepcndent estim-
ab le function s) is bt. Using the nonestimable condi tions f. = O; P.= tha,t r'!' = /3.* = (-rfl)t = (T/3)j = O. Thc norm a l equations are

O; and (-:;jJ) 1. = (~)z. = · · · = (-:;jJ),. = (;fi). 1 = (-ríI) . 2 = · · · = (;fi).b = O µ*: rbt¡1 * = Y

g ives t he soluti on *·
r,,. rb¡1* + rbf! = Y 11 ••
¡í. = Y ... p;: rt¡i* + rtí); = Y .q.
fJ) = Yv .. - Y ...
(r/3)!,: r¡1* + rf: + rP: + r(;,3)!, = Y 1"' .
fJ" = Y.q. - Y ...
...-... This gives
(-rfl)va = YJ><J. - Yv .. - Y.(/. + Y ...
'y2.
R[µ*,-r*,{3* ,(-r{J)*J = Y~ .. + (:¿
rbt
Y7,. _
; rb
Y~.. ) +
rbt
(I Y\_ Y~..)
; rt rbt
L, l}.

This gives Rf¡t,-r,{3,(-r/3)] = _,;-,. y2 r2 r2 y2 )

+ (I __.!L: - 2: _;.. - I ___:.Í.= + -···
So the e rror s um of squares is ;1 r 1 rb ; rt rbt
'y2.
L, 1).
To find R(µ *,r* ,{3 *), we put (T(J);",¡ = O fo r ali p and q. This gives the
9
L..!JI;,.. -
' ii -
- = °"
L.. (Y;;,,. - Y;;.)-9 following norm al equatio ns:
iim. r iim
µ*: rbt¡"l* = Y
Wc s hall ncxt d evise a test to 5"ec wheth er interaction_is present in
( 12 .11 ). Wc s hall rcwritc (12. 11) in t he fo llowing way: -r!: rb¡i* + rb-T; = Y,, ..
{JQ*·• rt¡i* + rtii*
/Jq = Y .q.
Yiim =[µ+ f. + fJ. + {r/3).J + [-r; - f. + {r{J);, - (r/3)..·I
+ lfJ; - fJ. + (rfJ).; - (r/3l..]
Solvin g (using f_* = P': = O} gives

+ L(r /3);; - (-r{J);. - (rfJ). 1 + (-rf/l..] + e;;,,. R (¡t*,-r*,{3*) = Y~ .. + (:¿y¡.. - Y~..) + (:¿Y~;. - y~·-)
rbt ; rb rbt 1 rt rbt
or Y;;,.. = µ* + -ri + f37 + (-r{J)i; + e;;,,, (12. 13)
iind R[{r/3)* 1 µ* ,r *,{J*J = R[µ* ,T*,(J *,(-r{J )*J - R(µ*,r*,{J*)
It " ·ill b e s ho\\'n that t he re is no interaction in the modc l if and only if
(-r/3) 1 ; - (T/3};. - (-r/3).; + (-r/3) .. is cqual to zero for al i i and .i· By = I Y7;. - I Y; .. - I ~;. + ~..
;; r , rb J rt t·bt
Definition 12.2, \\'C m ust show that (-rf3)ú = (r{J);; - (-r/3);. - (rf3). 1 +
(-r/3) .. = O foral! iand j if a nd on ly if y* = (µ;i - p.¡) - (µ¡p - fl¡·i·) = ,¿,
°" (y d.
. - Yl.· . - !/ .J.. + !/ . .. )2
iim
= O for a li i, i' , j ,j', w hcre µ;; = fl + -r¡ + fJ; + (-r{J};;. Now, if y* = O.
'J'hc error sum of squares is
)r 2
btl (;Y * = - - µ;.
µ¡; - µ,; - + µ,.
- = O for ali i and j " 2
LYi;m
iim
- R[ µ *,T * >fJ *' (T {J)*] -_ .,¿_,!/;;,..
" ~ _ 4.
ijn¡
" -
i1
;1. -_
r
" ( Y;;,,. _
L.,
ijm.
Yii. )2
270 Ll 'J~AR S'l'A'l'fS TJ CAL l\IODELS 'J'Irn CR OSS- CLASSIFICATION OH. FACTORIAL lltODBL 27 1
This leads to t he AOV prcscntcd in Ta ble 12.4. TABLE 12.5

TADLF. 12.+ .-\ 1'A LYS I S OF VAR f :\NCE FOR TESTINC lNTERACTION ~T{3"' 1 2 1 3 y .
.J.
J N A Two-wA Y C 1.ASS1FIC ATrON -------------
3 4 3
SV ] )lo' SS E~I S :1 :l 4 l 8 :30
2

-
2 (j
Total rbt L Yf,,,. ---------
ijm
(j 6 8
Duc lo C-r{J¡• (udj) (1 - 1 )(b - 1) ¡ (Y¡,. - Y•.. - !J.1. + Y... J' a•+ (b _ l~(I _ l)¡((T/j)t¡]' 2 3 2 5 2 13 15 22 50

I
~ y
¡ 4 7 !)
Error bt(r - 1)
11 m
(Y11m - Y, ¡_)• a•
- :1
- - --- - - - -
3
4
3
G
5
G 3 Jl 16 20 47
T h e n oncentrality para.meter is 4 7 9
- - - -,------
4 :1 7
4 ij 7 8 4 13 25 !í7
4 !) 10
If it is conclu cled that t hcrc is no in teraction, modcl (1 2 .'.1,) is approp riatc
and Sec. 1 2.3 a pplies; othc rwisc model ( L2. l L) is a ppropriate.
If it is decidcd that t he i nternction model ( 1 2. J 1)
y .... 45 5!) 80 184

(a) Entrios a ro obsor vat,ions ?Jm,· (b) E n t,rios are coll totals Y;;.

Thc ccll totals Y;;. a re given in T a ble 12.5b. T hc following values

are easily obtnined :
is appropri ate, t hen by using t hc no rmal eq uatio ns ( L2 . 12) it can be
determined \\·hat qua ntit ics a re cstima,ble. Contrasts of t he •; and {31 ~ ¿ Y7;. = l ,04J .333
ij
are not estim able, as t hcy a re in t hc modcl wit h no interactio n (Art.
1 2.3.2). A lso, t he hy p othcses ' t = • 2 = - - - = • 1 a nd /3 1 = /3 2 = · · · -}¡¡ y~·- = 940.444
= /3b are not estimable hy p oLh escs. Thc " t ru e .. diffcrence betwccn Lhe lJ.2_ L YL = 992.167
ith a nd jth e ffect of factor A can be d c fined a s i

~- L; Y~;- = 984.222
This is estim a.b le , a nd its bcst lin ear unui ased estímate is Y; .. - Y; .. ·
Li; L Y7;m =
tn
1,118
12.5.3 Exarnple. Assume t hat a n ex pc rimen t was run o n Lhrec T hercforc, we h ave
OYens, ea ch at four tc m peratures, to ascer tain t he s tre ngth of t hc fi na,!
product. S uppose thaL Lhree runs wcre made in each oven nt ea ch SS duc to (-r/3)* adj = L L (Yi;.
ii m.
- Y; .. - Y.;. + Y .. f
te mperatn re. The obser vations a.re g iven in Table 12.5a.
vVe sh a ll ass ume t hc rn oclcl = } L Y ;;. - "'h L YL - t L Y~;. + a11r Y~..
ij i j
( i = l , 2, 3
= 5.388
j = l , 2, 3, -1:
{ Also, the error sum of squares is
'In = J , 2, 3

where ' rcfers to o ,·ens a ncl f3 to tempc rature. L (Y;;,,. -

iim
YoJ2 = LY;;m
iim
- } L;; Y;;. = 76.67
272 LINEAR S'l'A'L'CS'I'JCA L i\CODELS

The AOV is gi,·en in Table 12.6. Thcre is no indication of interact.ion.

T.\BJ.E 12.G ANJ\ l,YSIS OF VATll ANCE FOíl. 'l'i::STING l NTEHACTlON

~ ~
1N" Tl!E ExA~IPLE 0 1' AnT. 12.5.3 ~ ~ ~- >-<
11 11 11 11 11
DF SS MS F

Tota l :36 1, 118

Duc t,o (T{J)* (adj) (j 5.39 .90 < l
E 1To r 24 7G.G7 3. 19

12.6 N -way C lassification w ith Interaction

In ~Ln N-\\"a,y cJassification wiLh i ntcraction t he model could ha ve two.
factor interaction , threc-factor intcracLion, .. . , N-factor interaction.
\'\' e sh all dcmo nstra.tc for N = 3 ; t hc ren.dcr s hould have no trouble
cxtend ing thc demo nstration. T hc mo<lel can be written

ur, more exp li citly,

Yiikm = µ + T¡ 1 f3; + (T/J);; + Y1.: + (Ty)¡¡, + ({3y);k + (T{3y)¡;k + eiik111

(12. 14)

wh cre i = 1, 2, ... , 1 ; .i = 1, 2, .. . , J ; k = 1, 2, ... , J(; m = l, 2,

(~ (~ (~ (~
- -
.... JJJ. Thc quantities (T/3);;, (Ty),1.:, ({3y);k a re called tu o-factor inter-
action terms. (T{3y) iik is called a lhree-faclor interaclion lenn . The nor- ~ ~ ~ ~
m al equatio ns a,rc g iven in t hc group labeled (1 2.15) on pagc 273.
S np pose wc rewriLc model ( 12. 14) as shown in (1 2.l G) o n page 274.
+ + + +
l\Iodel ( L2. I G) wi ll be " Titten as ( 12. L7).
Y,;1.: 111 = µ* + Tj + {3j + (T{J)i; + Y: + (Ty)jk + ({Jy)~ + (T{3y)~4· + C;;1.:m + + + + + + + +
(12.17)
" ·here T{ , etc., c<UI Le ide11Lifted witlt Lhc correspond i11g quan tiLies in
bracket s in (12. J G) . The fol lowing rcsLrictions on (L2.17) sho uld be
noticed: + + + + +
.i\ lso,
(T{3)~ = Ü ({3y):. =o ({Jy).~ =o
(ry)~ = o

(T{Jy ):k = Ü (T{Jy)~I.: = Ü

fo r all i, j, k .
273
 T H E CROSS -CLASSIFICATIOK OR FACTORIAL l\IODEL 275

CD" T he norm al equ ations for t he model written as (12. 17) can be fou nd
...... froin (12.1 5). T his gives t he group of equatio ns la beled (12. 18) on
~
......
¡:::
page 27 6.
¡; o The ra.nk of this syst cm is IJ K . T hc estimat e of the p ara met ers
~ :¡;;
,;;- cil using t he normal equations (1 2. 18) is thc same as the estimate of t he
::l
+
,......,
O'
¡;q
corrcsponding clements in (12.16) by using t hc_.!)ormale quat ions (12. 15) .
:
For example, from (12. 18) we have

r;
,......, r;
li But, by (l 2.1 G),
-T7 = Y; ... -Y .. ..
1

I~ I~
~

li ...'.:,.
+ + I~
-r( = Ti - T. + (-r/3); . - .(-r/3l.. + (-ry);. - (-ry) .. + (T/3y); .. - (-r/3yl. ..
+ which can be written
r;
" -" "'! "'!
+
-
li li I~ I~ I~ I~ -r( = [¡.i + Ti+ P.+ (T/3);. + Y. + + (-r/3y); ..l
(-ry);.
li
" ·~
·~ "" ·~ -+ - [µ + f . + P.+ (-rf3l.. + Y. + (-ry) .. + (T/3yl...J

li li+ I~+ I~ I~+ I~ li I~

Using t he equations (1 2. 15), t he estim ate of t he firs t qua ntity in
brackets is Y;... a nd t he second is Y .... ; hen ce, using ( L2. 15), we ha ve f( =
+ : : j ~
+
Y; ... - Y ..... t he same expression t hat we obt a ined using rnod el (1 2. 17)
I~
·~
ancl t he norm al equations (12. 18). A simila r s ituatio n holds for t he
I~
1:6: lt I~ I~ I~ ~
othcr I><~ram eLers of mudel (1 2. 17) . Of conrse, model ( 1:2.1 7) is a re-
+ + I~
1 1
+ 1 para.metri zation of rnodcl ( 12. 14). H c nce, by Corollary 11.8. 1, the csti-
·~
·~
+ "" mate of any estima ble fu nctio n (say, T{) is t he same regardless of which
íF I~ le&
I~
1<6: -tt 1"6: "'! of t hc two models is uscd . So far as point estirnation of t ite param -
+ + + + + + -+ I~ cters is con cerned , it seems to b e m ore stra.ig htfon va rd to use t he
moclel as wri tte n in (12. 14) ancl t he nor mal equ ations (12. 15). It is
I ~ "" ""
i;(
+ I~ 1 I~ 1 lt I~
I~
·~

clear from t he norm al equ atio ns i n (12. 15) that contras ts of t he -r; o r
1
- 1 - the {31 or t he y,. a re not esti mable (that is to say, t here exists no u n biased
I~ - I~
·~

I~
l "'! 1 estimate of LC;T;, where LC; = O) nnless t here is no interaction. T here -
+ I! I! I~
·~
fore, it may be desirable to test the fo llowing hypotheses concerning
I~ 1
$
•:t:L + + + 1 l model (12. 14):
•
:t:L 1 ~ l. µ; 1,. is free of three-factor in teraction ; t h at is, (T/3y),j" = O for a ll
+ 1 1 11:-
1 ~ ~
I?--
~
i,,j, le
11:- ~ ~ ;>-.. CQ..

+ i: ¿ ._, ¿:¡"" ._,

~ ~ ~ If µiik is free of t hree-factor interaction , it mig ht be d esirable to test
1:-
'-'
._, ._,
::t + + + + + + + for two-factor interaction . In t his case we might cont in ue, a nd test
'-'
2. ( -r/3}t = O for all i and j
11
¡; 3. (-ry)~, = O for a ll i a nd k
~
4. (f3y)ti.: = O for ali j a nd k
~
\Ve sha ll demonstrate t he method of testi ng (Tfjy),j,,. = O for all i , j, k.
'l'hc q uantit ies nceded will be obtaincd from t h e norma l equ ations
(1 2.1 8) a lt hough t hey could justas well be obtaincd from (1 2. 15) .
274
 THE CJWSS-CLASSIFICATION OR FACTORIAL llTODEL 277

We gct the fo llowing estima tcs :

/i* = Y ....
¡;.... ¡;....
A* = Y; ... - Y ....
7i
11 11 11

P.*, = 1 .
Y., .. - 1
.'J .. ..
A* =
y,. Y .. k. - Y ....
, . R)
._ *. . = Y u·· .. - Y··i ... - Y . ,·. . + Y . ...
+ ( 7 IJ i:;

,,..._ *
(7y);k = Yi.k. - Y; ... - Y ..h·. +Y ....
, ,.,. . .__ *' = y ., - y. - y k + y
({Jy) Jk ·'•' · .].. . . ·. . •••

+ + ....... *
(7{3y) l,.)/,; = y."l}ºk•• - y 11.... - •1'J 1... k•• - y .}/..;.
. + y . + 11 . + y • - 1'. J ....
t. . . ,/ ., . . ..,..·.

R[µ *,T* ,(J* ,y* ,(7{J) *hy) * ,({Jy) * ,(T{Jy)*]

-- fl'*Y .... + .L
' A*Y + '.L FR*; Y .;. . + ''*
7'¡ i ....L Yk Y .. _j
k. T °"
L, (R)*Y
TF ;; i j ..
i i k ii

which simp lifies to

+ + +
So t he error sum of squares is

+ L
i;k· m
(Y;;¡.,,, - ?/;;k.)
2
= E ss

If we set (T{Jy) ú1.: - Oin model (12. 17) , the norma l cq1mtions are exactly
the same as (1 2.1 8} with t he equations for (T{3y)~k omitted. The rank
of t he resu lt ingsystemis J JJ( - (1 - l }(J - 1)(1{ - l }. Also , from
+ + this reduced system we have

íl* = Y ....
+ + 7;-* = Y; ... - Y ....
iJt = Y.; .. - Y ... .
r: = Y .. k. - Y ... .
,....., *
(T ¡_.R) .. = Y l}.
·· . - Y 1.· .. - y . i . . + 71
1 11 ,/ . . . .

.. .. .. .. ~ *
.,..:3_ *l-·. . ..,<:Q..
..........
*;:....""
(7y);k = ?Ju·. - Y;... - ?J ..1.-. + Y ....
,....., *
({3y);k = Y.;k. - Y.; .. - Y ..h-. + Y ....
276
278 LINEAR STA'l'IS'rICAL l\'IODELS
'l'HE ClWSS-CLA SSIFICATION OR FACTORIAL l\lODEL 279
This g ives
¡ Yk L YL ¡ Y~; . . y 2

R[f.L * T *, {3* ,y *, I\ T /3) * , (/3y )*] - µ-*y ... . +

1 ' -* y i .. . + 'f3-*Y
L., T; L., ; .; .. (rp)s~ = " j{Jlf - ~Kilf - ~](JI{ + IJÍ¿iI
,- j

+ 2 'Yi Y .. + L (';{J)i; Y;;..

k.
-- L (1YI}... . -
iJkm
1
Y... .. - Y.,.. + Y ....)
1. 1 and9
- DF = (! - l )(J - 1)
k ij

,.,L.., y2.
1J..
,
,L,
y~
1.k.
'yz..
.L., .JI.: .
'L.,y2
'· ·· -- 'L (y'·. '' · - y •·. ·· - y .. ~·. + Y .... )2
1 and DF = (l - l)(K - 1)
= ;; JC111 + ik JM + ik IM - ~Kllf
i}km.

L Y~;.. L Y~.k. Y~...

- ;IJ(Jl1 - k!JM + IJKM = ,¿..,
' (?!.;A:. - Y.1 .. - Y .. k . + Y.... )2 and DF = (J - l)(K - 1)
iikm
Then t he adjus ted sum of squares for thrce-factor interaction is
It is interest ing to note tha t
R L(T/3y)* 1 µ *,T*,¡3*,y* ,(T/3)*,(Ty)*,(/3y)*]
y2
L Y7;.. L YI.k. _ 2_ '
.t Jklll
.f.. Y 2iikm = LJJ·-JJf
.... + Tss* + /3*ss + Yss* + ( /3)*ss
Y~;!:.
+ L YL
T
¿: y¡jk.
= i.iJ:¿__ _ _H_ _ _ _ik_ _ ik_ _ _i_ _
\.

_il I KM J 111 I.M JICM + (Ty ):s + ({3y)is + (-r{3y):s + E ss

L Y~;.. L Y~.k. y2 The AOV is g iven in Ta.ble 12.7. Gonfidence int ervals on any estim-
+-'- - +-k___ ~-··-··- able fun ctions can be found by t he usual method.
IJ{1lf IJJI! IJ]( M
We have gone to g rca t leng ths to exhibit methods of estima tion and
= L (Y;;k.
i j/..·m
- Y;; .. - Yi.k. - Y. ;k. + 71;. .. + Y.; .. + Y.. k. - Y ...f tests of hy potheses for the t hree-way cross classification with inter-
action. vVi t h t his backg round , the reader should h ave no difficult y
= (-r/)y):s extending these methods to four-way and higher classifications.
a nd the rank is
12.7 2" Factorial Models
IJ]{ - [IJK - (J - l)(J - l)(K - l)] = (I - l)(J - l)(K - 1)
By a similar procedure it can be shown that The 2" factorial model is the n-way cross-classifi cation model where
each factor contains a set of only two elements. For example, the 2 3
'L.,y2
.. . . y -? model contains three sets of factors A , B , O, and each set contains two
*
Tss =
i ....
JJ(Jlf - IJJ(ll[
'(y
= ;{;;,,. i ... -
y
... .
)2 elements; that is, a 1 , a 2 are in A; bv b 2 in B ; a nd c 11 c 2 in O. If every
clement in A is combined with every element of B and O, the treatment
and DF =J- 1 combinations are
:¿ y2. .,
* ; ., .. Y~... '(1 1 )2
/3SS = I KM . - IJ ]{JI[ = ;;f;,,. Y. ; .. - Y ....
and DF = J - 1 For example, supposc A represents concentrations of a certain che mi-
.
' y2,
L ..•·.
- Y".
? cal ; a 1 = co nccntrat ion l , a 2 = concentration 2. Su ppose B repre-
ys*s = k!JJlI - ¡Ji{"Jir = ;f:,}Y..k. - Y....J2 sents pressures of a. certa.in manufacturing process; b 1 = pressttre 1,
b2 = pressure 2. Suppose O represents t emperatures of t he process;
and DF = K - 1 c1 = temperature 1, c 2 = temperature 2. Then a 1 b 2c 1 represents the
 'J'HE CROSS- CLASSU'lCA'l'TO K OR :FAC'l'O.RIAL l\LODEL 281
combination of concentraLion 1, prcssurc 2, a ncl tempcraL ure l. Simi-
.. .. ... ..
~

*:::-
';!.., ';!..,
';!..,
-'<
larlY for t he other a;b;ck.
"" ;:;:""
il'.·::-
*·-
..:. *·~
~ *""
2:: &;: *·-
;:;: *"' ;:;: 'fhe model w.i U be written
..:. ..:. ~ <c..
tA{·- ..:. + e;Jkm
<--:

:....,: l."".
..... t::> ~¡
~
• ..
tA{·...
t::>
C\l
H "-' tAt·-.,
~,
..,
~""
...t::>
~

...... 1..t::>
.-;
·-
~

w~
--- ¡..t::>
- .
~

W .""'..,
......
.-; 1..t::>
~

W "'=~
...... ,.~
Y;;¡.,,. = µ iik
where ?/;;k·m is t he m.t h o bscn ·ation of t reatme nt a ;bjck :.tnd where µ iik is
~ C\I >-, IN
...... "'' ~"" the " t ru e" cffect, c5f this part icula r trcatment. '~'e shall write
µ ;;k = µ + T¡ + f31 + (r{3);j + Yk + (ry );k + ({3y );k + (r{3y);;k
= µ * + r7 + {3j + (r{3)~ +y!+ (ry )7k + ({3y)jk + (r{3y) ~k
where thcse quantities are d efin ed by Eqs. ( 12. Jü) and (12.17). The
norma l equations are g iven in (12.15) with I = .J = ]( = 2. We shall
~
..."'I~E
*¡: ., *ªI *E"'I .,E
ce:.. r:qE :--..~ ~1
"';:-~6 ~ k1 ~"'Ir:q .f:
*61 e~ ~ E *61 kl-.,
~

...
~"
use t he model
Y;;k>11 = µ* + r( + {3j + (r{J)7; + Y: + (ry)~. + ({3y)j,. + (r{3y)~k + eiikm
--- The normaJ eq uations are g iven in J.!:q . ( 12.1 8), whcrc I = J = ]( = 2.
Table 12.8 will be nsefuJ in cxam ining the non.tal equations .
., .,
., "' *E "'
(/)
......
- ,_ *E"' "' *ª
&;: *"
;:;: ;:;: *;:;:ª ., ' l ',\DL.1!: 1 2.8 DEFr N t TtON O}' T t m EsnM ATi,;s i N 23 FACTO RIAL
~ *ª ""- *ª;'\. ... ..:. ~
<:c..
..:. ~=
1
Y 111 · I- - - -1'121·- - - -
1'211· Y221· Y112· Y212· Y122· Y222. z
- - --- - - - ---
- S.lf ({t) * + I + l ...¡ l -1 l + 1 + l + J + l Z1
4.11(Á) - 1 + l - 1 ...¡ 1 - 1 + 1 - 1 + l Zz
W(Ü) - l - l + l + l - 1 - 1 ...¡ l + l
E ...... Z3

(/)
(/)
""
c-1:::- ..·1~....,....,
('!.

~ :.:: .......
. '-.-4...,
*'...!: • :i
""-
*::;
;-.
*;:¡
&;:
..:.
~
;:...
..:.
*=
;:;:
~
~
;>...
,_
"'>.
"'
~~
4.ll(AB)
HJ(G)
-! l
- 1
- 1
- 1
- l
- L
+ l
- 1
+1
+ 1
- l
...¡ l
- 1 + l Z4

H "' ..., ...... - ...... 1 l + 1 Z5

·- 4M(AG)
......
+ I - 1 + I - 1 - 1 +1 - J + l ZG
- 4M(B0)
_,,.......___
+ l + I - 1 - 1 - 1 - 1 + l + l z,
......
4M(ABC) - 1 + I + l - 1 + l - 1 - 1 + l Z9
1
;::;- 1

._
- - -
;::;-
1 1
......
1 ~ -
- ._
~
1
Note: A n exam plc of t h e use o f t he t a ble is
4í\I (B) = ( - l) Y 11 1. + ( - l )Y211 . + ( + l )Y 121. + ( + l)l'22 1.
""~ ¿ ~ ~
R
A
~
...... 1
......
1
...., ~
1
- - -
1 1
::::::
1
¿
1
~
~
+ (- l )Y112. + ( - l ) Ym. + ( -! l )l'122. + ( + l )Y222. = Z3

::::. ...... ¿ -1 ~ There a re fonr independcnt unui ascd est.ima.tes of Tz - T¡ if all the
interaetions are zero. Thcy are Y 211 . - Y 1 1 1.. Y22 1 . - Y121 .. Y212 . -

--· - - --. --- - - - -----

-
......
Y112 .. an<l Y222 . - y 122 .. Simila rly for f3 and y . Uthe in tcrnetions a re
not ze ro, t hen A in Table 12.8 can be take n as Lhe estímate of the A
·~
cffect. This is equal to
:o ü :o
..::.
ü
..::.
~ .s
U)
d...,
~

~
·~

.s
·~

"O
..::.
·~
ü
..::.
~
* . *;:;: *
;:;:
:...
o:...
E (YL. - Y1. .J = r: - ri
Ti - Tl + (T/3)2. - + (ry)2.
o &;: ;'\.
""-
~ "'
...... *,_ *
""- *;:... ..:. ..:. ~ ..:. ~ = (rfJ)1.
"" - (ry)¡ , + (r/))1) 2 .• - (r{3y )1 ..
280
282 LlNEAR STATIST I CAL i\lODELS 'l'HE CROSS-CLASSIFICA'l' ION OR FACTORIAL i\.iODET... 283
If t h e thrce-faetor inte raction is zero, t here are two indepenclcnt un.
b iased est ima.tes of 4(-r{J)-:'1- T hey a re 12.8 Using Interaction Sum of Squares for Error Sum of
Squares
Yu1. - Y2 11. - Y 121. + Y22i. and Y u 2. - Y212. - Y122. + Y222 .
In a three-way factorial m odel as explained in See. 12.6, t he total
For example,
number of observations is IJK111. Often it is impossible to repeat
E[Yw.- Y211 . - Y121. + Y221.J = 4(-r{J)ti t he t reatment eombinations, a nd then :A1 = 1. If this is the case there
since (T/3)71 + (T/J):¡ = {-r/J)tl + {-r/3):2 = Ü is 110 estimate of a 2 and no m ethod for testing h ypotheses or setting
and (-rfJ)i1 + (-rf3)i2 = (•fJ)iz + (-r{J);"!. = O confidence intervals. However , in many experiments the researcher
is willing to assume that sorne of the interactions are zero . Then the
If t he t hree-facto r interaction is not zero, t hen AB in Ta.ble 12.8 can corresponding sums of squares can be u sed asan est imate of a 2 • Sup-
be taken a s the estimate of the A B interaction averaged over thc e pose, for example, there is no three-faetor interaction; t hat is, suppose
facto r. The square a rray in T a ble 12.8 is an orthogona l mat ri x if cach (Tpy)(¡,. = O for all i, j, k. T hen the noneentra li ty fo r t his term in
elem ent is di vided by vs.
Let the z; be so defined t hat t hey are cqual Ta.ble 12.7 is zero. Therefore, (T{3y)is/ a2 is distributed as x 2(p), wher e
t o t he ind icated linear eombination in t he i th row. Th en t he z, are p = (1 - l)(J - l)(K - 1). Then (T{3y) 8~ can be used as the error
independent normal varia bles with variance 8.111a 2 . T he adj uste<l suni term.
of sq uares d ne to the m eanµ* is zi/8111, a nd s imil arly for t hc othcr If 111 > 1 a nd (-r{3y)/J1.: = O, then (T{:Jy) :',; can be pooled with E ss to
effects. This leads to the AOV shown in T a ble l 2.9. Simil ar methods give an error term with IJ K(M - 1) + (I - l )(J - l )(K - 1) degrees
a re applicab le for n > 3. of freedom. It must be remembered t h at t his is under the assumption
t ha.t (-r{3y)u1.: is zero for all i, j, k.
TABLE 12.9 ANALYS l S OF VAnrANC-E OF 2' FACTOlllAt.
Suppose t hat an experime nter does not know whether t he t hree-fac-
sv DF tor intera.ctio n is zero, but he decides to assu me t h at it is zero if t he
appropriateF test from Table 12.7 is not significant a.ta chosen proba-
To tul 8Jlf bility leve!. T hen, if he decides on the basis of the.F test that i t is zero,
he will pool (T{:Jy):'s wit h Ess a nd obtain a new error t erm for testing
~
z 1- main effects and two-factor interaction. If t his rule is followed, t he
8 .1\J tests for main effects and two-factor interaetion a re not exa ct. Tl1ese
z~ tests are of the nature of condition al tests, si nee the decision to p ool _
8M (T/1y)is with E ss depends on a preliminary test of sig nificance. The
2M reader is referred to the bibli ograp hy at the e nd of this chapter fo r
B -2 'L((Ji)2
a further reading on this subjeet .
z2
_ 4 * 2
111 'L[(-r/J)¡;)
Next we shall show t hat, in a two-way model wi th o nly one observation
AB -;;
per ij combination, if the interaction is assunied to be zero b ut is
8!\l a-
z~
really not zero, it vit iates the test of s ig nificanee. Let us go back t o the
e SM model given by E q. (12.4). Under t h is model t he error s um of
z2 squares d ivided by a 2 , thatis, E ss/ a 2 , is distrib uted as x2 [(b - l )(t - l )].
_G
AC If, however, t he model contains a two-factor in t eractio n t e rm a nd is
SM
z2
given by Eq. (1 2.9), t hen Ess/a 2 is distributed a s x' 2 [(t - l)(b - 1), ?.],
_ 7
BC l where
81lf
~2

ABC ....1. :\! ~

:ta2 -[{T{Jy),;d
* 2
8J f
E n or 8(11{ - 1)
Hence the quantity i¿ =
*
7"ms
--
Ems
284 LIN EAR STATl S'l'I CAL MODELS THE Cl tOSS-CLASSIFICA'l'lON OR FAC'f ORIAL llTODEL 285
u scd to tes t the hy pothesis Tt = T; = · · · = Ti is not <listrib uted asa J2.7 Al<sumc Lhat. Lho fo llowing data of Table 12. ll sat,isfy t.he two-way
centra l F even if thc hypothesis is t rue. If no in Le raction is present, cln!'Sificat ion modo!
Y;; = /t + T¡ + {J; + C¡¡
E(Ems) = a2 . If in Lcraction is prescnt,
TABLE 12. 1 l
= a-~ +
1
E(Ems) ' L(T/3),*,·12
~
L.,
( t - l )(b - 1 ).; 1_2_ _ ª_ 4

Hence t hc error t erm is incrcased on t he average, nnd the test will not l l :J lG 20 20
reject the hypothesis as often as t he leve! of sig nificance indica.tes. 2 22 25 29 29
3 25 30 34 32
Similar situations can be shown fo r othcr m odels.

Problems (a) T csL t.ho h y poLhesis -r1 = -r2 = .,.3 = .,.4 with a t.ypc I 01-ror probabili t.y of
5 por cent..
12.1 Fine! t,h e no rmal e quatio ns for t,ho reparamot,l"i7.cd m odcl of i,ho onc- wa.y (b) Set. a 95 por cen t. confidcnce inLorval o n .,.:i - .,.4 •
classificat io n (e) Find th o csLimaLes of -r¡ - -r. (i = 1, 2, 3, 4).
Y;; = ti* + a.f + C¡; (d) Find t,ho n 1riu nco of cach of tho ol<timat es in {e ).
(e) Find 1,ho width and cxpected width in (b).
" ·h ore ¡L* = 11 + ii. and a.f = a.¡ - ii (i = 1, 2, ... t;j = 1, 2, .. . 1·). 12.8 Find Lhe nonccn Lrnli t.y pa rnmctcr for Prob. 12.7a.
12.2 In t he onc- way c lassification m otlc l 12. 1, find Lhc ;;u m of :;quarcs duo lo o: 12.9 \\"ork ouL Lho fou r 11o ncontra liLy p a 1·am c t c rs for Tablo 12.3.
{adjustcd) for t c:;t,i ng thc hypoLhesis H 0 : a.L = a. 2 = · · · = a.k. with k < t. 12.10 B y us ing D cfi n it,ion 12. l , show lhnL. iff (x,::) has fir;;L parlia l d e rinltives,
12.3 Assume t hat Lho d a ta of Table 12. 10 fit, a o nc- way clu~ificatiorr modcl: thcn ¡¡, is a fun ct.ion wi(,h 110 intc rac t.ion if off 0.1: is indc pcndcn t. of z anti off oz is
inclcpend nt o f x.
TABLE 12. 10 12.11 <..:o Lh ro ug h Lhc algebra to .find a solut,ion to Lho no n nal e quations
(12. 10) us ing t h o noncstimablo condit.ions
Treatm on t ........
f1 = ¡11 = (-rfJ )1. = (-rfJh = .. . = {;fil1. = {-r/3).¡ = ... = (:;{J).b = o
12. 12 "\\'0 1·k o ut, Lho no ncenLra lit,y pai·amct.cr for Table 12.4.
12.13 A ssumc t hltL t.ho data of T a blo 12. 12 saLis f)' Lhc t.wo-way c lassification
12.3 11 .4 15.2 1 4. :~ 15.3 rnodcl
14. l 10.9 IG.8 l ü.2
1:3.G 12.0 18.6 ) 4.~

12.5 TABLE 12. 12

{a) T est t,he hy pot.hcsis a. 1 = a.~ = a.3 = a. 4 = a. 5 . U se o. t,y pc I erro r proba·

-~-(J;__.,.___:'1--1- _ 2 _1_ 3_ _'_l-

bi li t,y of .05. 6 8 11 11
(11) Set a 95 per cenl confidcncc intcr va l on °'• - IX 2. (j 10 10 9
(e) Fincl 1¡ + &.; (i = 1, 2, ... , i;) ami tho vu ri n11co o f euch p:;t,imnle. ---- --·- - - - - - - - - -
(d) Fincl t h c powe r of t,hc tes t, in {a) if 11 11 14 l::l
2
12 12 Hi lG
for i = 1, 2
---- --- --- ---
fo r i = :3, 4, r; 13 JG 18 16
:1
12 14 lü 17
(e) T est, t.hc h y pot.hcsis H 0 : ~ 1 = °'2 = °'~·
12.4 J 11 t,h c two-wa.\· classificalion mo del g iven in A r L. 1:l. :1. 1, find tho
t reaLmen t, su m of squnres for tcs t ing H 0 : -r 1 = -r2 = · · · ~ .,.,, whc rc s < t. Test, t,ho h y pot.hci-; is t.h nt. Lhe rc is no int.c ract.ion at. th o 5 por cen t leve! of
12.5 Fi ncl tlw 11o nccn t rn li ty fo r J'ro b. 12A. signifiC'a n<:c.
12.6 ] n a t,wo -way cluss ifica t,io n m od c l as d r íinccl in A rt.. 12.3. l , work o uL in 12.14 ~ h ow t,hat, m odel (12. 14) is t he s amc as ( 12. lü).
d ot u il t,h c cx pcctcd m ean Rq11ares t,hat. are g ivcn in T i.iblo 12.2. 12.15 t;olvo t.ho no rmal cquat.ions ( 12. 18).
286 LINEAR STATIS TICAL J\CODELS

12.16 Check the nonconLrolit,y parnmeters in T able 12.7.

12.17 In a 23 facto ria l, suppose t h at t he t hrce-factor intornction is zcro.
~
Show t haL E(l! BC) is zoro in Table 12.8.
12.18 In Tablo 12.8, s how t hat
(a) A ami JJ a ro 1mcorrc latcd.
(b) A ancl Asare uncorre lated.
12. 19 In Table 12.9, work out t h e fact t hat th e adjusted sum of squorcs for
tcsLing the A efTecL equa l to zero is z~/8M.

Further Readin g
1 G. \V. Sncdccor: "SLatistical Methods," Iowa Sta.te College P ross, A rncs, 13
Iowa, 1956.
2 \ V.G. Cochra11 a nd C. l\f. Cox : " Experiment al D osigns," J ohn \Viloy & Sons
lnc., New York, 1957. '
3 O. K c mpthorno: " Dcsign and Ana lysis ofExpcrim en ts," J ohn "Viley & Sons Two-way Classification with Unequal
I nc., New York , 1952. '
4 C. H . Could en : "Mothods ofStatistical Ana lysis," J ohn Wiloy & Sons, lnc.,
Now York, 1930.
Numbers in Subclasses
5 O . L. Davios: "Dosign and Ana lysis of Industl"ia l Experimonts ," Olivor &.
Boyd, J,td. , London , 1954.
6 R . L. Andorson a ncl T. A. Bancroft: "Statis tical Theory in Resoarch,"
McG raw-Hill Book Company, Inc., New York, 1952.
7 C. R. Rao: " Advancecl Statistical Mcthods in Biom etric Resea rc h ," John Chn.pter 12 was devoted to a study of various cross-classification
Wiley & Sons , I nc., Now York, 1952. modcls w it h the com mon feature that in each cell there were a n equa l
8 H. B. l\Iann: "Ana lysis and Design o f Experime n ts," D over Publ icaLions, In man y cases iL is 11ot possiule for <Ln experi-
11 umbcr of observations.
New York, 1!)49.
9 A. E. Pau ll: On a Prelim ina ry T est for Pooling l\Iean Squares in t he Analysis
mcntcr to contr ol his expcri men t so as to ensure this type of balan ce.
of Varianco, Ann. filath. Statist., ,·ol. 21, pp. 539-55Ci, 1950. Also, a resear cher may purposely design his experi ment to havc un-
10 H. Scheffó : " Thc Analysis of Va ria n ce," John "\Viley & Sons, I nc., Ncw cqual numbers in t he s ubclasses. This is t he case in incompletc block
York, 1959. dcsigns. The two-way classifi cation mode l wit h unequal numbers in
the cclls and w ith no interaction will be discussed in sorne genernlity in
this chapter. Certain special cases, s uch as incomplete blocks, wi ll be
discusscd in later chapters.

13.1 Two-way Classification Model with No Interaction

13.1.1 Definition and Notation. Let t he model be gi,·en by

{
~_ O, ~ , 2, .. . , n;1
yijJ, = µ + T i+ {3; + C¡;k J - 1, 2, ... , U (13.1)

1: = 1, 2, ... 't
-
wherc Yiik is t he kth observation in the ijth cell ; µ, r;, /3; are u nlmown
para meters; and e ;;k are ra ndom variables with th e conven t io nal dis tri-
butional properties. The ijth cell contains nii observations, a nd, if
287
288 LINEAR S'l'A'l' ISTICAL JllODELS TWO-WAY CLASSIFICA'l'lO - \\"ITH. U""°EQUAL NUM13ERS IN SUUCLASSES 289

n .. = O, t he cell conLains no observatio ns; he nce, t he obsen ·ation y .. 13.1.2 Point Estimation. In th is section the normal equations
,, ''º will be dcri ved, esti mable fun cLions \\"ill be examined, a nd the variance
<loes not exist. The notation
b of certain estimable functions wi ll be fo u nd.
N.... = 'L., n l.1 By t he method of Sec. 11. 5, t he normal equations are
;= 1
t
l<l • J ·= ' L.,
i=l
n 11.. N.Ji. + L N¡_T¡ + L 1\ .;il; = Y ...
i i
N .. = 'L., n .. IJ NT.fi.+ N,_-TT + L; n,;P; = r ,.. r= 1, 2, .. . 't ( 13.2)
ii
w ill be uscd. Notice that
U¡¡ 'IL;¡
{J.: N_,¡1 + I n ;_,f; + N .•Ps = Y .•. s = 1, 2, ... 'b
i
Yii. = L ?/;¡1.: = L (µ + -ri + fJ; + ei;1.:) = n¡;µ + n;¡-r; + ntJf31 +e;;. To exam ine t hese eq uations in d etail we s hall m ake the following
1.: m o k= O
n¡;
assumption .
whc rc L C;;k = C;;.
k= O
• Assumptio n 13.1 The n;; are values such t lrnt -r; - -r1 is estimab le
Also, we sha ll use t hc notation fo r every i =/= j = l , 2, .. . , t and {J; - f3; is estimable for every
1 n;; - i =/= j = 1 , 2, ... ' b.
- L C;;1.: = C;;.
T hus a. des ig n s uch as Lha.t s ho\\"n in Table 13. la is admissib le, but
n;; k=O
t hat of T able 13. 1b is not. T he sym bol *_in a cell mea.ns tha.t Lhere a re
Simil ar noLaLion wi ll be used fo r e; __ , e; .. , e.; .• e.; .. etc. Also notice t ha.t
b 11¡¡ b
Y; .. = L L Y;;1.:
i= l k = O
= L n¡;(µ
i= l
+ + f3;) + L C;;i.: 7"¡
Jk
TADLE 13.l DES JC N S FOlt ExPERJME:\TS, TwO - WAY CLASSJt"I C ATJON
MODE L

N;_µ + N;.-r; + :¿ n;,{3; +e;..

=
~--2_1_3_ K 1
F urt he r, we ha.ve

Y.;. = L
t

i= l k = O
lt ;;
L Y;;1.: =
i=l
'
L n;;(µ
i

+ -r; + (3,) + L eilk ik

l
2
3
*
o
o
*
*
o
o
*
-l--.-,-0-,-0-
2
3
o
o
l 1
1
2

*
o 1
3

o
*
t
= N_;µ + :¿ n;;-r¿ + N.;(31 + e.;. (ri) (IJ)
i=l
t b 11¡;
a nd Y - L L L Y;;" = L L n ;;(µ + -r; + {l¡) + e ...
i=l i= l k=O i i
observations in t hat particula r cell. The symbol O means t hat t here is
no observation. In general , experiments will satisfy the cond itions
= N __ µ + _L N;.-r¿ + _LI N,lJ; + e.. .
i
set fort h in t his a.ssumption. If t he assumption is not satisfied, a,ll
parametcr d ifTe rcnces a re not estimable; in thaL case l:he experiment
Also, rnight be bro ken up inLo parts sueh that the parameter d ifTeren ce in
cach part is estimab le.
l
Y; .. = ~ LL Ym· • T h eorem 13. 1 H the n;1 i 11 model ( 13. 1) a re su e h t hat r 1 - -r,,
11 i . ; k

1
[ji' - fJj. :ire esti ma ble for a li i =/= j and all i' =/= j', t hen
Y.; . = N.
.
¿Y;;1.:
]
f (1) T here a,re exacLly b + t - L li nearly independen t esLi mable
fu nctions .
1 - (2) Í:c;-ri a nd í:d;f3; <trc estim able if Í:c; = í:d; = O.
Y .. . = 1"' LLL Y;j/,
l.V i j k Proof: It is in1 medi a.Lcly olea r t hat Lhe b + t - l esLimable fonc-
A study of t his notation will help in t he t heory Lhat follows. t io ns -r 1 - -rz, -r1 - -r3, · · · , -r1 - -r,, /J 1 - f3z, /3 1 - {33, · · · , f31 - fJb,
290 LINEAR STATISTICAL MODELS TWO-WAY CLASSlFICATION WITH UNEQUAL NUI\IBERS IN SUBCLASSES 291

and N .. µ + 2 Ni.-ri + 2 N.;P; are linearly independent. There Jf we isolate the quantity involving f r from the second term, we get
i j b 2 t b
are b + t + l parameters and, therefore, b + t + l equations in :u ...
lv r.Tr -
... " ' nri
Tr L., - -
"' L.,
L.,
"' -nr;nu ,..
-- 'T¡
the normal equations (13.2). The sum of the t equations repre- 1=1 N . i=t 1=1 :N 1
sented by -r r is equal to the equation represented by µ. Also, the Therefore, Eq. (13.6) becomes ., ¡,¡,r .

sum of the b equations represented by ps is equal to the equation b 2 ) t b

N r. - " nri 7,.. r -
L., -
" " n .n ·· ,..
L., L., -.!L..!l. T¡ = qr r = l; 2, ... , t (13.8)
represented by µ. Hence, there are at least two linearly depen- (
i""t N.;- ~= 11=1 N. 1
dent equations among the b + t + 1 equations. This, coupled i:¡ér

with the fact that there are at least b + t - l linearly independent The system (13.8) representa t equat.ions in the t unknowns f,. They
estimable functions, implies that the rank of the normal equations can be represented in matrix form as
is exactly b + t - 1. Since the -r i - -r; are estimable, every At=q (13.9)
linear combination of these is estimable. Consider where the t X t matrix A = (ars) has elements as follows:
t 1
2 (-ri - 'T;) - j =f=. i Diagonal elements: a=N-L.,-
~ n~¡ r = 1, 2, ... , t
;=1 t rr r. i=l N .
This gives b
·' (13.10)
t-1 1 t t-I 1 _ Off-diagonal elemen ts: a rs = _ L.,
" nr/ns; r-=/= s = 1, 2, ... , t
- - 'T¡ - - 2 'T; = - - T¡ - - (T. - 'T¡) = 'T¡ - 'T. 1==1 N. 1
t t i=l t t
i>Fi The t X l vector t has elements f r' and q has elemcnts qr, as defined by
This shows that -r¡ - 7. is estimable for i; so l:c,(r, - 7.) is ali Eq. (13. 7). If there are equal numbers in the cells (say, m), then
estimable. Butthisis LC¡riif LC¡ =O. Asimilarargumentholds nii = m, N. 1 = tm, Ni. = bm, and N .. = btm. In this case arr =
for Ld;P;· bm - bm/t and ara = -bm/t, and the system of normal equations is
easilysolved. This case, in fact, was discussed in the precedingchapter.
We shall solve the equations for contrasta of the -ri. Vve can use the There are other situations in which the ni; values are such that the
P1 equations and obtain normal equations are fairly easy to solve, for example, in incomplete
µ... + PA; =Y.;. - N1 "' n¡¡'T¡
4 " j = 1, 2, ... 'b (13.3) block models. However, in the general two-way classification model
.J i with unequal num bers in the subcells, the matrix A has no special
The -r r equation is feature to make the normal equations easy to solve.
1 nr1(P, + Pi> + Nr.fr = Yr.. r = 1, 2: ... , t (13.4) The system At = q will be studied in sorne detail, since from this we
i must obtain estimates of estimable functions of the r i and the variance
Substituting µ + P; from Eq. (13.3) into Eq. (13.4) gives of these estimates. In Art. 13.1.4 it will be shown that a solution to
this system will be needed for the AOV table used to test the hypothesis
r = 1, 2, ... , t (13.5) T¡ = 72 = • •• = 'rt•

• Theorem 13.2 The rank of the matrix A in Eq. ( 13.9) is t - l.

This gives Proof: By Theorem 13.l and Assumption 13.l concerning the
t b b
" " L.,
"' f.i = y r.. - L.,
"' n f'J·Y .J. r = 1, 2, ... , t (13.6) estimability of T¡ - -r1, there are t - 1 linearly independent esti-
N r.Tr - L., nr;nii
"AT
i::::l i=l ll .; i=l mable functions of the r,. These must come from Eq. (13.9);
b hence, the rank of A must be at least t - l.
Let - Yr.. - "
qr - _¿,,n ri
y.;. (13.7)
Ifthe equations of Eq. (13.8) are added together (summed over
i=l
r = l to r = t), the result is zero, which shows that there is at least
The left-hand side of Eq. (13.6) is one dependent equation in the system. Therefore, A is t x t with
t b
N r. T" r - L L nr;n¡;
N
" --'T·
one linearly dependent row; hence its rank must be at most t - l.
i=l J=l .;
i Therefore, its rank is exactly t - l.
292 LINEAR S'.l'ATISTl CAL l\lODEL S TWO-WAY CLASS IFICATJON WITH UNEQUAL NUlllBERS I N SUBCLASS ES 2!)3
Thus t herc a re a.n infini tc nu mber of veetors :r t h a t will satisfy P roof: By the equ ation A *A *- 1 = I , we get
A-T = q . T o solve t he syst e m any no 11est ima.hle condit ion can be
used . \ Ve sh a ll discuss first t h e u se of the nonestima ble condition
:E-í\ = O. Th is means t hat we wa,nt to flnd a vector :r that wi l\ sat isfy
A
( 1'
l)(Bn
O B2 t
Il 12) (I
B 22 = O 1
º)
t he equ a tio n A-T = q a ncl t he equation 1' -T = O, w herc 1 is a vector with
ea.ch e le men t e qna l to unity (note that 1'-T = :E f;l T hese two matrix . a nd t he equ a tions
equ ations can be written a s a s ingle .matrix e quation , a s foll ows:
(a.) ABn + 1B21 = 1
(1 3. ll) (b) l ' Bu = O
(13 .13)
(e) l ' B 12 = 1
The T; are clearl y n ot estim a b le; t hercforc, wc n eed t o find wh at t he (d) AB12 + 1B 22 = O
soluti on f; to t hc syste m (13.1 1) rcpresents . That is to say , wli at does
E(-T) equa l in Eq. ( 13. l J)? vV e s ha ll first statc a theorem on t he rank of To prove t h e theorem wc sh all a lso use the ma trix eqtmtio ns
t h e matri x
(a} l 'A = O
A*=(A1' 1)o (b) l 'l = t
(13.14)

Equation ( l 3. 14a) expresses t hat fact that the rows of A s u rn to

+ Theore m 13.3 Under the cond it ions of Assurnption 13. l , t hc rank zero; ( I 3.14b) s hows t h e s um of the l ele ments of l.
of A * is t + l ; t hat is, A * is n o11 sing ula.r. l. If we multiply Eq. {13 .13a) by 1' we get
T he proof wi ll be left, for t he rea,d e r.
l 'AB 11 + 1'1B 21 = 1'

L et A*_ = (Bª R
1
1
,) and using (13.1 4) g ives lB 2 1 = 1', o r B 21 = {l/t) l ' , which m eans
B 21 B 22 tha,t each elem entin B 21 is eq na l to l/t.
2. .To s how t ha t B 22 = O, mu lt iply Eq. (13. 13d) hy 1' . This
where Bu is a t x f. m a.trix, B 12 is l X 1, B t t = B~ 2 is 1 X f. , and
gives l ' AB 12 + 1'1B 22 = O, or tB 22 = O by (1 3. 14a).
B 22 is l x l. T he 11 , from (13 . J 1),
3. l\1ult iply (13.1 3a) b y_B 11 ; t his y ields B 11 AB 11 + B 11 1B 2 1 =
B 11 , or B 11 AB 11 = B 1 v since B 11 1 = O by (1 3. 13b).
4. By Eq. (1 3. 13a) we get AB 11 = 1 - {l/t) ll '. Thus, t hc
diagona l elem en ts are equal to (t - l ) /t, and t he off-diagonal
and ( 13. 12) elements are equa l to - l /t.
5. Eq. (13.13b) implics that t he rows of B 11 a dd to zero.
Next " ·e sh a ll p roYc a t hcorcm co11ccrn i11g t hc cle mcnts of A *- 1 . Trus concl udes th e proof of t hc theorcm.
+ T h eorem 13.4 Thc ele me n ts of A *- 1 a re s u ch t hat • Theorem 13.5 In Eq. (1 3. 12), E{f;) = T ; - f ..
(1) B 2 1 (a11d B 11!) h as a,ll its c lc me nt.s cq ua,I t o l//. P roof: S incc A-T = q is deri vcd fro m linear combinations of t hc
(2) B 22 = O. norma l e q uations, it follows t hat E(q ) = AT. H ence,
(3) B 11 AB 11 = B11 ·
(4) AB 11 is id c mpotcnt ofra nk t - l , wit h d iagona l elements each
e qual to (t - l )/t :wcl wit h o ff-d iagonal e lc mcnt s ca.ch egua.! t.o
- 1/t.
(5) The r ows of B 11 acl e! to zcro . so the ith e le ment of E(i ) g ives E(-Ti) = T; - f.
294 LINEAR STATISTICAL MODEr..s rrwo-WAY CLASSIFICATION WITH UNEQUAL NU1\1BERS IN SUBCLASSES 295

• Theorem 13.6 cov(-i') = cr2 Bw where -i' = B 11q. the nonestimable condition 7t =O. This immediately reduces the
Proof: By definition, system to t - l equations by ~rossing out the tth equation in (13.9) and
setting -Tt = O.
cov(-i') = cov(B11q) =E{['~· - E(-i')][-i' - E(-i-)]'}
= E[(B11q - B 11A't')(B11q - B 11A't')'] + Theorem 13. 7 If the nonestimable condition 7 t = O is used with
the system of equations Ai' = q, the solution is such that E( f i) =
= B 11E{[q - E(q)][q - E(q)]'}B11 ri - rt and cov(-t-) = a 2 Bj1 , where Bf1 =(A **)-1 , where A** is
Let C = cov(q) = E{[q - E(q)][q - E(q)]'}; then the matrix A with the tth row and column deleted. If 7 s = O is
used, a similar situation holds, with t replaced by s.
cu= var(qi) = var(Yi .. - InuY.J.) The proof will be left for the reader.
i=l
13.1.3 Example. Suppose the normal equations have been re-
= var(Yi.J + var(f
i=l
n,1Y.~.) - 2cov(±niiY.;.' Yi .. )
i=l
duced so that the system A-t- = q is

b 2 b 2 27¡ - f2 - f 3 = 12
= Ni.<12 + <12 2 nu - 2a2 2 nii -71 +72 = -5
;=1 N.i ;=1 N. 1·
- f1 + 73 = -7
= (Ni. - ±N.;
n~i)a2 2-1 -1)
Also, for r ::j=. s,
1=1
Then -A=
(-1

-l
l
o
O
l
crs = cov(qr,qs) = cov[( Yr .. - I rlT;Y.1.), (Ys .. - I nsl·Y.k.)]
j=l \ k=l
Ifwe use the nonestimable condition LTi =O, we get
2 -1 -1 l
= cov(Yr_,,Y11 .J - cov(Y ,Inr;Y.¡.) - cov(Yr.. ' ±nskY.rr.)
11 ••
j=l k=l -1 1 o
A*=
+ cov( .± nr;Y.i.' I nskY.k.)
i=l k=l
-1 o 1

l 1 1
= O-
11
2 "" ns;1tr;
<1 L . , - - · -
b
2 "" nsinri
<1 L., - - -
+ <12 L.,
b
"" nsinr;
--
. i=1 N. 1 ;=1 N.; ;=1 N.; 2 -1 .;._ 1 3

and - 9.i. -1
A*-1 - 5 -4 3
-1 -4 5 3
We have, therefore, shown that C = Aa2 •
= a 2 Bw by Theorem 13.4. ·
3 3 3 o
The procedure for solving the normal equations is as follows: So 71 =4 E(-91 ) = r 1 - f.
1. Eliminate µ and P;
and obtain A-t- = q. 7 2 = -1 E(-92) = 'T2 - f. (13.15)
2. Augment this by :Efi =O; this gives A*.
73 = -3 E(fa) = ra - ;¡.
3. Find A *-1 and -t- = B 11q. Then E( -T¡) = ri - f. and cov(-t-) =

~(-: =:)
a2Bu- -- -
Using the condition :E-Ti =O means that we must solve a system of (13.16)
cov(-i-) = -:
t + l equations for t + l unknowns. The work can be reduced by
using other nonestimable conditions. For example, suppose we use -1 -4 5
'º l
296 LINEAR STATISTICAL l\IODELS TWO-WAY CLASSIFICATION WITH UNEQUAL NUJ.\'IBERS IN SUBCLASSES 297

For example, After finding a solution to A-t = q, we can substituto these values
into Eq. ( 13.3) and obtain 11 + P1 , from which contrasts of the {3, can be
var(71 - 72 ) = var[(71 - f.} - (72 - f.}] estimated.
= var(f1 - f.} + var(72 - f.} - 2 cov(71 - f., 72 - f.} 13.1.4 Test of the Hypothesis Ti = -r2 = · · · = ,.,. To test
= ;a2 + i}a2 _ .¡-( _ a2) = ª2 this hypothesis we need to evaluate R(µ,T,{J) from Eq. (13.2) and then
to evaluate R(µ,{3}, the unadiusted sum of squares duetoµ and {3, from
This solution rcquired inversion of a 4 x 4 matrix.
Next let us use the nonestimable equation 7 3 =O. Thus, A-t = q
Eq. (13.2} with T1 = T 2 = · · · = T 1• Now_R(µ,T,/3) = fiY ... + ! 7\Yi ..
... - i
is immediately reduced (eliminate the third equation and set 7 3 = O) to + 2 {JjY.;., where µ, f i' /31 are any solution to Eq. {13.2). This gives
2f1 - 72 = 12
j
usR(µ,1,{3) = ¡1
(P, + /3- 1)Y. 1. + ::E7\Y;.. , and, using the value of µ + P;
-1\ + 72 = -5 from Eq. (13.3), we have
'Ve shall denote this system of equations as A'f = q. The matrix is 1
R(µ,T,{3) = Lb ( y;. . -
; =i
- L n ..7. Y · '.• +:¿.;..Y.
t ) t

A.= ( 2 -1)
-1 1
N .1 i =t u i i =i ' ' ..

and its inverse is

(13.17)
We shall return to this equation after we obtain R(µ,{3).
So 7 1 = 7; f 2 = 2 (of course, 7 3 = O). By Theorem 13.7, E(7 1) = To get R(µ,{J) we use the normal equations (13.2) with 7- 1 = 7- 2 =
T1 - T3 ; E(7 2) = T 2 - T 3. Now consider &. 3, where · · · = ft = 7- (rcplace µ + f with µ *) and eliminate the t equations
represented by T r· This gives the reduced normal equations:
&.3 = -A·(71 + 72 + 73) = -·H7 + 2) = -3 b

But E(&.3) = -füT1 - Ta) + (T2 - 7"3) + (Ta - 7"3)] = Ta - r. µ*: N ..µ-* + .L,
"'°' N .i{J- j -- Y •••
i=l
So -3 is an estímate of -r 3 _ - r.. Also, let &. 2 = {'r 1 + &. 3 ) = 7 - 3 = 4. N.si1* + NfJ-=Y s = 1, 2, ... 'b
.s s .s.
But E(&. 2) = ,- 1 - 7.. So 4 is an estimate of T 1 - 7.. By the same
process -1 is an estimate of T 2 - 7.. These are the same estimates as Using the nonestimable equation 'LN.;p; =O gives the solution
those of Eq. (13.15). This verifies the fact that the estimates ofthese
estimable functions are the same whether the nonestimable condition fi*=Y ...
7 3 = O or ::E7; = O is used. Also, if we use f 3 = O, we get
f'Js=Y.s.-Y ...
cov(~) = a2( 1
1 1
) b y2.
2 and R(µ,{3) = y µ-*+"'°'y. ¡J.="'°' --d.:
••• ¿,,
i=l
·'· ' ,¿,,
;
N .i
so cov(f 1 , f 2) = a2 ; var(f 1 ) = a 2 • . But it can also be shown, by using
Therefore, the adj usted sum of squares due to T is
the covariance matrix in Eq. ( 13.16), that
var(71 ) = var(71
= :a2
-

+ ~a2 _
f 3 ) = var(71 )
(2 )(-!)a2 = ª2
+ var(73 ) - 2 cov(f1 ,73 )
R(.,. I µ,p) = R(µ,.,.,p) - R(µ,p) =.t.-r•( Y, .. -,tn;;YJ.)
where 7-i is the solution to Af = q with :E-Ti = O.. = ',.
t
.L, T¡qi
i=l
= "''q
't'
29 LlNEAR STATISTTCAL l\CODELS TWO-WAY CLASSIFICATlON WITH UNEQUAL NUl\lDERS IN SUilCLASSES 299
By Lhc Lheorems of preceding arLieles, we can wriLe T'q = T' Ai""' can be used to find E(T55). This gives
q ' B 11 q . \\ e ha Ye proYed the following theorcm.

• Theorem 13.8 The adjust ed sum of sqnarcs for testing the E(rss) =E(¡ Y7;k) - E(¡ Y\) - (N .. -
•ik , N .
b- t + 2
l )a
hy pothesis T1 = T 2 = · · · = Tt is L. f;q¡, whe rc f ¡ is any solution ·'
to AT = q.
The AOV is g i\·en in Table 13. 2.

'l'AllLE 1:3.2 A NALYSTS 01' VAR!A NCE FOii TWO·WAY CLASS IFICA'.l'ION - [ ~ µ
'( + '11 . ·T · + N
4-...!1...! v_,·)2 + ba2]
_ ._,.R - (N .. - b- t + l )a-.,
\\· 11·11 UNEQUAL NmrnEus IN THE SunCLASSES
, , N. 1 N_;
2
sv DF SS i\IS F ).
1 (;¿ n¡;T¡)
'l'otal ¡\' .. I Y7;k = L' N . T 21·
¡ '·
- ....
L
;
i
N
+ (t - l) a 2
;jk 3

r•. Usi ng Theorem 11.1 6 g ives ns J•.

D110 t o ¡t.{1
(111111dj )
b

1
¡
J
1\T~;·

'Tm ll
--;
2a·
i [ Iij (
11¡1 T¡ -
I11 '"fT
-
JJ
;V _,. 'rhe best m ethod fo r solving AT = q seems to be to set one of t he f¡'s
equal to zero (say, we set 7- 1 = O). Then t he sol ut ion f ¡ is a n unbiased
¿ ' ·" ~ '"
O u.· t o -r (ndj ) / - 1 Tm 11:
1 i= l Em1 estimate of T¡ - T 1 , a nd a 2 t imes the ijth eleme nt of t he inverse matri x
is t he eovaria.nce off; - 7- 1 a nd 7- 1 - 7- 1• The reforc, we s ha ll discuss
Error N .. - b- t+ 1 Subtrnction = E 15 Em•
1 setting confidence limits on a linear combination of T ¡ - T 1, sa.y, on
:Ec;(T; - T1). We can use t he fact that L.c¡f¡ is distributed
'l'he abbrcYiatecl Dooli ttle technique dcscribed in Art. 7.2. 2 can be
1
uscd fo goocl aclvantage to obtain T Q. Th is is seen from t he fact that
from Lhe eq uaLion X'X~ = X ' Y the Doolittlc tech nique gives ~ 'X'Y.
The p roccd ure is to lct f, = O a.ncl eli mina.te t he la st equa.tion in where b¡ 1 is the 1)th element ofthe matrix B t 1 in T heore rn 1:3.7 a.nd f; is
A-T = q . Th is ]caves (say) the solution to t he equatio ns AT = q a.ug men ted by f 1 = O. T his
gives

whcrc All is obLained by crossing o ut the last 1·ow a.nd column of A.

T * i::; T wiLh 7- 1 climi na.Led, a.nd q * is q with q 1 elimina.te<l. T heorem 7.1 which is dis t ri buted N (O , 1). F urther ,
is a.pplied to A 11T* = q *, and the rcsult is (T*)'q *, which is eq ual to
T' q , sincc 7- 1 = O. E ss
V=-
a2
To find the noncentrality parametcr J. in Table 13.2, the expected
Yalue of t hc qua ntity Tss must be found . B y Thcorem l l .1 4 , the error
is distributed as z2 (N .. - b - t + 1) and is independent of ii. H ence, a
mean s quare is an unbiased estímate of a 2 ; hence, E(E 85 ) = (N .. - b - 1 - rJ.. confidence interva l is given by
t + l )a2 • The ide nt ity
1, 2 ....

L.,
<ik
Q

Yi;k = I
;
__:!_:
N.1
•

+ Tss + E ss
(13.18)
y2 where ta.J-J. is t he approp riate value of Student's t with N __ - ú - t +1
or Tss =I Y¡;k - I _:!..: - E ss
;;1.; ; N.1 degrees of freedom.
300 LINEAR STATISTICAL l\10DELS -. rrwo-WAY CLASSIFICATION WITH UNEQUAL NUMBERS IN SUBCLASSES. 301
-:}
13.1.5 Example. First, suppose the reduced equations A-t =q the data ofTable 13.3b and Eq. (13.10) can be used to obtain A. The
are as givcn in Art. 13.1.3; that is, system At = q is

2f1
-71
- f1
-

+ 72
f2 -

+
f 3 = 12

73
= -5
= -7
~-(-: ~:
-3 -10
-3) (7~2
-10
13
1

'7"3
)
=
( -!)
+1~
-tí

If we put 7 3 = O and omit the third equation, we are left with Jf we let f 3 =O, we get
2f1 - 72 = 12
- f1 +72 = -5
This yields 7 1 = .¡, which is an estímate of T 1 - T 3 , and 7 2 = ¡, which
Thesolutionis f 1 = 7, 7 2 = 2; and R(µ,-r,p) = t'q = (7)(12) + (2)(-5) ¡6 an estímate of -r 2 - T 3 • The adjusted sum of the squares dueto T,
= 74. If we use the nonestimable function LT¡ = O, we can use Eq. which is R( T 1 µ,{3), is
(13.15) and get R(µ,-r,p) = t'q = (4)(12) + (-1)( -5) + ( -3)(-7) =
74. U-)(-i) + (§)( 16~> =U= 1 .06
13.1.6 Example. In a two-way classification with no interaction, The in verse of the matrix is
the data in Table 13.3 are to be analyzed.

TABLE 13.3 DATA FOR ExAMPLE OF ART. 13.1.6

= Hu2 = l·au2
~ 1 2 3 Y; .. ·var(71 ) var-T2 = -l·au2 cov(-T1 ,72 )

1 3
- -- -- -
1

1 4
From Table 13.3a, the sum of squares for µ and (3 unadjusted is
- - --·- - - 66.33
2
6
2
41
1
2
16 2 2 2 2 6
LY~;.
; N.;
+ +
= (12)2
4
82
3
62 =
4
-- ---- The total sum of squares is 86. The AOV is given in Table 13.4. To
3 1 3 2 6 3 1 1 1 3

12
__s_j_6_ - - 26
--;;-4-1_3_\_4__ l_l_ TABLE 13.4 ANALYSIS OF VARIANCE OF DATA IN EXAMPLE OF ART. l:{.l.6
Y.;.
SV DF SS MS
(a) Entries are Yiik (b) Entries a1·e n;;
Total 11 86.00
The normal equations are: ))ue to I'• p (unadj) 3 66.33
Duo to T (adj) 2 1.06 .53
uµ+ 2.;1 + 672 + 3.;3 + 4/31 + 3/l2 + 4p3 = 26 Error 6 18.61 3.10
2 µ + 271 P1 Pa = 4
6fi + + 2p1 + 2p2 + 2p3 = rn
672 set a H7 .5 pcr cent confidence interval on T1 - T 3, we can use Eq.
3fi + a-r3 + P1 + P2 + Pa = 6 (l:U8) with c 1 = 1, c2 = O. We get
4,U + 71 + 272 + 73 + 4¡31 = 12
!- 2.97 (3.10)(1()) :::::: 'T - 'T :::::: ! + 2.97)(3.10)(16)
3fi + 27 + 7 2 + 3¡3 3= 8 2 9 18 ~ 1 3
~ 9 18
4ft + f 1 + 27-2 + 73 + 4¡33 = 6 which reduces to
The quantities ,U + /l; can be eliminated from these equations, or else -4.82 ~ TI - 'T3 ~ 5.04
302 LINEAR S TATIS'l'ICAL l\TODELS TWO-WAY CLASSU'ICATION WlTH UNEQUAL NUJIIBERS I N SUllCLASSES 303
with t he col u mn totals N .• as elcments; C 22 is a d iagonal matrix with
13.2 Co mputing Ins tru ctions the ro" · totals N,. as c lements. C 21 is a t - 1 X b matrix eq ual to th e
body of Table 13.5. A lso, c; 1 = C ¡ 2 . T he sum of s qua res fo r e rror
In t he p receding sections t he t hcory of t he two-way classification wit h for testi ng t h e h ypoth esis -r 1 = · · · = -r 1 can be obtained by red u cing
unequal numbers in t he su bclasses h as bcen d eveloped. Now our the system
attcntion will be turncd to t hc problc m of computing. T he proce<lurc
wrn ue to impose condit ions on the norma l eq uations to m a ke t hem ful! (
Cn C12 g1) I
C21 C 22 g2
rank , a n <l to use t he D oolittle technique. F r om t hese we sha ll obtain by t he abbreviated D oolittlc techniq uc and using Theore m 7.1. We
estim ates of estimable fu nctions, t he covariancc m atrix of t h ese csti- sha ll ill ustrate w it h t he examp le of Ar t. 13. 1.6. From d ata in Table
mates, andan AOV table. 13.3b t he fo llowing are co mputed

1 2)
~ (~ : :)
T A B LE 13.5 NUMDER 01'' ÜDSl -:RVA'l'lONS I N THE ijth CE LL

~ 1 2 ¡_3
1_ ... b
--- º" C12 =
( O 2

1 ... N J. 1 2
2
3
11¡¡
n z1
71 31
n12
n22
1132
n¡3
n23 . ..
. ..
n lb
n2b N2. F rom t hc b orde r t otals of Table 13. 3a we get

~. ~ (1:)
?133 11'3b N3.

g.
-
= (
16
4)
t - 1 N1 - 1.
- - - - - -- - - - -- - - - Thc for mat fo r the Doolittle techni q ue is given in Table 13.6. T his is
N. 1 N.2 N.3
... N .b
TADLE 13.6 DOOLl'.I'TLE T l!:C lfNI QUE FO Jt TESTINC "T¡ = .,.2 = ... = "T¡
Supposc t hat t he -r; are t hc parameters t hat a re of in te rcst in modcl Row C2 C3 e,, Check
(13. 1). The no rm a l equation s are g ivcn i n Bq. ( 13.2). T hey will be
C1
1 1 1
Cs
ªº
reprod uced here, except Lhat t he -r, a nd {3, equ ations w ill be inkr- R~ 4 o o l 2 12 19
cha ngc<l. They are n; 3 o o 2 8 13
R~ 4 1 2 G 13
¡,t: - NJt + I N.;P; + I N¡_f¡ = Y ... R'4 2 o 4 8
; i
R~ G 16 28
N_,¡1 + N .•P. + I 11 1,f, = r .•. s = 1, 2, ... ' b
R¡ 4 o o 1 2 12 19
N,.fi + 2, n,;P; + N,_f, = Y, .. /" = 1, 2, . .. ' t r¡ l o o ~- { 3 ll
4.
j

T he nonest imable condit ions ¡1 = O and f 1 = O will be imposed. T he R2 3 o o 2 8 13

first cr¡ nation for (µ) a nd t he last eq uation fo r (-r 1} will be omi ttccl ; Lhc 1'2 1 o o ~
.6.
3
l'!.
3
r esul t ing system is composed of b + f - 1 cquatio ns wit h b + l - l
unk11 ow11s a 11<l is of full r a.nk. T he system can be w ri tten H3 4 l 2 6 13
l ~- t ~ .l.ó!.

(Ca Cu)(p)-T _(!h)

T3 4.

C 21 C22 g2
R ,,
:¡
-~- - 1 -~ o
r4 J - 2 - 1
o
w hc rc p = (P.) has dim ension b x l ; g 1 = (Y _,.) has d imension b X 1 ; 3 3
-
-r = (f,) has di me nsion (t - 1) x 1 (f 1 isomitted );an dg 2 = (J',..) has Rs 2 -~ ll
d ime nsion (t - l } x l. T hc C ;; have t hc n, 8 fo r ele m ents. T hc ele- rs 1 -5- 3
5
1 1
ments of C ¡; can be fou nd from Table 13.5. Cu is a d iagonal matrix:
304 L l NEAR S'l 'ATISl'ICAL l\IODELS TWO-WA y C LASSIJo'JCA'l'!ON W I T H UNEQUAL NU.MilERS I N suncr,ASSES 305

fu ll rank , a nd t he quantities R(µ,T,{3) and R( T 1 µ ,{3) are easily computed 13.13 Jn Prob. l 3.G, find Lhe value of t h o unbia sed es timatc oí r 1 - r 3 , us ing
from the 0 0 column. tho cond it.ion :Ef; = O.
13.14 l n P ro u. 13.G, find t he \·alue o í t ho unbinsed estim a.te o f' r 1 - r 3 , us ing
R(µ,T,{3) = + ( - Í)( -~") + (G)(~) + (~)(8) + (3)(12) = G7.31)
( ~)(·~ ) tho condition 7'3 = O. Compare t his value wi t h t ho vttlue obtain ed in P rob. 13. 13.
13.15 I n Prnb. 13. 13, fi nd Lhe covarianco of Lhe es t,imat.c o í r 1 - r 3 .
and R(T 1 µ,{3) = 0)(5) + ( - !)( -~) = ~ ~ = l .06 13.16 ] n P rob. 13. 14, fi nd t he covariance o í t,h e es t ímate oí r 1 - r 3 •
13.17 Using t,he equat.ions in P rob . 13.6, find t he sum o[ squaros for r (adj)
These yaJucs are, of course, t he same as t hose given in Art. 13. 1.6. by using
(a) 'J'he condit ion .E7-; = O.
Problcrns (b} The eondit ion -T3 = O.
13.18 Usi ng t.h e data in Prnb. 13.1 , test Lho h ypot.hosis r 1 = r 2 = r 3 wit.h a
13.1 The dat,a g i\·en in T able 13. 7 a re assumed to follow a two-way classifica- 5 por cen t type I e rror probability.
t.io n m o<lel w it.h unoqun l numbet'S in t ho subclnsses. 13.19 Using the <lnt,a in Prob. 13. l , set. a. 95 per cen t confidonce inwrval on
1'¡ - T3·
TABLE 13.7 13.20 S how t,h a t. A + (l/t)J hns a n invers a, where A is defined in Eq. (13. 10).
13.2 1 In Pro b. 13.20, sh ow t h at B 11 + (l /t)J is Lhe irn-erso, whoro B 11 is de -
";:-( l 2 3 4
--- --- - - - - - - - - -
finod imm e d iat,ely fo llowing Theorem 13.3.

6 7 3 7
Further R eading
1 8 l 10
4 l\l. G. Kendnll: " T he Advanced Theory of Statist ics," vols . T, II, Charlos
- - ------ --- - -- C: ri ffi n & Co., L td., L o ndon , 1946.
5 6 4 2 C. \\'. S ned ocor : "SLat ist,ical Meth ods ," Iowa Stat,e Collogo P ross, Ames,
2 8 J o wa, 1958.
7 3 O. K empt ho rne: " D es ign an<l Analysis of Expol'Íments," John vViloy & Sons,
- - - - - - - - - --- - - - Inc ., New York, 1952.
4 R. L. Ande1'Son n nd T. A. B a nernft: "St,atis t,ical 'l'heory in R esearch,"
3 5
l\fcG r a w-Hill Book Company, Inc., New York, 1952.
:-l ()
5 C. H.. Rao: "Ad vancod Sl,atistical l\foLho ds in D io met.ric R osoarch," John
' Viley & Sons, I nc., Now York, 1952.
6 !:i. Ko lodziej czy k : O n a n Important C luss of SLat.is Lieal JTy pothoses,
Find n l l' 1112• '11 ¡ 3, n t 4 • n21> n22 • n2:1' n2 4• n :11> n 32• n 33• a.nd n3 4'
13 .2 In P ro b. 13 . l , fln d N 1., Nv N a.• N. 11 N _2 , N _3 , a nd NA. JJiometrika, vol. 27, 1935.
13.3 ln P rob. 13. 1, find Y 1 ... Y 2 __, Y3 .. , Y_ 1_, Y_ 2 _, Y_3 _. a ncl Y. 4 . • 7 H. Sch e ffé : " T he Analys is of Va riance," John Ví' iley & Son s, Inc., New
13.4 In Prob. 13. 1, flnd t.he normal equat,io ns. York, 195 9.
13 .5 In P rob. 13. l , fin<l t,ho equat,io ns A ~ = q.
13.6 In a two-way cla ssification model wit,h unequa l n umbors 111 t ho s ub-
c lasses, s upposo LllflL t ho sot of oqunt,ions A~ = q is g iven by
l Oí\ - 2f2 - 8r3 12
- 2f1 + 5f2 - :3T3 = 16
- 8f 1 - 3i2 + l 1T3 = - 28
(a) Find U1 0 rank of th is s.rstem of oq uatio ns .
(b) I• ind a solut io n , us ing t,he eondit,io n ~;,. = O.
13.7 In P rob. 1:3.6. c:o ns Lrue t, Lhe A * m a trix g iven in Theorem 13.3.
13.8 In Prob. 1:3.7, find t.he rank o f A *.
13.9 In P rob. J :1. 7, find (A *)- 1.
13.10 U s ing t,ho c quat,ions in P rob. l :3.0, Ye rify a li t he statement.s m a d e in
T h eorem 13.4.
13.11 P 1·oyo Tltoorom J:l.:l.
13 .12 Using t.he data in Prob. 1:3.6, find a so lu tion to the eq uations b y us ing
t he cond it,io n f 3 = O.
 JNCOJ\IPLE'l'E BLOCK J\lODELS 307
Jnstead of g iving other exarn p les, we shall talk in ter ms of t wo gener al
foctors: b locks a ncl t reatments. T he blocks "·ill be similar to ovens,
t wnshing mach ines, cte., t hat is, factors t hat are not undcr study by th e
csperi menter . On ly cases will be considcred in which each block
contains k experimental units (sometimes referred to as le plots). T he
11 0 rn ber oftreatmcnts will bedenoted by t; thcrefore, k < t. Also, onl y
those cases will be considcred in wh ich each t reatment is replicaíed
(a.ppears) in exacLly r b locks, a nd t he n umber of blocks is b.
14 There are vario us types of incom plete b locks, but wc shall d iscuss
0 11Jy what are termed balanced incomplete block.s.

+ Definition 14.1 An ar rangement of blocks and t reatments will be

Incomplete Block Models called a baJanced in co mp lcte block if t he following condit ions a re
satisfi ed:
(1) E vcry b lock contains k.: experimental uni ts.
(2) T herc are more treatments t han t here a re p lots m a block
(k < t) .
14.1 Introduction (3) Evcry t reatment appears in r b locks.
(4) Evcry pairoftrca,tmcnts occurs togcther in the sarne n u mber of
Suppose a researcher, in conducting an experiment o n Yarious
methods of mi xing cookie dough , has scven treatments (methods of blocks (let ,1 denote this nu m ber).
mi xing), and he wishes to investigat e t he texture of t hc resnl t ing mi x- For exa mple, consider t hc arra ngement of T a ble 14 . Ja . I n t his
ture a fter t he dough is bak ed under uniform condi t ions. In ordcr t hat arrangement b = 7, t = 7, k = 3, r = 3, and A = l. By Dcfi nitio n 14.1 ,
a li t reatme nts m ay be h andled unifo rrnly, it is desirablc to bakc t hc
dough fro m a li seYen treatments in one o,·en . As ma ny ovens a nd
TABLE 14.1
repetit ions of t he seven t reatments will be uscd as t he experimcntcr
t hinks are n ecessar y. H owever, sup pose onl y materi al representing Block 'l\eaLmonL B lock T r eaLmont,
t hrcc treatrnents can b e ba ked in onc oven. In genera l, the ovcns are n o. nos. n o. nos.
not the important factor being stud icd ; it is desira ble to rc rn ovc the
effect of t hc ovens so th at t he treatments may be more elfectivcly 1 l 2 4 1 2 3
2 2 :3 5 2 4 5 G
stu died. The m odel can b e wri tten a 8 9
:3 3 4 6 7
4 4 5 . 7 4 L 4 7
!) 5 G 1 5 2 5 8
wh cre -ri is the ith treatment constant, /3; is thc jth oven const a nt, G (j 7 2 G 3 (3 9
rn = O or 1, a nd Y;;i is t he o bservatio n when t he ith t reatment occurs in 7 7 3
t he jth oven . The observation Y ;;o does not cx ist, sin ce, if m = O for
(a) (b)
a cer tain ij combination , t his means t hat thc ith t reatment does not
occur in the j th oven.
Another example is a n experimcn t in which a rcscarcher is st udy ing t his is a ba la nced incomplete b lock arra ngement. T he arrangement of
t he effect ofl au nderi ng on different fabrics. It is clcsired to study, say, Table 14. lb is nota. baJanced in complete block, eYen t houg h each block
25 different fabrics, bu t a washi ng machi ne can Jaundcr only ten fa brics contai ns the samc num ber of treatments (k = 3) and cvcn though each
at one t ime. Washing m achines a re not t he impo rtant facto rs nnclcr treatment is rcpcated the samc n umber (r = 2) of t im es. lt fa ils to
study. lf man y machines a re availa ble, t he modcl could be a two-way satisfy the <lefi ni t ion, since cvcry pair of t rcatments e.loes not occur
classifi ca t ion where each treatment <loes not occur wit h each machi ne. together in t he same num ber of blocks (cond it ion 4). For exampJe,
306
308 LINEAR STATIS'I'ICAL !llODJ!:LS I NCOMPLE 1'E BLOCK l\lODELS 309
treatments 4 ancl 5 occur together in one b lock (block 2), but trcatmcnts A rclationship arnong the quantities b, t, r, k, ancl l. is
6 and 7 occur togcther in no blocks.
There may be various reasons why an e xperirncntcr would want to , r(k - 1)
14=---
considcr a bala nced in complete b lock arra ngcme nt. It m ay be t hat t- 1
by gro uping the experime ntal units into ho mogeneous sets, the erro;
varia ncc can be reduced; this may lead to b locks " ·it h less t h an t units 'fo show t,his, consider any treatment, say, trca tmcnt l. This treat -
in ea.ch block a nd , therefore, require a ba la nced incomplete block ment appcars in exactly r blocks. The number ofplots in t hcser blocks
a rrangemcnt. The problems connected with the construction of thatis occupicdbythe remainingtreatments isr(/c - 1). Tlús number
ba la nccd incomplete blocks for a g ivc n t a nd k \\"ill not be discussed. is also eq ua l to /.(t - 1). Equating thesc gives the result . Also
The reade r can consult papers in the bibliography for a discussion of
theso.
Y 1•• = total of obsen·ations of the ith treatment
Y .;. = total of the observations in the jth block
14.1.1 Defipitions and Notation. Thc balanced incompletc
Y = total of a ll t he observations
block model will be considered a special case of the t\\·o-\\"ay classifica-
b
tion modo! with unequal numbcrs in the s ubclasses. There will be One more qua ntity will be needed; this is L n ;; Y .;.• which is the total of
either o ne orno observations in cach subclass; Lhcrc is onc observation j - 1
in thc ~j th s ubclass if the ith treatmcnt occurs in thcjth block , and thcrc Lhe obscrva(,ions in ali t he blocks in whi ch t hc ith trcatme nt appears.
is no observation in the ijth subclass ifthe ith treatment does not occur Thc notation
in the jth block. Therefore, the model w ill be written B; = '.L..,"n ,., Y ·'..
~ = 1, 2, ... , t
i= 1
will be used.
J = 1, 2, .. . ' b (14.1)
{ 14.2 Point Estimation
rn = n ¡;

" .here n;; = l if thc ith t reatme nt a ppears in t he jth block, a nd n;; = O 1 Since t hc ba la nced inco mpleto block model h as bcen defined as a
if t hc i t,h t reatment <loes not appear in the jth block. y iil will be uscd specia l case of the two-way classification with unequa l numbers in the
to rcprescnt t he o bservation in the ijth col! , a nd y 00 will m ean that subclasscs, t hc normal equations can be deri ved fro m those in Eq. (13.2)
there is no observation in that particular cell. T¡ \\"ill represent the ith by using t hc 11otation of Scc. 14.1. The normal cquations are :
treatment constant, and /3; will rcpresent thcjth block constant. The
error terms e;;,,. will be assumed to be un corrclated, with mea ns O and ¡t: bkfl + r 2: f; + k L; P; = Y ...
variances a 2 , for point esti m ation. For interval cstimation and testing
hypothcses, the e;1,,. will be assumed to be normally distributed. The 'T J): r¡í + rfv + L; nv;P; = Y,,.. p = l ,2, ... , t (14.3)
following equations are seen to hold :

1V t.. = "n" .. = r
.L., lJ
(number o[ blocks in which the ith
treatment a ppcars)
1.:13"s -- y ,5, 8 = i ; 2, . ..'b
i= l
1
(number or trcatments that appcar in Thc cqu ations reprcsented by f3. can be solved for µ + p•. This gives
N •1 = "
~ ntJ
.. = k
i= l thc jth uloek) (14.2)
N = rt = bk (total numbcr o[ observations) 8 = ], 2, ... ' b (14.4)

(this is t he numbcr o [ blocks in which

b
thc ith t reaLmcnt and t he i 'th t reatmcnt 'rhc eq uations represcnted by -r,, in- (1 4-.3) ca n be \\Titten
"~
L. ?l¡¡n;·¡ = A. for ali i # i' occur togethcr. This shoultl not be con-
i=l
fuscd with t hc symbol for noncentra lity). rf 11 +L
j
n 11¡(¡1 + P;l = Y 11 • • p = 1, 2, ... , t (14.5)
310 LINEAR S'l'ATISTICAL l\'IODELS INCOMPLETE BLOCK MODELS 311
If (14.4) is substituted into (14.5), we get the block constants /1;· This can be seenif Eq. (14.1) is substituted in to
the definition of qP. The result is
rf P +j=l 1(
¿np;- Y.;. - ¡ n¡;T¡
b t )
=Y,, .. p = 1, 2, ... 't l b
k •=l
qp =L (µ + 7 P + /J; + ep;m) - -k L np; L (µ + T; + P1 + ei;m)
Jm i=l im
This becomcs

The quantity .¡. P will be factored out of the second term on the left of the
equals sign. This gives

From Eq. ( 14.2), the quantities

b

A= L nPinii
i=l
ifp # i

and n;,i = n 11; (since n 11; = O or I) can be used to give

(r - -kr) ,.
T
'P
-
l ~
-
k
~ T·
,. =
i=l '
v
.t
j)..
-
1 ~
-
y i
k jk; ; ¡ n p i ••
p = l, 2, ... 't (14.6)
(14.8)
i"ji; V
t
Thc nonestimable condition 2 f¡ =O can be used to obtain
From this we get
i=l

t E(q. ) = -kAt (-r JJ - ;¡) (14.9)

i=l
""' .
"'- 'T¡ = "
-T'P
p - •

i#p
and (14.10)
If this is substituted into (14.6), it gives

r
( r - -k + -kÁ.) f p
= Y j),. - -k ;f;-1
""' n JI1 Y;• •
1 b
p = 1, 2, ..• 't (14.7)

The coefficient off P is (rk - r + l)/k. If the value of l in terms of r, =-- forp # p'
k, and t is used, this expression becomes J..t/k. The quantity k

1 b 1
Fron:i these facts we get the following theorem.
Y p.. --""n
k k
i=l
'Pi Y .; • =Y,, • • --B
k ,, + Theorem 14.1 In the balanced incomplete block model given by
Eq. (14.1), thc linear minimum-variance unbiased estimate of any
will be denoted by qv· This is the tot~l ~f the observations of the pth contrast of the -rP is given by (k/A.t)'Lc 11qp. The variance of the
treatment minus I/k times the total ofthe observations of ali blocks in estimate is (ka 2 /J..t)'Lc;. If the e;;ni are normally distributed, the
which the pth treatment occurs. The quantity q'P does not contain µ or estímate is maximum likelihood and is the best unbiased estímate.
312 LINEAR STATISTICAL l\IODELS INCOl\IPLETE BLOCK l\IODELS 313

4.4 Computing
14.3 Interval Estimation and Tests of Hypotheses
We ha ve considered the balanced incomplete block modelas a speci The computing for the balanced incomplete block model is quite easy.
case of the two-way classification model with unequal numbers in t nstruct a format such as Table 14.3, and for each treatment compute
subclasses. Therefore, the AOVis givcn by Table 13.2. The quantit e total Yi .. and the total of ali blocks that contain the ith treatment.
Lí\qi is (k/).tp:..q¡, since JJi = (k/A.t)qi is asolution to the system Ai' =
The labeling in the AOV table will be altered slightly. It is found TABLE 14.3 FoRM FOR CoMPUTATIONs
Table 14.2.
'.rotal of blocks
TABLE 14.2 ANALYSIS OF VARIANCE OF BALANCED lNCOMPLETE BLOCK
0

,
'1.tment
.umber
Total containing qi qi(~) = ~i - ~.
treatment i
sv DF SS MS N oncentrality

~ B1 )~
1
1 Y1 .. B1 Y1.. - -k B1 ( Y1 .. -
Total bk 2Y'f;m
ijni

Mean l
Y~.
bk
2 Y2 .. B2 Y2 .. - -:B2
k'
1
( Y2 .. - ~ B2)~
Blocks ¡Y.1_ y2
1 •••
(unadj) b - 1 -k- -bk
1 1
Treatments t Yt .. B, Yt .. -¡ Bt ( Y, - -1 B, ) -k
.. k At
(adj) t - 1 Tms 1

Error bk - b - t +1 Subtraction = E 85 1 Ems

1
this the remaining quantities for the AOV can be computed,
tOm

The quantity Tms/Ems is distributed as the noncentral and reduce,• F . .

to.thecent~alFdistributionifandonlyifT = 7 ~ = ... = r,. Henc~plybysquarmgan~;u~ulatmg. Thecolumnqi U givesunbiased_
·(k)
1
th1s quant1ty can be used to test the hypothes1s that the treatmen ti mates of r i - f . - times the sum of squares of the elements in
constants are equal. - k
To set a confidence interval on a contrast of the T· we note that e. fourth column gives the sum of squares for treatments adjusted.
" 14.4.1 Example. A greenhouse cxperiment was run to test the
'Le,..]·. - 'Le. r. ects of various fertilizer treatments on the nitrogen content of alfalfa
u= ' ' '
<I.J Le¡(k/JJ) rage. Because of the 'effect of location on the greenhouse bench, it
is distributed N(O,l} and is independent of Ess/<12 , which is distribut a.s decided that block sizes of three plots would be desirable. Since
as x2 (bk - t - b + 1). Therefore, .ere were seven treatments, a balanced incomplete block was used.
he yields are given in Tab]e 14.4. The numbers in parentheses are
atment numbers.
The treatment totals and the total of blocks corítaining each treat-
is distributed as Student's t with bk - t - b + 1 degrees of freedo ent are needed and are given in Table 14.5.
A 1 - « confidence interval is Since 2 Yi .. = Y .. ., the second column in Table 14.5 sums to the grand
i
>tal 58.30. ,2(2n¡; Y.;.) = 2C'Ln¡; Y_,.} = ,2k Y.;. = k Y ... =
Also,
i j j i j
umber of plots per block times the grand total = (3)(58.30) = 174.90.
ince "Lqi =O, the last two columna will sum to zero except for rounding
The width of the interval is 2t~12 v Ems"Lcr(k/A.t).
314 LINEAR STATISTICAL l\WDELS INCOMPLETE BLOCK MODELS 315
errors. These checks should be performed at this stage. The total
sum of squares is equal to
TABLE 14.4 TOTAL \VEIGHTS OF NITROGEN IN GRAl\IS OF 8IX CUTTINGS
oF ALFALFA FoRAGE GROWN IN GREENHOUSE PoTs
~
' Lifi1m = 169.1162
Blockj Treatments Block total YJ.
The sum of squares due to mean is
~

1 2.10 2.67 2.91 7.68 y2

(1) (2) (4) --:.:.: = 161.8519
2 1.14 3.00 3.10 7.24 bk
(2) (3) (5)
3 2.92 3.14 2.99 9.05 The sum of squares dueto blocks (unadjusted) is
(3) (4) (6)
4 3.13 2.63 2.75 8.51 ~ Y~;. - 1
~·~ = 2.0347
5
(4)
2.84
(5)
3.13
(7)
1.85 7.82
t 3 21
(5) (6) ( l) The sum of squares dueto treatments (adjusted) is
6 3.01 2.99 1.82 7.82
(6) (7) (2)
k~2 3 ~2 2
7 2.86 3.54 3.78 10.18 Át Liq¡ = (1)(7) Liq¡ = 3. 908
(7) (1) (3)

The AOV is given in Table 14.6.

k = 3, t = 7, b = 7, r = 3, A = 1
Grand total Y ... = 58.30
TABLE 14.6 ANALYSIS OF VARIANCE FOR EXAMPLE OF ART. 14.4.l

SV DF SS MS F N oncentrality

TABLE 14.5 COl\lPUTATIONS FOR THE BALANCEO INCO.l\IPLETE BLOCK Total 21 169.1162
Mean 1 161.8519
Total of the blocks Block (unadj) 6. 2.0347
Treatment Total containing Treatment
estimator 7
numbei· treatment i Treatments (adj) 6 3.2908 .5485 2.263 -6u2 :E('T·z - f)2
•
Error 8 1.9388 .2424
.. ~ k
i Ti - T • = lt q¡
The tabulated F at the 5 per cent level for 6 and 8 degrees of freedom is
1 7.49 25.68 -1.0700 -.459 3.58. Hence these data do not suggest rejecting the hypothesis r 1 =
2 5.63 22.74 -1.9500 -.836 .,. 2 = · · · = r 1 at the 5 per cent level of significance. The estimated
3 9.70 26.47 .8767 .376 variance of a treatment contrast LCtri is equal to
4 9.18 25.24 .7667 .329
5 8.57 23.57 .7133 .306
6 9.13 24.69 .9000 .386
7 8.60 26.51 -.2367 -.101

Check 58.301 174.90 .0000 .001 Problems

14.1 Which of the designs shown in Table 14.7 are balanced incomplete block
dcsigns? The entries are treatment numbers.
14.2 For the balanced incomplete blocks in Prob. 14.1, find the values of
r, b, t, k, and A.
316 LINEAR STATISTICAL l\IODELS INCOMPLETE BLOCK MODELS 317
14.6 In Prob. 14.4, solve the normal equations, using thc condit.ion ~.;i = O.
TABLE 14.7 14.7 'Vork out in detail the noncentrality for testing T 1 + T 2 - 2T 3 = O in
Treatment Prob. 14.3.
Block
14.8 In Prob. 14.3, set a 95 per cent confidence interval on T¡ - T 2 •
no. nos.
14.9 From the equations A; = q for the balanced incomplete block model
show that there exists a constant e such that cA is idempotent.
Block Treatment l 1 2
no. nos.
2 l 3 Further Reading
l 1 2 W. G. Cochran and G. M. Cox: "Experimental Designs," John \Viley & Sons,
3 l 4 Jnc., New York, 1957.
2 l 3 2 O. Kempthome: "Design and Analysis of Experiments," J ohn Wiley & Sons,
4 2 3 Inc., New York, 1952.
3 2 3 3 R. L. Anderson and T. A. Bancroft: "Statistical Theory in Research,"
2 4
l\:lcGraw-Hill Book Company, Inc., New York, 1952.
5
(a) 4 H. B. Mann: "Analysis and Design of Experiments," Dover Publications,
New York, 1949.
6 3 4 5 F. Yates: Incomplete Randomized Blocks, Ann. Eugenics, vol. 7, 1936.
6 R. C. Bose: On the Construction of Balanced Incomplete Block Designs, Ann.
(b)
Eugenics, vol. 9, 1939.
7 C. R. Rao: General Methods of Analysis for Incomplete Block Designs,
Block Treatment Block Treatment J. A m. Statist. Assoc., vol. 42, 1947.
no. nos. no. nos.

l l 2 3 l l 2 3 4

2 l 2 4 2 l 2 3 5

3 2 3 4 3 2 3 4 5

4 l 3 4 4 l 3 4 5

(e) (d)

14.3 The data of Table 14.8 are in a balanced incomplete block.

(a) Find the values of r, b, t, k, and .A.
(b) Construct the AOV table.
(e) Estimate -ri - "f. for each i.
(d) Find the standard error of the estimates in (e).

TABLE 14.8

Block Treatments

1 (1) 16.l (2) 18.2

2 (1) 13.4 (3) 16.0
3 (2) 18.5 (3) 20.l

The numbers in parentheses are treatment numbers.

14.4 In Prob. 14.3, write out the normal equations.
14.5 In Prob. 14.4, solve the normal equations, using the condition 7- 3 = O.
 SO:ME ADDITIONAL TOPICS ABOUT l\IODEL 4 319
Let the observable random variable Yii have the structure
Y¡; = µ,; + e¡; (15.1)
where µii is an unknown parameter ande;; is an unobservable random
variable with mean equal to zero. Stating that E(e,1) = Ois no restric-
tion, since, if E( e¡;) = µ ~ O, then µcan become part of µ¡1• We should
note that this is the only assumption that is necessary for µ¡ 1 to be esti-
mable for every i andj; that is, E(yu) = µw Soµ,; and every linear
15 function of 歭is estimable if E(e,;) = O. However, an experimenter
generally wants to do more than obtain an unbiased estímate ofthe un-
known parameters; he may want to be a ble to say something about the
variance of the estímate and test hypotheses about the parameters.
Sorne Additional Topics about Model 4 Therefore, it would seem desirable to put conditions on model (15.1)
such that
l. Unbiased estimates (fiii) of µi; and certain functions of µii will be

15.1 Introduction
[ obtainable.
In this chaptér the assumptions underlying model 4 will be investi-
gated further. The work that has been done in this area is vast, and no
attempt will be made to be complete. Some of the consequences that
follow when the assumptions do not hold will be investigated.
Only linear models will be considered. These have been defined as
observable random variables y that are equal to linear functions of par-
ameters and unobservable random variables. For example, the model
Y;;= µ¡;eii
is nota linear model according to Definition 5.2. On the other hand,
taking the logarithm of y ii gives
log Yi; = log µ¡; + log e,1
which is a linear model in the logarithms. There are sorne models that
cannot be made linear by transformation, for instance,
Yii = µz + µij'
These are important, but they will not be discussed here. Only models
will be considered that either are linear or can be made linear by trans-
formation.
15.2 Assumptions for Model 4
· Most ofthe ideas in this section will be discussed for a two-way classi·
fication model. However, almost all the resulta will generalize to more
complex situations.
318
2. Estimates of the variance of ílii will be obtainable.
3. Tests of certain hypotheses about µ¡; will be obtainable.
4. Confidence intervals on µiJ will be obtainable.
The conditions often used are as follows:
A. E(eii) = O.
B. µ¡ 1 can be written µ¡; = µ + T¡ + P;; that is, there is no inter-
a.ction.
C. The e;; are uncorrelated.
D. The e¡; have the same variance a2 for all i andj.
E. The e;; are normally distributed.
As stated before, condition A, that E(eiJ) = O, is the only assumption
that is necessary to obtain unbiased estimates of µii and linear com-
binations of µ¡; for ali i andj. Condition B is a condition on the param-
eters. If we write
µ¡;=P .. + (Pi. - P.J + (P.1 - PJ + (µ¡, - Pi. - P.1 + P,J
= µ* + -rj + p; + (-rp)~
thenE(y¡; - Yi';) = -ri - -r~foralljandi -=fo i'ifandonlyif(-rp)~ =O.
Although it may be desirable from sorne points of view for (-rP)~ to be
zero, it should be noticed that -r[ - -rZ is estimable whether (-rP)~ is zero
or not; the estímate is Yi. - Yk.· Condition Bis also necessary for the
analysis of variance, to give an unbiased estimate of the variance of e,1
and to gi ve a test of the hypothesis that the -ri are equal. This has been
shown in Art. 12.5.2. Suppose that (-rP)ij =F Ofor sorne i andj and that
there is more than one observation per cell. Then the model can be
written as
320 LINEAR STATISTICAL :MODELS SOME ADDITIONAL TOPICS ABOUT 1\IODEL 4 321

If the variance of eH"' equals a 2 for all i, j, and m, a 2 can be estimated by We desire a test of the hypothesis T1 = T2 = · · · = T,. Let the
the usual analysis of variance; thc variance of ftu can also be estimated. (t -1) X 1 vector Y; be
This problem has been discussed in Chap. 12. Y2; - Yu
Next we shall turn our attention to the conditions made on the ran.
Ys; - Yu
dom variables ew The normality condition E is not essential for point Y;= j = 1, 2, ... , b
estimation, bnt is ysed for interval estimation and tests of hypotheses. (
However, for the conventional estimates of µiJ to have the optimurn
Yt; -·Y1

f-~ ~:)
properties stated in Chap. 6, it is essential that conditions C and D be
rnet. \Ve have shown, however, that, if C and D do not hold but the
variances and covariances are known, then estimates of µu can be found
such that the optimum properties in Chap. 6 hold. This is stated in Weget
Theorem 6.4. E(Y,) = = y

Tt - T ¡

15.3 Tests of Hypotheses Let the covariance matrix of Y; be V. The pqth element of V is
Next we shall turn our attention to the testing of hypotheses. The vvo = E{[(Yii; - Yu) - E(Yvi - Yi;)][(Yq; - Yu) - E(Yq; - Yu)]}
normality condition E is necessary if the conventional tests arP. to be Using Eq. (15.2) and the distributional properties in (15.3), we get
strictly valid. If the normality condition does not hold, then sorne
nonpararnetric test can be used. If the norrnality condition E is satis- VM = E[(e:Pi - eu)(eai - ei;)] = ªva - ªii1 - ª1a + ª11
(15.4)
fied, but if either Cor D is not, then a nonparametric test could be used. p, q = 2, 3, ... , t
However, there are other methods available for this case. These will It can be shown that V is positive definite, since we have assumed that
be discussed next. (a11 a) is positive definite. Also, by (15.3), Y; and Y;· are independent if
For the remainder of this section we shall assume the model
j =fa j'. Therefore, we have Y; as a random sample from the density
N(y,V)forj = 1, 2, ... , bandT 1 = r 2 = · · · = Ttifandonlyify =O.
i = 1, 2, ... , t; j = 1, 2, ... , b (15.2) Therefore, we can let ·
where LT¡ = LP; =·o, and we shall assume that the random variables (b - t + 1)b Y's-ry = u
e¡; are normally distributed with mean zero. We shall call the T¡ treat- (b - l)(t -- 1)
ments and the P; blocks. We shall further assume that the errors - l 1 b -

satisfy the following:

where Y=-LY- s= -- L (Y¡-Y)(Yi -Y)'
b ' b - 1 ¡:::¡
· and we can use Theorem 10.9 to state: u is distributed as F(t - l, b -
E(e~1 ) =a¡¡ t + 1) if r 1 = T 2 = · · · = Ti· Thus we have the following theorem.
E(e¡;e¡·;) = O"¡¡• (15.3)
• Theorem 15.1 Letthetwo-wayclassification modelyii = µ + T¡ +
E(e¡;ei'i') =O if j -=/= .i' P; + e¡; be such that E(eii) = aw E(e¡;ei'J) = aii., E(eiiei'i') = O
if j -:/= j', b ~ t, and eu is a normal variable. Then the quantity
We shall also assume that the t x t matrix (a rs) is positive definite.
These assumptions on e¡1 state that the observations are uncorrelated if u= Y's-1v (b - t + I)b
they are in different blocks, that the variance ofthe ith treatmentobser- (b - l)(t - 1)
vation is a w and that the covariance of the ith treatment observation is distributed as F(t - 1, b - t + 1) if T 1 = T 2 = · · · = T 1•
and i'th trcatment observation in the same block is aii'· In sorne in-
stances these assumptions seem to be more realistic than those gener- To test the hypothesis T1 = T2 = · · · = Tt, the following theorem can
ally rnade, i.e., that the ei; are distributed independently N(O,a2). be used.
322 LINEAR STATISTICAL MODELS 801\IE ADDITIONAL 'l'OPTC!S ABOUT MODEL 4 323
+ Theorem 15.2 Let the conditions of Theorem 15.1 be satisfied. 15.3.1 Example. Suppose that the data of Table 15. l are from
Then the hypothesis -r 1 = T 2 = · · · = Tt is rejected at the oc level the model YH = µ + -r, + {JJ + eii, where the assumptions of (15.3)
of significance if u > Fª(t - 1, b - t + 1). bold. Suppose we wish to test the hypothesis T 1 = T 2 = -r3 = T4 •
Instead of testing the hypothesis T 1 = T 2 = · · · = -rt, it may be de-
TABLE 15.1 DATA FOR ExAMPLE oF AnT. 15.3.1
sired to test the hypothesis that a contrast ofthe treatments is equal to

-~
zero; that is, H 0 : LCiT i = O, where Le, = O. If the distributional prop- l 2 3 4
erties of ( 15.3) hold, then the conventional method of testing H 0 is not
exact. An alternati ve method is the subject of the next three theorems. 1 19.41 43.60 24.05 19.47
2 23.84 40.40 21.76 16.61
+ Theorem 15.3 Let the distributional properties in ( 15.3) hold for 3 16.08 18.08 14.19 16.69
the two-way classification model YiJ = µ + -r¡ + /J; + e¡; for 4 18.29 19.57 18.61 17.78
5 30.08 45.20 29.33 20.19
i = 1, 2, ... 't j = 1, 2, •.. 'b 6 27.04 25.87 25.60 23.31
7 39.95 55.20 38.77 21.15
Then the quantities 8 25.12 55.32 34.19 18.56
t
9 22.45 19.79 21.65 23.31
Z; ! CiYii
= i==l LCi =o 10 29.28 46.24 31.52 22.48
11 22.56 14.88 15.68 19.79
are independent and distributed N(LCiTi,u 2), where 12 22.08 7.52 4.69 20.53
13 43.95 41.17 32.59 29.25

The proof will not be given. Since we assume that (15.3) holds on the e, 1, we cannot use the conven-
+ Theorem 15.4 Using the assumptions ofTheorem 15.3, tional method of analysis. Instead we can use Theorem 15.2. By
Theorem 15.2 we need
u2 bz.2
u2= u2 j = 1, 2, ... , 13
is distributed as x' 2(1,A.), where Yí = (24.19, 4.64, .06)
2
A= b(LC¡Ti) Y2 = (16.56, -2.08, -7.23)
2u2 y~= (2.00, -1.89, .61)
2 2 y~= (l.28, .32, -.51)
Also, - w = _:E_(z__¡_-_z_)
u2 u2 y~= (15.12, -.75, -9.89)
is distributed as x2(b - 1), and u and w are independent. y~= (-1.17, -1.44, -3.73)
+ Theorem 15.5 Let u 2 and w2 be as given in Theorem 15.4. Then Y;= (15.25, -1.18, -18.80)

V = (b - l)u2/w 2 = b(b - l)z?./! (z¡ - z) 2

Y8 = (30.20, 9.07, -6.56)
j y~= (-2.66, -.80, .86)
is distributed as F'(l, b - 1, A.), ,..,here Yio = (16.96, 2.24, -6.80)
2 Yí1 = (-7.68, -6.88, -2.77)
A= b(LCiT¡)
2u 2 Yí 2 = (-14.56, -17.39, -1.55)_
Theorem 15.5 can be used to test H 0 : LCiTi =O. Yi3 = (-2.78, -11.36, -14.70)
324 LTN .EAll S1'A'I'IS'l'ICAL MODELS SOl\lE A DDITIONA L 'l'OPICS AllOUT MODEL 4 325

F rom t his we obtain J-Ience, if (T{J);; = O fo r a ll i andj, t he quan tity (N8sf B 88)[( b - l )(t -
1) - 1] is d istribu ted as F[ l , (b - l )(l - l ) - l ]. The proof of t hcsc
Y' = (7.13, - 2. 12, - 5.46) distri but iona l properties will be the subject of t h e n ext few t heorems .

2,151.8706 894.5435 - 274. l !.124) + Theorem 15.6 Let y,.j = µ + T; 1 fJ; + (T/3);; + eij• where L:Ti =
13
and l 2S = .2: (Yj - V)(Y 1 - Y)' = 894.543ií 542.1045 36.3449 L:/3; = ¡ (T{J)¡j = ¡ (TfJ);; = O. Let e,.j be indcpenden tly d istrib-
J= l ( ' ]

- 274. 1924 36.3449 446.3738 uted N(O ,a 2 ) . L et the q uantit ies x, u., v.J> w 'ZHI denote
1

The in verse is
X = Y ..
.0023572760 -.0040087773 .001774400 1)
[L(Y; - Y )(Y j - vn- =1
(
- .0040087773 .0086721040 -.003 16856 18 i = 1, 2, ... 't
.00 17744001 - .0031685618 .00 3588 ~215 =
vj = Y.j - Y .. j 1, 2, .. . ' b
T his g ives ti = 7 .5D, which we compa re wit h Snedecor's F Yaluc with 3 7J = 1, 2, ... ' f
and l O d egrces of freed o m. This is significant at the l per cent le Yel; so w¡)Q = Y,,q - Yv. - Y .Q + Y .. {
we h a ve cvide ncc to rejcct t hc hy pothesis T1 = T2 = T3 = T 4 • Notice = 1, 2, ... ' b q
t hat the D oolittlc procedure a nd T heore m 7. 1 can be used to obtain The n
- - ( 1) x is in<lepcndent of n,., V;, wl>Q for a li i, j, p, a n d q.
Y'S- 1 Y.
(2) n ,. and vj are ind epe nden t for ali i and j .
(3} ii¡ a nd w,, 0 are indepe nd e nt for a li i, p, and q.
15.4 Test fo r A dditi v ity (.J.) V ; a.nd w,,q a re independent for allj, p , a nd q.
Tn a two -wa.y classifi cation mod cl y ij = µ + T; + f3j + (T{J);; +e,;. Proof: S in ce cach of the quan tities x, U ¡, V;, w,,q h as a. normal d istri-
it rnay ue tk~irab l e t o h.a v e a m ethod for tcsting H o: (T/3);¡ ~ o for ali b11tio11 , we need only sh ow that they are u ncorrelated, sincc t his
i and .i· If t hesc qua nt it ies are ze ro, t hen the conventional ni ethod im plies ind ependence. We shall prove (3), a nd t he rest will foll ow
g iven in Sec . J 2.3 can be used to test T 1 = Tz = · · · = T 1 . Also, thc by simila r rcasoning. \ '\Te must show t hat cov(ii,. ,w,,0 ) = Ofor a ll
error mea n sq ua,re will b e a n unbiased est íma t e of a 2 in t his case. i, JJ, and q. But
In th is ser,t ion a meth od for testing t he hypothesis (T/3);; = O will be
ex hi bited. This tes t is dueto Tukey ( 14). In brief, the method con-
s ists in pa rtitio n ing t he error sum of squares 2,(y;j - Y ;. - Y.; + Y.Y
in to two part s : ij = B{[(y¡_ - y.J - E(y¡_ - y.)][(yJJQ - Y,,. - Y.o + Y .. n
l. S um of squ a res dueto nonadd itivity:
- E(y/)Q - Yv . - Y .o + Y..ll}

= E!(e;. - e.J(e,,0 - e,,. - e. _0 + e.JJ

= E[e;.(ePQ - é 0 _ - é _0 + e.JJ - E[e.. (e PO - e1'- - e.Q
+e • • )]

2. S um of sq ua rcs duc to ba lan ce (re mainder ): Using t hc fact t hat the eij are independe nt, we gct

Rss = °" (y.. · - y l.. - y . J. + 11 )

2
- N ss
·(U¡,W,,a) = a2(Ó
---¡;;,, - ¡; - lb1 + ~l) - a-\~
.{ 1 1 l
- ~ - ~ + lbl) = o
L.., ·'··
ii
l}
Ó¡ ,,
CO \

If (T/3)u = o fo r a li i and.f, t hcn Nss/a2 is distributed as x2( l ), Rss/a!

is distri buted as x2 l(b - l )(l - 1) - l ], a nd t h e two a re independent. whcre ó,. ,, = l if i = p, ó,.11 = O if i =/= p .
 ~~ SOl\IE ADDITIONAL TOPICS ABOUT l\lODEL 4 327
326 LINEAR STATISTICAL l\lODELS

A similar proofholds for (1), (2), and (3). Notice that the theo- Butthisiszero, since, by (4) ofTheorem 15.7, E(w¡;) = Oif{-r{J)ii =
rem does not say that ui and u; are independent. This is, of O. The conditional variance of z is
course, impossible, since Lui =O. Similarly for V; and w" 0 •
L w;,.a¡c;)
N ext we shall state a theorem about the distribution of these var(z 1ui = ai, v, = c1) = (
var ' 1 ,
2 2
. yLaici
quan~ties.

+ Theorem 15.7 Let the notation be the same as in the preceding ¡ W;;aic;)
=E (:.:.•i--==
2

theorem. Then .JLa;c¡

(1) x is distributed N(µ, a2 /bt).
(2) u¡ is distributed N[ -ri, a 2 (t - I)/bt].
(3) V; is distributed N[{J;, a 2(b - I)/bt].
= _l_
LaM ;;
[L E(w;,aic;) 2

(4) w 11 q is distributed N((-r{J) 110 , a2 (b - l)(t - I}/bt].

+ Li L E(w;;Wwa;c;c;,)
jj'
The proof of this theorem will be left for the reader. Ni'

+ Theorem 15.8 Let the distributional properties and notation be L Li E(w¡¡Wi'1ªPi'c¡)

+ ii'
the same as in Theorem 15.6. Then i:;6 i'

(1) cov(u¡,'U;) = -a 2 /bt when i -:j= j.

(2) cov(v¡,v;) = -a2 /bt when i -:j= j.
+ ?,
u i' ;:;6J'
"
4 E(wiiwi'J'ª•ªi'c;cr>]
ii-
(3) cov(wP 0 ,W;¡) = a2 (c5Pic5 0; + I/bt - c5 11 t{b - c5 01 /t}, where drs = O
if r -:j=. s ; c5 r s = 1 if r = 8. If we use (3) of Theorem 15.8, this expression becomes

Thc proof will be left for the reader. _±_[I

"" a~c~ ;;
(b - l)(t - 1) a¡c¡
bt ·
+L L
i w
(1 - t) a;c;C;-
bt
fj ª ' Ni'
+ Theorem 15.9 Let the distributional properties and notation be
the same as in Theorem 15.6, except that (-r{J}i; = O for all i andj.
~rhen the quantity
+ L Li 1 -bt b a,a¡,c¡ + L L bt!_ a.,a¡·C;CJ·J
íi' ii' jj'
i'i:i' i-:/=i' N=i'

L W¡¡U¡V¡ ·we can use the fact that La; = LC; =O to obtain
z = _i~i:====-
1Lu~LV~
'\/ 1 '
i
La;= -ai' and L ci =-e;·
is distributed N(O,a 2 ). i#:i' ;/.;'
Proof: First we shall show that z is distributed normally. We shall The variance then becomes
look at the conditional distribution of z given u¡ = a¡ and v 1 = C¡
fori = 1,2, ... ,t;j = 1,2, ... ,b. But,ifu;andv;arefixed,zis ~[(b - l)(t - 1) 2 2 t- 1
""' a~c2
~ bt L a;c¡ + -bt- ~°"" a~c2
ii
justa linear combination of wii, that is, a linear combination of nor- • i i i

mal variables, and, hence, is normal. That is to say, the condition-

al distribution of z, given u; and v1, is normal. Now we want the °"" a~c~
+ b bt- 1 ~ •'
+ bt~f;'
°"" a~c~l
iJ
= 1
a2
mean and variance of this conditional distribution. For the mean
we have We have proved that the conditional distribution of z, given that
L W;¡a~;) ¡ E(w;;)a¡C; U; = ai and V; =e;, is normal with mean O and variance a 2 • But,
sin ce this conditional distribution is N (O,a2), it is the same for every
E(z 1 ·u; = a;, V¡ = C;) = E ( viJ'°"" 2 2 = ., .JLa~c~
. ,L., a,c; , , value of ui and v 1 ; hence, the distribution of z is independent of 'U,;
ii
328 LINEAR STATISTICAL MODELS SOl\IE ADDITIONAL TOPICS ABOUT 1\IODEL 4 329
and V;, and the conditional distribution of z given U¡ 3'.nd V; is equal gis independent of ui and v1, and the marginal distribution of g/a2 is
to the marginal distribution of z, which is N(O,a2). This completes x2[(b - I)(t - l) - l].
the proof of the theorem. Next we shall examine E(zgii 1 ui = ai, V; = e;)· By using Theorem
15.8 we see that this quantity is zero. This tells us that, in the condi-
Nextwewanttoshowthatthetwo quantitiesh = z2 and g = ¡wi-
11 tional distribution of z and Yii given ui =a¡ and v 1 =e;, z and gii are
z2 are independent.
To do this, let us consider
independent (sin ce they are uncorrelated normal y_ariables). But, by
g= """ wii
.k 2 - z2 Theorem 15.9, z is independent of ui and v;; hence, z is also independent
ii of Yii in the marginal distribution of z, Yw iti, v;. \Ve have proved the
following theorem.
• Theorem 15.10 Let the distributional properties and notation be
as given in Theorems 15.6 and 15.9. Then the quantity z is inde-
2
pendent of the quantities
L ( W¡¡ - U;V;
z)
=
ii JI tt;,.v;
mn

= L Y~; (say) Also g/a 2 = "LgUa2 is distributed as x2 [(b - l)(t - l) - l].

ii

Therefore, ifwe can show that z is independent of g¡; for every i and,j, it Notice that
follows that z is independent of every function of gii' and, specifically, of
Lgi. Now the conditional distribution of Yii given U¡ = ai and v 1 = c1
:¿ wr
:E u71 + z2
1 =

is normal, since, for fixed ui and v 1, the quantity gii is a linear combina- and that z2 /a2 is distributed as x2 ( l). Therefore, we have the following.
tion of w;¡, which is a normal variable. The mean (in the conditional • Theorem 15.11 Let the distributional properties and notation be
distribution) of gii is zero; that is, E(wi1) = Ofor all i andj if ( -r/3)ii = O. as given in Theorems 15.6 and 15.9. Then
rrhc variance (in the conditional distribution) of gii is
2
Í: (Yi. - YJ
. 2
E(g.' 1 1u.= a¡, v.= c1) = E (wu aiciz
- -, .......----=--
)2 (a) i;
i , 2 ....... 2
V ¿_¡(t JI ¿_¡Cq
is distributed as x' 2 (t - 1, A. 1);
= E(wr·>' - 2E( ~i,.U.iC;Z +E( La~Mz2Lc )
· • ¡...._.. 2~ 2
)
2 2 :¿(Y.; - y.J2
" ""'ª p"-'c" P " (b) ii
If we use Theorem 15.8, this becomes

a~c~ ] I a.., v.= c.) is distributed as x' 2 (b - 1, A. 2);

a2 [(b - l)(t - l) - --'
,... 2~-'-2 = var(g 11.. u.=
' ' , ,
bt ¿_¡(t, ;"-'C¡
(e)
The eovariance of Yi;, gpq in the conditional distribution given ui = a;,
'Vi ''~~ C.¡ is is <lis tri bu ted as x2 ( l) if (-rP) ii = ofor all i and j ; and
cuv(y¡;, g 1,q 1 U¡= ai, V;=
(J:
c1) = a 2 uviuq;
J:
+ -1 - -c5,,i - -()01 - a,a 1,c1c0 )
~- 2 ~ Í: (Yu - Y;. - Y.;+ Y.J2
bt b t 2
¿_¡u,i"-'C; (d) ii

From this it follows that the conditional distribution of g/a2 given it¡ = is distributed as x2 [(b - l)(t - 1) - l] if (-rP)¡; = Ofor all i andj.
a; and v 1 = c1 is x2 [(b - I)(t - l) - I]. Notice that the covariance
matrix of the y 0 is idempotent when divided by a 2 • Hence we use (e) (a), (b), (e), (d) are independent
Theorem 4.9. But, since this is chi-square for every value of ai ande;, Now we state the final theorem of this section.
330 LINEAR STATISTICAL l\IODELS 801\IE ADDITIONAL TOPICS ABOUT l\IODEL 4 331

• Theorem 15.12 Let the notation and distributional properties be The quantities Tss, B 5 s, and J.f ss are computed by the conventional
as given in Theorem 15.6. Then, to test H 0 : ( T{J) i; = Ofor all i and method of computing treatment sum of squares, block sum of squares,
j, the quantity and the mean sum of squares, respectively. To compute Nss the only
u = z2[ ( b - 1 )(t - 1) - l]
new quantityneeded is 2 Yi; Yi. Y. 1• A convenient method of comput-
ii
Í (Yi; - Y;. - Y.;+ Y.J2 - z
2
ing this quantity will be given in the next section.
ij
15.4.1 Example of Test for Nonadditivity. Suppose that the
is distributed as F[l, (b ·- l)(t - 1) - l]. If u > F«, the hypoth. data in Table 15.3 are assumed to satisfy a two-way classification model,
esis (-r{J} ;; = O can be rejected at the ex. level of significance.
TABLE 15.3 DATA FOR EXAMPLE OF ART. 15.4.l
Proof: Thc proof is immediate from Theorem 15.l l. Notice that
this can be put into an AOV table, as shown in Table 15.2. 'T Sum of cross product
Sum
{J row i with total row
(A)
TABLE 15.2 ANALYSIS OF VAUIANCE FOH. NONADDITIVI'l'Y 1 2 3 4 (B)

sv DF SS ¡ F -1 8 2
1

l 3 14 146
2 4 o 3 1 8 76
'l.'o tal bt ""'"~.
.L;Ju
3 2 1 o 4 7 63
ij

Mean 1 }\{SS = bty.2. 14 3 4 8 29

1

Trcatments t - 1 Tss = Í(Y;. - Y.) 2

ij as given in Theorem 15.6. We desire to test the hypothesis H 0 : (-rP)ii
Blocks b - 1 = O for all i andj.
The only new quantity is LYiJYi.Y.;. To obtain this, column B
ij
must be computed. For example, the first element in column B is
Nonadditivity l
2 YuY.; = (8)(14) + (2)(3) + (1)(4) + (3)(8) = 146
i

Balance (b - l)(t - l} - 1 R 58 = subtraction the second element in column B is

2 Y2;Y.; = (4)(14) + (0)(3)-+ (3)(4) + (1)(8) = 76
i
Notice also that Nss = z2 can be simplified for computing as follows:
the third element in column B is

[ _'?(Y;; - Yi. - Y.;+ Y .. HYi. - Y .. HY.; - YJr 2; y31 Y.; = (2)(14) + (1)(3) + (0)(4) + (4)(8) = 63
N - z2 - 0
-------------------==--
..::::
y.J2 2 (Y.i -
ss - - Í
i
(Y;. -
J
Y.J2
Then .f: (t y,,l' J) l',, = (146)(14) + (76)(8) + (63)(7) = 3,093
2

-
[¡ t)
Yu(Yi. - Y.J(Y.; - Y.J] Also, 11-fss
(29)
=- -=
12
2
70.08
- ""'
k (yi. - y J 2,
k (y .i - y..> 2
2
i i
B 88 = (l 4 ) + (8 )2 + (7 )2 - Mss = 7.17
2 4
[ k' y u.. Y.t. Y··' - Y •• (1.'ss + Bss + 1Jfss)]
= iJ Tss = (14)2 + (3)2: (4)2 + (8)2 - j fss = 24.92
bt'l.'ssBss
332 LINEAR STATISTICAL MODELS 801\IE ADDITIONAL TOPICS ABOUT MODEL 4 333

Then [~Y;;Y;.Y., - Y .. (Tes + B, + 1lfss)] =

8 [3,093
and the conditions may be satisfied if xii = log Yii is used instead of
Yw ~here may be many reasons for using transformations, but we
shall d1scuss only one.
- (29)(102.17)] = 130.07
Let y be a random va~iable, and suppose that we want it to satisfy
2
Nss = (130.07) = (130.07)2 = 7 _89 conditions A to E. Suppose it is known that the mean of y is related to
btTssBss (12)(178.68) the variance of y by the function/(t). That is to say, if E(y) = µ and
var(y) = a 2 , a 2 = /(µ). For example, if y is a Poisson variable with
TheAOVisgivenin Table 15.4. TheFvalueis2.64;so thereisnoindi- parameter m, µ ='In and a 2 = m; soµ = a 2• If y is a binomial vari-
cation of interaction in these data. able '~ith p~r~meter p, µ = p and a2 = p(l - p); so a2 = µ(1 - µ).
Now, 1f cond1t10ns A to E are to be satisfied, y must he a normal variable,
TABLE 15.4 ANALYSIS OF VARIANCE FOR NONADDITIVITY and in general we cxpect the mean and variance to be unrelated.
Therefore, if it is known that a 2 = /(µ), we shall try to find a transfor-
sv DF SS MS JP
mation h(y) su ch that var[h(y)] is not related to E[h(y) ]. Suppose that
Total 12 125.00 x = h(y) is such a transformation. The problem is to find a function
Mean l 70.08 h(y) such that the variance of x is a constant unrelated to E(x). Suppose
Treatments 3 24.92 that h(y) can be expanded about the point µ by a Taylor series. This
Blocks 2 7.17 gives
Nonadditivit.y l 7.89 7.89 2.64
Balance 5 14.94 2.99
X= }t(y) = h(µ) +(y - µ)h'(µ) + ··•
If we ignore all but the first two terms, we get
X= h(µ) + (y - µ)h'(µ)
15.5 Transformation where h'(µ) is the derivative of k(y) evaluated at y = µ. Now

If conditions A to E on model (15.1), listed in Sec. 15.2, are not mct, E(x) = E[h(µ) + (y - µ)h'(µ)] = h(µ)
then, as explained in previous sections, the conventional tests of since E(y) = µ. Also,
hypotheses and methods of defining confidence intervals may not be var(x) = E[x - E(x)] 2 = E[x - h(µ)] 2 = E[(y - µ)lt'(µ)]2 = a2[h'(µ)]2 .
strictly valid. In this case there are various things that might be done:
l. We might use nonparametric procedures that are valid for very since var(y) = E(y - µ) 2
= a 2• We have assumed that a2 = /(µ), where
f(µ) is known; hence, -
general assumptions (along this line the reader should investigate "ran-
domization" procedures). var(x) = f(µ)[h'(µ)]2
2. vVe might ignore the fact that conditions A to E are not met and Since var(x) is to be independent of µ, we set var(x) equal to a constant
proceed as if they were. cz. 'Ve have
3. We might transform the observed random variables Yi; in ( 15. l) c2 = f(µ)[lt'(µ)]2
so as to meet conditions A to E.
Suppose we are interested in testing a certain hypothesis H 0 in model or h'(µ) = e
4. If the test function is insensitive to the conditions A to E, it will be .JJ(µ)
said to be robust. If a test is robust, then procedure 2 above will be usc-
ful.
which gives h(µ) = cf .Jdtf(t) = cG(µ) +k
If enough information is available about the random variables y,1, it
where G(µ) is the indefinite integral of the function
may be possible to transfor!Jl them so as to meet conditions A to E (pro-
cedure 3). For example, suppose y¡ 1 = µT;eii, where log e¡; is a normal 1
variable. Then .JJ(t)
log Yii = log µ + log Ti+ log e¡¡ and k is the constant of integration. Actually, the constants c2 and k
334 SOME ADDITIONAL TOPICS ABOUT MODEL 4 335
LINEAR STATISTICAL MODELS
15.8 Prove Theorem 15.7.
are immaterial, since thcy do not depend on µ. They can be given any Prove Theorem 15.8.
15.9
convenient value (so long as they are not related to µ). 15.10 Prove Theorem 15.10.
For example, suppose/(t) = t; that is, the mean and variance of y are 15.11 Prove Theorem 15.11.
equal; then 15.12 The Poisson distribution is

h(µ) = cf ~- = 2c.[µ. + k P(x)

e-A¡:i:
= -x!- -- x = O, 1, •••
~t
So we could use the transformation x = vy. Find the mean and variance of this distribution. What transformation makes
This chapter is far from complete. For more complete information the mean and variance independent?
on the consequences that follow when the assumptions underlying 15.13 The binomial distribution is
model 4 are not satisfied, the reader is referred to the material in the
bibliography. X = 0, 1, ..• , n

Problems
Find the mean and variance of this distribution. What transformation ~akes
15.1 Suppose the data of Table 15.5 satisfy the model given in Eq. (15.2) and the mean and variance independent?
the assumptions in (15.3). Test the hypothesis Ti = Tz =Ta with a type I error 15.14 Find the mean and variance of a chi-square distribution with n degrees
of 5 per cent. · of freedom. What transformation leaves the mean and variance independent?
TABLE 15.5 15.15 Prove that the (t - 1) x (t - 1) matrix V with elements vN in Eq.
(15.4) is positiva dafinite if t.he t x t matrix with elements ai¡' in Eq. (15.3) is
Block
positiva definite.
Treatment 15.16 In Theorem 15.1, prove that u is the same if y 2 ; instead of Yu is sub-
1 2 3 4 5 6 7 8 tracted from the other Yii to form Y;.

l 52.3 54.l 54.3 55.l 56.4 59.2 60.2 53.l

2 53.2 53.0 56.3 36.9 54.4 58.5 60.1 54.l
Further Reading
3 30.6 54.7 55.2 32.4 55.7 58.3 59.7 54.7 t F. N. David and N. L. Johnson: A Method of Investigating the Effect of
Non N ormality and Heterogeneity of Variance on Tests of the General
15.2 Prove Theotem 15.3. Linear Hypothesis, Ann. Math. Statist., vol. 22, pp. 382-392, 1951. ·
15.3 Prove Theorem 15.4. 2 G. Horsnell: The Effect of Unequal Group Variances on the F-Test for the
15.4 Prove Theorem 15.5. Homogeneity of Group Means, Biometrika, vol. 40, pp. 128-136, 1953.
15.5 Show how the abbreviated Doolittle method can be used to find u in 3 G. E. P. Box: Sorne Theorems on Quadratic Forms Applied in the Study of
Theorem 15.1. Analysis of Variance Problems, I, II, Ann. Math. Statist., vol. 25, pp.
15.6 Use the data in Prob. 15.l to test the hypothesis T1 - 2T2 + Ta = O. 290-302, pp. 448-498, 1954.
Use Theorem 15.5. ·4: P. G. Moore: Transformations to Normality Using Fractional Powers of the
15.7 Test the data of Table 15.6 to see whether there is interaction (use a Variable, J. Am. Statist. Aasoc., vol. 52, pp. 237-246, 1957.
type I error probability of 5 per cent). 5 M. S. Bartlett: The Use of Transformations, Biometrics, vol. 3, pp. 39-52,
TABLE 15.6 1947.
6 F. J. Anscombe: The Transformation of Poisson, Binomial and Negative-
Treatment Binomial Data, Biometrika, vol. 35, pp. 246-254., 1948.
Block 7 J. H. Curtiss: Transfonnations Used in the A.O.V., Ann. .JJ1ath. Statiat.,
vol. 14, pp. 107-122, 1943.
1 2 3 4 5
8 G. Beall: The Transformation of Data from Entomological Field Experi-
ments so that the Analysis ofVariance Becomes Applicable, Biometrika, vol.
l 4 3 10 5 1 32, pp. 243-262, 1941-1942.
2 6 2 19 12 7 9 H. Scheffé: Alternativa Models for the Analysis of Variance, Ann. Math.
3 1 1 7 2 1 Statist., vol. 27, pp. 251-271, 1956.
4 8 7 14 9 4 10 C. Eisenhart: The Assumptions Underlying the A.O.V., Biometrics, vol. 3,
5 1 4 9 6 2 pp. 1-21, 1947.
336 LINEAR STATISTICAL MODELS

11 \V. G. Cochran: Sorne Consequences whcn the Assumptions far the A.O.V.
Are Not Satisfied, Biomet'rics, vol. 3, pp. 22-38, 1947.
12 G. \V. Snedecor: "Statistical Methods," Iowa State College Press, Ames
Iowa, 1958. '
13 O. Kempthorne: "Design and Analysis of Experiments," John Wiley &
Sons, Inc., New York, 1952.
14 J. \V. Tukey: One Degree of Freedom for Nonadditivity, B-iometrica, vol. 5,
pp. 232-242, 1949. -

16
l\fodel 5: Variance Components;
Point Estimation

In this chapter we shaU discuss the subject of variance components.

Suppose there are two populations designated by 7T 1 and 77' 2 • Let the
mean and variance of 77' 1 be Oando!, respectively. Similarly, let O and
a¡ represent the mean and variance of 1T 2 • Further, let a 1 , a 2 , • • • repre-
sent elements ofpopulation 7T 1 and bw b12 , ••• represent elements of 7T 2 •
The elements from population 7T 2 ha ve two subscripts; this is solely for
identification. Now let an observable random variable y be such that

YH = µ + ai + b¡¡
where µ is an unknown constant. The thing to notice is the structure
ofthe observed random variable Yii· The object in this model is to ob-
serve the y¡ 1 and, on the basis ~f this observation, to estimate orto test
l hypotheses about µ, o;, and a¡. --
Another way to look at this is as follows: The variance of an observ-
able random variable y is
var(y) = a~+ a!
Now sup¡)ose that we can stratify the random variables represented by
y so ~hat the variance of the random variables in a given stratum is a&.
Then let YiJ be thejth observed random variable in the ith stratum, and
Yu can be written
Yu = µ + a; + b;;
For example, suppose a horticulturist wants to determine how a cer-
tain treatment has affected the nitrogen in the foliage of the trees in an
337
338 LINEAR STATJSTICAL MODELS MODEL 5: VARJANCE COMPO~ENTS; POINT ESTIM:ATION 339
orchard. He cannot examine every leaf on every tree; so he selects at The assumptions are:
random a group of trees forstudy. He cannot examine every leaf on the Case A. The a¡ are distributed N(O,a!); the b,1 are distributed
trees he has selected; so he chooses a set of leaves at random from each N(O,ul); all the random variables a¡, b¡; are independent.
selected tree. Let Yii be the observed nitrogen content of the jth leaf Case B. The ai have mean O and variance a!; the b¡; have mean O
from the ith tree, and the structure is assumed to be of the form and variance u:; ali the random variables ai, b¡; are uncorrelated.
16.1.1 Case A. In this case Yi; and Y;;· are correlated even if
YiJ = µ + a¡ + bii j =f= j'. This is given by
where a¡ is a random variable with variance a;, and bu is a random vari- a! if j =¡6 j'
able with variance ut. cov(y¡;1Yw) = ( (16.3)
Other models could be written a¡ + o! if j = j'
Also notice that
Yii = µ + ai + b¡ + e,¡ ifi:¡!:p (16.4)

Yiik = µ + ªi + b¡ + ciJ + diik The likelihood function for the random variables Yi; is
etc.
y(Y) = (J(Y11·Y12' ... 1Y111·Y21• ... ·Y2s• ... , Yr11 ... 'Yrs>
Notice that the structure of the observation is similar to model 4, the = f(YwY12· · · · ·Y1s)f(Y21·Y22, • · · ·Y2s) · • ·.f<Yr1•Yr2' · · · 1Yrs)
only change being that the a,, b¡;, etc., are random variables. Now we = f(Y1)f(Y2) · · · f(Yr)
shall define model 5.
where-y¡ = (yn,Y; 2 , ••• ,y¡ 8 } is an s x 1 vector. Y, is distributed
+ Definition 16.1 Let an observable random variable YH ... m be sucb N(lµ,V), where 1 is avectorof l's, and, ifweletv110 be the pqth element
that ofV, we have
+ · · · + eii ...m (16.l)
{
Yu ... m = µ +a,+ b,¡ a~ + a! if'p = q
vpq =
where µis a constant; a¡ is a random variable with mean Oand vari- <12
a ifp # q
ance a!; b¡; is a random variable with mean O and variance ai, ... ;
or, combining, (16.5)
and e,1... m is a random variable with mean O and variance a~. Let
all the random variables be uncorrelated and let the covariance where ~pq = l if p = q and <5 1)q = O otherwise. 'l'herefore,
matrix of the YiJ ... m be positiva definite. When these conditions
are satisfied, the relationship in Eq. (16.1) will be called model 5. !( Y.)= l exp (-12(Y. - "-*)'V-1 (Y. - "-*)]
1
(2?T)s12¡v¡112 ' r ' r
This is what Eisenhart has termed Model II in his classification [9].
In this chapter we shall discuss various iñodels within model 5. We where fL * = lµ is an s x l vector with each element equal toµ. The
shall also devote a section to a general situation. likelihood function is
For point estimation two cases \vill be considered:
Case A. All random variables are independent and normally distrib- g( Y) - l
- (2?Tr12¡v¡r12
exp [ - (Y -
2i71 i
! .f n*)'V-1 (Y -
r i
"-*)]
r
(16.6)
uted.
Case B. Ali random variables are uncorrelated but not necessarily
Before taking derivatives of the likelihood function, we shall elaborate
normal.
upon sorne of the quantities in (16.6). Notice that the matrix V has
diagonal elements equal to oi + a! and off-diagonal elements equal to
16.1 One-way Classification: Equal Subclass Numbers u:. Two lemmas that follow will be useful.
Consider the model • Lemma 16.1 The determinant of V is equal to
j = 1, 2, ... , s; i = l, 2, ... , r (16.2) (a:)s-t(o! + su!)
340 LINEAR STATISTICAL l\'IODELS l\IODEL 5: V.ARIANCE COMPONENTS; l>OINT ESTIMATION 341

The determinant of v-1 is equal to If we examine the exponent (ignore the -!) of the likelihood, we get

The proof will be left for the reader.

(a~)l-s( O'~ + sa!)-1
Q= ¡ l
(Yi -
1
¡.i.*)'V- (Yi - ¡.i.*) =,?
'
[2 pq
(Yip - µ)(yiq - µ)w 11" ] (16.8)

Next we shall provea lemma: on the inverse of V. First notice that where Yip is the pth element of Y¡ and Wpq is the pqth element of v-1.
But, by_Lemma 16.2,
V= a~l + a!J
whereJisans x smatrixeachelementofwhichisequalto l. (Through. if p ::p. q
out this chapter J will be a matrix with each element equal to unity.
The dimension of J will generally be clear from the context.) -- IX2
W 2111 IX¡+-
8
• Lemma 16.2
So (in what follows the ranges of the su bscripts are: i = 1, 2, ... , r;
v-1 = 1X1I + IX2 J
p, q = 1, 2, ... , s) Eq. (16.8) becomes
s

where IX¡= 2
1
an<l Q= 42
l p
(yiP - µ)
2
w'PP + 4 2 2 (Yiv -- µ)(yiq -
l p q
µ)wpq
O'¡, 11-:Fp

Proof: No ti ce that, since JJ = sJ, we can write

= (IX1 + 2
IX )
8
¡ L (yip -
l:P
µ)
2
+ 2
(cx )
s
¡ L L (Yip -
ipq
µ)(yiq - µ) (16.9)

V= a~I + sa!(~J) 2J;!q

or, if we let ( l/s)J = A,° then A is idempotent and

= "1 ¿~(y,, - µ)• + ; ¿[~(y,,. - µ)]'
V= a~l + sa;A We shall examine this "in more detail. This quantity can be written
N ow let v-1 = IX11 + r/92A
Q = 1X1 L (yiP - µ)2 + IX2 L (sYi. - sµ)2
. ip . s i
where 1X 1 and 1X 2 are to be determined. So
l = vv-1 = (a¡I + sa!A)(1X11 + ~A)
= a:1X11 + BIX 1 ~A + ~o!A + s1X 2 a!A If we use the definitions of a 1 and 1X 2 from ( 16. 7), this beco mes --
= a¡1X11 + (81X1a! + ~a: + 8cx2a!)A
Since this equation is to hold for all values of and cr!, we set the a: Q = 214-
,
(Yip - µ)
2
(jb IP
+ ~ +1 ' 2 ~~ (Yi. - µ) 2 - 21 L (Yi. -
b ~<1a IP <Jb iJI
µ)
2

coefficient of A equal to zero and the coefficient of 1 equal to

2 (Yiv - µ) - 2 (Yi. - µ) 2 = L (Yiv - Yd
2 2
But
unity. This gives ip ip ip
cr¡1X1 = 1
so we get Q = 12 L (Yi11 - y;.)2 + ., 1 ~ L (Yi. - µ)2
8oc1 a! + C'l.2a~ + 8~a! = O <Jb ip <1b +8 a ip
The quantity
1
This gives °'1 = -
a~ ~ (Yi. - µ) =
2
Lip [(Yi. - y.J +(Y .. - µ)]
2
= L (Yi. - YJ 2 +L (Y .. - µ)2
IP ip ip
8(1~ 2 -2)-1 - 1 1
(16.7) So finally
0:.2 =- 2 (O' b + SU(l - -2 2
<1b U'"jí + S<Ta ~
Q = ..!:. L (Yiv - Yd2 + 1 2 (Y1. - Y . .>2 + rs(Y .. - µ)2
This completes the proof. ~ iv ~ + so! ii> ~ + so!
342 LINEAR STATISTICAL l\IODELS l\IODEL 5: VARIANCE COMPONENTS; POINT ESTil\IATION 343
Now let us return to the likelihood function/(Y) and substitute (16.7) given in Table 16.1. The method of obtaining EMS from "between"
and (16.8). This gives us ,will be demonstrated.

1[ 1
exp {- - 2¡(y¡p-y¡J
2+ ~+1 a:¡<Yi.-y.J
.. - µ)2])
2+ rs(y~+ ~ E[__!_
r-
¡ (Yi. -
1 o>
Y..>
2
] = _!_l
r-
E[2 i11
(µ + ai + lii. - µ - ª· - li ..>2]
J(Y) _ 2 C1 b "' h 8 a u.1 b 8 11
- (27Tr8/2(u¡)ir<s-U(cr! +su!)r/2
= -r -
1
-
1
E[z,,, (ai - ci.) 2 +z
i11
(ó,. - b.J2] (16.12)
(16.10)
since the ai and b,P are independent. To fi.nd the expected values we
We see from (16.10) that the three quantities I
ip
(Y•r> - yi.) 2 , 2 (y,,
ip
- shall use the fo1lowing lemma.
y..) 2 , and Y .. are a set of sufficient statistics. It can also be shown that + Lemma 16.3 Let z 1 , z 2 , ••• , zn be uncorrelated random variables
they are complete. If the deriva ti ves of/(Y) are taken with respect to with meanµ and variance u2 • Then
u¡, u!, and µ, the maximum-likelihood estimators (corrected for bia.s)
are E[ I (z¡ -
Í""l
z) 2] = (n - 1) var(zi) = (n - l)u2
¡1 =Y ..
The proof will be left for the reader.
Ó"~ =
L (Yi11 - Yd2 By using this lemma we get

-r -1-E[¡
_.iP_ _ __

r(s - 1)
{16.11)
(a, - á.) 2
] = -. -2 1{E[Í<ai - lif]) = L u!= su~
1 ,,, 1 - 1 P t:::1 11 -
L (Yi. - Y.J2
ª2 = __,ip'------
Similarly,
a s(r - 1) rs(s - 1)
_l_ E[¡ {b,. - ii.J2] = -
1-_¿ {E[_i (h,. - h..>2] )
This gives the following theorem. r - 1 u> r- 1 P 1=1

+ Theorem 16.1 Under the assumptions of case A for the one-way = -1- .k
"" (r - -
1) var(bi.)
classification given in Eq. (16.2), theestimatorsgiven in Eq. (16.ll) r- 1 P

are minimum-variance unbiased. But var(b¡.) = u:fs. So we get

It is interesting to notice that the three sufficientstatistics z(yi,, -yi.) 2,
-1- E["" (u;. -
.k r -
b.J
2]
= -1- .k ~ (r - 1) -u¡ = u11
-2

I (Yi·. - y_.)2, and vrsy _ are exactly the three quantities appearing ip
r- 1 ii> r - 1 P::: 1 s
ip
in the AOV Table 12.1 for model 4. The expected mean squares are So the EMS for "between" is u: +su;. The "within" EMS can be found
by a similar process. , ·
TABLE 16.1 ANALYSIS OF VARIANCE FOR ÜNE·WAY CLASSIFICATION,
Next we shall turn our attention to finding the distributions of the
MODEL 5 "between" and"within" sums of squares. Again we shall provea lem-
ma to help decide the distributional properties of these quantities.
sv DF SS MS EMS
1 • Lemma 16.4 Let zi be distributed N(µ 0 ,u2) for i = 1, 2, ... , n.
Total rs Let cov(z,,z¡) = pu 2 for all i =I= j ( - 1 < p < l). Let
LY'f'P
1 ip 11

Mean 1 r81J~ 2 (zi - z)2

u= _i=_.l,__ _
Between r - 1 B SS = L (Y·a, -y.. )2 Bms CJG_ +su! u2(1 - p)
ip
Then u is distributed as x - 1). 2 (n
Within r(s - 1) Wss = L (YitJ - y¡J2 lVms CJG
Proof: Let the n X 1 vector Z have zi for its ith element. Then Z
ip
1 is distributed N(µ,V), where the diagonal elements of V are 0'2 and
 ·. ~
: ;.~~~
~-

344 LINEAR STATISTICAL MODELS l\IODEL 5: VARIANCE COMPONENTS; POINT 'ESTIMATION 345
the off-diagonal elements are pa 2
( - 1 < p < 1). Thus V can be So the quantities in the lemma are
written
cr2 =~+BU~
V = (cr2 - pu2 )1 + pa J 2
8
p=O
Z'AZ So Yi. is distributed
Now let u=----
cr2(1 - p)
where the ith diagonal element of A is (n - l)/n and each off-diag-
( 2
N µ, ub ~suª 2)
onal element is -1/n. So and cov (Yi ..Yi.J = O for i =/= i'
1 Hence,
A= 1 - -J
n Vo = Í: (Yi. - Y.J2
Let us examine the product VA. We have ; (u~+ su!)/s
VA= [(a2 - pa")I + pa2 J](I -;J) =(a"- pa")I 2
isdistributedasx (r - 1). Butv = v 0 ;sovisdistributedasx2 (r - 1).
Now the "within" sum of squares
2 J
- -l (a2 - pu) w = Í: (Yu - y,.) 2
n, ij

L (bu - b;.) 2
=(a" - pa2)(1 -;J) = (a" - pa")A
gives us w =
ij

But, since the b¡; are distributed independently as N(O,uf), we see that
But A is idempotent of rank n - 1; hence, -VA/u2 ( l - p) is
idempotent. Therefore, by Theorem 4.9, u is distributed as k' (b;¡ - bd
- 2
·w¡ = _.1_ _ __
x' 2 (n - l, íl), where (]~
A.= l[E(Z)]' A[E(Z)] = lp.' Ap. is distributed as x (s - 1). But wi is independent of W¡· if i =F i'; hence,
2
But µ.has each element equal to µ 0 ; so µ = 1µ 0 • But l' A = O; by the reproductive property of chi-square, we see that
so íl = O, and the lemma is proved. W r
We shall exhibit the use of this lemma to find the distribution of - =.Lwi
o7, i=l
~ (yi. - Y.J
2
is distributed as x2 [r(s - l)].
V=~iv:....__ _ __
Next we want to show that v and w are independent. Let vi == Yi. -
u~+ sa! Y.. and Wpq = ypq - Yp.· These are each normal variates with zero
Let us examine zi = Yi.· means. Hence, if we can show that the covariance of vi and wP 0 is zero
E(yd =µ for ali i, p, and q, then they are independent. Also, since any functions
var(yi.) = E(Yi. - µ)2 of independent variables are independent, it follows that, in particular,
= E(a¡ + fJ¡.}2 LVf is independent of ,L
pq
w;q.
To find cov(v¡,wpq), we get
= E(ai) 2
+ E{'h¡.}2 cov(v¡, wpq) = E(viw,, 0 )
2
=a!+ ub = EL(Yi. - Y.J(ypq - yp.)]
8
= E{[(ai - cí.) + (b¡. - b_.)][bpq - hv.1}
u:+ sa! = E[(bi. - lJ.J(b 1111 - 6p.n
8
= E(b¡.b 110 - b1,/> .. + b.. h,,. - bi.bv.)
COV(Y;._, Y;J = E[(Yi. - µ)(Y;. - µ)] = c5 p;ub2 _ a,,2 + a,,2 _ ó p;a,,2
= E[(a; + b¡.)(a; + b;.)] s rs rs s
=o if i =F j =0
 MODEL 5: VARIANCE COl\IPONENTS; POINT ESTll\IATION 347
346 LINEAR STATISTICAL l\IODELS
The results are given in Table 16. l. The expected mean squares for
So the "between" mean square and the "within" mean square are inde-
this table were derived under the assumptions for case A. It is easy to
pendent. By a similar method it can be shown that 'Verify that the same results hold for case B. It is clear that the esti-
rs-1.. Jllates of o! and a¡ are unbiased. However, they do not possess the
a:+ so! optimum property given in Theorem 16.1 for the model for case A.
Although the estimators(case B) are not minimum-variance unbiased
is distributed as x' (1,A.), where
2
estimators in the class of ali functions of the observations, in the class
A= rsµ2 restricted to quadratic functions only, they do have this property.
2{a~ +su!) This is the sense of the next theorem.
The distributional properties can be summed up in the following • Theorem 16.3 Let the balanced one-way classification model sat-
theorem. isfy the assumptions given for case B. In the class of quadratic
estimators (quadratic functions of the observations) the estima-
+ Theorem 16.2 Under the assumptions of case A for the balanced tors of the variance components o! and oi given by the analysis .of
one-way classification given in Eq. (16.2), the following are true: variance are unbiased and have mínimum variance.
2 (Yi11 -
ÍP
y¡,)
2
The proof of this theorem will be omitted (17].
(1)
16.2 The General Balanced Case of Model 5
is distributed as x2 [r(s - l)].
In the previous section the method of estimation by maximum Iikeli-
2
iP
(Yi. - Y.J 2 hood was demonstrated for the balanced one-way classification model
(2)
when the assumptions for case A were satisfied. The property of the
estimators was given in Theorem l 6. l. The method of estimation by
is distributed as x2 (r - l).
the analysis of variance was demonstrated for the balanced one-way
classification under the assumptions for case B. The optimum prop-
(3)
a¡+ so!· erties were given in Theorem 16.3.
Before proceeding to other special models, we shall state two general
is distributed as x' 2 (1,J.), where
theo~ems for balan~ed case.s of.model 5. Notice that the theorems say
rsµ 2
.. •
1

nothmg about max1mum-hkehhood estimators. Even in the one-way

A = -----'---
2( a: + su~)
(4) The quantities (1), (2), and (3) are mutually independent.
16.1.2 Case B. The assumptions for case B are that the a, are
uncorrelated with mean Oand variance a;, the bu are uncorrelated with
mean O and variance ai, and the ai and b;; are uncorrelated. Since thc
distribution ofthe random variables is not lmown, maximum-likelihood
estimates cannot be obtained. Therefore, to obtain estimates of and
ai, the method of ana.lysis of variance will be used. This method consists
of assuming that the a¡ a.re fixed constants, not random variables; that
is, we assume model 4 instead of model 5 and forman AOV table, then
find the expected mean squares assuming model 5. Then the mean
squares will be set equal to the expected mean squares in the table and
the resulting equations solved for the a 2 's. These solutions will be
taken as the estimates.
balanced classifi.cation, the maximum-likelihood estimators are tedious
to obtain. We shall prefer the analysis-of-variance method, since for
case A the estimators so derived are simple functions of the maximum-
likelihood estimators.
+ Theorem 16.4 Let the model be model 5 and Iet it be balanced.
Also let the assum ptions for case A hold. Then the estimators of
a; the variance components obtained by the analysis-of-variance
metho~ of estimation are minimum-variance unbiased.
Next We shall state a theorem concerning the distributional properties
of each line in an AOV table.
• Theorem 16.5 Let the model be model 5 and let it be balanced.
Also let the assumptions for case A hold. Let the ith line (see
Table 16.2) in the MS column of the AOV table for this model be
348 LINEAR STATISTICAL MODELS l\.IODEL 5: VARIANCE 001\IPONENTS; POINT ESTIMATION 349
TABLE 16.3 ANALYSIS OF VARIANCE FOR TWO·WAY BALANCED
TABLE 16.2 TABLE FOR THEOREM 16.5
ÜLASSIFICATION, MODEL 5
sv MS EMS Line
DF sv DF SS MS EMS
- 1
Total Total ra IYf;
ij
Mean l 82
o
a2
o o
l\fean 1 rsy':_
lst class f1 82
1
s2
0'2.
1
u2
1
2
a classification r - 1 ¿ (Yi. -y.J2 Áms u; + au!
2nd class f2 2
.2 ij

b classification 8 - 1 Z (Y.; -YJ

ij
2
Bms u; + rue
1

kth class Ík s2
k
u2ll: k Error (r - l)(s - 1) Z (Y··u - Y· -
ij
t. Y.1· +Y•• )2 Ems a2
e
1

ar
denoted by s~ (i > O). Let have f, degrees of freedom and let If the mean squares Ám 8 , Bms, Ems are equated to their respective ex-
E(si) = a; (generally a; is a linear combination of the a;, af, etc.). pected mean squares, the following equations are obtained:
Then u, = fit/<Ji is distributed as x2 (/,), and u 1 , u 2 , • • • , uk are
Ams = ~ + sú! Bms = u! + Ems = ru; a!
mutually independent.
The estimators are obtained by-solving these equations. This gives
The proof of this theorem will not be given, but a particular case has
~ = Áms -Ems ~_Bms-Ems
been proved in Theorem 16.2. u!= Ems a
8
u¡;-
r
+ Theorem 16.6 Let the model be model 5 and let it be balanced.
Also Iet the assumptions for case B hold. Then the estimators of Estimates of variance components for the three-way, four-way, ... ,
the variance components obtained by the analysis-of-variance n-way classifications are obtain~d by similar methods.
method of estimation are best (minimum-variance) quadratic un-
biased estimators. 16.4 The Balanced Twofold and Fourfold Nested Classification
of Model 5
The models that are balanced are all the models with equal numbers
in ali subclasses, such as one-way models, two-way models, latin-square, The balanced twofold nested classification components-of-variance

¡
n-way, twofold nested, etc. The theorems-·do not hold for balanced model is defined by
incomplete block models or for partially balanced incomplete block i = 1, 2, ... , r
models.
j = 1, 2, ... '8 (16.14)

16.3 Two-way Classification k = 1, 2, ... , t

Consider the model for the two-way balanced cross classification:
Yii = µ + a, + b1 + e,1 i = l, 2, ... , r; j = l, 2, ... , s (16.13)
Ifthe a, and b1 are fixed constants, the model fits the definition ofm?del
4. The AOV is given in Table 12.2. This table is restated in Table ;,
16 3 If the a. are random variables with variance a;,
if the b1 are ran-
do~· variables ~vith variance of, if the-e,1 are random variables with vari-
ance a;,
and if all random variables are independent, the expected mean
squares can be shown to be as indicated.
where a¡ has mean O and variance o;, b¡; has mean O and variance uf, c,1k
has mean O and variance ~, and all random variables are uncorrelated.
This is a very important type in model 5. For example, in a chicken-
breeding experiment, suppose rs dams are mated to r sires (s to each sire)
and t offsprings result from each sire-dam mating. lf the 12-week body
weight is the important characteristic, supposeyiikrepresents theweight
of the kth offspring of the ijth sire-dam mating. Suppose the structure
of Yiik is
350 LINEAR STATISTICAL MODELS

where ai is the contribution d~e t~ the ith sire~ bii is the contribution due
to the jth dam mated to the ith s1re, and ciik is the effect due to the kth
offspring of the ijth dam-sire mating. The object is tq estimate o;, a¡,
anda;, since these components have special meaning in genetics.
T
"
l\IODEL

TABLE

sv
16.4
5: VARIANCE COMPONENTS; POINT ES'fll\IATlON

ANALYSIS OF

DF
V ARIANCE
NESTED ÜLASSIFICATION

SS
FOR BALANCED TwoFOLD

MS EMS
351

For another example, suppose a company that manufactures transis- 1

tors has various production lincs and each production line has many Total rst LYi'k _,_
machines that make the product. Suppose that the p:roduct is variable ijk
and that it is desired to study all sources of variation in the final product.
:Mean 1 Y~.
Suppose t transistors are taken from each of s machines on each of r pro- rst
duction lines. Let the observation of the kth transistor from the jth
machine on the ith line have the structure Between a classes r - 1 L (Yi..
ijk
- Y.J
2
Áms <1: + tac + stu!
Y;;k = µ + ªi + bu + ciJk Between b classes r(s - 1) I <Yi1. - y,y Bms a; + tac
within a classes ijk
where ai is the contribution of the ith production line, biJ is the contribu-
tion of the jth machi ne in the ith line, and ciJk is the contribution of the Between e classes
within b classes
rs(t - 1) L (Yiik
ijk
- YiiJ 2 Gms 0'2
e
kth transistor from the jth machine in the ith. line. The object is to
study the variances a;, o¡, and ~-
The thing to notice in the nested classification model is that each These estimates are minimum-variance unbiased (by Theorem 16.4) or
successive contribution is imbedded or .s'nested" within the preceding. minimum-variance quadratic unbiased (by Theorem 16.6), depending
This model is also important in many sample survey investigations. on whether the conditions of case A or those of case B are met.
In many cxperiments the random variables ai (or others) cannot con- Next we shall examine a fourfold classification model. Suppose the
ceivably be random variables from infinite populations. Ifthis is true, model is
the situation may not exactly fit the definition of model 5. However,
only the case in which the random variables are from infinite popula- i = 1, 2, ... '1
tions will be considered. j = 1, 2, ... ,J
Let us considerthe modelgiven in (16.14). Weshall makeAOVesti-
mates of a!, a:,
and ~· To do this, we consider the a, and b,J as fixed
k = 1, 2, ... , K
unknown parameters, construct an AOV table, and find the expected m= 1,2, .. . ,M
mean squares under the assumption of (16.14). This AOV is given in
Table 16.4.
n = 1,2, ... ,N
The expected mean squares are obtained by taking the expectations Let ai, biJ' ciik' diikm' eiJkmn have zero means and variances a;, o¡, o;,~'
of the respective mean squares under the assumption that the a,, bw anda!, respectively. Let all random variables be uncorrelated. Table
ciJk are random variables. The estimates are obtained by equating 16.5 contains the mean squares that are needed for estimates.
mean squares to expected mean squares. The solution is
L (YiJk - YiiJ2 16.5 One-way Classification with Unequal Numbers in the
ó! = Gms = ~ii:;;..k- - - - - Groups
rs(t - 1)

a: _ B ms - Oms _
[L
1 iik (Y,1. - y,,J _
_
2
L 2
(y,Jk - y,J.) ]
.;:.iJ=k_ _ _ __
Although it is usually desirable for each group to ha vean equal num-
ber of observations, this is not always possible. Suppose there are A
b - t - t r(s - 1) rs(t - 1) groups and the ith group contains ni elements. The model is

a: = A _ B [4 l (Yi .. - Y.. J
2
~ (Yíi. - Yi.J
2
]

{
ms ms = _ uk _ ;;;.ii;:.,..k- - - - - ~ = 1, 2, ... , ni
ª st st r- 1 r(s - l)
i = 1, 2, ... , A

1
352 LINEAR STATISTICAL MODELS MODEL 5: VARIANCE COMPONENTS; POINT ESTIMATION 353
A
C>OC:S
b
Let L ni= n
i=l
~
~ The AOV is given in Table 12.l and is restated in Table 16.6 with the
~
~
16.6
+ TABLE ANALYSIS OF VARIANCE FOR UNBALANCED
Olb° Ol,a
b
- ÜNEFOLD CLASSIFICATION OF l\'IODEL 5
~
~ ~ SV DF SS MS EMS
rn ~ ~
~ + +
~ C>OQ OIQ OIQ
Total n Lij Y~J
b
:e;b b
y:
~ ~ ~ Mean 1
n

~
+
c-lb"C3

+
~
++
""t:i"C3

+ +
b
:e;
C\1"1:3 c-l'!:S

~
+
b
a classes A - 1 2: ¿
i
r) n,
y•
- -··
n
Áms a: + k 0 u!
Cl1'1) Ol'I) Cl1'1) Ol 'I)

~>r, - ¡ ( ~r-)
Cl1t:l'I)
\:> \:> b b
b classes n-A Bms u2b
lJ 1 i

rn
.s .s ..e ..e s"' expected mean squares. The expected mean squares are obtained as
~ ~ ~ t:> ~ ~ follows.
E(Bms) = -l- E ( L Y~i -
y2)
L __:h
n - A ii i ni
Cl1

1A E[¿ (y., - y,.)2]

Cl1
c-1
~ i
~;;;
.:.i
:::: ~ . n
::::
rn
00
~
¡:e
¡¡:
~
e-a=:' .. :¡~
~·To..
~
1
~
1 1
~

1
e
~

1
r:
= n
1A E[.fr (µ+a,+ b;¡ - µ - a, - 6..i•]
vl
~ ~
....... ........:.i ~ ~
E
~ ;;)
i4' í4' ~
í4'
í4' ~
l - E[2: (bi; - btJ 2]
= -n -A
1
ii

- -
-
- ---
Using Lemma 16.3, we get
~ 1 1
-~
rx. ~ 1
1 ~
A ~
1
~ ~
....... ~
~ ~
~ ;::¡-
~ ~
~ ~ Nextwe find

rn
Q)
UJ
Q)
UJ
Q)
UJ
Q) UJ
E(Ams) = -
- A -
1
-
1
E(2: l1. -
i n¡
Y~.)
n
= -
1
A - 1
- E[2: (y,_ - y_.)2]
ii
Q)
r/l UJ rn UJ
>
rn d+> ¡:::: r/l
al ~
!11
m
rn
d !
o
d
Q) o '() o o o where
~ ~ tS ..o f.) ~ Q)
354 LINEAR STATISTICAL l\IODELS MODEL 5: VARIANCE COI\IPONENTS; POINT ESTIMATION 355
This gives units of the bi; (or the a, unit contains ni units of C¡;k), according to the
2 ~ pattern shown in Table 16. 7.
E(Ams) = -
A-1
1
- E[.Lu (µ + ai + bi. - µ- .!.n112 n.,,a11 - .!: L bii)]
nu TABLE 16.7 BLOCK PATTERN FOR UNBALANCED TWOFOLD
NESTED CLASSIFICATION

= -
1 {E[¡ (a¡ - .!. 2 nf)a.,,\ +E[¡ (6¡. - .!. 2 b.,,q\ 2
]
2
]) ...
A -1 ., n 11 J " n.,,q J ª1 ~ ªA

bu b12 ... b1B1 b21b22 • ' • b2Bi bAlbA2···bABA

Cin Cuu
C112 C122
...
C113 C¡23
...

= _I -[I (o! _~n n¡a! + L~!

A - 1 ii n
o!) + L (Din¡ _2n¡oi
nn¡
+ ª~)]
n H
C11n11C12n 12 • • •

= -1- [""' -20 -

¿,, ( n,u -2n7 o;
-2
+ n, -:I:n! a_-2) ¿,, (--2
0 + ""' u¡¡ - -n¡ ab) ]
2
TABLE 16.8 ANALYSIS OF VARIANCE FOR THE UNBALANCED
A - 1 ¡ n n2 i n
TWOFOLD NESTED CLASSIFICATION IN MODEL 5
l:n~)
= A -1 1 o; n - --;;--[-2 ( + 2 A
ab( - 1)] sv -- DF SS MS El\fS
1

= O'
2 + n2 - l:n~ O'
2
Total n LYiik
ijk
ri n(A - 1) ª
y_:_
So, in Table 16.6, Mean 1
n
n2 - l:n~
ko =
n(A - 1)
' a classes A - I L (Yi••
ijk
- Y .. )
2
Áms a; + q1u& + q2a:
The cstimates obtained from Table 16.6 do not satisfy the optimum b classes B-A L (Yi;. -yi_.) 2 Bms u; + q0u¡
properties of Theorems 16.4 and 16.6. - ijk

e classes n-B L (Y¡;k - Y;;) 2 Oms a2e

ijl.;
16.6 Twofold Nested Classification in Model 5 with Unequal
Numbers in the Subclasses An AOV is given in Table 16.8, where
The model is zn¡j
k = 1, 2, ... , n,1 n-z-i-
2f
j = 1, 2, ... , B, (16.15) qo = B i Ani = ~
' n;; ii
{ - iJ

i = 1,2, ... ,A L (n¡; n7 1)

where znij =
i
n, q1 = ii n, n = L n¡¡f¡ (16.16)
A - 1 ii
.Lnu = 2n¡ = n
ii i zn~
'LB,= B n--i-
n
This implies that there are A groups of the a,. The a, unit contains B, q2 = A - 1 = ~ n¡j,
 LINEAR STATISTICAL l\IODELS l\IODEJ... 5: VARIANCE 001\IPONENTS; POINT ESTil\lATION 357
356
1 1 1 1 Next consider
where
n
f; = ~ -1
n.
E(Ams) = -1- E [ L (Yi .. -
A - 1 Uk
Y.. J2 ] = -1- E
A - 1
(y¡
2-··
i n,
- Y2)
~
n
The thing to notice is the EMS column and especially the coefficients q0,
q 1 , and q 2 • Next we shall show how to obtain them.
First consider

2
E(Bms) =_!__A E[_¡ (Yii. - Yi.J
B - .,k ]

=-
A - 1
-[¡ n~(_!_ - !)u!+ L n¡;(_!_- !)~+(A -
1
i ni n i; ni n
l)a!]
u:
'fhe coefficients of anda! correspond to q 1 and q 2 in (16.16). · If ex-
pected mean squares are equated to mean squares in Table 16.8 and if
the resulting equations are solved for a;,
uf, ando;, these u2 's are the
analysis-of-variance estimates and are unbiased. The general unbal-
anced n-fold classification is an extension of the twofold.
The analysis-of-variance estimators for the unbalanced classification
do not lead to the same estimates as maximum-likelihood estimators.
Taking expectations [remembering that E(ai) = _E(bH) = E(ciik) = O The maximum-likelihood equations are very difficult to solve in unbal-
and that all random variables are uncorrelated] g1ves anced classifications; so we shall rely completely on analysis-of-variance
estimators.
16.6.1 Example: Twofold Nested Model. Suppose the data
in Table 16. 9 are assumed to satisfy a twofold nested model. The data
are artificial, but we assume that it is a breeding experiment. The
n¡/i,2+ n¡a! + ~ n~t~ + ni~) number of sires is A = 4, the number of dams is B = 12, and n = 52.
-2i ni
t
All the quantities needed for an AOV table can easily b.e computed on
an automatic desk calculator. Quantities like

= 1 (nµ2 + n~ + n~ +Bu~ - nµ 2- no!- Ln~t ~ -Aa~) and

B - A a it ni

""nit
2 are easily computed. The results are
n-,¿_-
= ~ + it n¡ ~ Y ... = 1,423
e B-A b

n= 52
y2
.2 _E.:_= 40,861.201
So ij 'n¡¡

as given in {16.16).
L Y~Jk = 41,811
ijk
358 LINEAR STATISTICAL MODELS l\IODEL 5: VARIANCE CO~IPONENTS; POINT ESTJl\IATION 359
The AOV is given in Table 16.10. The estimators are
TABLE 16.9 DATA FOR EXAMPLE OF ART. 16.6.1
Si res 1
- a;= 23.744 a;= 1.767 a;= 41.416
i 2 3 4
'rABLE 16.10 ANALYSIS OF VARIANCE FOR ARTIFICIAL
BREEDING DATA
Dams j 1 2 3 4 5 6 7 8 9 10 11 12
- -- - - - - -- ---- ---- - sv
--~~-i.--~-fs
DF SS
32 30 34 26 22 23 21 16 14 31 42 26 __, EMS
31 26 30 20 31 21 21 20 18 34 43 25 Total 52 41,811.000
23 29 26 18 20 24 30 32 16 41 40 29 l\{ean 1 38,940.942
26 28 34 21 26 17 40 35 40 a classes 3 1,669.943 556.648 1 a: + 4.410a: + 12.679a!
18 32
31
18 29 37 b classes
e classes 40
8 250.316
949.799
31.289
23.744 1 a2
a: + 4.270a:
26 1 e

Total of jth
-- - - - - -- ------ -- - - -
dam in ith yii· 112 131 213 64 94 112 72 68 65 146 189 157 16.7 The Unbalanced Two-way Classification in Model 5
sire The model for this case is
- -- -- - - - - - - -- - - -- - - -

{
Number injth ~ = O, 1, ... , n¡¡
dam in ith n¡; 5 7 3 4 5 3 3 4 4 5 5
si re 41 J = 1, 2, ... , B
1
i = 1, 2, ... , A
Total of ith
si re Yi .. 456 342 133 492 where 2 n¡; = n¡. .2 n¡¡ = n.; .2 n¡; = n
; i ii
The ai, b¡, ciJk are random variables with zero means and variances a;,
Number in ith
si re ni 16 15 7 14 a¡, anda:, respectively. We find that the maximum-likelihood equa-
tions are very difficult to salve. Hence we shall rely on analysis-of-
variance estimators. This, however, presents a difficulty. In the un-
2 11.. = 40,610.885
balanced cross classification discussed in Chap. 13 we saw that
i ni R(µ, -r,p) = R( -r 1 µ,{J) + R(µ,{J)
2
.2 n;; = 17.844 and - R(µ,-r,{J) = R(íJ 1 µ,-r) + R(µ,-r)
ii n¡ So we can partition the total_ sum of squares in two ways:
2 1,.2
¿nis= 4.615 :Ey¡;k =---:.:.:. + R(T 1 µ,{J) + R(µ,{J) + (error)
ii n n
2 y2
¿ni= 13.961 and :Ey¡Jk =--:.:.:. + R(fJ I µ, T) + R(µ, T) + (error)
i n n
y2 If this is done for the model in this section and if mean squares are set
-··· =·38,940.942 equal to expected mean squares, we shall obtain two sets of estimators.
n Each· set is unbiased.
So - 52 - 17.844 - 4 270 - 17.844 - 4.615 -- 4 .410 Another method that is sometimes used is to partition the total sum
qo - 8 - . q¡- - of sq uares as follows:
3
q2 = 52 - 13.961 = 12.679
3
};!fi;. = ~·· )
( y2 + [ ~ (y;
..::·) - y2~·· + J [t (..:;· - ~-·J+
y2. ) y2
(remainder)
360 LINEAR STATIS'l'ICAL l\'IODELS l\IODEL 5: VARIANOE COM:PONENTS; POINT ESTIM:ATION 361
This can be put in an AOV table such as Table 16.11. The values of r 5 and r6 can be obtained from this expression. Also,
E(Bms) can be written down with symmetry, replacing i with j and
TABLE 16.11 ANALYSIS OF VARIANCE FOR UNBALANCED interchanging a! and af in E(Ams). We get
Two-WAY CLASSIFICATION MoDEL

sv DF SS MS EMS E(Bms) = _1__ (2n~; - ¿n¡·)a! + _l_(n - 2n~;)a2 + <12

B - 1 ¡; n.; ni n B - 1 ; b e

'l'otal n 2Y'f;k from which r 3 and r 4 can be obtained.

ijk
Since the sums of squares add to L!/f¡k, this gi ves
Mean 1
Y:.
n y2 .
y2 y2 'Ly¡ik =-···+(A - l)Ams + (B - l)Bms + (n - A - B + l)Rms
a classes A -1 2--k
i ni.
---=
n
Ams a; + r ac + r a!
5 6
n

y2 y2 Taking expected values of both sides and simplifying, we get

b classes B - l 2---±
i n.;
- --=
n
Bms a: + r ac + r a:
3 4

Remainder n-A-B+l Subtraction a; + r ac + r2a! E(Rms) = l [E('Ly~;k) - E(y~·-)

Rms 1 n-A-B+I n

To find the estimates, we equate observed mean squares to expected - (A - l)E(Ams) - (B - l)E(Bms)]
mean squares and sol ve the resulting set of three equations for the three
unknowns a-;, a-¡, and D;. The quantities on the right have been computed, except for EC~Y~·1c)·
~~ u
It should be pointed out that the remainder mean square obtained
by subtraction can be negative.
To find the expected mean squares and the r iJ we proceed as follows:
1 yz
( 2 __.!.:.:. y2 ) Hence,
E(Ams) = - - E - _ ...
A - 1 i n.i. n
l
E(Rms) = - - - - - -
n - A - B + I

2 2
X [ n(µ2 + a! + a: + o!> - nµ2 - 2 ni. o! - 2 n.; a:
i n i n

- a~ - n a!- 4--il
(n - ¡-..!:.
2
) n2) a~ -
n2 - 2--=1 (
(A - l)a~
z n ,, ni. n J

= --l - [ ( nµ 2 + na; + ~ 9 -2)

" -n7; ªIJ -r- A u;; -2 ,
- (2;; n.;n~¡ - ¡, n~·)a; - (n - 2n~')O-: - (B - l)a~J
A - l ¡; n¡. n n i

=a~ - 1 2
( In;; - 2n.i a: 2)
1i - A - B +l i; ni. ; n
2
= -1- ( n - n7 ) a! + -l- ( 2 -n7; - 2 ~
2i ~ n 1) ªb2 + <1~ 9
_ 1 <)
( " n¡; , n¡,<))
_¿,- - _¿,- C12
A - l n A - l iJ J n n¡,
n - A - B + 1 ;; n.; i n ª
362
This gives r 1 and r 2 •
LINEAR STATJSTICAL MODELS

ri = n -
We have

1
A - B
(In~; L n7:1)
+ 1 :1 -;- - ;; n;.
T
.,,

sv
MODEL 5:

TABLE
VARIANCE COl\IPONENTS; POINT ESTil\IATION

16.12 ANALYSIS OF VARIANCE {METHOD

BALANCED lNCOl\IPLETE BLOCK IN MODEL

DF SS MS
5
l) FOR

EMS
363

r2=
1 ""'ni.2 2)
""'n;J Total bk = rt :E Y'fsm
n- A - B + 1( i k--~-
n ;; n.;
Y~.
2 Mean 1 -¡;;;
ra = -1- ( n -
B- I
I; n
n
.)
__!!

Li Y~.. yz
... t-k
= - - ( Ln;:12- 2)
1 Treatments t - 1 -r- --¡;;; T ms a; + - - a& + ra;
t - 1
r4 Lni.
B - l ii n.; i n ""'y2.;.
-4- y2 b - r
Blocks b - 1 _J__ - _.:.:.; Bans a2
,,
+ ka2,, + - - a2t
b - 1
k bk
1
1
2 (t - k)ac + (b - r)uf
n~) Error .bk - t - b + 11 Subtraction Rms
r6 = -1- ( n
A -1
-1_!.:.
ni
O"
"
- -------
bk - b - t+l

16.8 The Balanced Incomplete Block in Model 5 ni. = r; n.; = k; n = bk. Also, cr; = cr!; u! =a~; and cri is the same in
both tables. For example,
The balanced incomplete block classification in model 4 has been
defined and discussed in Chap. 14. The definition of this classification r ¡_- 1 ( - """'n~;
'-- + ""'n~;)
~-
in model 5 is the same, except that the block (3 1 and treatment -r¡ com- n - A - B +1 i; n 1• ; n
ponents are now random variables. Therefore, we shall write the
= 1 (- 1 n¡; + 1 k2)
modelas bk - t - b +1 i; r ; bk
i = 1, 2, ... , t; j = 1, 2, ... , b
where m = ni; and n;; = Oor 1. Also, there are k treatments per block,
=
bk - t - b
1
+ l (- ~r + k)
and each treatment is repeated r times. Each pair of treatments
appears together in exactly Ablocks. Also, as in Cha p. 13, when m = O t-k
the corresponding observation is not present; that is, Y;;o does not exist. bk - t - b + l
Now t¡, b1, eum are uncorrelated random variables with zero means and 1 ""'n.21 ., )
variances a;, ~, cr;, respectively. r2 -
- bk - t - b +1 (
-
k
iJ n .J
+ ""no:
'
k
i ~
'·
Since the maximum-likelihood estimators are difficult to obtain, we
shall use analysis-of-variance estimators. However, this presenta the
same problemas did the general two-way classification model discussed = i
bk - t - b +1
(- 2: 'li¡; + I
¡; k i
r2)
bk
in Sec. 16.7.
There are at least three ways to find analysis-of-variance estimators, 1
justas there were for the model in the preceding section. - - -- - ( - b + r)
bk - t - b + 1
16.8.1 Method 1. If we use the method of Table 16.11, the
coefficients ri simplify somewhat. This AOV is given in Table 16.12. b-r
The correspondence in notation is as follows: A beco mes t; B = b; bk - t - b + l
364 LINEAR STATISTICAL MODELS 365

r.
3
= __.]:_
b-1
(n - ¿; n~;)
n

= _l_(bk - L k2)
b- l i bk
=bk-k=k
b-1

r4 = -1- (""
L.- - n¡; """ n¡·)
L.- Problems
b- l a n.; í n
16.1 Evaluate the following determinant by any method, and verify Lemma
b-r 16.l.
=-- 8 2 2 2
b-I
2 8 2 2
r¡; = _l_(¿n71 _ Ln~;)
t- 1 ii ni. i n 2 2 8 2

t-k 2 2 2 8

t- 1 16.2 Evaluate the inversa of the following matrix by any method, and verify
Lemma 16.2.
1- (
rG=- n~)
n-¿...!:
(:. : :)
t - 1 n i
2
= -1- ( r t - I -
r )
t- l i rt 16.3 Prove Lemma 16.1.
16.4 Prove Lemma 16.3.
rt - r 16.5 Assume that the data shown in Table 16.14 satisfy the assumptions for
=--=r
t- 1 case A given in Eq. (16.2). Find the estimators of a! and ~ given in Eq. (16.11).
16.8.2 Method 2. Another method for constructing an AOV TABLE 16.14
for the balanced incomplete block classification is that used in Chap. 14.
a effects
TABLE 16.13 ANALYSIS OF VARIANCE (METHOD 2) FOR
BALANCEO !NCOMPLETE BLOCK IN MODEL 5 1 2 3 4 5 6

SV DF SS MS EMS --- --- --- ------ ---

16.l 19.3 15.3 20.1 13.7 18.3
16.5 17.2 15.7 19.1 13.1 18.9
Total bk = rt LY:;m
ijm
15.3 18.3 14.1 19.4 12.6 19.1
17.0 18.5 16.2 18.9 12.8 19.3
}'~ .. 16.8 17.3 17.l 18.6 13.l 17.9
Mean
bk 16.7 17.9 17.3 20.5 13.4 17.8
1
k z lt
Trea.tments a.dj t - 1 It¡q¡ Tms a:+ k Gf
for blocks i
16.6 Prove Theorem 16.3.
¿yz 16.7 Gothrough the detailsoffinding the expected meansquares in Table 16.1.
j
.f.
Y ...
2
i- b-r
a; + kug + b=-i af 16.8 Assume that the data of Table 16.15 satisfy the conditions of a one-way
Blocks unadj b - 1 -k--bk Bms
1 classification model wit.h unequal numbcrs in the subclasses. Find k 0 •
1
u¡ 16.9 In Prob. 16.8, compute the quantities needed in an AOV table.
Error bk - t - b +1 1
Subtraction Ems
1
1 16.10 In Prob. 16.8, find estima.tes of and a; u:.
366 LINEAR STATISTICAL MODELS MODEL 5: VARIANCE COl\:IPONENTS; POINT ESTIMATION 367
TABLE 16.15 block in model 5. Estimate a!. a:. anda! by using method l and Table 16.12.
The numbers in parentheses are treatment numbers.
a effect 16.15 In Prob. 16.14, estimate o!. u:, and u! by using method 2 and Table
16.13.
_1_ _2_ _3_1_4_
Further Reading
30.2 29.l 35.l 27.2
31.1 28.7 35.3 28.3 l R. A. Fisher: "Statistical Methods for Research Workers," Oliver and Boyd,
31.8 27.5 36.4 29.4 Ltd., London, 1946.
32.5 27.9 28.5 2 G. W. Snedecor: "Statistical Methods," Iowa State College Press, Ames,
30.6 28.3 Iowa, 1958.
31.3 3 O. Kempthorne: "Design and Analysis of Experiments," John Wiley &
32.0 Sons, Inc., N ew York, 1952.
4 C. H. Goulden: "Methods of Statistical Analysis," John Wiley & Sons, Inc.,
N ew York, 1939.
16.11 Go through the details of finding %' ql' and q2 in Table 16.8. 5 O. L. Davies: "Design and Analysis of Industrial Experimenta," Oliver and
16.12 Assume that the data ofTable 16.16 satisfy the conditions of a two-way Boyd, Ltd., London, 1954.
cross classification in model 5 with unequal numbers in the cells. Find the 6 R. L. Anderson and T. A. Bancrofk "Statistical Theory in Research,"
quantities r 1 , r 2 , r 3 , r 4 , r 5 , and r 6 in Table 16.11. McGraw-Hill Book Company, Inc., New York, 1952.
7 P. L. Hsu:" On the Best Unbiased Quadratic Estimate of the Variance,
TABLE 16.16 Statist. Research Mem., vol. 2, pp. 91-104, 1938.

_4_1~
8 F. A. Graybill and A. W. Wortham: A Note on Uniformly Best Unbiased
~ 1 2 3
Estimators for Variance Components, J. Am. Statist. Assoc., vol. 51, pp.
266-268, 1956.
1.3 7.2 9.1 11.2 9 C. Eisenhart: The Assumptions Underlying the A.O.V., Biometrics, vol. 3,
1 1.6 7.5 pp. 1-21, 1947.
7.6 10 S. L. Crump: The Present Status of Variance Component Analysis,
--- - - - - - - - - - - - - - - - Biometrics, vol. 7, pp. 1-16, 1951.
4.2 10.1 12.2 14.l 11 E. F. Schultz, Jr.: Rules of Thumb for Determining Expectations of Mean
2 4.3 10.3 12.4 14.3 Squares in A.O.V., Biometrics, vol. 11, pp. 123-135, 1955.
12.6 12 H. Nagler: On the Best Unbiased Quadratic Estímate of the Variance,
--- --- --- --- ------ Biometrika, vol. 37 ,_ pp. 444-445, 1950. ·
6.1 8.4 12.1 16.l 13 J. A. Nelder: The Interpretation of Negativa Components of Variance,
3 6.3 8.2 16.3 Biometrika, vol. 41, pp. 544-548, 1954.
17.2 14 J. W. Tukey: Variances of Variance Components: I, Balanced Designa,
Ann. Math. Statist., vol..27, pp. 722-736, 1956.
16.13 F~~m the data in Prob. 16.12, estímate u!, and u:,
by constructing a; l 15 S. R. Searle: Matrix Methods in Components of Variance and Covariance
Analysis, Ann. ..1.Wath. Statist., vol. 27, pp. 737-748, 1956.
Table 16.11. 16 C. R. Henderson: Estimation of Variance and Covariance Components,
16.14 Assume that the data of Table 16.17 satisfy a balanced incomplete Biometrics, vol. 9, pp. 226-252, 1953.
17 F. A. Graybill: On Quadratic Estimates of Variance Components, Ann.
TABLE 16.17 llfath. Statist., vol. 25, pp. 367-372, 1954.
Block Treatments

1 (1) 1.2 (2) 2.3

2 (1) 2.9 (3) 8.1
3 (1) 5.1 (4) ll.9
4 (2) 10.0 (3) 14.l
5 (2) 11.7 (4) 17.8
6 (3) 17.0 (4) 20.1
 "j'' MODEL 5: VARIANCE COMPONENTS; INTERVAL ESTUIATION 369
1 examining different models we shall state sorne theorems that will be
,, useful.
+ Theorem 17.1 Let nixi/úf (i ..-- l, 2, ... , k) be independently
distributed as x2{n,). Let
k
Y=¿
i=l
Yia7

17 Let g = i=l
k
ÍYiX.:
•

Then u = ng/y is approximately distributed as x2 (n), where

Model 5: Variance Components; lnterval (:Eu,o7;2
n = -----_;..,.-
:E(g~at¡n,)
Estimation and Tests of Hypotheses Proof: We shall not calculate the accuracy of this approximation,
but shall merely evaluate n. If u is distributed as x2 (n), then
var(u) = 2n. · But
n2 n2
Throughout this chapter the following assumptions will be made: var(u) = - var(g) = - [g~ var(x1)
y2 y2 +···+u! var(xk)]
l. The model used is model 5, the variance-components model.
2. There are an equal number of observations in all subclasses. · = n:(2ffiat + 2gia~ + ... + 2g:a!)
3. The errors satisfy the distributional properties of case A; i.e., all y n1 n2 nk
random variables are independently and normally distributed. Equating this to 2n gives
First sorne general theorems will be given and then these will be
applied to certain special cases.
n = y2 - (I:g¡a7)2
L(g~a1ini) I:(gia1/n¡)
17.1 Distribution of a Linear Combination of Chi-square ar
Ordinarily the are not known, so they could be replaced by their
Variates estimators x, in the formula for n. Another point should be empha-
sized: this approximation should not be used unless g is positive.
Let n 1 x 1 /a'f. be distributed as x2 (n 1 ), let n 2x 2 /a~ be distributed as However, since E(g) =y and sincé we have assumed that y is positive,
X2(n 2), ... , }et nkxk/a'f: be distributed as X2{nk), and }et X¡, X2, . .. , Xk be a negative value of g would not be very useful in estimating y.
independent. The problem we shall consider is that of setting con- To set confidence limita on y, Theorem 17.1 can be--used, and the
fidence limits on result is as follows.
y= g 1 a~ + g2 a~ + · · · + gka; (17.l)
+ Theorem 17.2 Since ng/y is approximately distributed x2 (n), an
where y > Oand g 1 , g 2, ... , gk are known constants. To do this we shall approximate confidence interval on y with coefficient 1 - ex is
consider the distribution of g = g 1x 1 + g 2x 2 + · · · + gkxk. Since the x, given by
are independent, the moment-generating function of g can easily be
found. However, the distribution of g is very complicated, and p(21L~y~
x!12(n)
ng
ti-cx¡2(n)
)=1-cx
attempts to use it to set exact confidence limits on (17.1) have not been
(Eg,x,) 2
successful. where n=-......;....;.__.;;.;__
Various approximate methods for setting confidence limits on func- 'L(g?;¡¡n,)
tions of variances such as (17.1) ha ve been given [9]. We shall dernon- and x~(n) is the upper {J percentage point of a chi-square with n
strate a method that has been described by Welch [7]. Before degrees of freedom.
368
370 MODEL 5: VARIANCE COMPO~ENTS; INTERVAL ESTIMATION 371
LINEAR STATIS'l'ICAL MODELS

Proof: The theorem can be proved by straightforward application improved approximation given in Theorem 17 .3 can be used. If the
of the method of using a chi-square variate to determine a con- correction term
fidence interval. 0 11 = j(2z¡ + l)(ys-2t - 1)
Although Theorem 17.2 can be used to set approximate confidence is small, the method described in Theorem 17 .2 is adequate.
intervals on variances, a better method in most experimental situations 17.1.1 Example. To illustrate the theory in this section, we
has been given by Welch; this is the text of the next theorem. shall work an example of a twofold classification. The model is
• Theorem 17.3 Let nixi/ur (i = 1, 2, ... , k) be independently k = 1, 2, 3
distributed as x2 {n¡), and let j = 1, 2, 3, 4, 5
{
k i = 1, 2, ... , 12
g = _2g,x,
i=l The distributional properties are those given for case A in Chap. 16,
and 'Y= _2giui2
k
where the variances of a¡, b¡¡, and ci;k are o;,
u:, and ~, respectively.
i=l
The original data will not be given, but the AOV is shown in Table 17 .1.

Then the probability statement TABLE 17.1 ANALYSIS OF VARIANCE OF TWOFOLD ÜLASSIFICATION

P(; .,¡;; x3(n) - i (2z: + l)(gs-•t - 1)) = 1- p sv

1
DF (n;)
MODEL

MS (xi) EMS

is approximately true. This can be used to give the 1 - IX con- Total 180
fidence interval · Mean 1
a classes = n1 ai = a~ + 3aC + 15a!
p( ng
Aa:12
~ '}' ~ --~--.) = l
A1-a:12
- IX b classe,s
e classes
11
48
120
= n2
=na
3.5629 =X¡
1.2055 = X2
.6113 = x 3
ai = a: + 3a:
ai =a:
Aa.12 and A 1 _a.12 are computed by using
The estimates are
A 11 = xi(n) - 0 11 = xj(n) - f(2zi + I)(gs-2t - 1)

with 1X/2 and l - 1X/2 respectively substituted far p. OfJ will be

á; = .6113 a;.= .1981 U!= .1572
called the correction factor. zp is su ch that Suppose we want the following:
1. A 95 per cent confidence interval on ai
[
zfJ
h(y) dy = 1- p 2. A 90 per cent confidence interval on o! + u¡ + a;
.. -ao To find interval 1, Theorem 17.2 will be used. We have

where y is distributed N(O,l). Also, y = u: = 10-: - !ui

so Ya= -l
Table 17.2 will be useful for computing the confidence limits.
Now, (:Eg¡x¡)2 = [(0)(3.5629) + (.3333)(1.2055) - (.3333)(.6113)]2
= (.1981) 2 = .03924

For a proof of this theorem, see Welch [7]. If n > 30, the confidence and :E g¡x¡ = (0) 2 + (.40180) 2 + (-.20375) 2 = _
003709
interval given in Theorem 17 .2 is probably adequate. If n < 30, the n; 11 48 120
372 LINEAR STATISTICAL MODELS MODEL 5: VARIANCE COl\IPONENTS; INTERVAL ESTIMATION 373
The limits are
'l'ABLE 17.2 TABLE OF QUANTITIES FOR lNTERVAL 1,
EXAMPLE OF ART. 17.1.l p(2.179 ~ ª2 & 2.179) = .95
1 25.41 ~ b ~ 7.31
i \ ni 1 Yi xi gixi 1 g¡xf/ni iM/ni
--i-- or P(.086 ~a: ~ .298) = .95
1 i
2
11
48
1 .0000
.!l333
3.5629
1.2055
.00000
.40180
1
1
1
·ºººººººº
.0033630 ·ººººººººº
.000028150 There seems to be an improvement resulting from use of Theorem 17 .3
-.3333 .6113 -.20375 .0003459 -.000000587 instead of Theorem 1 7 .2.
3 120 ¡
To compute interval 2, the confidence interval for
.1981 =g 1 .003709 =s .0000276 =t
y= ªª +2
ab
2 + <Je=
2 ...1.
2
15G1
+ _4 2
i-1ra2 -r• J.O 2
1s<J3

we get g = ·¡-15x1 + 1.4:sx2 + Hx3

So n= .03924 = 10 .o..,8
.003709 The quantities in Table 17 .3 can easily ·be computed.
and we shall use n = ll. Also, 'l'ABLE 17.3 TABLE OF' Qt;ANTITIES FOR JNTERVAL 2,
EXAMPLE OF ART. 17.l.l

= o+ .4018 - .20375 = .1981 i n¡ Yi X¡ 9iXi gfxi/n¡

1 1 1
1 11 .06666 ! 3.5629 .23753 .0051291
and ng = 2.1791 1
2 48 .26666 1.2055 .32147 1 .0021529
Since 1 - ix = .95, we have 1 - ix/2 = .975 and ix/2 = .025. So, for 11 3 120 .66666 .6113 .40753 .0013840
degr·. 3s of freedom, we get
1
. .96653 .0086660
1 1
X~o2s = 21.9 2 and X~97s = 3.82

Using the formula in Theorem 17.2, we get The estimate is

ng
p (-- ~ y ~ --
ng) = .95 y = u= 'Lgixi = a! + a; + ~ = .9665
X~o2s X~975 To demonstrate confidence lirriits on y, we shall use only Theorem 17.2.
2.1791 .- 2 . - 2.1791) -
_( 9r.: This gives
which gives P--:::::-...<1::::-....--
( 21.92 ~ b ~ 3.82 .O

or P(.0994 ~ u; ~ .570) = .95

na= 104.39
Next we shall compute the more exact confidence limits, by Theorem
17.3. \Ve can compute 0 11 as follows: Since l - ix = .90, we get x~ 5 (108) = 125 and x~95 (108) = 78. Thus

c. 975 = (+.6666)((2)(-1.96) 2 + 1m.19s1)(.003109r c.00002163) - 2

11 p(l04.39 < < 104.39) = .90
= -3.4877 125 y 78

0. 025 = ( +.6666)[(2)(1.96)2 + I][(.1981)(.003109)- (.00002763) -

2
lJ and P(.835 <a!+ a;,+~< 1.338) = .90
= -3.4877 The correction term CtJ in Theorcm 17.3 can be computed to give
and A. 025 = 21.92 + 3.49 = 25.41 A. 975 = 3.82 + 3.49. = 7.31 improved limits, if desired.
 .,:.:..
,•

374 J...INEAR STATISTICAL MODELS MODEL 5: VARIANCE COMPONENTS; INTERVAT.1 ESTll\IATION 375
The power of the test, denoted by {J(A.), is
17.2 Tests of Hypotheses
In this section we shall discuss two general tests. One is a t~st that {J(Á) = f 00g(u;Á) du
a variance component is zero, for example, that u! = O. The other is JFa
that a linear combination of u!, a~, a;, ... , is equal to zero. The nota- To evaluate {J(A.), we make the transformation 'W = 1u and sub-
tion in Chap. 16 will be used, and references to various special models stitute this into g(u;A.). Now g(u;A.) becomes the density func-
and AOV tables will be made. tion of w, say h(w). But w is distributed as F(ni,ni) for every
First we shall considera general analysis-of-variance model and the value of ). (O ~ A. < ex:>); so k(w) is the central F distribution.
quantities in Table 16.2. To evaluate the limits on the integral, we note that, when 'lt =Fa.,
In many cases, the difference u'f - aj in Table 16.2 is equal to a w = AF'a, and when u = ,ex:>, w = ex:>; so
multiple of one of the variance components u!, u¡,.... For example,
in Table 16.1, wegetai - a~= su;; in Table 16.3, wehave ai -ai =su;; P(A) = f a:i h(w) dw
in Table 16.4, we have ~ - oi =tu~; etc. JAFa
A test ofthe hypothesis H 0 : ar = aj will be given in the nexttheorem. and the power can be evaluated by using only the central F tables.
+ Theorem 17.4 Let the model satisfy the conditions of Theorem 17.2.1 Example: One-way Classification. For this example
16.5, and let the AOV be represented by Table 16.2. To test the we refer to Table 16.1. The correspondence in notation is
hypothesis H 0 : ar = aj (i ~ j) against the alternative hypothesis _2 + Baa2
HA: aj > ui, the quantity <Ti = u.,,2

u =-1
82
s~ = Bms
8~1
can be used, and H 0 is rejected at the « level of significance if
u;= o7,
u >Fa., where Fa. is the upper percentage point of Snedecor's P s:= Wms
distribution with n; and ni degrees of freedom. That is to say, F'X We shall test H 0 : ui =a~; that is, u! =O, and HA is a; > O. The test
is such that criterion is to reject H 0 at the ex level of significance if u > Fª, where
00

«= f /i(u) du Bms
JFa U=--
Wms
where h(u) is the F(n;,ni) distribution. The power of the test
depends on the quantity Also A= uf
a;+s~
A=~< 1
u¡ As another example, suppose we wish to test H 0 : a! = O using the data
in Table 17.1. We get
and is f lt(u) du = {J(A.)
00
);.¡.'~ u= 3.5629 = 2.956
Proof: Let g(u;J.) be the frequency function of u for various values 1.2055
of )~. If ,l = 1, u is distributed as F(n1 ,n¡); so g(u;I) is Snedecor's The tabulated F value for 11 and 48 degrees of freedom for « = .05 is
F distribution with n¡ and ni degrees of freedom. Of course, if
F. 05 = 2.00. Hence we reject H 0 •
,l ~ 1, then g(1t;J.) is not the F distribution. The test procedure
is to reject H 0 if u >Fa., where Fa. is the upper « point of the F
17.2.2 ·Test of a Linear Combination of ar.
In the previous
article a t_est criterion was de,rised for testing the hypothesis that
distribution; that is, where Fa. is given by ar - aj = O. This is equivalent to testing the hypothesis that af/aj =
00
l. This test will satisfy many experimenter's requirements. How-
«= f g(u;l) du
JFa ever, a more general test may be desired. That is to say, we may need

1
376 LINEAR STATISTICAL MODELS MODEL 5: VARI.ANCE COMPONENTS; INTERVAL ESTIMATION 377

to test H 0 : í:,gia¡ = O, where the gi are known constants that are either further approximation. Also, m and n will not be integers, but their
plus or minus unity. Of course, a more general test would be one in values can be approximated in any F table.
which gi were any known constants, but the case in which they are plus It should be pointed out that sorne care should be exercised in using
or minus unity covers many important situations. In most cases an any of these approximate methods where no bounds on the error of
exact test for this hypothesis has not been found, but an approximate approximation are known.
test will be the subject of the next theorem. 17.2.3 Example: Testing a Linear Combination of Variance
Components. The details will not be given, but suppose a three-way
+ Theorem 17.5 Let the model satisfy the conditions of Theorem classification model with equal numbers and all interaction is given by
16.5, and let the AOV be represented by Table 16.2. To test the
hypothesis a; + · · · +a: =a; + · · · + df against the ~lternative i = l, 2, ... ' 10
hypothesis a; a;
+ · · ·· + > a; + · · · + Uf, the quant1ty Yiik = µ + ai + b; + (ab)i:i + ck + (ac}ik + (bc);k + eiik j = l, 2, ... , 8
82 + ... + 82 k = l, 2, ... '4
u= P "
8; + · · · + 8~ Let the distributional properties satisfy the requirements for case A in
can be considered to be approximately distributed as F(n,m,), Chap. 16. Let the variances be u;, u:, u;b, a;, <I~c' u¡c, and a 2 • The
where (s2 + ... + 82)2 AOV will be as given in Table 17.4. This should be compared with the
n= P q
notation introduced in Table 16.2.
s!/f + · · · + s!/fq
11

m = (s; + ... + s~)2 TABLE 17.4 ANALYSIS OF VARIANCE FOR THREE-WAY ÜJ.-ASSIFICATION

s:ffr + · · · + s1fft
sv DF MS E:MS
1
and the hypothesis will be rejected at the approximate (/.. signifi-
Total 320
cance level if u > F ex· Mean 1
This theorem is justan extension of Theorem 17 .1; i.e., we are assuming a class Í1 = 9 sf =47.54 af = a2 + 4a!b + Ba!c + 32a!
that
+ · · · + s:)n
(s;
b class
ab interaction
12 =
f3 =
7
63
8~ =
sf =
74.54
14.31
ªªaf = a2
= a2
+
+
4a:b
4a:b
+ 1OuCc + 40ac
V=..;....:.:.~~-~_.._ e class f4 = 3 s¡ =99.26 a: = a2 + Ba!c + 1OaCc + soa;
a;+···+ a! ao int.eraction f5 = 27 si= 7.29 ªE = ª22 + sa:c
be interaction 16 = 21 s:= 18.01 a: = a + IOatc
is approximately distributed as x2 (n). The first two moments of vare , Remainder 11 = 189 s1= 6.01 a~ = u2

equated to the first two moments of x2 {n) to evaluate n. Similarly, the

quantity - · For any of the hypotheses
w=
(s; + · · · + s~)m
a;+···+a~

is approximately distributed as x 2 (m), where m is similarly fou~1d by Theorem 17.4 provides an exact test. However, for any ofthe follow-
equating the first two moments of w to those of x2 (m). Then smce v ing hypotheses:
and w are independent, the quantity a:=oa!=O ~=0

v/n Theorem 17.4 provides no test, since a! = Ois not equivalent to ai - o7

--=u = Ofor any i, j = 1, 2, ... , 7. Theorem 17 .5, on the other hand, pro~
w/m vides an approximate test. We shall demonstrate by testing the
is approximately distributed as F(n,m). The quantities n and ni will hypothesis H 0 : o! = O against the alternative hypothesis H .A: a! > O
depend on the ar,
but these are replaced by Sf, which introduces a at the 5 per cent level of significance.
378 LINEAR STATISTICAL MODELS MODEL 5: VARIANCE 001\:IPONENTS; INTERVAL ESTil\fATION 379
First notice that a! = O if and only if ai + a~ = oi + a~. So we can Then w is distributed as F[r - 1, 1·(s - l)], and
use Theorem 17 .5 for an approximate test of the hypothesis H 0 :ai + a~
= a~ + a~ against the alternative hypothesis HA: ai + a~ > a~ + a~, E(w) = 1·(s - 1)
that is, HA: a! > O. r(s - 1) - 2
The test function is
'U =
2 + 2
8! -3 --
87 = o .oo = 2.48
So E(Bms) =a¡ + sa! E(w) = (l +
Wms ab2
8 o!) r(sr(s- -
~ ~) - 2
1)

s3 + s¡ 21.60
Solving for a';/a: gives
n = + 4) = 2,867.6025 = 11 .41
(s~
2
Also,
s:/J + s~/f7 251.3074 E[Bms r(s - l) - 2 _ ~] = a!·
1
Wms r(s - l)s s a~
m = (s~ + si) = 466.5600 = 89 .40
2
and so Bms r(s - 1) - 2 1
s:ffa + s~/f5 5.2187
lVms r(s - l)s s
The 5 per cent significance level of Snedecor's F for 11.41 and 89.40 is an unbiased estímate of a;¡o¡.
degrees offreedom is approximately 1.88. Since u> 1.88, the hypoth-
esis is r~jected. Next we shall give a theorem concerning confidence limits on O-:/
(o!+~).

17.3 Ratio of Variances • Theorem 17.7 Let the conditions and the model be the same as in
Theorem 17.6. Then a confidence interval on ~/(0-: + ~) with
A problem of sorne importance in applied work such as genetics, · t · . b a b
breeding, and certain industrial work is estimation of the ratio of vari- ~ coe ffi 01en 1 - IX is g1ven by
anee components. For example, in the one-way model given in Table
ms
W sF1-a/2 &. ab2 &. W msS F a/2
16.1, it may be desirable to estimate a!/af, and to set confidence limits on
Bms + TVms(s - l)F1-a¡2 ~a!+ a!~ Bms + Wms(s - I)Fª12
this quantity or on aif(a! + ai). This will be the subject of the next
theorem. Pmof: By Theorem 17.6, the quantity w is distributed asF[r - 1,
r(s - l)]; so
+ Theorem 17.6 Let the model be a one-way classification with
equal numbers in the subclasses. Let the distributional properties
satisfy the requirements for case A in Chap. 16. The AOV is given
in Table 16.1. The best (minimum-variance) unbiasedestimateof or p (1' 1-a./2
&.
~ ~ a: _2 -w
Bms ~ ·Fa./2) = 1- IX
a'fi/a: is u, where b +su; ms
Bms r(s - 1) - 2 1 After manipulating the quantities within the parentheses, we
'U=-- --
Wms rs(s - 1) s arrive at

ms
Proof: Sin ce y~, Bms, and W is a set of complete sufficient statistics p[ WmssF1-.:r/2 &. a: :S.::: WmsSFatz ]
(see Theorem 16.1), it is necessary only to show that u is an un- Bms + Wms(s - l)Fl-«/Z "-:a!+ a!~ Bms + Wms(s - l)Fa/Z
biased estímate of a;¡ar,. The minimum-variance unbiased prop-
crty then follows. Let
= 1- IX

which is the desired confidence statement.

Bms/(a~ + sa!) ~ Bms
W= = --
lVms/O'~ ~+so! lfms This theorem can be extended to many other models as well.
380 LINEAR STATISTICAL l\'IODELS MODEL 5: VARIANCE COMPONENTS; INTERVAL ESTIMATION 381
17.14 In Prob. 17.8, find the best (minimum-variance) unbiased estimate of
Problems a:tae.
17.l If x 1 and x 2 are independent, if n 1x 1/af is distr~buted ru:: x2(n1), and if 17 .15 In Prob. 17 .8, test the hypothesis u:
= Owith a type I error probability
of 5 per cent. Plot the power as a function of A. = a&/(aC + lOa!).
· d"1s t r1"b u t e das ,..,2(n2 ) , find the moment-generatmg function of X¡ + x 2•
n 2x 2Ia 22 is
17.2 In Theorem 17.3, show that Op = G1-fJ· ·r . 17.16 The AOV of Table 17.6 is from data that satisfy the following model:
17 3 If x and y are independent, if x is distributed as X2 (n), and 1 Y is
distrÍbuted as-x2(m), prove that x + y and x/y are indcpend~nt. i = 1, 2, ... '8
17.4 In Prob. 17.1, find the moment-generating funct1on of ª1X1 + a~2 ,
Ytim = µ + a¡ + b¡ + (ab)i; + cm + (ac)¡m + (bc);m + eiim j = 1, 2, .•• , 10
(m = 1, 2, ... , 12
where a 1 and a 2 are constants. . f +
17.5 use the results of Prob. 17.1 to find the mean and va.rtance o X1 X2· Use Theorem 17 .4 to test the hypothesis
5per cent.
u:c = O with a type I error probability of
17 .6 If the p x 1 vector y is distributed N(O,V), show that the expected
value of Y'AY is tr(VA). h
17.7 lf the p x 1 vector y is distributed N(O,V), show t at t e var1ance o
h · f
a: 17.17 Use the data in Prob. 17.16 and Theorem 17.5 to test the hypothesis
= O with a type I error probability of 5 per cent.
Y'AY is 2 tr(AV) 2 • • h d 1
17.8 An analysis of variance is run on data that satisfy t e mo e Further Reading
Yii = µ + ªi + bii .¡
" = 1• 2 • · · · ' 10·' i = 1, 2, 3, 4
1 G. W. Snedecor: "Statistical Methods/' Iowa State College Press, Ames,
Iowa, 1958.
The data are assumed to meet the conditions for case A in Chap. 16. The AOV
is given in Table 17.5. 2 O. Kempthorne: "Design and Analysis ofExperiments," Jolm \Viley & Sons,
Inc., New York, 1952.
TABLE 17.5 3 C. H. Goulden: "Methods of Statistical Analysis," John Wiley & Sons, Inc.,
New York, 1939.
sv DF MS (x¡) EMS 4 O. L. Davies: "Design and Analysis of Industrial Experiments," Oliver and
Boyd, Ltd., London, 1954.
Total 40 5 R. L. Anderson and T. A. Bancroft: "Statistical 'l'hcory in Rcsearch,"
Mean 1 McGraw-Hill Book Company, New York, 1952.
a class 3 4.3 a: + lOa! 6 C. R. Rao: "Advanced Statistical Methods in Biometric Research," John
b class 36 1.7 a2b Wiley & Sons, Inc., New York, 1952.
1 7 B. L. Welch: On Linear Combinations of Severa} Variances, .J. Am. Stati.st.
Assoc., vol. 51, pp. 132-148, 1956.
.
Set a 90 per cent confidence mtcrva1 on 2 ªb· . 8 W. G. Cochran: Sorne Consequences when the Assumptions for thc A.O.V.
17.9 In Prob. 17.8, set a 95 per cent confidence ~terval on ab2 + lOaa.
2
Are Not Satisfied, BiometricJJ, vol. 3, pp. 22-38, 1947.
17.10 In Prob. 17.8, set a 90 per cent confidence ~nterval on ªf
2
9 I. Bross: Fiducial Intervals for Variance Components, Biometrics, vol. 6,
17.11 In Prob. 17.8, set a 90 per cent confidence ~terval on 2
~ ub. - ª; pp. 137-144, 1951.
17.12 In Prob. 17.8, set a 90 per cent confidence m~rval on ªª'ªb; 10 S. L. Crump: The Present StatusofVarianceComponentAnalysis, Biometrica,
17.13 In Prob. 17.8, set a 90 per cent confidence mterval on aa/<aa2 + ab).
2 vol. 7, pp. 1-16, 1951.
11 W. A. Hendricks: Variance Components as a Tool for the Analysis of Sample
TABLE 17.6 Data, Biometrica, vol. 7, pp. 97-101, 1951.
12 \V. G. Cochran: Testing a Linear Relat.ion among Variances, Biometrics,
sv DF MS EMS vol. 7, pp. 17-32, 1951.
1 13 J. R. Green: A Confidence Interval for Yariance Components, Ann. Math.
Total 960 Statist., vol. 25, pp. 671-685, 1954.
Mean 1 14 N. L. Johnson: Comparison of Analysis of Variance Power Functions in the
a effect 7 236.1 u2 + 12a!b + IOa!e + 120a! Parametric and Random l\fodels, Biometrika, vol. 39, pp. 427-429, 1952.
b effect 9 347.8 u2 + Sale + 12a!b + 96aC 15 A. Huitson: A Method of Assigning Confidence Limita to Linear Combina-
ab interaction 63 30.2 a2 + 12a!b tions of Variances, Biometrika, vol. 42, pp. 471-479, 1955.
e effect 11 108.8 a2 + IOa!e + Bale-+ soa: 16 C. R. Heriderson: Estimation of Yariance and Covariance Components,
ac interaction 77 34.1 a2 + lOu!e Biometrics, vol. 9, pp. 226-252, 1953. ·
be interaction 99 18.5 u2 + Bale 17 F. Yates and I. Zacopanay: The Estimation of the Efficicncy of Sampling
Remainder 693 8.1 a2 with Special Reference to Sampling for Yield in Cereal Experiments,
J. Agr. Sci., vol. 25, pp. 545-577, 1935.
382 LINEAR STATISTIOAL MODELS

18 H. E. Daniels: The Estimation of Components of Variance, J. RmJ. Statist.

Soc., suppl., vol. 6, pp. 186-197, 1939. . . .
19 F · E · sa tter thw aite: An
.
Approximate Distr1but1on of Est1m.ates of
. 2 110 114 1946
Variance Components, Biometrics Bull., vol. 'PP· - ' ·
20 M. Ganguli: A Note on Nested Sampling, Sankhyá, vol. 5, pp. 449-452, .1941.
21 M. G. Bulmer: Approximate Confidence Limits for Components· of Variance,
Biometrika, vol. 44, pp. 159-167, 1957.

18
Mixed Models

In the previous chapters .fivc models were de.fined and discussed in

sorne detail. In many scientific investigations these will form an
adequate basis for the models needed to describe experimental situa-
tions. However, in many instances a combination ofthese models will
be necessary. There are many possible combinations, but only three
will be discussed in this chapter. These should forma nucleus from
which the reader can obtain a basic understanding of "mixed" models.
Those which will be discussed are:
I. A mixture of model l and model 4
(a) A covariance model
2. A mixture of model 4 and model 5
(a) A two-way classification model with :fixed and random effects
(b) The balanced incomplete block model with blocks random
and treatments fixed, i.e~, with recovery of interblock information

18.1 Covariance
Covariance can be used with any case of model 4. However, only
the one-way classification will be discussed here.
The model is
j = l, 2, ... , r
{ (18.l)
i = l, 2, ... 't
where YH is an observed random variable; X;J is an observed fixed
quantity, usually called a concomitant variable; µis a constant; -ri is the
ith treatment constant; fJ is the regression coefficient (unknown); and
383
384

means O and constant variances a2 •

The likelihood equation is
LINEAR STATISTICAL MODELS

the eii are unobserved normal variables that are independent and have Tl
The fJ equation can be written

¡ l
(P,
MIXED MODELS

+ f ,)Xi. + pLX~; = L X¡¡Yii

ii ii
385

L = j(e) = 1
(2'"a2r /2
exp[- - 1
- L (Yii -
2a2 iJ
µ - 7i - fJxi;>
2
] Substituting the value of µ + f¡ into this equation gives

rt ¡ !r (Yi. - px¡_>x,. + p¡X~;=¡ x,;Yii

and log L = -
2 Iog 27T - 2rt 1og a2 - 2
1 "
f; (Yi;
0' 2 - µ - 7
i -
fJ
xu)
2 a ii ii

This can be solved for p. This gives

To find maximum-likelihood estimators, we can set the partial deriva-
1
tives equal to zero. This gives
p = Iii x,1Yi1 - -
r
Ii Y,.xi. I_,1_(xi; - x,.HY1; - Yd
_ _ _ _ _ __

al;g L = ~2 L (Yu - µ - 7-i - Pxii) =o Ix~; _ !r :¿x~. 2 (x .. - x. )2

µ <I ii ii i ii u i.

olog
- 1 ~(
- -L = -=2 ¿_, Y'Pi -
..
fl -
...
T'l) -
tJ
pXp;
)
= O p = 1, 2, ... 't To assist in simplifying the results the following notation will be used:
OT,., <1 i
(18.2) Exa: = L (X¡; - xd2
ii

olog
o{J
L 1 ""
= ¡jZ f; (Yii -
..
µ -
...
Ti -
...
{jX¡¡)XiJ = Q Ea:11 = L (x;; - x,.)(yii - y,.)
il

olog L E1111 = L (y¡; - Yd 2

0<12 = - 2fi2
rt
+
1
2fi4 t (y¡; -
..
µ -
...
Ti -
...
{1X¡¡)2 = Q
ij
(18.4)

2
Notice that we have used 0:2 • This is because we reserve 8 for the
un biased estimator.
The first three equations can be used to give the following normal T 1111 =~(y. - y.• )2
¿_, •.
equations: ii
These quantities will be quite useful, and tl}ey can be tabulated in the
µ: rtP, + form shown in Table 18.1.
..
T/l + ...
TT 11 + {Jr.X p. =
y p. 1' = 1, 2, ... 't (18.3)
X .. µ"+~X. f.+ fJ"'"''x~. ~ Y·¡X·· TABLE 18.1 Co:a1PUTATIONS FOR CovARIANCE MoDEL
{J: ¿_, 1. l ¿_, IJ = ¿_, 1 IJ
i u u
sv DF SS:x2 SS:xy SS:y2
There are t + 2 equations, and the rank is t + 1 ; so there is one linear 1

dependency. The nonestimable function LT¡ =O can be used to solve Total

1
rt .,
:Ex;. LX¡;]/i; L.yf¡
the normal equations. X~ X .. Y .. 1 y~
The object in this model is to determine what functions of the T¡ are Mean 1
rt rt 1 rt
estimable, estímate these functions, estimate {J, find the standard errors
Trcatment t - 1 T:r::r: TXfJ T11u
of the estimates, and test hypotheses about the T¡ and {J.
18.1.1 Point Estimation. The -r, equation in (18.3) can be used Error t(r - 1) E:r::x: EZ1/ E1111
-
to obtain
Treatment
1 rt l 1S.,,= T,,. +E.,¡s., =T., +E.,,s,, = T,, +E.,
µ"'+f·=~(Y. plus error -
1 ¡. -ªX.)
/.J i.
r
386 LINEAR STATISTICAL MODELS MIXED MODELS 387

N otice the identity in the SS :x2 column, v~I ue of the ~ariance of f i - -?;, a veraged over all the t( t - 1) treatment
d1fferences, is

t(t -
1
1)
2: [~ + (x;. -
i; r E
x;J
2
]cr-
i?i :z:x
Similar identities hold for the other two columns. Hence Ea:z, E:z: 11 , and 2a2
= - r + t(t -
(]2 .
E can be obtained by subtraction. The treatment-plus-error row ~ [(x. - x ) - (x1 x )]2
1111
will play an important part in covariance models. This will be ex- 1 )E
:Z::I:
f;
i7é;
'· ·· • - ••

plained later. 2a2 <12

If this notation is used, we write =-+----
r t(t - l)E:z:i:
(18.5)
X [ ¡ (x;. - x.J2 + 2: (x¡. - x.J2 - 2 L (x,. - x.J(x¡. - x . .>]
·"·
i::F1
u
i#i u
i7':i
lf this is substituted into the -r'J) equation, we get 2a2 <12
= r- +t(t-- -l)E:z::i:
--
(18.G)
X [<t - 1) ¡ i
(x;. - x.J 2 + (t -1) I (x1.
j
- x.J2 + 2 Li (xi. - x.J2]
From this we notice that 'LA.iTi is estimable if and only if 'LA.i = O; that
is to say, only treatment contrasts are estimable. This gives us
_
-
2
<J
[2 +
-;: r(t -
2T:r;:r; ]
l)Ex:i:

if LAi =O (18.7) Also, from the last derivative of Eq. (18.2), we get

It can be shown that

a2 = !_ _2 (Y;;
rt ;;
- fi - fi - px¡1) 2
To this equation let us add and subtract Jh; we get
and

ª-2 -- rl1 f¡""' [(YiJ - Y;. ) + (Yi. - µ.. - -ri"' - p"'xu)]"".,

The variance of Pis a2 /E:i:x, and
From Eq. (18.6) we get
var ( ~1 .. ) _
~"' .7. -
.,
<r'
['L}.¡ + (LA;X; .) 2
]
' ' r E:u:
and this gives us
In particular, the variance of :¡.i - f; is

Since xi. and x;. enter into this variance, a different standard error is 1 ~ ,
required for the estímate of each treatment difference. The average =-
rt
[E 11v - 2/)E:r;u + fJ E:u:]
 . .

388
By the definition of p, we get
LINEAR STATISTICAL MODELS

a2 = !:_(E
rt
- E'E;")
VII
:r:i:
1 \J
1\lIXED ~IODELS

• Theorem 18.1 Let the covariance model be given by Eq. (18.1)

with the distributional properties noted there. Then the statistics
Ó'2 , p, Yv y 2 ., ••• , Yt.> are a sufficient complete set. Also, the
quantities Ó'2 , p, LA¡(Yi. - Pxi.) for LAi = O are unbiased estimators
389

We shall omit the proof, but it can easily be shown that of a 2 , p, LA¡T¡, respectively; hence, they are the best (minimum-
variance) unbiased estimators.
E(<12 ) = t(r - 1) - 1 ª2 Next we state an important theorem on the distributional properties of
rt the above estimators.
Therefore, we shall define • Theorem 18.2 Let the covariance model be given by Eq. ( 18.1)
fl· =
t(r -
l (E E!.,)
1) - 1
11
11 -
E:i::i:
with the distributional properties noted there. Then
(1) /j is distributed N({J, a 2 /E=:)·
(2) LA¡f i is distributed N(LA;T,, ai), where
so that E(a2) = a2 ~= a2[Li..7 + (l:,1.,x¡.}2]
N ext let us examine the exponent of the likelihood equation r Ex:x:
if LA,= O.
- 2~ ¿ (YiJ - µ - T¡ - px¡¡)2 (3)
[t(r - 1) - 1)82
a
2 is distributed as x2 [t(r - 1) - l].
If we add and subtract the quantity µ+ f, + /jx¡¡, this becomes (4) ú2 is independent of /j and LA.,fi.
Proof: The proofs of (1) and (2) are clear, since Pand LA.,7, are each
- _1_ 2 [(y¡¡ - µ- f¡ - Px¡;) + ({t + fi + íJx,, - µ - Ti - {3x¡¡)]2 equal to a linear function of normal variables YH· The mean and
2a2 u variance of both have been given elsewhere in this article. The
proofs for (3) and (4) follow from general theorems in Chap. 11.
= - ~[2
2a..
(y¡¡ -
H
µ ~ 7-¡ - íJxu)2 + 2iJ ({t + fi + íJxu - µ- T¡ - {Jx¡¡)2] W e are now in a position to state a theorem about confidence intervals
on a 2 , {J, and Ll,T,.
= - 1-[{t(r - 1) - 1 }á2 + 2 ({t + fi + PxiJ - µ - Ti - px¡1)2] 18.1.2 Confidence lntervals. From Theorem 18.2 it is clear
2a2 · iJ that confidence intervals can be put on the parameters a 2, p, LA¡Ti.
The cross-product term is zero, by virtue of the normal equations. The • Theorem 18.3 A confidence interval on a2 with confidence coeffi-
quantity px,. will be added and subtracted to the second term, and cient· 1 - a is
µ + f, will be replaced by y,_ - /jx,.. This gives us [t(r - 1) - 1]02 ~ 2 _. [t(r - 1) - 1]02
2
Xa.12
-...:::::. ª ': : : 2
X1-a.12
- _!__2 {[t(r - 1) - l]Ó'2 + !. [(/j - fJ)(xii - x¡J + (y,_ - µ - T¡ - {Jx¡_)J1.} A confidence interval on Pwith confidence coefficient 1 - a is
2a ii a- Ó'
/3 + ta./2
A A

a2 p- ta./2 ,- ~ {J ~ /.
'V E:i:x '\ Ex:x:
= - - [t(r - 1) - l]
2a2 A confidence interval on LA;T¡, where LA¡ = O, with confidence
2 1 .coefficient 1 - a is
P> 2 (x .. - 2
A

- ({J - 11
x. )2 - - (y¡ - µ - Ti - ¡Jx¡_)2 .. ,. [LÁ¡ + (LA¡X; .)2] A ....
2a2 iJ t. 2a2 iJ · LA¡T¡ - ta.¡2<1 - ~ LA¡T¡ ~ LA¡T¡
r Exx
Therefore, thet + 2 quantities &2,p, y 1 _, y 2 ., ••• ,yt. areasetof sufficient + (:El,xtJ ] 1 2

statistics. They are also complete. The foregoing can be summed up + ta12á[LA¡
r
E' :i::i:
in the following theorem. The proof is straightforward and will be left for the reader.

[
 MIXED l\IODELS 391
390 LINEAR STATISTICAL :MODELS

18.1.3 Tests of Hypotheses. From Theorem 18.2 it follows that lf the value Yi. - Pxi. is substituted for ¡1 + 7-i, this becomes
P~/a is distributed N({J~/a, 1). Then u = í) 2 Exx/a2 is distrib-
uted as x' 2 (1,A.), where l
V [t(r_- ___;_
= .;._.,;_ I]ci2
1) _- _;;.._
If we let
a2
k"" y~i.
then, by (3) and (4) ofTheorem 18.2, visdistributed as x2 [t(r - 1) - l] = - ir-+PE:c11
and is independent of it. So
u p2E ¡Y~.
w = - [t(r - 1) - l] = - E
V (¡2 = _,__ + E2___El

r E:cJ:
is distributed as F' ( 1, t(r - 1) - 1, A.). This is summed up in the next
theorem. Also, Y'Y - (3'X'Y of Theorem 11.15 is
+ Theorem 18.4 Let the covariance model be given by Eq. (18.-1)
with the distributional properties noted there. To test H 0 : fJ = O f""y2i. E2 E2
L;; y¡¡- -r- -fiExu = Iii (Y·¡-Y· )2 -
A
2
-E!.= E - .......=!! = [t(r - 1) - l]Ó'
at the ex level of significance, a test criterion is i •· E :cz uu E :i::i:

p2E:c:c The reduced model (substitute T 1 = T2 = ··· = Ti = T) can be written

W=--
(¡2
Y;; = µ* + {Jx¡¡ + e;;
and H 0 is rejected if w >Fa, where Fª is the upper ex percentage
level of the F distribution with 1 and t(r - 1) - 1 degrees of where we ha ve written µ * in place of µ + -r. The normal equations
freedom. The power of the test is can be obtained directly from this model and from the normal equations
(18.3). They are

f,
00
g(w) dw
Fa µ*:. rtP,! + Px.. = Y ..

where w is distributed as F'(l, t(r - 1) - 1, l], where ¡3:

;. = p2E:c:i: The solution is

2a2
~ "" y i.1x u.. - X .. Y .. /rt
- X .. y .. = 4
píJ = t't~yu..x .,
.. .,;:;11_ _ _ _ _ __
N ext we shall prove a theorem that can be used to test the very
rt I tj; - X~. I x¡, - x:.Jrt
important hypothesis H 0 : T 1 = T 2 = · · · = Tt· ii ii
This hypothesis is estimable, sin ce LAi'T i is estimable if Lili = O. We
can use Theorem 11.15. Using this theorem and the normal equations If the quantities in Table 18.1 are used, we obtain
(18.3), we get

Further, fi* =Y.. - iJx ..

1
392 LINEAR STATISTICAL MODELS l\IIXED l\IODELS 393

So, referring to Theorem 11.15, So H 0 is rejected if v > Fa.. A computational procedure is given

- y2.. ,.,iJy ....

X
1 in Tables 18.1 and 18.2.

TABLE 18.2 AuxILIARY TABLE FOR TESTING T1 = T2 = ··· = Te

+-
- {J ~Yii X ii
~
- -
rt rt (SS:xy) 2
SV DF SS:yz - SS:x2 MS F
1

y2 X y ) s!v
= -··
rt
+ {J-(LYuX;; - -··-·-·
rt
Trcatmcnt 1
plus error
rt - 2 S
1111
--=A
szz

E;,, B A - B t(r - 1) -1
Error rt - t - l En-E=B V=--
zz t(r - 1) -1 B t- 1
A-B
Difforcnce t- 1 A-B
1
e::-T

Proof: The proof has been given above with the aid of Theorem
11.15.
So noting that s of Theorem l l.15 is t - 1, that k = t + 1, and that
n ~ k is the degrees of freedom for error t(r - 1) - l, we find that the The noncentrality parameter A. can be found by using Theorem 11.16.
quantity v in Theorem 11.15 here is '1Ve need the expected value of the treatment mean square, i.e., the
treatment mean square Tms = (A - B)/(t - 1). This gives
1 i • L y¡ + E2 __!!! _ _•• _
y2 (T :r.11 +E XII >2] f

v = (t - l)a2 - r -
[ Exz rt Txx + Exx L E(T ) = E-1-[T
ms t _ l 1111
+E
1111
- (T:r;y + Ez,,)2 -
T +E
xz :r:i:
E + E~j
E1111
:r
(18.9)
¡ 1'7. y2
Sin ce - ' - - - · · = T 1111
r rt But, by the de_finition of a2 , we get
we can write vas
[t(r - 1) - l]E(G2) = E(E - E~) = [t{r - l) - l]a2 (18.10)
_ 1 [T +E _ (Tx 11 + Ex 11 )
'1'x:c + E x:i:
2
-'--(E _E E!.11)]
1111
E:r:r
V -
(t - l)a"2 tlll 1111 1111
xx
(18.S) So we nced only evaluate
This is the text of the following theorem.
_1_ E[T +E - (T:r11 + E:i:11)2] (18.11)
+ Theorem 18.5 Let the covariance model be given by Eq. (18.1) t- 1 1111 1111 T :i::i: +E:i::i:
with thc distributional properties noted there. To test the hypo-
thesis Ho: Ti = T 2 = · · · = Tt, the function v in ( 18.8) can be used. Using the notation of (18.4) and Table 18.1, this can be written
vis distributed as F'[t - 1, t(r - 1) - l, J.], where

r ~ (..-, - T.)2 [ ~ (..-, - T,)X,.]' 1 E{ 2 [fr (y¡¡ - y.J(x., - x .. )T}

A. = __:Í;..,____

2a2
•
2
2a ( T xz + E :i::i:) --=-1
t
¡(Y;; - Y.J -
u
T
~
+ E~
394 LINEAR STATISTICAL MODELS l\fIXED MODELS 395
Substituting by model (18.1), we get 18.1.4 Example. The model for the following artificial data is
Eq. (18.1). The problem is to estimate {3, estimate contrasts of the
t l l E{~(µ+ .,., + px., +e,, - µ - T. - Px.. - <..>' l treatment effects T¡, and test the hypothesis Ti = T 2 = T 3 = T 4 •
TABLE 18.3 DATA FOR EXAMPLE OF ÜOVARIANCE MODEL

_ [~ (µ + .,., + px., +e., - µ - T. - Px .. - O.J(x,1 - x .. >J"} 1 - 2 3 4

1
T:r::r:+E:r::r: y X y X y X y X
1

= - -{2 (T' -
1
t - 1 ¡;
f. + f3xii - fJx.J 2 + (rt - l)a
2 5.0
5.3
2.0
3.0
6.2
6.7
11
2.1
3.3
9.4
11.5
2.7
6.3
13.5
13.4
2.3
3.1
5.2 3.5 7.0 3.5 10.9 6.4 14.0 4.0
7.2 6.1 7.1 4.1 13.0 8.3 14.5 5.1
8.5 8.3 6.9 4.2 13.1 10.2 15.0 6.0
1
1
31.2 22.9 33.9 17.2 57.9 33.9 70.4 20.5
1 1
:Ex¡¡ = 94.5 :Ey;¡ = 193.4

+ 2{J 2 ('Ti - 7.)(xii - x.J + (rt - l)a2 From the row of totals in Table 18.3 and from Pas calculated in
ii
Table 18.4, the quantities ¡1 + -T, = y i. - Px,. can be computed. The
P'[.fr (x,1 - x. .>'J" 2{J z[( 'Ti
ii
- f.}X¡¡] _¿(x110 - x.J2
flO
results are as follows:
¡1 + '91 = 3.77 ¡1 + -92 = 4.92 ¡1+-93 =7.93
Txx+E:r::r: Tx:r:+E:r::x:
¡1 + '94 = 11.87
The average variance is .46la2• From these values any contrast ofthe
T:r::r:+E:i::r: TABLE 18.4 ANALYSIS OF VARIANCE FOR THE DATA IN TABLE 18.3

If we use the fact that ! (x¡; - x..) 2 = T :u +E=, this can be written sv 1
DF SS:x2 SS:X1J 1 SS:y 2
ij 1 1
Total 20 547.13 977.94 2,107.66
Mean 1 446.51 913.82 1,870.18
Treatments 3 31.43 = T:r::r: 26.89 = T:r:v 216.06 = Tvv
Error 16 69.19 = E:r::r: 37.23 = EZfJ 21.42 = Ev 11

Putting (18.10) and (18.11) together, we get for (18.9) Treatment

plus error
19 100.62 = S:r:x: 64.12 = SZfJ 237.48 = Bvv
1 1
l { [ ¡ (-r, - T.)X,J }
E(Tms) = - - r
t- 1 ,
('T¡ - f.)2 - ¡ '
T:r::r: + E:r::r:
+ (t - l)a2 ;;
P =
E:x: 11
E:e:r: =
37.23
69.19 = ·53 S

By using Theorem 11.16, the value of A can be evaluated. .,. i can be estimated. The auxiliary table for testing
A covariance model for a one-way classification has been presented
in sorne detail. Other covariance models can be analyzed in similar Ho: Ti = 'T2 ='Ta= 'T4
fashion. corresponding to Table 18.2 is Table 18.5.

1
396 LINEAR STATISTICAL MODELS l\IIXED l\IODELS 397
TABLE 18.5 AUXILIARY TABLE FOR TESTING 'T1 = 'T2 = T3 = T4 discussed. If an experimenter desires distributional properties other
than those given in Eq. (18.12), tests and confidence intervals must be
(SS:xy)2 altered accordingly.
sv DF 1 SS:y 2 -
SS:x 2
MS F
1
The two-way classification mixed model \Vith interaction and with
Treatment
equal numbers in the subclasses will be defined by
-
plus error
Error
19
16
196.62
1.39 .087 748+ ri =l. 2 •...• t
Difference 3 195.23 65.077
1 j = l, 2, ... 'b (18.12)

The result indicates that the treatment effects are certainly different; where µ and -r i are assumed to be fixed unknown parameters su ch that
t k = 1, 2, ... , 1n

i.e., we reject H 0 •
t
.2
¡::::::¡
Ti= 0
18.2 Two-way Classification Model with lnteraction and with
Fixed and Random Effects and where p1, ( -rP),.;, and e,.;k are random variables such that
In Chap. 12 the two-way classification model with interaction was E(f.J;) = E( -r{1)¡1 = E(ew.:) = O
discussed. In that chapter model 4 was assumed; that is to say, µ, -ri, the eiJk are independent and distributed N (O,a;) ; the eiik are independent
f.J ;' and (-r{J) i; were assumed to be fixed unknown constants. In Chap. of the {.J1 and ~he (-r{.J)i;; the P; are independent and distributed N(O,o¡);
1 7 various types of model 5 were discussed. In these models ali effects the {.J1 are mdependent of the (-r{J)ii; the {-r{J);; are distributed
were random variables except the O\Ter-all mean µ. t - 1
In man y experiments the model that fits the situation is neither 4 nor N(O, - t- tr;p);
5 but a combination of the two. In a mixed model such as this, there
could be many specific types; that is to say, in an n-way classification E[( -r{.J),.1( -rf.J)i·;] = - ~ a;p if i =I= i,
model, any of the main effects could be fixed and any could be random.
However, in a realistic model, the interaction terms are fixed or random E[ ( -r{.J)¡¡( -rf.J)w] =O if.i =I= j'
depending on the main effects that occur in them.
Since so many different types are possible, all cannot be described. and .2i (T{.J)¡; = O for allj.
Only one will be discussed: the two-way classification model. From · If all the terms were fixed except em.:• the AOV would be as given in
this model the general procedure can be inferred. Chap. 12. This AOV is also given in Table 18.6, except for the EMS
The distributional properties for model 4 and model 5 were fairly column, which is different for the mixed model ( 18.12). The object in
straightforward, but this is not true of the mixed model. If any this model is to test H 0 : a~ = O, to test H 0 : a;tJ = O, to test H 0 : Ti =
element in an interaction term is random, it may be realistic to assume -r 2 = · · · = -rt, and to set confidence intervals on contrasta of the Ti.
that the interaction term is random also. However, in that case we· To accomplish this, we shall find the distribution of the sums of
must postulate the distributional properties of the interaction terms. squares in Table 18. 6.
The proper error term to use to test certain hypotheses and set certain The following theorem will be proved concerning the distributional
confidence intervals depends on what distributional properties are proper~ies of the sums of squares in Table 18.6.
assumed to hold. 1 The model and distributional properties given in
Eq. (18.12) will be assumed, andan AOV for this situation will be • Theorem 18.6 Let the model and distributional properties be as
given by Eq. (18.12), i.e., a mixed two-'''ªY classification model.
l There are many sets of distribut.ional properties that have been advancecl as Then
realistic for various situations [3, 4, 5, 6]. A discussion of these various
assumptions is beyond the scope of this book. The concem hero is to explain (1)
methods of analysis when various assumptions hold.

1
 : '

398 LINEAR STATISTICAL MODELS

is distributed as x'2[(t - 1), A.], where

l=
mb 2 (r, - f.} 2
i
1
·1
Further, for i =:p. i',

cov(xi,x,.) = uii' =
MIXED MODELS

E[P. + (r{3)i. + é¡.JLB. + (T{J)¡•. + e¡• . .l

399

2(a! + ma~p) <12

=:::..1!.. 1
__ <12
2 b tb T/I
B Í (Y.1. - Y.. J
(2) SS _ =iik~·- - - -
<12
e
+ mta2P - a 2e + mta2P = .!..
tb
(tu2 -
/J
<12 )
TP
is distributed as x2 (b - 1).
N ow let X be a t x 1 vector whose ith element is x.l,· then the vector
(3) 1SS _
L (Yii. :_ Yi .. - Y.i.
.-ii-.,k_ _ _ _ _ _ _ __
Y.. + .>2 X is distributed N(µ*,V), where µ*is a t x 1 vector whose ith
o! + mU:p - ~ + ma;p element isµ + ,,.i and where Vis a t x t covariance matrix whose
is distributed as x2(bt - b - t + 1). ii'th element is uii'· Also, we can write
t

(4) E SS L (Yiik - Yis.>

2
Li (Yi .. - Y.. J 2 = L (x¡ - x.) 2 = X' AX
=iik~---- i=l
-;¡:o = <12
6 where A = 1 - (1/t}J.
is distributed as x 2 [bt(ni
- l)]. Now, by Theorem 4.9, X'BXis distributed as x'2(n,A.) if and only
(5) The quantities (1), (2), (3), and (4) are pairwise independent. ifBVB = B, wherenistherankofB andl = f(µ*)'B(fJ.*). Let
us set
TABLE 18.6 ANALYSIS OF VARIANCE FOR TWO-WAY CLASSIFICATION
bmA =B
SV EMS
DF SS o!+ 1n<i;p
2
Total btm LYi1k Then BVB = (mb) AVA
ijl.:
(o! + mu~p )2
l\lean
Y:..
Duo to T t- l 7'sa = L (Y1 •• -
btm

Y•• J 2
But AVA= (1-Hv(1-H =V-HJV+vJ-fJVJ)
ijl.:
Let C = JV; then
Dueto {J b-l Bss = Í (Y.¡. - Y•. J 2 t
ijl.:
cpq = .L asq = 2s usq + uqq
lnteraction (t - l)(b - 1) Isa = L (Y11. - Y; •• - Y.¡. + Y..J 1 a:+ mu;p s==l
S:/:q
ijl.:

Error bt(tn - l) Ess =Í

ijl.:
(Ym.: - Yo.l 2 = .t (~ - ~ir,,) + ~ [,,; + m~ +
s#q
m(tt- l) ir,,]
Proof: First we shall prove (1). If we let X¡ = Yi.-' then X¡ is = -
1
(u! + nz.toj)
distributed N(µ + r¡, <1¡¡}, where mb
<Iu = \·ar(y¡_.} = E[/J. + (-r{J),. + é¡.J
- - 2
So every element of C equals
=~+t-I~ + ~ 1
-mb <o! + mtu¡)
b bt TP mb

= _!__[~ + m~ + m(t -
mb 0
p t
1) ~J
T/J
or C = J
2
<16 +. m tUp2
mb

1
 ·~ .

400

Also, 1
-JVJ=-
t
LINEAR STATISTICAL MODELS

1 JJ a!
t
+ mta~- _- J a! + mto]
mb mb
'T and
l\HXED l\IODELS

Á. = mb :L (T, - -r.)2
401

Therefore, AVA =V- J a; + mtai = D (say)

1 This completes the proof of (1).
2(a! + ma~p)
nibt
To prove (2), substitute the model into the equation for Bss and
O: + mtoi obtain
Then d -
ii -
<1 . -
"
e
mtb
t- 1
= - - a 26
tmb
+ m(tmtb
- 1) 2
Grp

2ijk (Y.;. L [,8; - /i. + e.;. - e.. .12

2
Bss = - Y.. J =
t-1 -2) iik
= --(ae + 2
marp
mtb =2 [(,81 + e.1.> - <P. + e.. JJ2
ilk
and, if i =I= i',
Now let {J1 +e.;. = x 1, and is distributed independently and
_
d .. , - <Jii'
_ a~ + mtai = __l_ (<12
b 0
+ ma2T/1 ) N(O, a~ + a;/mt). If we set
X;

u mtb mt
b
So we see that
u =
2 (X¡ - x.)2
.....
1=__1______
D (1 - !.t J) a~ +mbma~p = A<J! +mbm~p
= a:+ <i;/mt
then, clearly, u is distributed as x2(b - 1); but
Therefore, b
L (x; - x.)2 2
and BVB=B
u= mt ;=1 = _2 (Y.;. - Y.. J
a! + mta¡ iJk o! + mtaj
We can now invoke Theorem 4.9 and conclude that X'BX is a
To prove (3) we shall use the fact that, if random independent
noncentral chi-square variate. But quantities X;; are distributed N(O,u2), then
mb mb ""' )2 _
Í (Yi .. - Y.. J2 t b
X'BX=
o!+ mG~p X'AX = -2
U~+
. -2
maT/J i
k (Yi .. -Y ... - 2
(1C
+ mO-:T/1
•;::.;.3k_·_ _ __

k""' """
k (x11
·· - X·a. - X .,. + X •• )
2
i=l i=l

The rank of B equals the rank of A, which is t - l. Also,

is distributed as x2 [(b - l)(t - l)]. This was proved in Chap. 12.
A= !(p.*)'B(p.*) = mb (p.*)'A(¡.c.*) But let X¡; - x. 1 = zii; then
2(a! +
m~p)
But L (x,; - xi. - X.; + x_.)2 = L (~¡¡ - z;.)2
ff ff

t - 1 2)
and z¡; is distributed N ( O, - t- u , E{ziizii') = O if j =f.= .i and
E(z¡;Zi·;) = -u2 /t if i -=F i'. This says that, if Z¡; has these distribu-
where -r is a t x 1 vector with elements Ti and where p. is a t X 1
tional properties, then
vector with elements µ. So
L (zd - Z¡.}2

t (. -, - T.)2
T'(1 - ~J )..- =
¡
V = =iJ_.- - - -
(fL*)'A(fL*) = u2
402 LINEAR STATISTICAL MODELS l\IIXED l\IODELS 403

and vis distributed as z2((b - l}(t - l)]. This result will be used + Theorem 18.8 To test H 0 : 'Ti = 'T 2 = · · · = Tt, use Tms/lms as

shortly. N ow let us consider an F statistic with t - 1 and (b - l)(t - 1) degrees offreedom.

L (Y¡¡. - Yi .. - Y.i. + Y.. J2 The power of these tests can be found by using previous theorems.
lss _ !!;iil!:....:- - - - - - - - - It can be shown that the best (minimum-variance) unbiased estí-
a!+ m~p - o!+m~11 mate of the treatmcnt contrast LAi'Ti is "i:.Ji.iYi .. and that the variance of
this estimate is
If ,ve substitute model (18.12) into this, we get
lss = L [(T{J)ii - (T/1)1. +e¡¡. - e¡ .. - é.1. + é .. .12
iik
So a confidence interval on LAiT i with coefficient l - <X is
which can be written
2
~ {[(.,.fJ)·¡j +e, u.
k
.. - e·]
·'·
- [('Tp)i
.
+ ei .. - e... ]}2 = L
iik
(w11 - w;.)
ijk

where ('T{J)¡; + éiJ. - é.;. = wii

It is beyond the scope of this book to argue for or against the distri-
So wii is distributed normally with zero mean, and butional properties of (18.12). The object here is merely to give
t-1 t-1-2 , methods for finding tests of hypotheses, etc., for this particular set of
E(w .. )2 = - -
u t
a;/J +--
mt
ue properties. If other sets are desired, then similar methods can be used
to ascertain proper tests, etc.
=--
t- l a! + mcr,p
t m 18.3 Balanced Incomplete Block with Blocks Random:
Recovery of Interblock Information
t - 1 _2
=--u-(say)
t In Chap. 14 the balanced incomplete block model was discussed as
a special case of model 4. It is written
Also, clearly, E(wi;Wi;-) = O if j =I= j', and

1 1 2 __ ~~ + ma~p = _ ~ a2 if i' =J= i

Yum = µ + +Pi+ eiim
7i

E(wiiW¡•¡) = - t a,p -
2
mt <1e - t m t and the elements µ, T¡, and p, were assumed to be unknown constants.
However, in many experimental situations it is quite realistic to assume
The wiJ satisfy the distributional properties of zii above; hence, that the ~~ock effects, p1, are random variables. If the P1 are random,
L (wii - w¡.)2 L (Yu. - Yi .. - Y.i. + Y.J
2 it may be possible to obtain more information about the treatment
u = iJ = !l,ii!i.,k- - - - - - - - - constants -ri than when the {J; are fixed.
u2 a!+ ma;p 18.3.1 Definition and Notation. The balanced incomplete
block model with blocks random will be defined as follows: Each treat-
is distributed as x2 [(b - l)(t - 1)]. . ment appears r times, and there are k plots in each block; every pair of
The proof for (4) is straightforward and w1ll be Ieft for the reader.
treatments appears together in A. blocks. The model can be written
Also, the proof for (5) will not be gi ven.
From Theorem 18.6 we have the following theorem. i. = 1, 2, ... 't
(18.13)
+ Theorem 18.7 (1) To test H 0 : ~=O, use Bms/Ems as_anF statistic {J = 1, 2, ... 'b
with b - 1 and bt(m - 1) degrees of freedom. . . .
(2) To test H 0 : a;p = O, use lms/Ems asan F stat1st1c w1th (b - 1) ~ where m = n¡1 and where n¡¡ = 1 iftreatment i appears in blockj and
x (t - 1) and bt(m - 1) degrees of freedom. = Ootherwise; y i;o does not exist. The µ and -ri are fixed unknown
n¡¡
404 LINEAR STATISTICAL MODELS MIXED MODELS 405
2
parameters; b; is distributed N(o,ai); e¡; 11i is distributed N(O,a ); and all Howevcr, by Table 14.2,
random variables are independent.
18.3.2 Point Estima tes of T v - f-.. If the model in Chap. 14 ¡ y~i. k k
with b; fixed is used, the normal equations are as given in Eq. (14.3).
E ss -- ~
"""A.2
Vm
'!lijm -
J
- k- -1t
A
L qp2 = ¡ (y iim -
um
Y.;J 2 - ,-;
M
L~
From these an unbiased estimate of T :r> - -r. was formed. This is given
in Eq. ( 14.9) and is
If we substitute the model into 'L(yiim - Y.;.)2, we ~t

(18.14) Ess = L
iim
[-r¡ - T.+ eiim - é.;.] 2 - ..!::._ "Lq2
J.t P

w here q 11 is defined as But, by ~q. (14.8), it was shown that qJ> <loes not involve {3;; hcnce Ess
1 b does not mvolve fJ;· Thus Ess/a 2 is distributed as x2 (bk - b - t + 1)
qp =Y'P·· - -k """n
k
i=l
1'1 .Y;
••
(18.15)
under the assumptions of model ( 18.13), that is, where the b. are random
variables. Therefore, the following theorem has been pr¿ved.
The variance of qP is given in Eq. (14.10), and is
+ Theorem 18.9 Let the model be a balanced incomplete block
r(k____
- 1)
_;..... (}'
2 (18.16)
model with blocks random, i.e., model (18.13). Then

From these results it follows that (7:r> - f.)

k

= (k/J.t)qP is distributed
(1) :Ec,f• = ~ :Ec,( Y•·· - ~ t n.,Y.,.) = :Ec.q. i
is an unbiased estimator of LC;-r; if ~ci = O.
N(T - :P
T,
•
~ t -
iJ, t
l a2) (2) 1:c 11.r11 is distributed

and
....
COV''T ... -
\ ..
e
. .,
...
T , T..,.• -
~)
'T
.
k 1
= - -i..t -t O'
2 (18.17) 1 ;J ~
N('....¿.,CP T P' ka2 .,)
¿.,C;

The estimator of a treatment contrast LCi-ri based on the q11 is given (3) Ess/cr2 is distributed as x2 (bk - b - t + l), where (see Table
by Theorem 14.l and is 14.2) . .
k 2 Y~;. k
-At Lc.n.
Ess=LY~· --'----Lq211
í'.11
iim iim k J.t
So (4) Ess and LC 117 11 are independent.

'TIte quan t·1t1es

. U k ~ · be called intrablock
~c 1,qv and Ess w1ll · estima.tors of
and (18.lti) :I:c 1,-r11 and a 2 , respectively.
N ext we shall show tha.t there exists another un biased esti matar of
Equation (14.8) shows that qv does not depend on {J;; hence, Eq. (18.18} :I:c 1,.,. 11 independent of the intrablock estimators ~e p .;. p and E SS• Thi"s
holds even when the blocks are random variables. Next consider estimator will be denoted by LCJ>f1, ancl will be a function of the block
Table 14.2. The quantity Ems is an unbiased estímate of cr2 , and, if the totals Y.;.· The symbol B 11 will be used to denote the total of a.JI blocks
that contain t.rcatment p; this notation was used a.lso in Sec. 14.3. This
/3; are fixed, gives
Ess is distributed as
(}'2
x2(bk - b- t + 1) (18.19) ..
406

Also we shall use B.= - IBi

LINEAR STATISTICAL l\IODELS

1
t
t

i::::l
TI var("Lc B")
11
=
MIXED MODELS

Now the variance of ~c 11B 11 /(r - A) can be found.

1_[¿ e; var(B,,) + L cPc,,. cov(B 11 ,BP.)]

It is
407

Now Y.¡.= LYiim 2

im r - l (r - A) p' ,,,.¡,,)

= L (µ + Ti+ b¡ + e;;m)
im

= kµ + Li nii-ri + kb1 + e.;.

and B, = t ,.,,( + ¿ ,,,.,.,, +
kµ kh, + •.1.) = kr - kA :Ec2(a2
(r _ _A)2 P
+ k~)b

Also, E(B.J = t n,,(kµ + ¿,,,.,.,,) = rk(µ + i'.) + (r - J.j(T, - i'.)

k
= --- (a2 + ku!)I:c;
r-A
E(Lc,,B.,,) _ ~ _
So ---=-----""----~ - LiCp 'fJ
To prove that the estimator based on block totals is independent of the
r-l
intrablock estimator, we shall show that B 1 is independent of q, for ali
"í:.cPBP (18.20) i andj. Since B 1 and q, are each normally distrihuted, their independ-
and
r-l ence will follow ifthey can be shown to have zero covariance. Thus we
is an unbiased estimator of the treatment contrast "Le,,-r 11 where "Lc1.1 =O. have
The variance of this estimator will be found, but first var(BJJ) and
cov(BP,B1,.) will be evaluated.
2
var(B 11 ) = E[B 11 - E(Bp)]2 = E(k ,L np;b; + L? n ;emn)
; ; im
11
=E{[¿ n ,Y.,. - E(¿ n ,Y.,.) J
1 1

= k'E(t n,¡b,y + E(H ...,•umr

But, sin ce b; is independent of bi' ifj =F j' and since the e¡;m are indep~nd­
X [Y. - ! '7~ n ·
1.. k iv
Y .v. - E( Y.1.. ) + !k E(~
7 n."' Y .v.) ]}
ent, this becomes (n;i = n1,i)

k2E(I n;;b~) +E(¿¿ n!1e;1m) = k2a: ¡ n,,1 + a2¡ np;

; ; im ' um
= k 2ra¡ + u L n ;ni;
2
11
ii
= k ra! + rka
2 2

= Ter( u2 + ku!)
The covariance of B 11 and Bv' is needed.

cov(B,,B,.) = E[ ( k t ,.,,b1+ t~ f'um) (k t. n,.,.b,+1~.~ n,.,.•,.l'm')]

1' 0
for every i and j.
To prove that B¡ is independent of E 88 , we can argue as follows: In
p' -:/= p the balanced incompletemodel with blockeffects fixed, theB¡areclearly
= k2a! L np¡np'J + a2 ¡ n 11;np'inii
independent of the intrahlock error E 58 , and the block sum of squares
; Ji Bss is a function of B¡. Now, even if the block effects b1 are random,
+ kla2

¡
= k2la: they do not appear in Ess· So in this case the B¡ and Ess are still inde-
pendent.
= kl( u2 + ka!)
408 LINEAR STATISTICAL MODELS l\HXED l\IO D ELS 409
This proves ( 1) and (2) of the following theorem; the proof for (3) and Before discussing methods for combining the interblock and intrablock
(4) will be omitted. estimators in the balanced incomplete block, we shall provea general
theorem about combining two independent unbiased estimators of a
• Theorem 18.10 Let the model be a balanced incomplete block parameter.
model with blocks random, i.e., model (18.13). Then
+ Theorem 18.11 Let 61 be an unbiased estimator of 8, an:d let the
:Ec B .2 n,,;Y.;. variance of Ó1 be denoted by ai- Let 02 be another unbiased esti-
(l) LC
p
;¡-
JJ
= _'P_P
r-Á.
= ~:e
,, P
'!.....;- - -

r-A. mator of (), and let the variance of 02 be denoted by o¡. Let 61 and
62 be uncorrelated. Then the best (minimum-variance) linear un-
is an unbiased estimator of Le,,.,. P if Lci> = O. biased estii:nator of B is
(2) l:c,,-rJJ is di~tributed
(J = (a:Ó1 + oiB2Hoi + U:)-1
N(,. . ~ 2k ª2
LiC'P'TP'"""Cv
+ka!)
r-A.
Proof: By a linear estimator of Owe mean a linear combination of (J 1
and ó2 ; that is, y = a. 161 + a/J 2 . The problem is to determine cx 1
L Y~;.
; k
~-.
bk
[2 B¡
; k(r - Á) . tk(r - A)
B~ ] and cx 2 such that y is unbiased [E(y) = O] and such that var(y) is a
minimum.
(3) Rss
If O = E(y), this gives
a2 + ka~ a 2 +ka;
is distributed as x2 (b - t) if b > t. O = E(y) = E(«161 + rk¿Ó2 ) = a. 10 + a.z{J = (a.1 + rk¿)8
(4) Lc,,-TP, Lc,;rP, Rss, and Ess are mutually independent. So ª1 + rk¿ = l or ª1 = 1 - rk¿
..
The estimator l:cPBP/(r - A.) will be termed the interblock estimator of var(y) = var(a181 + a 2o2} = a 1 var(01 ) + a 2 var(02 )
JI 2 .. 2 "
1 N ow
the treatment contrast LCP'T ,,.
Sufficient machinery has now been developed so that methods of utiliz- l = aiai + (1 - a 1 ) 2 ai
ing interblock estimators can be explored. These will be discussed in The only unlmown in var(y) is a 1 • The value of a 1 that minimizes
the next two articles. var(y) is found by
18.3.3 Combining Interblock and Intrablock Estimators.
Instead of working with estimators of general contrasts LCP'T P' we shall d var(y) .-2
_ _; ;. . ;. = 2cx¡a¡ - 2(1 - <X¡}a22 = o
consider estimators of Ti - :r_. From these any contrast can easily da1
be estimated. From Theorems 18.9 and 18.10, the intrablock and This gives
interblock estimators of T¡ - :r. can easily be found by setting C¡ =
(t - l)/t and the remaining ci equal to -1/t. 'l.'hen -- l « 1 = oi<ai + 0-:>-1 and a 2 = ai(ai + U:)-1
t- 1 So y = ( a:61 + a~Ó2 }( a~ + ai)-1
l:c!=--
t and y= Ó.
This gi ves us Itis important to notice that ifthe variances ai and oi are not known,
Ó cannot be constructed. In the balanced incomplete block model,
Intrablock:
,.. ,.. k .... ~ k(t - 1) 2
where we shall make use of this theorem, the variances are not known.
Ti - T. = lt qi var(r. - r} , .= u2 a Therefore, the theorem cannot be used directly, but a slight variation
will be employed. The variation consists in replacing the variances
Interblock: ui and ~ with their unbiased estimators. The full impact of this
_ ::
7'.· - ' T = Bi - B. var(-fi - .fJ = (t - l~k (a2 + ka~) (18.21)
variation has not been studied in great detail at the present time. In
' · r - A. t(r - A) order to get sorne insight into this, the following theorem will be useful.
410 LINEAR STATISTICAL MODELS T"~ ",. l\IIXED MODELS 411

• Theorem 18.12 Lct fJ 1 and Ó2 be unbiased estimators of8 with vari- Of course, this quantity cannot be calculated, since the variances are
ance ui and u~, respectively. Let Gi and ~be unbiased estimators ..,1
not known. The estimators of a 2 and ~can be used; but, before thisis
of ui and ai, 1~spectively. Let 01 , 02 , a¡,~ be mutually independ- discussed, various forms of Tf will be examined.
Let Ti denote the total ofthe observations that rcceive the ith treat-
ent. Then . - l t
J ._
IT·,. Then
roen t ; t l iat is, Ti= Y-i .. · and let T = -ti=l

is an unbiased estimator of 8.
Proof: The theorem can be proved by using the fact that, if the ran- 1 - l
q¡ =Ti - - Bi =(T.1 - 1.1 ) - - (B. - B)
k k ' .
dom variables x and y are independent, then E(xy) = E(x)E(y). •

N ow consider If we substitute this into Eq. (18.22) and simplify, we have

2" <'!.2" )
- á2'J a10
E(fJ) = E ( ái +
1
+ ái + ~
2
á: * = T.-'! 1

Ti ' r . + 11r- [(t - k )(Ti -

_
T ) - (t - 1 )(B.1 -
·
B )] ( 18. 23)
•

w-w'
But, because Ó1 and ~/(di + á~) are independent, thc first term can
where V=----------------
t(k - l)w + (t - k)w'
(18.24)

be written 1 l
~ a;) = OE e~ ~ ~)
and W=- w'=--- (18.25)
E(0 1)E (;, u2 u2 ka~ +
Similarly, the second term can be written -rf in Eq. ( 18.23) is the best (minimum-variance) linear unbiased
combined estimator of Ti - 7_. However, since v is unlmown, this

E(B2)E( ª1•• ~ ª2••) oE(~ ~ a•)

quantity cannot be used. Therefore, w and w' (and hence v) will be
= estimated from an AOV table, and these estimates will be used to find a
1 2
combined estimator of Ti - 7_. This estimator will be denoted by
So we get

E(Ó) = OE ( .. ~2 .. ) + OE ( ..- ª... 1z ... 2) = OE ...1 + ~)

,.
(ª2 2
= OE(l) =O
"*
'Ti =
T. - T
i
r
fJ
• +-[(t -
r
k)(Ti - '!') - (t - l)(B.1 - B )]
· •
(18.26)
ui + Gi 6i + ª2 ái + Gi
To find a combined estimator of T¡ - f., Theorem 18.ll and the ~sti­ where w-w'
V=----------------
A

mators in Eq. (18.21) can be used. If we let Tf denote the combmed t(k - I)w + (t - k)fv'
estimator of T¡ - f., this gives and where wand íi/ are estimators of l/u2 and l/(a2 + ka2), respectively,
~ . (t - l)k (u2 + ku2)11 + jji - ~- k(t - 1) 0'2 obtained from an AOV table.
* Át q, t(r - A.) r - A .iJ
2 There are many waysof estimating l/u 2 and l/(a2 + koi), but we shall
present the method given by Yates [11], who was the first to consider
Ti = k(t - 1) u2 + k(t - 1) (u2 + ka!) the incomplete block model with blocks random.
).t2 t(r - Á) To obtain an analysis of variance, the model will be considered with
If each term is multiplied by ).t 2 (r - .A.)/k(t - 1), this simplifies to blocks fixed in order to use the theory in Chap. 14. Then, when an
AOVtableisobtained, themodel will beconsidered with blocksrandom,

Ti
*
=
kq¡(a 2
(r -
-\- ka~)
.A.)a2 +
+ (B¡ - B.)u
}.t(a2 +
ka!Y
- 2
(18.22) 1 and the appropriate mean squares and expected mean squares will be
equated, so as to give rise to estimators of u 2 and ~·
 MIXED :M:ODELS 413
There are two methods of analysis that could be used:
M ethod A. This is often called the metliod of treatments eliminating
(adjusted for). blocks. The sum of squares dueto 'T and {J is broken into
R( -r,{J) = R( T 1 {J) + R({J)
= [SS due to treatments (adj)] + [SS due to blocks (unadj)]
M ethod B. This is often called the method of blocks eliminating (ad-
j usted for) treatments. The sum of squares dueto 'T and{Jis broken into
R( 'T,{J) = R({J j -r) + R( 'T)
= [SS due to blocks (adj)] + [SS due to treatments (unadj)]
Method A is used in Table 14.1. From the above it follows that
R({J j -r) + R(T) = R(T 1{J) + R({J)
or, in words, that the sum of squares dueto blocks (adj) plus the sum of
squares due to treatments (unadj) equals the sum of squares due to
treatments {adj) plus the sum of squares dueto blocks (unadj).
These two methods of analysis are given in Table 18. 7. Method A in
Table 18. 7 is exactly the analysis gi ven in Ta ble 14. 2 except that the su m
of squares dueto blocks (unadj) has been further partitioned into two
parts (A 31 and A 3 - A 31). However, these quantities are not used
directly for estimating r, -
f-..
To compute 7-f in Eq. (18.26), Yates used the analysis given under
.method '.B. The procedure will be explained by rewriting method B of
Table 18. 7 in Table 18.8 and putting in the EMS column. The expected
mean square for intrablock error is as shown because A 4 = B and A
4 4
has the same expectation whether the model has hlocks fixed or blocks
random. Th~ expectation of B 3 /(b - 1) will be examined in sorne _
l detail.
J E(B3) = E(A2 + Á3 - B2) = E(~ l:q7 + z Y~¡.
Al i k
- I YL)
ri
(18.27)

1...... .... • .... By Eq. (18.16), )J t - 1

1 1 var(q.) = - - - a 2
k t
1
.... .o
1
l

Also,

so E(q~) = var(qi) + [E(q,)] 2 = lt t - 1

--- a 2
A.2t 2 (T, -
+- ;¡ ) 2
k t k2 .

) and
~ E(~,q~) = (t - l)a2 +~:E(.,, - :;'.)" (18.28)
412

1
414 LINEAR STATISTICAL MODELS MIXED l\IODELS 415
Now, TABLE 18.8 ANALYSIS OF VARIANCE FOR METHOD B OF TABLE 18.7

l Total
sv DF
bk B = ~Yl;m
SS MSI EMS

y2
Mean 1 Bi = -
...
bk

= L.-r--bk
y2 y2
Treatments t - 1 B i.. •..
2
(unadj) i

t(r - 1)
Blocks b - 1 Ba = A2 + Aa - B2 Eb a 2 + b - 1 ub
2
(adj)
Intrablock bk - b - t +1 B4 =B - B1 - B2 - B3 Ee a2
error
- L (rµ + r-r¡)2 - ta: - tu2
i r We get from the EMS column in Table 18.8

Eb
_
-
~
u-
+ t(r - l) ,. 2
ab (18.29)
b-I

and a:.. = b-1

(Eb - Ee) - - -
. t(r - 1)
(18.30)

and w = 2:_ w' = t( r - l)

+ (b - t)a 2
+ t(r - l)u! Ee k(b - l)Eb - (t - k)Ee
If Eb ~ E 6 , then O: is taken to be zero, and w = w'. From (18.30)
··=!.:E~
k 1'
+ Á _L _L -r
p 1'' 1'
7
k
v' - r:E~
1'
+ (b - t)a2 + t(r - l)a: weget
1' '/:1''
~= ~k - l)(b - l).E• + (1 - k)(b - 1).E, (18.31)
=.!°:E~+
k 1' 3~k7 (tf. - -r )-r -
JI 1'
r:E~ + (b
y
- t)a 2 + t(r - l)a;

The preceding can be summed up in the following theorem.

= _ ~~ (-r _ i' )2 + (b - t)a 2 + t(r - l)a; .l.
k7 :P •
+ Theorem 18.13 Let the model be given by Eq. (18.13), i.e., a bal-
anced incomplete block model with blocks random. An estimator
If this result is combined with Eq. (18.28), we get of -r i - f. using both interblock and intrablock estimators is given

E(B3) = .¡ l:(-r¡ - -r.) 2 + (t- l)a2 - ~ :E(-r¡ - i=.) 2 + (b - t)a2 + t(r - l)u;
by

' · + -v [(t - k)(Ti - :r.)

T. - 1' lii
- (t - l)(B¡ -
B .)]
= (b - l)a2 + t(r - l)U:
Hence the expected mean square is as given in Table 18.8.
Yates eqriáted the observed mean square with the expecte~ mea~
'"* = ·
T¡
¡
T.-P
r

'
r

r
.

square of blocks (adj) and intrablock error in Table ~8.~ ~o obtam est1- where .. (b - I)(Eb - Ee)
V=------------'-----
mates of a2 ando¡. These estimates are used to obtam .,, m Eq. ( 18.26) · t(k - l)(b - l)Eb +
(t - k)(b - t)Ee

1
 -
l~

~
<...
1
1
1
MIXED MODELS

Before we proceed to computing instructions, we shall state two

theorem!=l on combining interblock and intrablock information for test-
ing the hypothesis H 0 : r 1 = r 2 = · · · = rt.
417

+
~ + Theorem 18.14 Let the model be given by Eq. (18.13), i.e., a bal-
1 ancea incomplete block model with blocks random. In addition,
~ let b > t. The notation will be that given in Table 18. 7 for method
........
11 A. If r 1 = r 2 = · · · = rt, the following distributional properties
hold:
""
I~ ( 1) A22 is distributed as
(f
x2 (t - 1).
1

(2) ~ 4 is distributed as x2(bk

(f
- b- t + 1).

(3) u• !ª1.r. is distributed as x•(t - !).

<N <N C'I C'I "o:l4 <N co

+ ~~a¡;! is distributed as x (b
,.....OlOt-.-1COCO 4 1
~ ~ º~.....: ~ ~ (4) A: - 2 - t).
( N . - l ( N . . - 4 0 ...... <N
,....¡ .............................. ...... a
1 1 1 1 1 1 1
(5) The quantities in (1), (2), (3), (4) are mutually independent.

- 11
From this we obtain the following theorem.

~ • Theorem 18.15 Let the conditions ofTheorcm 18.14 hold. Then

e A 2 is distributed as
(!) " = (bk - b - \+!)A
~ z- (t - 1 4
lltl 1 F(t - 1, bk - b - t + 1).
1 -
~+ (2) v = (b - t) A Aa1-A is distributed as F(t - 1, b - t).
(t - 1) 3 -
=~
31

1 ;:;-
(3) u and ?J are independent.
l--+>~~~-7-~~~~~~-1 e' :::.
(4) Z -2 log ptlpV is distributed as x2 ( 4), where PU is the signifi- "
=
s
~

~ C) ~
ti] Ol~OOOl-C':IO
"o:llCOt-..-11Q,.....CO
....,:.¿a)a)oc)oioci
......
canee level of ii u.ndPv is similarly defined forv. So the hypothesis
r 1 = r 2 = · · · = r t is rejected at the a level of significance if z >
a;> +>
;...
E-t x!< 4).
For a complete discussion of this combined test the reader may consult
Zelen [7] and Weeks [l].
18.3.4 Computing Instructions for the Balanced Incomplete
Block Model with Recovery of Interblock Information. Com-
puting instructions for f{ in Theorem 18.13 will be given. A format
416 such as that ofTable 18.9 will be useful. From this table anAOV can

1
418 I ...INEAR STATISTICAL MODELS l\:CIXED .l\fODELS 419

be computed as shown in Table 18.8. The following quantities will TABLE18.11

Treatment
be needed:
SS for treatments (unadj): B2 = __i
~T~

r
-
p2
---=-
bk
l 1 2 3

y X 1 y 1 X 1 y X

SS for treatments-(adj):
k
Á2=-~~
At 'li (18.32)
------------
4.0 LO 7.1 1.3 7.0 .3
8.0 2.1 9.0 .2.0 8.3 .8
Y2. y2 9.4 3.0 13.2 3.3 9.2 1.1
A3 - ~-± - --:..:..!
SS for blocks (unadj): - 7 k ble 12.8
15.7
4.2
5.0
12.8
15.5
3.4
4.1
10.4
11.5
1.5
1.8
1
SS for blocks (adj):
18.8 In Prob. 18.7, find 82
and set a 90" per cent confidence interval on a2.
18.9 In Prob. 18.7, find -91 - '92 •
The example given in Art. 14.4.1 will be used to illustrate the above
18.10 In Prob. 18. 7, set a 95 per cent confidence interval on T¡ - T2 •
procedure. A 2 and A 3 can be obtained from Table 14.6; the other 18.ll In Prob. 18.7, .find the average variance of the estimates of the
quantities are easily computed from (18.32). difference-of-treatment means.
18.12 In Prob. 18. 7, test the hypothesis T¡ = T2 = Ta with a type I error
B 2 = 3.7880 A2 = 3.2908 Á3 = 2.0347 B 3 = 1.5375 probability of 5 per cent.
18.13 Suppose the data of Table 18.12 satisfy the assumptions for a balanced
The AOV is given in Table 18.10. incomplete block with blocks random. Find the intrablock estimates of T. - -r •
The numbers in parentheses are treatment numbers. ' ·
TABLE 18.10 ANALYSIS OF VARIANCE FOR EXAMPLE OF ART. 14.4.l TABLE 18.12

SV DF SS MS Block Treatments
1
Total 21 169.1162 1 (1) 1.2 (2) 2.2
1 161.8519 1
Mean 2 (1) .8 (3) 1.8
Treatments (unadj) 6 3.7880 3 (1) 1.1 (4) 7.1
Blocks (adj) 6 1.5375 .2563 = Eb 4 (2) 2.2 1 (3) 4.2
Intrablock error 8 1.9388 .2424 = E6 5 (2) 1.6 (4) 6.7
6 (3) 4.5 (4) 6.3
1

Problems 18.14 In Prob. 18~13, find the interblock estimates of -r • -r, -

18.l Prove that E(}.:i ..r,) = l:A¡T¡ in Eq. (18.7). 18.15 Find the variance of the estimates in Probs. 18.13 and 18.14.
18.2 Show that the r~nk of the normal equations (18.3) is t + l. 18.16 Run anAOVon thedata in Prob. 18.13 such as that given in Table 18.7.
18.17 Find combined estimators of Ti - 7- for the data in Prob. 18.13.
18.3 Show that E(P) = {J in Eq. (18.5); 0

18.18 Use Theorem 18.15 and the data in P roblem 18.13 to test the hypothesis
18.4 Show that var(P) = a 2/E32 •
T1 = Tz = T 3 = T 4 with a 5 per cent type I error.
18.5 Show that 18.19 Prove parta (3) and (4) of Theorem 18.10.
18.20 If b > t, show that Ras and Esa in Theorem 18.10 can be used to form
a combined estimator of T 1 - -r.•
18.6 Show that
E(ii2) = t(r - 1) - 1 a2
Further Readinf!
rt l D. L. Weeks: An Exact Test of Significance in the Balanced IncompJete
18.7 The covariance model given in Eq. (18.1) is assumed to fit the data in Block Design with Recovery of Inter-block Information, unpublished M.S.
Table 18.l l. Find fi. thesis, Oklahoma State University, Stillwater, Okla., 1957.

1
420 LINEAR STATISTICAL l\IODELS

2 C. R. Rao: General Methods of Analysis for Incompleta Block Dcsigns,

J. Am. Stati8t. Assoc., vol. 42, pp. 541-561, 1947.
3 M. B. 'Vilk: Linear Models and Randomized Experiments, Iowa Ph.D
thesis, Iowa State College, Ames, Iowa, 1955.
4 M. B. Wilk and O. Kempthome: Sorne Aspects of the Analysis of Factorial
1
Experiments in a Completely Randomized Design, Ann. Math. Statist., vol.
27, pp. 950-984, 1956.
5 H. Scheffé: A "Mixed Model" for the Analysis of Variance, Ann. Math.
Statist., vol. 27, pp. 23-36, 1956.
6 H. Scheffé: Altemi:i.tive Modela for Analysis ofVariance, Ann. Math. Statist.,
vol. 27, pp. 251-271, 1956.
7 M. Zelen: The Analysis of Incomplote Block Designs, J. Am. StatÜJt. Assoc.,
vol. 52, pp. 204-217, 1957.
8 D. A. Sprott: A Note on Combined Interblock and Intrablock Estimation in
Incomplete Block Designs, Ann. Math. Statist., vol. 27, pp. 633-641, 1956.
Appendix
9 E. S. Pearson: A Note on Further Properties of Statistical Tests, Biometrika,
vol. 32, pp. 59-61, 1941-42.
10 F. Yates: Incomplete Randomized Blocks, Ann. Eugenics, vol. 7, pp.
121-140, 1936.
11 F. Yates: The Recovery ofinter-block Information in Balanced Incompleta
Block Designs, Ann. EugenW8, vol. 10, pp. 317-325, 1940.
Four tables are presented: central chi-square, Student's t,
central F, noncentral beta. (The cumulative normal distribution
can be obtained from Table A.2 with 11 = co.)

1 Table A.. l Central Chi-square

The entries in this table are x ~ { 11), where

co

P= J
x~(v)
g(u)du=P[u ~ x~(11)]
for probability values P = .0001, .001, .005, .O 1, .025, .05, .1, .25,
.5, .75, .9, .95, .975, .99, .995, .999, .9999, and for degrees of
freedom values v = 1, 2, 3, 4, 5, 6, 7, 8, 9, 10, 12, 15, 20, 24, 30,
40, 60, 120.

Table A. 2 Student' s t

The entries in this table are tr (11 ), where

co

P/2 = f g(t) dt = P[t ~

tp(v)
tp( 11)]

~ for probability values p = .0001, .001, .005, .O 1, .025, .05, .1, .25,
.5, . 75, .9, .95, .975, .99, .995, .999, .9999, and for degrees of

421
freedom values v = 1, 1.2, 1.5, 2, 3, 4, 5, 6, 7, 8, 9, 10, 12, 15, 20,
24, 30, 40, 60, 120, oo.
~ ~ ~ ;~ ~ ~ ! : ~ ! s ~ 55! ; ~ ~
0. CO • N H

Table A.3 Central F ~ ~ ~ ~ ~ ~ ~ i;:~ ~ ~ o ~ : : ; :

The entries in this table are Fp( v 1 , v.J, where

~ ;: :!: ~ ~ i ~: ~ ! : ! ª ! 5:
p = f g(F) dF= P(F ~ Fp(vu v:J)
C,

~ ~ ~ ; ~ i ~ ~ l
H---'

!~ ~ 5! ~ ª : ~ ~
+,:t.++

f~(v1 , v2)
where v1 is the numerator degrees of freedom and 112 is the de- a.!"l __ . ~++.t.•

nominator degrees of freedom.

The values of p are .0001, .001, .005, .O 1, .025, .05, .1, .25, .5,
. 75, .9, .95, .975, .99, .995, .999, .9999; numerator degrees of
freedom v 1 = 1, 2, 3, 4, 5, 6, 7, 8, 9, 10, 12, 15, 20, 24, 30, 40, 60,
120, 00 ; and denominator degrees of freedom 11 2 = 1, 1.2, 1.5, 2, 3,
4, 5, 6, 7, 8, 9, 10, 12, 15, 20, 24, 30, 40, 60, 120, oo.

Table A.4 Noncentral Beta

The entries in this table, except for the E~ column, are ..
et- ..o o
..o ....
..o "'
~ ~ ..o
{31,(/1 , f 2 , <P ), where o .¡. ,..¡ .,.
a.
8p(fa,fi, cf>)
p = J g ((3) d {3 = p [ {3 ~ {3 p (/1 ,f21 <P ) ]
o
where the values of p are .O 1 and .05; the values of /1' the numera- ~N ...... .,:.,:_; :::..;:=~~
tor degrees of freedom, are 1, 2, 3, 4, 5, 6, 7, 8; the values of f 2 ,
the denominator degrees of freedom, are 2, 4, 6, 7, 8, 9, 10, 11, 12,
13, 14, 15, 16, 17' 18, 19, 20, 21, 22, 23, 24, 25, 26, 27' 28, 29, 30'
: .. ~ : ~5 ~ ~ ~ ª ; ~ i ~~ ~ ~ 5 ~ ~
; .,: _;
i N :
+
•
; :; ;

60, oo; and the values far <P = 1, 1.5, 2, 2.5, 3; 4, 5, 6, 7, 8.

The entries in the E;
column are f3p(/ 1 , / 2 , <P =O), where :~~~·~;;~;;:;:i;~;:
~.,¡.,:.,: N :::~~:::::l
1
a.~ o~;;:; i: i:= i::!~.ª
!: ~:
p =
J º~"'
~ "°
a.
O-
... :¡::;:;
N
:g
N Ñ Ñ .-,. .,.; • ••
+

<tO co
~

422 423
 Table A.2 Student's l Table

Entries are t,,(11), where p/2 = j g(l)dt

l{ 11,p) + v'F(l, 11, P)
.
1,,(.,)

V
p•0.0001 p•0.001 p•O. 005 p .0.01 p•O.OZS p. o. 05 p•O. I p•O. ZS p•O. 5 p "º· 75 p• o. 9 ps0.95 p•0.975 p• 0.99 p•O. 995 p. o. 999 p• o. 9999

6. 3138 z. 414l. l. 0000 (-114.1421 (-11 l. 5838 (-ZI 7. 8701 1-Z) 3. 9Z90 (•2) l. 5709 (-317.8541 (-3) 1. 5708 ( ·41 l. 5708 1
1 (+31 6. ló6l. jtZ) 6. 366l. (+ZI l. Z732 1+116.3657 (+112..5452 (+111.270!.

1.2 (+31 l. 5434 (+Z) Z.1.654 (ti) s. 9240 l+l) J. 3239 1+111. 5468 8. 6488 4. 7958 z. 0897 (-119.3358 (-1) 3. 9768 (-111.5305 l·Z) 7. 6117 ( ·Z) 3. 8008 ·ZI l. 5198 1·3) 7. 5984 1-3) l. 5197 {-·I) l. 5197 l. z
9. 6353 6. 0166 3. 7051 1.8230 1-1) 8. 7ZS9 (·113.8131 (•I) 1.4763 (·Z) 7. H81 (-Z) 3. 6699 ·Z) l. ·1675 (·3) 7. 337Z ( ·ll l. 4674 1-41 l. 4674 l. 5
l. 5 {+Z) 3. 8f5B (+l) 8.Z847 (+!) Z.8317 (+ 11 l. 78ZO
4. 30Z7 l..9ZOO l. !.0)6 1-118.1650 (-1) ). 6514 (-1) l. 4Zl3 HI 7. 0799 (·Z) 3. 5367 (·Z) l. 4143 (·3) 7.0711 1·3) l.4142 1-4) l. 4142 l.
z (+I) 9. 999Z (+1) 3.1599 (ti) 1.4089 9.9Z49 6. Z053
)
3 (H)Z.8000 (+1} 1.2.924 7.4533 s. 8409 4.1765 3.18l5 l.. H34 l. 4ZZ6 1-1) 7.6489 (-11 l.49ZI (·I) l. 366C (·Z) 6. 8087 (·Z) 3. 4018 (·Zl l. 3604 (-3) 6. 801! (-31 l. 3!.04 (·4} l. 3603

4 (+I} l. 5544 8.6103 s. 5976 4. 6041 3.495'1 2. 7764 2.1319 l.H44 (-1)7.4070 1-1) 3.413! (·11 l. 3383 1-Zl 6. 67Z'l (-l.) 3. 3341 (-Zl l. H34 {•ll 6.ó6b6 (•ll l. 3333 (-4) l. 3333 4

5 1+111.1178 6. 8688 4. 7734 4. 03Zl 3. 1634 z. 5706 2. 0150 l. 3010 (-11 7.Z.668 (-11 3. 367Z 1-111.3u·1 (-Zl 6.5915 (·ZI 3. Z.936 (-Z} l. JI 7Z 1-316.5958 (·3) 1.3112 (-4) l. 317Z 5

l. Z733 (-117.1756 (-113.3365 (-1) l. 3108 f ·ZI 6. 5374 (-Zl 3.2666 (-ZI l.J06·1 (-3) 6. SJZI (-31 1. 3064 1-41 l. 3064 6
6 9. 0823 s. 9588 4. 3168 3. 7074 2. 9687 Z.4469 •l.9HZ

l. ZS43 (·ll 7. 1114 (•ll J. 3145 (·I} l. 30Z9 (-ll 6. 4988 (•2) 3.Z475 (-ZI 1. Z988 1-316.4'36 (·31 1. 2987 (·41 l. Z987
7
7 7. B846 S.407c;. 4. OZ94 3.4994 }:.!!B : ..~~6 l.8946

l. 8595 l. 2403 (·117.0639 (-1) J. Z983 (-1} l.Z971 (·Z) 6. 4701 l·ZI 3.Z3JI 1-z.1 1.z.930 (-316.4651 (•l) l. Z930 (-4} l.Z930 8
8 7. ll.00 s. 0413 3. 83ZS J. 3554 z. 7515 z. 3060

l. 2Z97 (•I) 7. OZ7Z 1-11J.2851 (-11 l.29ZS (·ZI 6. 4477 (•2) 3. Z2ZO (·Zl l. Z886 (-31 6. 4427 (·31 l. 2,885 1•41 J. 2885 9
.p.. 9 6. 5937 4. 7809 3. 6897 3. 1498 2. 6850 2. Z6Z2 l. 8331
N') 10
.p.. 10 6. 2110 4. 5869 J. 5813 3.1692 z. 6338 z. ZZ8l l.81Z5 l.l?ll (-1) 6.9981 (-11 3.Z755 l-ll l.Z889 {•ZI 6.4Z99 (-ZI 3.Zl3l 1-211.2sso (-JI I>. 4ZSO (-31 l. Z8SO {-4) 1. ze50
IZ
IZ 5. 6945 4. 3178 3.4284 J.0545 2. 5600 Z..1788 l. 78Z3 1.Z088 (-1) 6. 9548 (-1) 3. Z.605 (-111.283! 1-z16.4030 ( ·ZI 3. 1997 (-2) l,Z797 1-31 6. )Q84 1•3) l.Z797 1·41 l. Z797

1.1967 1-11 6.9119 (·11 ).2451 1-11 1.2781 1-ZI I>. 3764 (•2) l. 1865 1-ZI 1.2744 (-31 6. 3119 (·31 J. 2744 (·411.2744
u
15 s.2391 ¡ 4. 072.7 3. 2860 z. 9467 Z.4899 2.1315 l. 7531

1.1848 1-116.869& 1-11 3. 2306 1-11 l. 2127 {•ZI 6. 3499 1-Z) 3. 1732 1-21 1.26'11 1-3) 6. 3454
l·l) l. 2691 (-4) l.2691 zo
zo 4.837] 3. 8495 3.1534 2. 8453 2.4231 z. 086G l. 7247
1-41 1.2665 24
u 4.6544 3. 7454 J.0905 z. 7969 2.3910 2. 0639 l. 7109 l. 1789 1-11 6. 8485 (•l} 3. ZZJZ (•l) 1.2700 l·ZI 6. 3166 (·ZI 3. 1667 1-21 l. 2665 1•3) 6.H2l 1-31 1. 2665
30
30 4. 4824 J. 6460 3. 0298 2, 7500 2..3596 2. Q42l 1.6973 l. 1731 1-116.8276 1-11 3. ZI 57 l·ll l.Z61l (·ZI 6. 3234 (·Zl 3.1601 (-21 l. 2638 (-l) 6. 3190 (·3} 1. 2638 1-4} l. 2638
(-4) l.261Z 40
40 4. 3206 J. 5509 Z.9712 2. 7045 Z. JZB9 2.02.11 1.6839 l. 1673 C·l) 6.8066 (-1} 3. 2084 1-111.2646 (-ZI 6. 310Z. 1-ZI 3. 1535 (-211. 2612 (·3) 6. 3059 (-JI l. Z61Z
(·2) l. 2.586 1-JI 6. n28 (-3) 1.2585 (·41 l.Z.585 60
60 4.1681 3.4602 2.9145 2. 6603 Z..2991 z.. 0003 1.6707 l. 1616 (-1) 6. 7862 1-1} l. 2011 (-1) J.2619 l·Z.) 6. Z969 (·21 3. 1469
(-4) l. 2559 IZO
IZO 4. 0254 3. 37l4 2. 8599 2. 6174 2.2699 l. 9799 1. 6576 1.1559 (-1) 6. 7656 (-1) 3.1937 (-l) 1.H93 1-ZI 6.2839 {-21 3. 1404 (-Z.} l. Z.559 (·31 E..Z796 (-l) l.Zs59

CI) 3.8'106 3. 2905 2. 8070 z. 5758 2. 2414 1.9600 1.6449 1.1503 (·116.7449 1-11 3.1864 (-11 1.2566 (-21 6. Z707 1-21 3. 1338 1-21 •• Z.533 (·JI 6. Z.666
(-3) l. 2533 1-41 l.BJ3 ...
v =degrees of freedom.
The numbers in parentheses inclicate the power of ten by which. the number following is to be multiplied; e. g., (-1) 1.2345
.12345.
Table A.2 is reprinted from Lewis E. Vogler and Kenneth A. Norton, Graphs and Tables of the Significance Levels F(v1, va, p)
for the Fisher-Snedecor Variance Ratio, from NBS report 5069, National Bureau of Standards, Boulder Laboratories, by the
kind permission of the authors and the director of the Boulder Laboratory, F. W. Brown.

Table A.3-;;:~tral F Table e-:. ,*4

".!

J
Q)

Entries are Fp(111 , v2 ) where p = g(F) dF

FP(111, ., )
2
"1 = 1
vz. p• 0.0001 p•0.001 p•0.005 p •0.01 p•0.025 p• o.os p• 0.1 p. o.zs p•O. S p• o. 75 p•O. 9 p. o. 95 p•0.975 p• o. 99 p ªº· 995 p• o. 999 p•O. 9999 V2

1 ~+71 4. os29 (+5) 4. 0528 +41 1.621 l (+31 4. 0522 (+Z) 6. 4779 (+21 l. 6145 (+JI l. 9864 5. 8Z85 1.0000 -11 l. 7157 1-21 2. 5085 (·l) 6. 1939 1-ll l. 5437 (-4) 2. 4678 1-5) 6.1687 1-6) 2.4674 (·8) 2. 4674 1

1.z. (6) 2. 3821 (4} 5. 1319 (31 3. 5094 (JI 1.1048 {21 2. 3927 111 7. 4802 111 2. 3000 4. 3669 ·l) 8. 7158 (·11 l. 581' ( •2) Z. 34Z4 1-3) 5. 7938 (·31 l. -1446 1-4) 2. 3097 {-51 5. 7736 (-6) z. 3094 (·81 2. 3094 l. 2

1 5 151 l. 4790 131 6. 8637 121 8.0184 (Z) 3. 1756 fil 9.2839 fil 3. 6200 111 l. 3728 3. ll35 ·ll 7. 6142 1-11 1.4540 1·21 2.1794 (-31 5. 3994 1-31 1. 3468 (·41z.1536 (•51 S.3834 (-6) z. 1533 (-B)Z.1533 l. 5

2 +3) 9.9985 l+ZI 9. 9850 1+21 l. 9850 1+11 9. 8503 (+11 3. 8506 (+11 l. 8513 8. 5263 l.. 5714 1-116.6667 1-11 l. 33)3 (·ZI 2. 0202 1•31 5. OIZS (-31 l. 2S08 (-41 2. 0002 1-51 5.0000 {-6) 2. OOOll (·812.0000 2

J +ZI 7. 8401 (+21 l. 6703 1+11 s. 5552 (H) 3.4116 l+ll 1. 7443 1+11 1.0128 S. 5183 2. 0239 1-11 s. 8506 {-11 l. Z.195 l·ZI 1. 8659 1-ll 4. 6359 (-3) l. 1572 1-41 l. 8507 1-51 4. 6264 (-61 l. 8506 (-811. 8505 3

4 +2) 2. 4162 i+I) 7. 4137 1+1) 3. llH (+I) Z.1198 (+ll 1. 2218 7. 7086 ... 5448 l. 8074 1· U s. 4863 (-1) l. 1654 (·l.) l. 7911 1-3) 4.4SZ8 1-311.1116 (•4) 1. 7779 (·SI 4,4444 1-6} l. 7778 (-8) 1.7778 4

5 +21 l. Z494 (+ll 4. 7181 (+I) z. 2.785 (+I) 1.6258 (+I) J. 0007 6. 6079 4. 0604 l.69ZS 1-1) 5.Z.807 1·11 l. 1338 (·Z) l. 7470 (-31 4.3448 (-31 1.0848 (•4) l. 7350 1-51"·3373 1·6} l. 7349 1-8) 1. 7349 5

6 + 11 8. 2489 !+I) J. 5507 (+I) l. 8635 (HI 1.3745 8. 8131 s. 9874 l. 7760 1.6214 1-11 5.1489 1-11 l. 1132 (·Z) l. 7181 1·31 ... 2737 (-3) 1.0671 1-41 J. 7068 (· 5) 4.Z668 (-61 l. 7067 (-8] l. 7067 6
7 +I} 6. 2167 (+I) Z.9245 (+l) l.6ZJ6 (+11 l. ZZ.46 8. \i7Z7 5. S914 l. 5894 l. 57ll (-1) 5. 0572 1-11 l. 0986 (-2) 1.6976 (-314.2235 (-31 l. 0546 (·41 l. 6868 (-514.2167 1-611. 6867 (·81 l. 6867 7

8 + 11 s. 0694 (+1) z. 5415 1+11 l. 4688 (+11 l. ll.59 7. 5709 5. 3177 J. 4579 l. 5384 1-114.9898 (· 11 l. 0879 (-Z) l. 6824 1-31 4.1862. 1-31 J. 0453 (·41 l. 6718 (·SI 4.1797 1-6) l. 6718 ( ·8) l. 6718 8

.p.. 9 +11 4.3477 +11 2.2857 (+1) l. 3614 (+I) 1.0561 7. Z093 s. 1174 J. 3603 l. 51ZI 1-114.9382 1-11 1.0796 l·ZI 1. 6706 (·3) 4.1573 t-JI 1. o3u (·41 l. 6604 (·5) 4. 1509 (-6) l. 6603 (·811. 6603 9
~
C11 10 + 11 3. 8577 +I) Z.1040 1+111.28z.6 1+1) l. 0044 6. 9367 4. 964~ J. Z.850 1.4915 l· 11 4.897l 1·11 l. 0729 1·21 t.6613 1-3) 4.1343 (-3) l.OJU 1-4) 1. 6513 1-514.1181 (-611.6512 1-8) l. 6512. 10

12 + 1) 3. 2427 +I} 1.8643 (+1) l. 1754 9. 330Z 6. 5538 4. 7472 3.176! 1.4613 1·11 4.8369 (-11 1.0631 (•21 l.647l 1-314.0999 (-31 l. 02)8 (-41 l. 6377 1-51 4.0940 {·61 l. 6376 (•8) l. 6376 IZ

15 +1) z. 7448 (+ 11 l. 6587 (+ 11 l. 0798 8. 6831 6.U9l ... 5431 J. 073Z 1.4321 l·ll 4.7775 (·111. 0534 (·l.) l. 6335 1-ll 4.0659 (-31 l. 0154 (-4) l. 62.41 (·SI 4. 0601 1-6) l. 6240 (·8} l. 6240 15

20 +I} Z. 3399 tll l.4819 9. 9439 8. 091>0 s. 8715 4. 3513 2. 9747 1.4037 (-"l) 4.7192 1-11 l. 0437 (-Z) 1.6197 1-31 4. 032. 1 (-3) l. 0069 1·411.6106 (-5) 4.0264 (-611.6105 (-8) l. 6105 20

Z4 (+11 2.1663 (+I) l. 4028 9. 5513 7. 8229 s. 7167 4. 2597 z. 9271 1. 3898 1·11 ... 6902 1-1) l. 0389 (·2) l. 61l.9 1-Jl 4. 0153 (-31 1. 0028 HI 1.6040 (·SI 4.0096 (·61 1. 6039 (-8) l.603'! 24

30 1+11 z. 0092 (+11 l. 3Z93 9.1797 7. 56l.5 5. 5675 4. 1709 2. 8807 l. 3761 (-114.6616 1-111.0341 (-21 l. 6060 (·31 J. 9986 1-4) 9. 9860 1-41 l. ~973 (· 51 l. 9930 (-611.5972 (•81 l. 597Z 30

40 +I) l. 8668 1+11 l.Z.609 8. 8278 7. 3141 s. 4239 4.0848 2. 8354 l. 3626 (-1) 4.6330 1-11 l. 0294 1·21 l. 5993 (·31 3. 9818 (·419.9443 1·41 l. 5906 (·SI J. 9765 (·61 l. 5906 (-8) l. 5906 40

60 1+111.nn 1+11 1.1913 8.4946 7. 0771 s. 2857 4. 0012 2. 7914 1.3493 (-11 4. 6053 1-111.0247 1-21 1. 5925 1-3) J. 9651 1-419.9030 (·41 l. 5840 (- 51 3. 9599 (·61 l. 5839 (-811. 5839 60

120 +I) 1.6?04 (+I) l.1380 8.1790 6. 8510 S.1524 3. 9201 z.. 7478 l.3362 <-ll ... 5774 1-111.0200 l•ZI l. 5858 1-31l.9487 (·41 9. 8619 1-41 1. 5774 (·SI 3. 9434 (·61 l. 5174 1·8} l. 5774 120

... +11 l. 5131 (+11 1.0828 7. 8794 &.U49 5.0239 3. 8415 2. 7055 l. JZ.33 l·ll 4. ~94 1-111.0153 1·21 l. 5791 (·l) 3. 93ZI (·41 9.1120) (·41 l. S708 1-51 3. 9270 1-611. 5708 1-81 l. 5708 CI)

11 1 = numerator degrees of freedom; 11 2 = denominator degrees of freedom.

The numbers in parentheses indicate the power of ten by which the number following is to be multiplied, e. g., (-1) 1.2345
.12345.
Table A. 3 is reprinted from Lewis E. Vogler and Kenneth A. Norton, Graphs and Tables of the Significa11ce Levels F(111 , v2 , p)
for the Fisher-Snedecor Variance Ratio, from NBS report 5069, National Bureau of Standards, Boulder Laboratories, by the
kind permission of the authors and the director of the Boulder Laboratory, F. W. Brown.
 v.= 2
"z p•0,0001 p•0.00) p•0.005 p•0.01 p•0.025 p•0,05 p•O. I p•O.ZS pe O, S p•O. 75 p•0.9 p•O. 95 P"D,975 p•0.99 p•O. 995 p• o. 999 p• 0,9999 ~z

1 +7) 5.0000 (tSI 5. 0000 (t4) 2.0000 1+314,9995 ltZ) 7. 9950 li-2) 1. 9950 (ti) 4. 9500 7. 5000 l. 5000
(·IJ l. 8889 l·ll 1.1728 (·ZI 5. 4016 l·ZI 2. 5970 1·21 l. 0152 (•JI S.Ol78 1·31 1. 00)5 (-4) l. oooz 1
1.2 (6) 2. 7850 (4) 5.9999 131 4.1033 (3) 1.2921 (Z) 2. 8011 (1) 8. 7817 (1) 2. 7250 5.4476 1.3049 (-1) 3. 6913 (·l) 1. 1518 1·2) 5. 3550 (·2) 2, 5860 (·21 l. 0135 (·3) 5.0335 (•31 1.0013 (·41 l. 0001 l,2

1. 5 (5) l. 6158 131 7.4992 121 8. 7646 121 3.4737 (21 1.0185 (1) 3.9966 (1) l. 5408 4. 0122 1.1399 ( -11 3. 5064 (-1) 1. 1312 (·2) 5. 3088 (•2) 2. 5750 (·2) l. 0118 (•31 5. 0293 (·3) 1. 0012 1·4) l. 0001 1. 5

2 (+3) 9. 999C ltZ) 9.9900 (+2) l. 9900 (+I) 9. 9000 l+I) 3. 9000 (+11 l. 9000 9. 0000 3.0000 1.0000 1-11 3. 3333 1-11 l. 1111 (·ZI 5. 2632 (•212.5641 1·2) 1.0101 1·31 5.0l51 1-3) 1.0010 1-4) 1.0001 z
3 t2) 6.947<1 (+Z) l. 4850 (HI 4.9799 (+I) J, 0817 (+111.6044 9. 5521 5. 4624 2. 2798 (-1) 8. 8110 (-1) 3, 17 IZ 1·11 l. 0915 (·Z) 5.2181 1·21Z,5533 1-2) 1.0084 1·31 5.0208 (-3) 1.0008 (·<11 l. 0001 3

4 (+2) 1. 980C (+l) 6. 1246 (tll 2.6284 (ti) l. 8000 (tl) l,01>49
8. 4336
6.9443

s. 7861
4, 3246

·), 7797
2. 0000 (-1) 8.2843 (-1) 3, 0941 1-11 l. 0819 (-21 s. 1956 (-2) 2, S479 (·21 1.0016 1-31 5. 0188 (·31 1.0008 (-4) l. 0001

l. 8528 1·117. 987'1 l·ll 3, 0489 (-l) 1.0761 (·Z) 5, 1824 (-Z) 2, 5447 1·2) l. 0071 1-3) s. 0176 (·3) J.0007 (•4) l. 0001
•
5 (+I) 9.7021 (ti) 3. 712Z (+I) 1. 8314 (+1) l. 3274 5

6 (+1) 6. 1633 (+112.7000 {ti) 1.4544 (ti) l. 0925 7. 2598 5, 1433 l. 46)) 1. 7622 (-1) 7. 7976 -11 3.0192 (-1) 1. 07Z3 1-21 5. 1733 ·Z) Z. 5425 ·21 J.0067 ·3) 5,0168 (-3) l. 0007 (-4) l. 0001 6

7 (ti) 4. 5132 (+1) Z, 1689 (+I) J. 2404 9. S466 6. 5415 4. 7J74 l,Z574 l. 7010 (.1)7.6655 ,.1) 2,9983 1·11 1.0696 (·21 5. H>'IZ ·2) z. 5410 (·21 1.0065 (·31 5. 0161 (·31 1. 0006 1·411.0001 1

8 (ti) 3.600C (+l) 1.8494 (+IJ 1. 1042 8.6491 6.059' 4.4590 l. llll 1.6569 (·1) 7. S68J (-1) 2. 98U l·ll 1.0676 (-2) 5.1624 (·2) 2. 5398 (•21 1.0063 (·3) 5.0158 {·3) 1. 0006 (·4) 1. 0001 8

9 +1) 3.0342 tl) 1.6387 (+JI l. 0107 a.ou5 5. 71 .. 7 4. 256! ),0065 1.6236 1-l) 7.4938 (·112.970S l·ll 1.0660 1·21 5. 1586 l·ZI z. 5389 1·2) 1. 006Z (-3Í s. 0153 (-3) 1, 0006 (-4) l. 0001 9
~
t..:>
::n 10 (ti) 2.6541 (+!) 1.490! 9. 4l70 7. 5594 5.4564 4.1028 z. 9245 l. 5975 1·11 7.4349 1·11z.9612 l· 11 1.0648 (·21 5.1557 (·Z) 2. 5382 (•Z) 1,0060 (-3) 5.0150 (-3) 1. 0006 f-4) l. 0001 10

12 {ti) 2.1851 (+11 1.2974 8. 5096 6, 9266 5, 0959 3. 8853 Z.8068 l. 559! 1-11 7.1477 1·112.9469 (·l) 1.0629 l·ZI 5. 1512 1·21 z. 5371 (·21 l. 0059 (·3) 5.0145 (-3) 1. 0006 (•4) l. 0001 u
3,6823 1, 5227 (-1) 7.261l (·11 2. 93Z7 1·11 1.0610 (·21 5. 1469 H!l z.5361 (•21 l. 0057 {·3) 5. 0143 (-3) 1. 0006 1-411.0001
15 {+I) l.810l (+I) l. 1339

20 (tl) l. 51ll 9. 95Z~

7. 7008

6. 9865
6, 3589

s. 8489
4. 7650

4,4613 3.4928
2. 6952

2. 5893 1.4870 (·I) 7. 1773

.
1-11 2. 9186 (-l) 1.0592 (·21 5. 1424 (·Z) 2. 5350 1·21 1. 0055 1·31 5,0138 (·3) 1. 0001> (·41 1. 0001
15

20

24 (tl) l. 395; 9.3394 6,6610 5,6136 4.3187 3, 4028 1 z. 5383 1,4695 1-117.1356 HI Z.9116 (·l) 1,0582 (·Z) 5.1403 (·Z) 2. 5345 l•Z) 1,0054 (·3) 5. 0135 (•3) I, 0005 t-4) l. 0001 24

30 (+11 l.2711 8. 773~ 6.nn s. 3904 4.1821 3,3158 z. 4887 1. 4524 (-l) 7,0941 (·ll z. 90'6 1-11 l. 0513 (•2) 5. ll82 l·Z) 2, 5339 (•211,0054 (·31 s. 0133 1-31 1, 0005 1-41 l. 0001 JO

40 (ti) 1.1691 8.250! 6,066<1 5.1185 4.0510 3. Z317 z. 4404 1.4355 (-1) 7.0531 l·ll 2. 8976 (.1) l. 0564 1·21 5. l358 (·ZI z. 5334 {•Z) 1,0053 (·SI 5. 0133 (·3) 1. 0005 (-4) l. 0001 40

60 (tl) 1.078: 7. 7671 5. 7950 4. 9774 3. 9253 3, 1504 Z,3932 1.4188 (•l) 7.0IU l· 11 2.8907 1· ll l. 0555 l•Zl 5. 1337 l·21 Z, 5329 1-21 1.oos2 (-31 s.ouo (-3) l. 0005 (-4) 1.0001 60

IZO 9.954' 7. 3211 5. 5393 4. 786! 3.8041 3.0718 Z.3473 l. 4024 l·ll 6. 9717 1·11 z.8ua (-1) 1.0545 (·Zl 5. 1316 l·ZI 2, !llU (•2) ¡, 0051 1·31 s. 0128 (-3) l. 0005 (·41 l. 0001 IZO

CD 9.ZIO' 6.9071 5, 2983 4,6051 3,688l 2.99S1 1. lOZ6 l. 3863 l·ll 6. 9315 l·ll 2. 8768 C·ll 1.0536 (·ZI 5.1293 l-2) 2. 5318 (•Z) l. 0050 (·31 5.0UJ (·3) l. 0005 1-41 l. 0001 CD

------~~ ..,_..~-----------------------------.,.·~------------------.-i~--...-- .,..id

·9'

Vi= 3
"2 p•0.0001 p•0.00,1 p•0.005 p•0.01 p•0.025 p• o. 05 p•O, I p• 0,25 p•O. 5 p•O, 75 p•0.9 p•0.95 p•O. 975 p•0.99 p•O, 995 p•O, 999 p•0.9999 "z
1 (+7) 5, 403l (t5) 5, 4031 (t412.1615 (+3) 5. 4033 (tZI 8.6416 (+Z) 2. IS71 {+l} 5, 3593 8.1999 l. 7092 1-114,9410 (•l) l.8056 1·21 9. 8736 1-21 5. 7330
l·ZI 2. 9312 (-Z) 1. 8001 1-3) 5. 9868 (·31 l. 2755 1
1,2 (6) 2. 9549 141 6. 3660 (31 4. 3538 (l) l. 3710 (2) Z,9731 11) 9.3286 (1) 2.9023 5,8883 1.4842 (-1) 4, 7352 l•IJl.8079 (-1) l. 0030 l·Z) S. 8709 l·Z) 3. 0192
1·211.8586 (•J) 6.1978 (-311. 3218 1.2
l. 5 (5) 1.6727 (3) 7.7635 (2) 9. 070 (2) l. 5973 (2) 1.0557 (1) 4.1506 (1) 1.6083 4.2806 1.2947 (-1) 4. 5502 Hl l,8158 l·ll 1.0225 (·216.0349 1·21 l. uzz (·21 l. 9269
1-31 6. 4432 (·3) l. 3756 1. 5
2 (+31 9. 9992 (+2) 9.991' (+Z) 1.9917 (ti) 9. 9166 (ti) l, 9165 (ti) 1. 9164 9.1618 3, 1534 1.1349 l• 1) 4. 3863 (.1) l. 8307 l·l) 1.0469 (·Z) 6, 2329 1·2) l. Z450 (·ZI 2.0081 (·3) 6. 7340 (•J) 1.094 2
3 +Z) 6, 5934 (+2) 1.4111 (+I) 4, 7467 (ti) 2. 9457 (+I) l. 5439 9, 2766 5, 3908 2. 3555 1.0000 1-114,2454 (·I) 1.8550 1-1) 1.0780 (•Z) 6,4771 {·Z) l. 3948 (·2) Z. 1067 (·3) 7.0868 (·3) l. 5167 3
4 {+Z) 1. 8102 {ti) S.6177 (tll 2. 4259 (tl) 1.6694 9. 9792 6, 5914 4.1908 2.0467 1-119.40S4 1-ll 4. 1839 (·I) 1.8717 (.1) 1.0968 l·Z) 6.62ZI (·21 3.4831 1·2) 2. 1647 (-3) 7.2939 1-3) l. 56ZO 4
5 1+11 8. 6292 (ti) 3. 3202 (+I) l. 6530 (ti) 1, Z060 7. 7636 s. 4095 3.6195 1.8843 1-11 9.0715 (•l) 4. ISOZ 1-1) l. 883! (•I) l, 1094 (·Z) 6. 7182 (·2) 3. 5415 1-2) 2.Z030 (-3) 7.4305 (-3) l. 5919 5
6 kt11 5. 368< (+1) 2. 3703 (+l) l. Z917 9. 7795 6. 5988 4. 7571 l. l888 l. 7844 1-l) 8, 8578 (-1) 4. 1292 l·ll 1.8923 1-_I) 1. 1185 (·2) 6, 7866 (·ZI 3, 58Z8 (•2) 2. 2303 (·317.5275 (•3) l.61JZ 6
7 (+l) 3.8671 (ti) l. 8772 (ti) 1, 0882 8.4513 5. 8898 4, 3468 l.0741 l. 7169 l· 11 8. 7095 l·ll 4. 1149 1·11 J. 8989 l·I) l. IZ53 (·Z) 6, 8381 (·Z) 3.6138 l·ZI z. ZSOS 1·31 7. 5998 {-3) l. 6290 7
8 l+I) 3, 0456 1+11 l. S8Z9 9. 5965 7. 5910 5.4160 4.066Z 2. 9238 l. 6683 (•l) 8. 6004 1·114.1044 1-111.9041 1-11 1.1306 (·2) 6.8776 l·Z) 3, 6378 (•2) z. Z66Z 1-3) 7. 6559 1-J) l. 6413 8
~ 9 ti) 2, 5404 (+1) l. 3902 8, 1111 6. 9919 S,0781 l. 86Z6 2. 81Z9 1.6315 1-11 8, 5168 l-11 ... 0967 1-11 l. 9084 1-1) 1.1348 l·Z) 6, 9094 (·2) J, 6570 (·21Z.2788 (•3) 7. 7006 (-3) l. 6511 9
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CD l. 5564 2. 9588 2. 5188 2. 3209 2.0483 l.8301 l. 5987 l.254~ 1-11 9. 3411 1-11 6. 7372 1·114.8652 1·113.9403 1-11 3. 2470 1-11 2. 5582 (.1) 2.1559 1-111.4787 1-2) 8. 8891 CD

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"1 = 12
"2 p .. 0.0001 p•0.001 p•0.005 p•D.01 p•0.025 p•O, OS p•O, I p•O.ZS p•O. S p•O. 75 p•0.9 p•O, 95 p•0.975 p•O, 99 paO, 995 p• o. 999 p• o. 9999 "2
1 +71 6. 1067 l+SI 6. 1061 1+41 2.4U6 1+316.1063 (+219.7671 (+21 2,4391 1+116.0705 9. 4064 z. 067~ 1-116,1432 l·ll 3.1481 1-11 2.1ou 1·11 l. 5258 1-1) 1.0718 1-218. son 1-21 5. 3638 1·21l.0538 1

1.2 (6) 3.2504 141 7. 0027 131 4. 7894 131 1.5083 IZI 3.2721 121 l. 0278 111 3,2090 6. 6399 l. 7894 1-116.6485 1-11 3.2449 (·11 1.222! (·11 1, 6344 1-11 1.1636 (·219.3036 1-21 5. 9318 l·Zl 3. 4412 l.Z

l. 5 15) l. 7715 UI 8.2U3 (Zl 9. 6126 121 3.8119 lll 1.1200 Cll 4.4157 111 l. 7230 4. 7276 l. 5563 1-116.5009 1-11 3. 3771 1-11z.3719 1-11 l. 7741 1-111.2824 (·11 l. 0338 (·ZI 6. 6769 1-21 3. 910 l. 5

2 +31 9.9994 +21 9.9942 (tZI 1. 9942 c+u 9. 9416 l+ll 3. 9415 (+l) 1. 9413 9. 4081 J, 3934 l. 3610 1-116.4123 (· 11 l. S628 1-11 z. 5738 1-1} l.9624 1-11 1.407 1-111.1751 (-21 7. 7080 (·2) 4. 5768 2

l 1+21 s. 9833 (+2) 1.2832 l+l) 4, 3387 (+112.7052 l+l) 1.4337 a. 7446 s. 2156 2. 4500 l.197Z 1-11 6.4066 l· 1) 3. 8380 1-11 2.8651 1-11 2.2350 1-11 1.6799 1-11 l. 3839 ~-219.2557 (-21 5. 5867 3

4 (+2) l. 5186 l+ll 4. 741Z (+I) 2. 0705 1+11 1. 4374 8. 1s1z 5. 9117 3. 8955 2. 0826 l.1255 1· ll 6, 4504 l· ll 4,0321 1-11 3. 0682 l•ll Z.4265 1-11 1. 8478 l•ll 1. 5135 1-11l.0381 1·21 6. 3321 4

5 l+I) 6. 7908 1+11 2. 6418 1+11 l. )384 9. 8883 6. 5246 4. 6777 3, Z68Z l. 8877 l.0855 1· 11 6.4981 1-ll 4.1771 1-ll l. Zl97 1-11 z. 5700 1-11 l. 9746 1-11 l. 6471 •ZI 1.1246 l·ZI &, 9101 5

6 (+I) 4,0081 l+ll 1.7989 (+l) l. 0034 7. 7183 5. 3662 3, 9999 z. 9047 l. 71>68 l.0600 1-ll 6, 5419 l-1) 4.2900 1-11J.3377 l•l) 2.6822 1-ll 2. 0744 1-ll l. 7370 -11 1.1935 ~-z11. m5 6

7 l+I} z. 7644 l+ll 1.3707 8.176-1 6. 4691 4,¿659 3. 5747 2, 6681 1,6843 1.0423 1-116.5802 (-11 4. 3806 1-11 3. 4324 1-ll z. 7728 1·11 Z.1554 l·l) 1.8101 -11 l. 2499 ~-21 7. 7566 7

8 (+I) Z.098' l+l) 1.1194 7. 0149 5. 6668 4. lm 3. 2840 2. 5020 1.6244 l.0293 1-ll 6.6138 (-114.4551 1-113.5105 (·I) Z.8475 -11 2. Z2Z5 1-111. 8709 1-11 l. 2970 ·Z) 8. 0771 8

~
(.:1
9 (+11 l. 6961 9. noo 6. 2274 5. 1114 l. 8682 3.0729 2. 3789 l. 5788 1.0194 1-11 6,6428 "1) 4, 5177 1-113,5760 1-112.9105 1-112.2792 l• ll l. 9223 ·ll l. 3369 -218.3503 9
c.n 10 (+1) 1.433~ 8.4452 5. 6613 4. 7059 l. 6209 2. 9130 2. 2841 l. 5430 1.0116 (·11 6.6684 1-1) 4, 570! (-1) 3.6319 l·ll 2. 9642 1-112.3277 l· ll l. 9664 ~-11 l. )7lot -Z) 8. 5861 10

IZ 1+11 1.1144 7. 0046 4. 9063 4. 1553 3. 2773 2.6866 2.1474 l. 490Z 1.0000 1-ll 6. 7105 l-1) 4,6568 1-ll l. 7222 1-11 3. 0513 1-11 Z.4066 1•11 2,0l8Z -1) l.4276 -2) 8. 9732 1Z

IS e. 6859 5.8121 4. Z498 3. 6662 z. 9633 z. 4753 2.0171 l. 4383 1-119.8863 1-11 6. 7586 1-11 4. 7508 1-11l.8213 1-1) 3. 1474 l·I) Z.494C. l•ll 2.1180 -11 1.4905 ·2) 9. 4075 15

zo 6. 783 4. 8229 3. 6779 3. 2311 2. 6758 2. 2776 l. 8924 l. 3873 1-11 9. 7746 1-116.8129 t-11 4.8551 1-l) 3. 9314 1-11 3. 2544 l· ll z. 5917 1-ll t. 2076 -11l.5613 ·ZI 9. 8996 20

Z4 5. 9992 4. 3929 3.4199 ), 0316 z. 5412 z. 1834 l. 8319 l. 3621 l·ll 9. 7194 1-ll 6.8432 1-ll 4. 9116 1-113.9912 (·I) 3. 3127 l· ll Z. 645Z 1-11 z. 2566 -1) l. 600) -11 l. 0171 Z4

30 s. 3075 4. 0006 3.1787 Z.8431 Z, 41ZO 2. 0921 l. 77Z7 l. 3369 1-11 9. 6647 1-116.8757 1-114.9714 1-114.0547 1-11 3. 3746 (·IJ Z. 70ZI l· ll z. 3090 -11l.6421 (•l) l. 046<1 JO

40 4. 697l l. 6425 z. 9531 Z.6648 Z, 2882 z. 003! l. 7146 l. 3119 (-l) 9, 6104 (-1) 6. 9104 (-11 5. 0350 l·ll 4. IZZZ Hl l. 4408 1-1) 2. 7630 l· ll z. 3651 ·11 l. 6870 1-111.0778 40

60 4. 158' 3. 3153 2. 7'119 z. 491>1 2. 1692 l. 9174 l. 6574 l. 2870 1-11 9. 5566 (-1) 6. 9478 1-1) 5. 1029 1-ll 4. 1943 ~-113.5115 l• ll Z, 8Z8S l· ll z. 4255 1-11 l. 7354 -11 l. 1119 60

IZO 1., 5139 Z. 331>3 z. 0548 1.8337 1.6012 l. 2621 1·11 9. S03Z 1-ll 6. 9881 1-ll 5. 1752 1-114.2717 1-1) 3, 5876 l·ll z. 8991 1-11 2. 4907 -11 l. 7879 (•I) 1.1490 11.0
3. 68ZJ 3. 0161
m l.2612 Z. 7425 z. 3583 z. 1848 1. 9447 l. 7SZl 1. 5458 1. ll7l 1-119.4503 1-1) 7. 0319 l-11 s. 2531. 1-1) 4, 3550 1-ll 3. 6699 HI 2.9755 1-1) z. 5615 (·ll l.845Z -11l.1896 a>
 IJ1 = 15
p110, 5 p•0.9 p1t0,95 P"º· 975 p=0.'19 p•O, 995 p=0.999 p•O. 9999 ...z
p•O.OOS p•0.01 p• o.ozs p• 0,05 p•O. l p•O,ZS p• 0.15
"z p•0.0001 p•0.001
1
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1 1+71 6.157< 1+5) 6. 1571 1+4) 2.4630 1+31 6, 1573 l+zl 9. 8487 l+ZI z. 459! (+!) 6. IZZO
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l. z 161 3. 2718 141 7. 0489 131 4.8210 131 l. 5183 IZ) 3. 29~8 121 l. 0347 (1) 3.Z31Z
1·214.6800 l. s
l. 5 15) l. 1787 131 8.US7 121 9. 6518 12) 3. BZ.75 IZI 1.1247 (1) 4.4349 lll l. 1313 4, 7594 l. 575G HI 6.6473 1-11 3. 5055 1-112.4922. 1-111. 8878 1-111. 3887 1-11 1.1350 1-217.5809
9.4247 l.4098 z.
l. 3771 1-11 6. 5673 1- ll 3. 1103 (-l) 2.7157 (-11 2.0986 l·ll l. 5726 1-111.2986 1·21 8.8190 1-2) 5. 5221
2 1+31 9. 9994 1+21 9. 9943 1+21 l. 9943 1+11 9.902 C+ll 3.901 1+11 l. 9429
3
3 1+21 5, '1384 (+2) l. 2737 t+ll 4, 3085 (+112.6872 1+111. 4253 8. 7029 s. 2003 Z.4552 l. Zll l 1-ll 6. 5781 e-ti 4. 0164 1-1) 3.0419 1-11 2. 4080 ·ll l. 8460 l·ll 1.544.t (-11 l. 0712 1·21 6. 8329
Z.G829 1.1386 1· ll 6. 6353 1-114.2348 1-ll 3. Z.127 1-1) 2.6286 l·ll z. 0437 (-1) 1.7233 k-ll 1.U17 ~-Z) 7.8228 4
8. 6565 5. 8576 3, 8689
4 IUI 1.4971 (+I) 4. 6761 (+I) 2.0438 (+11 l. 4198
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5 1+11 6. 6544 l+ll 2. 5911 (+1) l. 3146 9. 7ZZZ. 6,4277 4.6198 3. 2380

l.0722 1-116,7476 1-11 4, 5288 1-ll 3. 5836 1-112.9285 1-112.3157 1-11 l. 9721 1-ll 1.4101 1-21 9.2427 6
9.8140 7. 5590 5. 2687 3. 9381 Z.8712 l. 76ZI
6 1+11 3. 9061 (+11 l. 7559:
1.0543 1-116.1944 1-11 4. 633! 1-11 3. 6947 l-1) 3.0364 -ll 2. 4146 1-11 2.0630 1-1) 1.4835 C-219.7743 7
7. 9678 6,310 4. 5678 3. 5108 Z. 632Z 1.6781
7 1+1) Z.681~ C+ll l. 3314
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6. 8143 5. 5151 4.1012 l.21H 2. 4642 1.6170
8 1+11 z. OZ7~ 1+11 1.08"1
1.0311 1-1) 1) 3,2024 1-11 2. 567! 1-l) z.zou 1-1) l. 5985 1-111.0614 9
6. 0325 4. 9621 3, 7694 3,0061 Z. 3396 1. 570! 6,870~ 1-1) 4. 7934 1-11 3.8646 ( 0
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(j) 10 1+1) l. 374i 8.1288
12
4.1214 4.0096 3, 1772 Z.6169 Z.1049 l.4796 1.011! 1-11 6, 9527 1-114.9576 1-ll 4,0399 1-11 l. 3746 1-ll 2, 7276 1-11 2.3531 1-111.1206 1·1) l.1513
12 l+I) l,0631 6. 7092
1.0000 C·ll 7.0111 1-11 5. 070: 1-ll 4.1606 l-11 l.4939 1•11 Z.8391 1•1) Z.4571 (-1) l.8067 1·11 1. Zl52 15
5,5351 4. 0698 3, szzz z. 8621 2,403! l. 9722 1.4263
15 8.U91
zo
3. 5020 3,0880 2, 57ll z. Z033 1.8449 l. 3Jl6 1-1) 9. 8870 1-11 7,0786 1-1) 5.1967 l-1) 4. 296! C·ll 3.6286 1-11 z. 9657 1·112.5756 1-11 l. 9053 c-11 1. ze90
zo 6. 3741 4. 5618
1-11 1. 9604 (-JI J. 3304 24
4, 1387 3. 2.456 z. 8887 z. 4374 Z.1077 l. 7831 l. 3474 1-11 9. 8312 1-117,1164 l·I) 5.2659 (-1) 4. 3710 1-11 3. 702.9 1-1) 3. 0358 1-1> 2.6414
24 5. 6112
30
30 3, 7527 3. 0057 z. 7002 2, 307Z 2. 0148 l. 7223 1. 3213 1-11 9. 7759 1-11 7, 1567 1-1) 5. 3396 1-11 4. 4508 1-11 3. 7826 1-1)3.llll 1-11 z. 7lZ5 l·I) 2.0201 (-11 l. 3754
4.938!
1-1) J. 4246 40
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(-11 l. 4787 60
60 3. 8ZZI 3.0781 2. 5705 2. JSU 2. 0613 l. 8364 1.6034 l. 2691 1-11 9. 6667 (-1) 7. 248 1-11 5. 504Z -11 4,6294 1-11 3.9617 l-11 3, Z818 1-11 z. 8733 l-llZ.1562
1-1) l. 5386 IZO
IZO 3.36~ 2. 7833 2. 3727 2.191S l. 9450 l. 750! l. 5450 l. 2428 1-119.61Z8 1-117,3003 1- ll s. 5')6<i 1·114.7301 1-11 4.063Z 1-11 3. 3789 l· ll z. 9654 (•11 2,Z347
1·11 1. 6055 co
Z.950' z. 5132. Z.1868 z. 0385 1.8326 1,666~ l. 4871 l. 2163 1-11 9. 5593 1-111. 3578 1-11 5. 6977 1-11 4.8407 1-ll 4.1748 1-11 3.4863 1-11 3. 0673 C·I) z. 3Zl8
CD

------"\·-
,____________. . ._____ --~ d
IJ1 = 20
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1 +7) 6.2091 (+SI 6.2091 1+4) 2. 4836 1+31 6. Z087 l+ZI 9, 9310 l+ZI 2. 4801 1+11 6. 1740 9. 5813 z. 1190 1·1)7.1240 1-11 3. 3617 1-1) Z.Z98l 1-11 1. 7031 0 1) l.2352 1-11 l. 0056 (·ZI 6. 7482 1-214.2736 1

l,Z 16) 3. Z93S (41 7. 0956 131 4. 8530 (JI l. 5283 IZI 3.31S7 12) l. 0417 (1) 3.2536 6, 7484 l. 83)) 1-116.9338 l-l) 3.4780 (-11 z. 4362 HI 1. 8348 1-11 l. 3502. 1-111.1080 1-ZI 7, SZ89 (-l) 4. 8187 1.Z

l. 5 (SI 1.7860 (31 8,Z895 121 9.6914 121 3,803 (ZI 1.1294 11) 4. 4543 fl) l. 7396 4. 7914 l. 5939 1-11 6. 7958 1-11 3. 6370 l·l) 2,6164 1-11z.0063 1-111. 5009 ·l) l.Z4Z9 ·2) 8. 5708 -ZI 5. 5549 l. s
z +ll 9. 9995 (+2) 9, 9945 ltZI l. 9945 l+l) 9. 9449 (ti) 3. 9448 l+l) l. 9446 9. 4413 3. 4263 l. l9Jl 1-11 6. 7Z49 l· 11 3. 86ZO 1-11 z. 8630 1-11 Z.Z415 (.1) l. 7097 1-1) l. 431 1-111.0048 l·ZI 6. 614.Z 2

3 +Z) S, 893C 1t21 l.Zt..12 (ti) 4.2778 (+l) Z.6690 1+11 l. 4167 8.660Z S.1845 Z. 460Z l. Zl5Z l·ll 6.7531 1-11 4.2015 (-1) J.Z27S 1-1) Z. S91 S l· 11 2. 0250 1-11l.7189 r-11 1. z34s HI 8.Z988 l

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5 I+ 11 6. 5157 (+11 2. 5395 l+ll l. 2903 9. SSZ7 6, JZ85 4. 5581 3. Z067 l.88ZO 1.1106 1-116,8966 1-114.6335 1-11 3. 6888 1-11 3. 0403 1·11 Z,074 1-11 z.1001 1-11 l. 5479 C·l) l.0652 5

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15 7, 7582 5.2484 J, 8826 3. 3719 Z.7559 Z. ll7 5 l. 9243 1.4127 1.0114 (· 11 7.2801 (•ll 5.-1203 1-11 ... S386 (-1) 3. 8864 1-11 3,2383 1· 11 2. 85SS l·ll z. 1921 1-1) l. 5687 IS

20 s. '1516 4.2900 3. 3178 z. 9377 Z.41>4S 2. IZ42 l. 7938 l. 3580 1.0000 1-1)7.3638 1-115.57-48 l·ll ... 7077 1-11 4. 0576 1-113.4040 1·113.0140 1-1) 2. 3310 (-1) l. 6802 zo
Z4 S.2084 3.8'13Z 3.0624 2. 7380 2. 3273 z. 0267 l. 7302 l. 3307 1-119.9436 1·11 7.4107 l· 11 s. 6603 1-114.8019 (-1)4.1535 1-11 ). 4972 1-113.1037 1-11z.4100 1-111. 7441 z.t

JO 4. 5540 3. 4928 z. 8230 z. 5487 l. 19SZ l. 9317 1.6673 1.3033 1-11 9. 8877 1-11 7.4f>Zl l· ll 5. 7531 1-114.9041 1-11 4. Z579 1-11 3. 5991 1-11 3. ZOl6 l•ll Z.4969 1-1) 1.8147 30

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60
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IZO ), 0180 2, 5344 z. 1881 z. 0346 1, 8Z49 1.6587 1.4821 l. zzoo 1·119.7ZZ8 1-11 7,6488 1-11 "· 085J 1-1) S.Z734 1-ll 4. 6378 1-11 3. 9733 C-1) ], 5640 (•!) 2,8Zl8 1-1) 2. 0820 IZO

Q)
z. 6193 Z, 2657 l. 9998 l. 8783 l. 7085 l. S705 l. 420(¡ 1.1914 1-119.6687 l· 11 7. 7l62 l· 116.221Z 1- ll s. 4253 1-114.7955 1-11 ... 1302 1-11 3. 7169 1-112.9605 {-11 2. 1976 co
 111 = 24
p•O.OS p•O, l p• o.zs p•O, 5 p:oO. 7'• p•O, 9 p•O. 95 paO, 975 p•0.99 p.o. 995 p• o. 999 p• o. 9999 "z
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l 1+7) 6. 235~ (+SI 6. USO (+t) 2.4940 (+3) 6. Z346 (ti) 9. 97ZS 1+z1 z.4905 1-1) 7. I°'~ (-1) l. 4164 1-112.3476 1-11 l. 7493 1-1) 1.2783

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l. 5 (5) l. 7897 Ul a. 3065 121 9.7113 (Z) 3, 8512 12) l, 1318 (1) 4,4641
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2 (+3) 9. 999' (+2) 9. 9946 l+Z) 1. 9946 l+ll 9, 9458 l+l) 3. 9456 l+ll l. 9454 1-ll 6. 8050 l· 11 3. 9396 Hl 2.ua8 (-1) 2. 3155 1-1) 1. 7814
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zo s. 0463 J. 7030 z. 9159 z. 6077 Z. 2ll4 J, 9464 I, 6768 l. 3193 l. ozzs 1-11 8, OIZ2
1·116.4788 l· 11 5. 7208 1-11 5:1427 (· 11 4. 5500 1·114,1890 (-11 J. 5378 1-11 Z.8834 zo
1.4 ~. 3397 l. Z946 Z.6585 z. 4035 Z.0799 l.84H l. 6073 l. 2885 l. 0170
30 3. 7163 z. 9196
1-11 8, º'ºº 1-1> 6,6194 (.1) 5. 8820 l-11 5. llfl l· 11 4. 7272 (-11 4, l67Z l•ll l. ?IZl 1·113.041.S l4
z. 4151 l, 2079 l. 940( l. 7396 l. 5376 l. 2571 1.011 1 1· ll 8. 1773
(-1) "· 7714 1·116.0639 l· 11 s. 5090 l· 114.9298 1-114.5716 1-1) 3.9140 (-11 3, 2369 30
40 3, J64Z z. 5737 l. 1838 Z.0194 1.8028 l. 6373 l. 467Z l.Z.Z49 1.0056 l·ll 8, Z77' l-116,9575 l· 11 6. Z72l 1-11 5. 7339 1·11 ~. 1653 1-114.8102 (-1) 4. 1518 1-11J.4638 40
60 Z,671.3 1.. 25ZJ l. 961.Z l. 8363 1.6668 l. 5343 l. 3952 1.1911. 1.0000 1-11 8,
IZO Z.2301 1.9502 l. 7469 J,6557 l. SZ.99 J.4290 l. 3203
394~ l· 117.1674 1-116.5176 (· 11 s. 9995 1-1) S.4457 1-11 5. 09&3 l-1) 4.4400 1-113,7420
1.155! 1-11 9. 9443 1-1) 8, 5361 1-11 7. 4Z06 1-116.815• 1•11 6, JZSI l• 11 5. 791.7 l•ll 5.45Zl 1·114.80Z8 l·l) 4, 0975
"º
IZO
m l.8Z50 1.6601 l. 5l1.! l. 4730 l. 3883 1.3180 l. Z.400 1.1164 l·ll 9. 8891 1-11s.71 s~ 1-ll 7. '74ZI 1-ll 7.1971 1-116. 7461 (-11 6. Z.417 1·11 S.91.1.4 1-1} 5.2897 1-1) 4, 5828 m
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442 443
 Table A.4 Noncentral Beta Table
{31'(11,, 113, cp\
T
Entries are (31,(v 1 , v 2 , $ ), where P = J g( (3) d/3 1
1

E~05 and the corresponding values of P(II) o j 1 =2

f2 E~os
1 1.5 2 2.5 3
rp

4 5 6 7 8
l f2 E~os
1 1.5 2 2.5 3
cp

4 5 6 7 8

2 .903 .862 .763 .643 .517 .395 .200 .083 .028 .008 .002 1 2 .950 .881 .803 .704 .595 .484 .286 .140 .064 .024 .008
4 .658 .805 .631 .428 .247 .120 .016 .001 - 4 .776 .824 .661 .460 .272 .135 .020 .001

6 .500 .777 .570 .343 .164 .061 .004 6 .632 .789 .579 .340 .153 .052 .002
7 .444 .768 .552 .319 .144 .050 .003 7 .575 .777 .551 .304 .124 .037 .001
8 .399 .761 ,537 .302 .129 .041 .002 8 .527 .767 .530 .277 .104 .027 .001
9 .362 .756 .526 .288 .119 .036 .001 9 .486 .759 .513 .257 .090 .022

10 .332 .751 .517 .278 .111 .032 .001 10 .451 .752 .498 .241 .080 .017

11 .306 .747 .510 .269 .105 .029 .001 11 .420 .• 747 .486 .228 .072 .015

12 .284 .744 .504 .262 .100 .027 .001 12 .393 .742 .476 .217 .066 .013

13 .264 .741 .499 .256 .096 .025 .001 13 .369 .737 .468 .208 .061 .011

14 .247 .739 .494 .251 .093 .024 .001 14 .348 .734 .461 .201 .057 .010
15 .232 .737 .490 .247 .090 .023 15 .329 .730 .454 .195 .054 .009
16 .219 .735 .487 .243 .087 .022 16 .312 .727 .448 .189 .051 .008
17 .207 .734 .484 .240 .085 .021 17 .297 .725 .443 .184 .048 .008

18 .197 .732 .481 .237 .084 .020 18 .283 .722 .439 .180 .046 .007

19 .187 .731 .479 .235 .082 .020 J 19 .270

20 .259
.720 .435
.431
.177
.173
.044 .007
.006
20 .179 .730 .477 .233 .081 .019 .718 .043

21 .171 .729 .476 .231 .079 .019 21 .248 .717 .428 .170 .042 .006
22 .164 .728 .473 .229 .078 .018 22 .238 .715 .425 .168 .040 .006

23 .157 .727 .471 .227 .077 .018 23 .229 .714 .422 .165 .039 .006

24 .151 .726 .470 .226 .076 .018 24 .221 .712 .420 .163 .038 .005

25 .145 .725 .468 .224 .075 .017 25 .213 .711 .417 .161 .037 .005

26 .140 .725 .467 .223 .075 .017 26 .206 .710 .415 .159 .037 .005
27 .135 .724 .466 .222 .074 .017 27 .199 .709 .413 .157 .036 .005
28 .130 .723 .465 .221 .073 .017 28 .193 .708 .411 .155 .035 .005

29 .126 .723 .464 .220 .073 .017 .t 29 .187 .707 .410 .154 .035 .004

30 .122 .722 .463 .219 .072 .016 30 .181 .706 .408 .153 .034 .004

60 .063 .715 .450 .205 .065 .014 60 .095 .692 .384 .134 .027 .003
00 .707 .437 .193 .058 .011 00 .678 .362 .117 .021 .002
v1 = numerator degrees of freedom; v2 = denominator degrees of Creedom.
Table A.4 is reprinted by permission of University College, from P. C.
Tang, The Power Function of the Analysis of Variance Tests with Tables and
lllustrations of Their Use, Statist. Research Mem., vol. 1.

444 445
 <P
cp
f 2 E~os E~os
1 1.5 2 2.5 3 4 5 6 7 8 la 1 2 2.5 5
1.5 3 4 6 7 8
2 .966 .888 .817 .726 .624 .519 .324 .177 .084 .035 .013 2 .975 .892 .824 .738 .640 .537 .345 .195 .097 .043 .017
4 .832 .830 .670 .468 .278 .139 .020 .001 4 .865 .833 .673 .471 .279 .139 .020 .001
6 .704 .791 .574 .326 .139 .044 .002 6 .751 .791 .567 .314 .128 .038 .001
7 .651 .776 .540 .283 .106 .028
7 .702 .774 .529 .265 .092 .022
8 .604 .764 .513 .251 .084 .018
8 .657 .760• .497 .229 .069 .013
9 .563 .754 .491 .226 .068 .013
9 .618 .748 .471 .201 .054 .008
10 .527 .745 .472 .206 .057 .010
10 .582 .738 .449 .179 .043 .006
11 .495 .738 .457 .190 .049 .008
11 .550 .729 .430 .161 .035 .004
12 .466 .731 .444 .178 .043 .006
12 .521 •721 .414 .148 .030 .003
13 .440 .726 .433 .167 .038 .005
13 .494 .714 .401 .136 .025 .002
14 .418 .721 .422 .158 .035 .004
14 .471 .708 .389 .127 .022 .002
15 .397 .716 .414 .151 .032 .004
15 .449 .702 .378 .119 :019 .002
16 .378 .712 .406 .144 .029 .003
16 .429 .697 .369 .112 .017 .001
17 .361 .709 .399 .139 .027 .003
17 .411 .693 .361 .106 .016 .001
18 .345 .705 .393 .134 .025 .002
18 .394 .689 .354 .101 .014 .001
19 .331
20 .317
.702
.700
.388
.383
.130
.126
.024
.022
.002
.002
J 19 .379 .685 .347 .097 .013 .001
20 .364 .681 .341 .093 .012 .001
21 .305 .697 .379 .123 .021 .002
21 .351 .678 .335 .089 .011 .001
22 .294 .695 .375 .119 .020 .002
22 .339 .675 .331 .086 .010 .001
23 .283
24 .273
.693
.691
.371
.367
.117. .019
.114 .019
.002
.001 -
. 23 .327 .672 .326 .083 .010-
24 .316 .670 .322 .080 .009
25 .264 .689 .364 .112 .018 .001
25 .306 .668 .318 .078 .009
26 .255 .687 .361 .110 .017 .001
26 .297 .665 .315 .076 .008
27 .248 .686 .359 .108 .017 .001
27 .288 .663 .312 .074 .008
28 .240 .684 .356 .106 .016 .001
28 .279 .661 .309 .072 .008
29 .233 .683 .354 .105 .016 .001
29 .272 .660 .306 .071 .007
30 .226 .682 .352 .103 .015 .001
30 .264 .658 .303 .069 .007
60 .121 .662 .320 .083 .010 .001
60 .144 .632 .265 .049 .004
00 .642 .289 .067 .007 00 .604 .227 .036 .002

446
447
/2 E~os
'P
l
t·
f 2 E~os "'
j 1 =6

'
1 1.5 2 2.5 3 4 5 6 7 8 1 1.5 2 2.5 3 4 5 6 7 8

2 .980 .894 .828 .745 .649 .549 .359 .207 .106 .048 .019 2 .983 .895 .831 .749 .656 .557 .368 .216 .112 .052 .022
4 .887 .835 .675 .473 .280 .138 .020 .001 4 .902 .836 .677 .473 .280- .138 .019 .001
6 .785 .790 .561 .304 .119 .033 .001 6 .811 .789 .556 .296 .113 .030 .001
7 .739 .772 .519 .251 .082 .018 7 .768 .769 .510 .239 .074 .015
8 .697 .756 .483 .211 .059 .010 8 .729 .753 .472 .198 .051 .008
9 .659 .743 .454 .181 .04~ .006 9 .692 .738 .440 .166 .037 .005
10 .625 .731 .429 .158 .033 .004 10., .659 .725 .412 .142 .027 .003
11 .593 .720 .408 .140 .026 .002 11 .628 .713 .389 .123 .020 .002
12 .564 .711 .390 .125 .021 .002 12 .600 .702 .369 .108 .016 .001
13 .538 .703 .374 .113 .017 .001 13 .574 .693 .351 .096 .012 .001
14 .514 .695 .360 .103 .015 .001 14 .550 .685 .336 .086 .010 .001
15 .492 .689 .348 .095 _.012 .001 15 .527 .677 .323 .078 .008
16 .471 .683 .338 .088 .011 .001 16 .507 .669 .311 .071 .007
17 .452 .678 .328 .083 .009 17 .488 .663 .301 .065 .006

18 .435 .673 .320 .078 .008 18 .470 .657 .291 .061 .005
19 .419 .668 .312 .073 .007 19 .454 .652 .283 .056 .004
20 .404 .664 .305 .069 .007 20 .438 .648 .276 .053 .004
21 .390 .660 .299 .066 .006 21 .424 .644 .269 .050 .003

22 .377 .656 .294 .063 .006 22 .410 .639 .262 .047 .003

23 .365 .653 .288 .060 .00~ 23 .397 .635 .257 .045 .003
24 .353 .650 .284 .058 .005 24 .385 .632 .252 .043 .003

25 .342 .647 .279 .056 .005 25 .374 .629 .247 .041 .002

26 .332 .644 .275 .054 .004 26 .363 .625 .242 .039 .002
27 .323 .642 .272 .052 .004 27 .353 .623 .238 .037 .002
28 .314 .640 .268 .050 .004 28 .344 .620 .234 .036 .002
29 .305 .637 .265 .049 .003 29 .335 .617 .231 .034 .002

30 .297 .635 .262 .048 .003 30 .326 .615 .228 .033 .002

60 .165 .604 .219 .031 .001 60 .184 .576 .181 .019 .001
00 .567 .177 .019 .001 00 .532 .138 .010

448 449
 .fi= 8
cp cp
f 2 E~os f2 E~os
1 1.5 2 2.5 3 4 5 6 7 8
1 1.5 2 2.5 3 4 5 6 7 8
2 .986 .896 .833 .753 .660 .563 .374 .222 .117 .055 .023 2 .987 .897 .835 .'755 .664 .567 .380 .227 .121 .05'7 .024
4 .914 .837 .678 .474 .280 .138 -:019 .001 4 .924 .838 .678 .474 .279 .137 .019 .001
6 .831 .788 .552 .289 .108 .028 .001 6 .847 .787 .548 .284 .103 .026 .001
7 .791 .767 .503 .230 .068 .013 7 .810 .765 .497 .222 .064 .012
8 .754 .749 .462 .187 .046 .007 8 . . 775 .746 .454 .178 .041 .006
9 .719 .733 .427 .154 .031 .004 9 .742 .729 .417 .144 .028 .003
10 .687 .719 .398 .129 .022 .002 10 .711 .714 .386 .119 .019 .001
11 .657 .706 .373 .110 .016 .001 11 .682 .700 .359 .099 .013 .001
12 .630 .695 .351 .094 .012 .001 12 .655 .688 .336 .084 .009
13 .604 .684 .332 .082 .009 13 .630 .677 .316 .072 .007
14 .580 .675 .316 .073 .007 14 .607 .666 .298 .062 .005
15 .558 .667 .301 .065 .006 15 .585 .657 .283 .055 .004
16 .538 .659 .289 .058 .005 16 .564 .648 .269 .048 .003
17 .518 .652 .277 .053 .004 17 .545 .641 .257 .043 .003
18 .501 .645 .267 .048 .003 18 .527 .634 .247 .039 .002
19 .484
20 .468
.639
.634
.258
.250
.044
.041
.003
.002 t
'
J 19 .510
20 .495
.627
.620
.237
.228
.035
.032
.002
.001
21 .453 .629 .243 .038 .002 21 .480 .615 .220 .030 .001
22 .439 .6:'.4 .236 .036 .002 22 .466 .609 .213 .027 .001
23 .426 .619 .230 .034 .002 23 .452 .604 .207 .025 .001
24 .414 .615 .224 .032 .001 24 .440 .600 .201 .024 .001
25 .402 .611 .219 .030 .001 25 .428 .595 .196 .022 .001
26 .391 .607 .215 .028 .001 26 .417 .591 .191 .021 .001
27 .381 .604 .210 .027 .001 27 .406 .588 .186 .020 .001
28 .371 .601 .206 .026 .001 28 .396 .584 .182 .019
29 .362 .598 .202 .024 .001 29 .386 .581 .178 .018
30 .353 .595 .199 .023 .001 30 .377 .578 .175 .017
60 .202 .550 .150 .012 60 .219 .527 .125 .008
CIO .498 .105 .005 CIO .466 .081 .003

450
l 451
 E~01 and the Corresponding Values of P(II)
1
f 2 E~Ol "' ·¡ <p

1 1.5 2 2.5 3 4 5 7 (· Íz E~o1

6 8 1 2.5 5 6
1.5 2 3 4 7 8
2 .980 .970 .947 .914 .874 .828 .720 .602 .484 .373 .277 1 2 .990 .975 .957 .932 .901 .865 .779 .680 .577 .475 .379
4
6
.841
.696
.949
.934
.885
.839
.784
.687
.651
.498
.501
.312
.233
.076
.077
.010
.018
.001
.003 i 4 .900 .957 .901 .810 .685 .540 .266 .095 .024 .004 .001

7 .636 .928 .822 .652 .447 .258 .049 .006

1 6 .785
7 .732
.941
.934
.850
.828
.695
.649
.498
.431
.305
.235
.068
.035
.007
.004
8 .585 .924 .808 .624 .409 .221 .034 .002 8 .684 .929 .809 .611 .379 .187 .021 .001
9 .540 .920 .796 .601 .379 .193 .025 .001 9 .641 .924 .793 .579 .338 .152 .013
10 .501 .916 .786 .582 .355 .172 .019 .001
11 .467 .913 .777 .567 .336 .156
1
~
10 .602 .920 .779 .552 .306 .127 .008
.015 11 .567 .916 .767 .528 .278 .108 .006
12 .437 .911 .770 .553 .320 .144 .012 12 .536 .912 .756 .508 .255 .093 .005
13 .411 .909 .763 .542 .307 .133 .010 13 .508 .909 .746 .491 .237 .082 .003
14 .388
15 .367
.907
.905
.758
.753
.532
.523
.296
.286
.125
.118
.009
.008
l 14 .482
15 -459
.907
.904
.738
.730
.476
.463
.223
.211
.074
.066
.002
.002
16 .348 .904 .749 .516 .278 .112 .007 16 .438 .902 .723 .452 .201 .060 .001
17 .331 .902 .745 .509 .271 .107 .006 17 .418 .900 .717 .442 .193 .055 .001
18 .315 .901 .741 .503 .264 .103 .006 18 .401 .898 .711 .433 .185 .051 .001
19 .301 .900 .738 .498 .259 .099 .005 1
~ 19 .384 .896 .706 .424 .177 .048 .001
20 .288 .899 .735 .493 .254 .096 .005

i
20 .369 .895 .701 .417 .170 .045 .001
21 .276 .898 .732 .488 .249 .093 .004 21 .355 .894 .697 .410 .165 .042 .001
22 .265 .897 .730 .484 .245 .090 .004 22 .342 .893 .693 .404 .160 .040 .001
23 .255 .896 .728 .481 .241 .088 .004 23 .330_ .891 .690 .399 .155 .038
24 .246 .896 .72~. .477 .238 .086 .004
1 24 .319 .890 .686 .394 .151 .036
25 .237 .895 .724 .474 .235 .084 .004
26 .229 .894 .722 .471 .232 .082 ---.003 ~ 25 .308
26 .298
.889
.888
.683
.680
.389
.385
.148
.144
.035
.034
27 .221 .894 .720 .469 .229 .081 .003 27 .289 .887 .678 .381 .141 .032
28 .214
29 .212
.893
.893
.718
.717
.466
.464
.227
.225
.079
.078
.003
.003
í 28 .280
29 .272
.886
.886
.675
.672
.377
.373
.138
.136
.031
.030
30 .201 .892 .716 .462 .223 .077 .003 30 .264 .885 .670 .370 .134 .029
60 .106 .885 .696 .430 .194 .061 .002 60 .142 .873 .637 .324 .102 .019
00 .877 .675 .400 .169 .048 .001 00 .860 .601 .279 .076 .011

452 453
 - f t= 4-
cp
cp
f2 E~Ol
f2 E~Ol 1 2
1.5 2.5 3 4 5 6 7 8
1 1.5 2 2.5 3 4 5 6 7 8
2 .995 .978 .962 .942 .915 .884 .810 .724 .631 .536 .444
2 .993 .977 .961 .939 .911 .878 .800 .709 .612 .515 .421
4 .941 .960 .1109 .822 .700 .557 .280 .102 .027 .005 .001
4 .926 .959 .907 .818 .695 .552 .276 .100 .026 .005 .001
6 .859 .943 .849 .685 .475 .277 .053 .005
6 .830 .943 .850 .691 .486 .290 .059 .006
7 .818 .936 .821 .624 .389 .191 .018
7 .784 .936 .825 .636 .408 .210 .025 .002
8 .778 .928 .796 .571 .322 .136 .010
8 .740 .929 .803 .590 .347 .158 .014
9 .741 .922 .773 .526 .269 .098 .003
9 .700 .923 .783 .550 .299 .120 .008
10 .706 .916 .752 .487 .227 .073 .002
10 .663 .918 .765 .517 .261 .094 .004
11 .673 .911 .733 .453 .195 .055 .001
11 .629 .913 .749 .487 .231 .075 .002
12 .643 .906 .716 .424 .169 .042 .001
12 .598 .909 .735 .463 .206 .062 .001
13 .616 .901 .700 .398 .148 .034
13 .570 .906 .723 .441 .186 .051 .001
14 .590 .897 .687 .376 .131 .028
14 .544 .902 .711 .422 .170 .044 .001
15 .566 .893 .674 .357 .117 .022
15 .520 .899 - .701 .406 .156 .038 .001
16 .544 .890 .662 .340 .106 .018
16 .498 .896 .692 .391 .145 .033
17 .523 .886 .652 .325 .096 .015
17 .478 .893 .683 .378 .135 .029
18 .504 .883 .642 .312 .088 .013
18 .459 .891 .676 .367 .126 .026 1
19 .486 .880 .633 .301 .081 .011
19 .442 .889 .669 .356 .119 .023 J
20 .470 .878 .625 .290 ·.075 ..010
20 .426 .887 .662 .347 .112 .021
21 .454 .876 .618 .280 .070 .009
21 .410 .885 .656 .339 .107 .019
22 .440 .873 .611 .272 .066 .008
22 .396 .883 .651 .331 .102 .017
23 .426 .871 .604 .264 .062 .007
23 .383 .881 .646 .324 .098 .016
24 .413 .869 .598 .257 .059 .006
24 .371 .880 .641 .318 .094 .015
25 .401 .867 .593 .250 .056 .006
25 .359
26 .349
.879
.877
.637
.633
.312
.307
.090
.087
.014
.013
l
(
26 .389 .865 .588 .244 .053 .005
27' .378 .864 .583 .239 .050 .()05
27 .338 .876 .629 .302 .084 .012
28 .368 .862 .578 .234 .048 .005
28 .329 .875 .625 .297 .081 .012
29 .358 .861 .574 .229 .046 .004
29 .319 .874 .622 .293 .079 .011
30 .349 .860 .570 .225 .044 .004
30 .311 .872 .619 .289 .077 .011
60 .196 .837 .509 .165 .024 .001
60 .171 .856 .571 .233 .050 .005
00 .810 .443 .115 .011
00 .836 .519 .182 .030 .002

454 455
 i -
11= 5 1
cp
f2 E~o1
1 1.5 2 2.5 3 4 5 6 7 8
J f 2 E~o1
1
cp

1.5 2 2.5 3 4 5 6 7 8
2 .996 .978 .964 .944 .918 .888 .817 .733 .642 .549 .458 2 .997 .978 .964 .945 .920 .891
4 .951 .961 -
.910 .824 .702 .559 .282 .103 .027 .005 .001 4 .958 .962 .911 .825 .704 .560
.821
.283
.739
.104
.650
.027
.558
.005
.468
.001
6 .879 .943 .848 .679 .466 .266 .048 .004 6 .894 .944 .847 .675 .459 .258 .044 .003
7 .842 .935 .818 .614 .394 .177 .014 7 .860 .935 .815 .605 .362 .166 .011
8 .806 .928 .790 .556 .301 .121 .007 8 .827 .927 .784 .543 .285 .109 .006
9 .771 .920 .764 .505 .245 .083 .003 9 .795 .919 .756 .488 .226 .071 .003
10 .738 .914 .740 .461 .201 .058 .001 10 .764 .912 .730 .441 .181 .048 .001
11 .707 .908 .718 .424 .168 .042 11 .734 .905 .706 .400 .147 .033
12 .679 .902 .699 .391 .141 .031 12 .707 .899 .683 .365 .120 .023
13 .652 .897 .681 .363 .120 .023 13 .681 .893 .663 .334 .100 .017
14 .626 .892 .664 .339 .104 .018 14 .656 .888 .645 .308 .084 .013
15 .603 .888 .649 .318 .090 .014 15 .633 .882 .628 .286 .071
16
.009 -
.581 .883 .636 .299 .079 .011 16 .612 .878 .612 .266 .061 .007
17 .561 .880 .624 .283 .071 .009 17 .591 .873 .598 .249 .053 .005
18 .541 .876 .612 .269 .063 .007 t 18 .572 .869 .585 .233 .046 .004
19 .523 .873 .602 .256 .057 .006 1 19 .554 .865 .573 .220 .041 .003
20
21 .490
.506 .870
.867
.592
.583
.245
.234
.052
.047
.005
.004
' 20 .537
21 .521
.862 .562 .208 .036 .003
.858 .552 .198 .033 .002
22 .475 .864 .575 . .225 .044 .004 22 .506 .855 .542 .188 .029 .002
23 .461 .861 .567 .217 .040 .003 23 .492 .852 .533 .180 .027 .002
24 .448 .859 .560 .210 .037 .003
-
- 1
1
24 .478 .849 .524 .172 .024 .001
25 .435 .857 .553 .203 .035 .003 25 .465 .846 .517 .165 .022 .001
26 .423 .855 .547 .196 .033 .002 26 .453 .844 ~ ~510 .159 .020 .001
27 .412 .853 ·.541 .190 .031 .002 27 .442 .• 842 .503 .153 .019 .001
28 .401 .851 .536 .185 .029 .002 28 .430 .839 .497 .147 .017 .001
29 .391 .849 .531 .180 .027 .002 29 .420 .837 .491 .142 .016 .001
30 .381 .847 .526 .176 .026 .002 30 .410 .835 .486 .138 .015 .001
60 .218 .819 .452 .116 .011 60 .238 .801 .401 .081 .006
00 .784 .373 .070 .004 00 .755 .311 .042 .001

1
¡
-
456 457
 lndex
Additivity, 324
. test for, 331
Adjusted sum of squares, 298, 312, 315
Analysis of variance, 132, 138
I components-of-variance, balanced
1 interval estimation, 368
incompleta block, 362
~l fourfold model, 352
y one-way, 342
one-way unequal numbers, 353
l' twofold model, 351
twofold unequal numbers, 354
two-way unequal numbers, 360
computing, 152, 154
four-way model, 264
incompleta blocks, 312
with block.'3 random, 412
method of est.imating variance com-
ponents, 346 .
model, 1, 143
for nonadditivity, 330
two-way, with internction, 272
two-way unequal numbers, 298
Analysis-of-variance estimates, 347,
348
Characteristic roots, 4, 5, 49
Cocl\ran, W. G., 86
Combining estimators, 408, 409
461
Completeness, 114, 198
Components of variance, 337
balanced incomplete block, 362
fourfold balanced model, 349
general balanced model, 347
one-way classification, equal
numbers, 338
one-way model, ll!1equal numbers,
351
twofold balanced model, 349
twofold nested unequal numbers,
354
two-way classification, 348
two-way model unequal numbers,
359
Computing, 149ff., 155, 302, 313, 417
Contrast, 235, 311
Correlation, 65, 66, 206ff., 319
multiple, 65, 66, 214
partial, 65, 66, 214
Covariance, 218, 239, 256, 311, 320
analysis of, 383ff
matrix, 54, 57, 202, 294-296, 321
David, F. N., 208, 211, 212, 216
Density functions, 28, 29
chi-square, 31

462 LINEAR STATISTICAL MODELS
Density functions, noncentral beta, 79
noncentral x,2, 75, 77, 89
noncentral F, 77, 78, 205,
243, 312
normal, 31, 48, 319
Snedecor's F, 31, 206
Student's t, 31
T2, 206
W'ishart, 200, 202
Determinants, 6, 9, 339
Doolittle method, 149, 160, 161, 303
abbreviated, 151, 152, 298
Eisenhart, C., 338
Estimable functions, 227, 229, 230, 245,
289, 293
linearly independent, 229, 230, 235,
.289
Estimable hypothesis, 242, 245
Expected mean square, 244, 348
Fisher, R. A., 86, 209
Gauss-Markoff theorem, 114
Hotelling, H., 206
Interval estimation, 37
experimental design models, 241,
258, 261, 312
functional relationships, 193
linear combination of variances, 368
model 1, 120
regression models, 204, 217
variance component~, 371
Least squares, 36, 37
Likelihood-ratio test, 43, 44, 129
Madow, \V., 86
Matrices, 1
derivatives, 11
expected value, 53
idempotent, 12-14, 82, 83, 85, 130,
138, 292, 328
J acobians, 17
Matrices, orthogonal, 5, 49, 237
positivc definite, 2, 3, 320
rank, 2.• 10, 291, 292
symmotric, 2
trace, 7, 14
Maxima, 17, 18, 20
Maximum likelihood, 37, l lo;-197
Mean square, 298, 312
Mínima, 17-20
Minimum-variance unbiased estimat
311
Mixed models, 383ff
covariance, 383
incomplete block, 403
two-way, 396
Models, 93ff., 254
components-of-variance, 102, 104,
337
experimental design, 101, 104, 22
factorial, 254ff., 279
fourfold nested, 349
four-way, 263
functional relationship, 99, 104,
186ff.
general-linear-hypothesis, 106ff.
incomplete blocks, 306ff.
mixed (see Mixed models)
N-way cross, no interaction, 261,
262
one-way, 255, 338
polynomial, l 65ff.
regression, 101, 104, 195ff.
three-way with interaction, 272, 27 4 Power of test, 41, 42
twofold nested, 349
two-way, balanced, with interáct'.
265 :º•
no interaction, 258, 321
unequal numbers, 287ff., 292
Moment, generating function, 32 ,
multivariate normal, 54
noncentral z2 , 75, 76
Móments, 32
Multivariate normal distribution,
49, 197
conditional, 62
linear functions, 56
marginal, 51, 52
\
INDEX
Neyman, J., 39
Noncentra.lit,y, 74, 77, 79-81, 83, 138,
193, 244, 258, 265, 299
. ·· •ormal equations, 117
'xperimental design models, 243,
245, 248
covariance, 384
four-way classification, 248, 262
incomplete blocks, 309
one-way classification, 255
three-way with interaction, 273,
276
two-way, with interaction, 273,
276
unequal numbers, 289, 300
rthogonal polynomials, l 72ff. ·
· ·thogonality, 140
·atnaik, P. B., 88
>earson, E., 39
.>isson distribution, 76
Point estimation, 34, 35
components-of-variance (see Com-
ponents of variance)
covariance (see Covariance)
experimental design modeis, 240,
255, 289
functional relationships, 187
model l. 110, 117
regression models, 197, 217, 226
on correlation, 212
'lOdel 1, 132, 140
lOncentral F, 80, 81
<lratic forms, 3
.istribution of, 74, 75, 82, 130, 138
•xpected valuc, 87
463
Quadratic forms, independence, 84
normal distribution of, 51
positive definite, 49
Random variable, 27
Ratio of variance, 378
Recovery of interblock information,
403
Reparameterization, 235, 240, 274
Robust test, 332
Sample space, 27, 28
Sufficient sta.tistic, 34, 35, 114, 198, 342
Tang, P. C., 79, 80
Tests of hypotheses, 39, 40
experimental design models~ 242,
248, 256, 259,. 312
functional relationships, 193
linear comhination ofvariances, 375,
377
model 1, 128, 133, 143
regression models, 204, 217
variance components, 374
Transformation, 318, 332
Tukey, J. W., 324
Variance, 218, 239, 256, 337
unequal, 320
Weeks, D. L., 417
Welch, B. L., 368
Wishart, 200, 202
Yates, F., 411, 413
Zelen, M., 417