220 Chapter 5 I nferences a bout a Mean Vector

Result 5.2.

is, approximately, a x;-vo random variable. Here the degrees of freedom are v - v0

= ( dimension of e) -
(dimension of 8 o ) · •

Statistical tests are compared on the basis of their power, which is defined as the
curve or surface whose height is P[ test rejects
8. H0 I 8], H0
evaluated at each parameter
vector Power measures the ability of a test to reject when it is not true. In the
8 80 H0
rare situation where = is completely specified under and the alternative H1
8 81
consists of the single specified value = , the likelihood ratio test has the highest
power among all tests with the same significance level a = P[ test rejects = 60] .
H0 I 8
(8
In many single-parameter cases has one component), the likelihood ratio test is uni­
formly most powerful against all alternatives to one side of (} = H0: 00 •
In other
cases, this property holds approximately for large samples.
We shall not give the technical details required for discussing the optimal prop­
erties of likelihood ratio tests in the multivariate situation. The general import of
these properties, for our purposes, is that they have the highest possible (average)
power when the sample size is large.

5.4 CO N F I D E N CE REG I O N S AN D S I M U LTAN EOUS CO M PARISONS

OF COMPO N E NT M EANS

To obtain our primary method for making inferences from a sample, we need to ex­
tend the concept of a univariate confidence interval to a multivariate confidence re­
gion. Let be a vector of unknown population parameters and @ be the set of all
8 8. 8
possible values of A confidence region is a region of likely values. This region
is determined by the data, and for the moment, we shall denote it by R(X) , where
X = [ X , X 2 , . . . , X n ] ' is the data matrix.
1
The region R(X) is said to be a 100 ( 1 a)% confidence region if, before the
-
sample is selected,
P[R(X) will cover the true = 1 a
8] - (5-17)
This probability is calculated under the true, but unknown, value of
IL
The confidence region for the mean of a p-dimensional normal population
8.
IL) S_1 IL) - 1)p
is available from (5-6) . Before the sample is selected,
P n(X -[ _ , _

] (n
( X - < (n p) Fp,n - p (a) = 1 - a
_

whatever the values of the unknown and In words, X will be within

IL I. 1/2
[ ( n 1 ) pFp, n P (a) / ( n p) ]
- _ -
of with probability 1 a, provided that distance is defined in terms of n s- l .
JL , -x S
For a particular sample, and can be computed, and the inequality
n(x - JL)' S-1 ( x - JL) < (n - l )pFp, n - p (a)j(n - p) will define a region R(X)
Section 5.4 Confidence Reg ions and S i m u ltaneous Com pa risons of Com ponent Means 221
within the space of all possible parameter values. In this case, the region will be an
ellipsoid centered at i. This ellipsoid is the 100( 1 - a) % confidence region for p.

To determine whether any /L o falls within the confidence region (is a

plausible value for IL ), we need to compute the generalized squared distance
n( i - p 0 ) S - 1 ( i - p0 ) and compare it with [p(n - 1 )/ ( n - p ) ] Fp, n - p (a). If the
'

squared distance is larger than [p(n - 1 )/(n - p ) ] Fp, n - p (a) , /L o is not in the confi­
dence region. Since this is analogous to testing H0 : IL = /L o versus H1 : IL # IL o [see
(5-7)], we see that the confidence region of (5-18) consists of all p0 vectors for which
the T2 -test would not reject H0 in favor of H1 at significance level a.
For p > 4, we cannot graph the joint confidence region for p. However, we can
calculate the axes of the confidence ellipsoid and their relative lengths. These are
determined from the eigenvalues Ai and eigenvectors e i of S. As in (4-7), the direc­
tions and lengths of the axes of

x p ) < cz -
p(n - 1 )
( - ) ' s-1 ( -
nX-p -
(n p) Fp n - p
_ , (a)

are determined by going

� cj Vn = � Vp(n - 1 ) Fp,n - p (a)jn( n - p)
units along the eigenvectors e i . Beginning at the center i, the axes of the confidence
ellipsoid are
p(n - 1 )
±� (a) e i where Sei Ai e i , i 1, 2, , p (5-19)
n(n p) Fp, n - p
_ = = . . .

The ratios of the A/s will help identify relative amounts of elongation along pairs of axes.

Example 5 . 3 (Constructing a confidence el l i pse for p)

Data for radiation from microwave ovens were introduced in Examples 4.10
and 4.17. Let
x = �measured radiation with door closed
1
and
x2 = � measured radiation with door open
222
n
Chapter 5 I nferences a bout a Mean Vector

For the = 42 [ .564] [ .0144 .0117]

pairs of transformed observations, we find that

x ' S
=
.603203.018 -163..0117391 ] .0146 '
=

8_1 = [ -163.391 200.228

The eigenvalue and eigenvector pairs for S are
A1 =
A2 =
e1 =
e2 =
..0026,02, [[ .-704,.710, .710].704 J

42[ .564 - I-Ll ' .603 - [ -163.203.039118 -163200..232891 ] [ ..560364 - i-Ll ]

The 95% confidence ellipse for IL consists of all values ( JL1 , JL2 ) satisfying

JL2 J
- JL2
2(4041) F2,4o( .05)
<
or, since F2 ,40( . 0 5) = 3. 2
JL1 ) 2
3, - JL2 ) 2
42(203.018) ( .564 - 42(2-00.84(228)163.(3.691)03 ( .564 - JLl ) ( .603 - 6.62
+
JL2 ) <
To see whether IL ' = [ . 5 62, . 5 89 J is in the confidence region, we compute
42(203.018) ( .564 - -.562)84(2163.42(391)200.( .526428)-( ..650362)-( .6.50389)-2 .589) = 1.30 6.62
+
<
We conclude that IL '
IL =
[ ..558962] = [. 5 62, .
. . 5 89
would not be reJected In favor of H1 :
J is in the region. Equivalently, a test of H0:
[ ..556289 ]
IL # at the a = . 05

level of significance.

x' = [
The joint confidence ellipsoid is plotted in Figure
.564, .603p], ( n - 1 ) The center is at
and the half-lengths of the major and minor axes are given by
5. 1 .
v'Ar n( n p_ ) Fp, n - p (a) =
2(
Y.026
4 1)
42(40) (3.23) .064 =

and
vx;
pn ((nn - p1))
_ Fp, n - p (a) =
2(42(441)0) (3.23) .018
\!.002 =

respectively. The axes lie along e1 = [ .704, .710] .710, .704

and e2 = [ - J when
these vectors are plotted with x as the origin. An indication of the elongation
of the confidence ellipse is provided by the ratio of the lengths of the major

2� )pn((nn - p1))
and minor axes. This ratio is
\!A,
-

Fp, n - p (a)

2 v'A; np((nn -- p1)) - - ..016145 3 6

_ � _ _
- ·
VA;
Fp, n - p (a)
Section 5.4 Confidence Reg ions and S i m u ltaneous Compa risons of Com ponent Means 223
2

.65

.60

.55

Figure 5.1 A 95% confi dence e l l i pse

for p..
.55 .60 based on microwave-ra d i ation
data.

The length of the major axis is 3.6 times the length of the minor axis. •

S i m u ltaneous Confidence Statements

While the confidence region n( x - IL ) ' S- 1 ( x - IL ) < c 2 , for c a constant, correctly

assesses the joint knowledge concerning plausible values of JL, any summary of con­
clusions ordinarily includes confidence statements about the individual component
means. In so doing, we adopt the attitude that all of the separate confidence state­
ments should hold simultaneously with a specified high probability. It is the guaran­
tee of a specified probability against any statement being incorrect that motivates
the term simultaneous confidence intervals. We begin by considering simultaneous
confidence statements which are intimately related to the joint confidence region
based on the T2 -statistic.
Let X have an Np ( JL , I) distribution and form the linear combination
Z = a 1 X1 + a 2 X2 + · · · + a P XP = a' X
From (2-43),
JLz = E(Z) = a' 1L
and
a-� = Var (Z) = a' Ia
Moreover, by Result 4.2, Z has an N (a' JL, a' Ia ) distribution. If a random sample
X 1 , X 2 , , Xn from the Np ( JL, I ) population is available, a corresponding sample of
. . •

Z's can be created by taking linear combinations. Thus,

z.1 = a 1 X·1 1 + a 2 X1· 2 + · · · + a P x1. P = a' X 1· j = 1, 2, . . . , n
The sample mean and variance of the observed values z 1 , z2 , , Z n are, by (3-36),
• • •

z = a' x
224 Chapter 5 I nferences about a Mean Vector

and s 2 = a' Sa z

whereSixmandultaSneousare thceosnfamplidence meane intevectrvalsorcanandbecodevelvariaoncpede matfrormixaofconstheix/sder,arteisopnecoftivcon­ely.

fidenceForinatervals fandor aa-' IL� unknown,
for variousa choi100(c1es-ofa)a.%Theconfarigdument pr o ceeds as f o l o ws .
is based on student's t-ratio - J.Lz Vn (a' x - a'IL)ence interval for J.Lz = a' �
fixed

z
t= / --- (5-20)
Sz Vn Va'Sa
and leads to the statement
or Va'Sa Va'Sa
X
a - tn _ 1 ( a/2)
' - Vn < ' < X +
a IL a tn - l ( a/2) Vn (5-21 )
' -

whereIntnequal_ 1 (a/2)ity (i5-s t2h1)e upper can be 100(

i n t e a
r /2)
p r e ttehd per
as c
a ent
s t a i
t l
e e of
ment a ! -
aboutd i s t r itbh ut
e i o n
componentwi t h n -s of1 d.
t h f
e .
mean vect o r IL · For exampl e , wi t h a ' = [ 1 , 0, . .. , OJ, a ' IL = J.L 1 , and ( 5 - 2 1) becomes
ta'hSae us=uals1conf.) Clideencearly,iwentercoulval fdomake r a norsmeveral popul a l conf atiidoencen mean.state(mentNotes, iabout n this castheecom­, that
ponent s of #L, each wi t h as
entstatecoefmentfisciteantkenvecttogetorhs era.isHowever s o ci a t e d conf , i
t d
h ence
e conf coef i d f i
ence c i e ntas 1s o- ci a,
a t by
e d choos
wi t h i
alnlg di
of f t e
h re­
I n t u i t i v el y , i t woul d be desnot i r a1bl-e ta.o associate a "col ective" confidence coefficient
ofever1 ,-a aprwiictehmusthe tconfbe ipaidenced foirnttehrevalconveni s that canencebeofgenera laargteedsbyimulalltachoineousces confof a.idHow­ence
coefcificfchoiicientce: iofntea.rvals that are wider (les precise) than the interval of (5-21) for a spe­
Gi v en a dat a s e t x 1
is that set of a' IL values for whiVnch (a' x - a'IL), x 2 , . . , x n and a par t i c ul a r a, t h e conf i d ence i n t e r v al i n ( 5 - 2 1)
It =
I
Va'Sa
< tn-l(a/2)
or, equivalently, n(a'x - a' IL )2 n(a' - IL) (X )
z
t2 = a' Sa a' Sa t�-J(a/2) 2(5-22)
------ <

Asativielmyulstmaneous al l f o rconf
all
i d
choiencec es r eofgi o
a. n iIst gi
s ev en
ems by r et h
as e o s e t
nabl of e
2 at 'oIL val
expect u es s
t hu ch
at tthheat t
cons i st r
a e l
nt ­
toped�_1 (afj2)or manyin (5-2choi2) wicesl beof a.replaced by a larger2 valu2e, c , when statements are devel­
Cons
termination of i d er i n g t h e val u es of a f o r whi c h t < c , we ar e nat u r a l y l e d t o t h e de­
Section 5.4 Confidence Reg ions and S i m u lta neous Compa r isons of Com ponent Means 225

maxt - max
a
2 _

a
n(a' ( x -
a ' Sa
JL)) 2
Using the maxiJL))m2 izatio[n lemma (2-50)JL))wi2th] , ) , and we get
n(a' (x - (a' (x -
x == a, d == (x - IL B == S,

maxa a' Sa
= nmax a a ' Sa
= n ( x - p, ) S 1 ( x - p, ) =
_ _ _

T2 (5-23)
with the maximum occurring for proportional to . a s-1 ( x - IL )

lation with I positiLetve defX1i,nXit2e,. . Then,. , Xn sbeimaulrtaandom

Result 5.3.
neouslsyafmplor ale lfromtheanintervJL,al I) popu­
a,
Np (

(X a' -
p(n - 1 )
n(n p) Fp, n - p
_ (a)a' Sa , a'X +
p(n - 1 )
n(n p) Fp,n - p
_
(a)a' Sa
)
wil contain with probability a' IL 1 - a.

Proof. Fr o m ( 5 - 2 3) ,
2T = n(X - p, ) ' S - 1 (X - p, ) < 2c implies a' Sa
) 2 c2
n( a' x - a' IL
<
for every or a,
fa'Sa < a' IL < a' x + fa'Sa
a' x -c -y ---;:;- c -y -;;--n-

fthorateverwil ycontaChoos
a. i n g
a' IL
c 2 == p(n - 1 ) Fp,n - p (a)j(n - p)
in for all with probability P[T2 c2] .
a, 1 - a ==
[ s e e ( 5 - 6 ) ]<
gi v es i n t e r v al s •

2TheT -intsIeutrccesviaslsconveni e nt
,ssivinecechoitheccovert o rae f
ge e rpr t o
o t h
babi e l i s
t i
y mi ul
s t
deta neous
e r m i n i
ed n t e
by r vtal
h es of
di s t Res
r i b u
ut i l
o tn 5.
of3 T as
2 •
a' [0, 0, for these T2-inte[rv,al0,s allow us to concl[0, ude that and so on through
. . . , 1J
a' == 1 . . . , OJ, a' == 1, . . . , O J ,

� �
==

\j�
p(n - 1) p(n - 1)
---;,;- < JL 1 < X1 +
_ _

X1 - (a) , (a)
p) Fp, n - p p) Fp n - p
x2 - � x2 �
_ _
(n (n
_ p(n - 1) (S:;:; p(n - 1)
\j ---;,;- < JL2 < +
_

(a) (a)
p) p, n - p
(n _ F (n _
p) Fp,n - p
0
0
0
0
0
0

-
(5-24)
X P - \j (n p) Fp,n - p (a) \j(S;;
- I p(n - 1 ) I p(n - 1 ) (S;;
PP
----;; P \j (n p) \j n;
----;
_ < JL p < X + Fp,n - p (a) _

alifyliholng tdhseimcoefultfaineous l y wi t h confi d ence coef fi c i e nt Not e t h at , wi

1 - a. t h out mod­
corIn trheisspcasondie ng tocient [0, . .we, 0, can0,make
a' S a
a'
==
==
1 - a,
.and. ,we0,stahavetement0, thes sabout
ai ,
sii - 2sik + skk '
thee dif ereandnces
wher
ak , . . . , O J ,
tatement ai == 1
JLi - i-Lk
a k == - 1.
226 Chapter 5 I nfe rences about a Mean Vector

( 5 - 2 5)

The s i m ul t a neous T 2 confidence intervals are ideal for "data snooping." The
confbinatidioencens ofcoefthefcomponent
icient 1 - as remaithatnmers unchanged
JLi i t i n s p ect f
i o
o r
n any choi c e of a,
based upon an examination of
s o l i n ear com­
the data can be es t i m at e d.
mentsInaboutaddition, accorbeldionngig[toS·ntg· hteoS·rtehs]ue-lstlas[mplinX·Supple-mean-ementcenterewed el1)canlipsiensclude the state­
( JLi , JLk )
SA,

n[ xi - JLi , xk - JLk ] ll k
sik skk
l
_
lJLl·
xk - i-Lk J <
p(n -
n-P
Fp n-p(a) (5-26)
'
and stTheil maisimntulaitnaneous the confT2idconfenceidcoefenceficinietnterv(al1 s-foa)r tfhoer itnhdie vwholiduale scomponent et of statements of s. a

mean vect o r ar e j u s t t h e s h adows , or pr o j e ct i o ns , of t h e conf i d ence el l i p s o i d on t h e

mulcomponent
taneous axesconf.idThiences connect intervalios ngibetvenwbyeen(5t-h2e4)sihsadows il ustraoftedthienelthliepnextsoid andexamplthees. i­
Example 5.4 {Si mu ltaneous confidence i nterva ls as shadows
of the co nfidence e l l i psoid)
IfonurExampl
t h r o ot e
s 5.
of 3 ,
t hwe
e obt
door a-icnl ed
o s etdh e
and
2
95% door conf- o i d
pen encemi cel
r l
o i p s
wave e f orr a t
dihaet means
i o n measof u t
r h
e e
­
ment
f r o m s(. 5 The
- 2 4),
95% s i m ul t a neous T i n t e r v al s f o r t h e t w o component means ar e ,
( X1 ( 1) Fp, n -p ( .05) -y ----;; , X1 ( 1) Fp, n -p ( .05) \j ----;;-
- jp n - � jp n -
- \j + \j
�)
_

( .564 - 2(4041) 3.23 \j� · .564 �

( n p) _
(n p) _

=
fN44
+
2(41) 3.23 \j�) or ( .516, .612)
(N44

( X2 - 1) Fp, n -p ( .05) \j ----;; • X2

- j p(n -
\j ( n p )
(S; _ j p(n -
+ \j (
n p)
1) Fp,n-p( .05) -y ----;;) fs;
( .603 - 2�� ) 3.23 � , .603 2�:1) 3.23 �) or ( .555, .651 )
_ _

= +
I n Fi g ur e 5. 2 , we have
5.el3li.pThese on95%thesaxesimultofaneousthe component r e dr a wn
intervals armeans t h e 95% conf i d ence el l i
e shown. as shadows, or projections, of thisp s e f r o m Exampl e
II

Example 5.5 {Constructi ng simu ltaneous confidence i ntervals and e l l i pses)

ThenatiosncorPreosgrobtamai(nCedLEP)by subt87estcolX1leandge stthuedentColsleongetQualhe ColifilceatgeioLevel
n = Exami ­
sandubtehisststoXry2, andx2 X3verarbealgi, vanden ixn 3Tablseci5.ence.2 on Thespagee228datfaogir vXe1 snoTescialt s(cCieQT)nce
= =
=
Section 5.4 Confidence Reg ions and S i m u ltaneous Compa risons of Component Means 227

---------,- - - - - - - - - - - - - - - - - -
I I
I

�-
---�--�� pl
.516 .612

0.500 0.552 0.604

[ 527.54.764]9 and [ 5691.600.3541 600.126.0551 217.23.235]7

Figure 5.2 S i m u ltaneous T 2 -i nte rva ls for the com ponent means as shadows of the co nfidence
e l l i pse on the axes-m icrowave ra d i ation data.

x == S ==

Let Weus comput 25. 1 3 217. 2 5 23. 3 7 23. 1 1

JL3 • have e the 95% simultaneous confidence intervals for and
n
- 1) Fp,n-p(a) 3((8877 - 3)1) F ( .05 ) 3 (8486) (2.7) 8.29
(
JL 1 , JL2 ,

3, 48
p

n _
P = _
= =
and we obtain the simult�aneous confi d ence s t a t
5691.87 34 527.74 �5691.87 34 e ment s [ s e e ( 5 - 2 4) ]
527. 7 4 - v'8.29 < f.L l < + v'8.29
or 504.45 551.03 �126.05 < I-L l <

54. 6 9 - v'8.29 \j(IT6.05

� 54. 6 9
< f.L2 < +
87 v'8.29
or 51.22 58.16 < JL2 <

25.13 - v'8.29 \jf2ill

---p;J
25.13 < f.L3 < + v'8.29 \jf2ill
---p;J
228 Chapter 5 I nferences about a Mean Vector

TABLE 5.2 COLLEG E TEST DATA

(scieSncexocliaandl x2 x3 (scieSncexocil aandl x2 x3

Indivi1dual hi468story) (Ver41bal) (Sci26ence) Indi45vidual hi494story) (Ver41bal) (Sci24ence)
23 428514 3953 2126 4647 541362 4736 2517
45 547614 6167 2733 4948 408594 2868 2317
67 421501 4667 2922 5051 501687 2575 2633
89 527527 5055 2319 5352 633647 5267 2931
1011 587620 7263 3231 5455 614647 5965 2534
131214 468561541 536259 262019 575658 448408633 516555 242819
161517 507527614 654832 282721 596061 441501435 546035 202221
1819 580507 6459 2121 6263 507620 4271 2436
2021 521574 5452 2325 6465 415554 5269 2030
2223 488587 5164 3127 6667 348468 2849 2518
2425 488587 6256 2618 6869 507527 5447 2631
2627 421481 5238 2616 7071 527435 4750 2826
2829 428640 4065 2519 7273 733660 7370 2533
313032 574547580 616464 282728 747576 428507527 453762 282919
3334 494554 5351 2621 7778 481507 4861 2319
363537 454507647 526558 282323 807981 607527488 416966 282823
3839 521427 5766 2126 8283 561614 7059 2334
4041 468587 5557 3014 8584 474527 4941 3016
4243 507574 5461 3131 8687 441607 4767 2632
44 507 53 23
Source: Data courtesy of Richard W. Johnson.
Section 5.4 Confidence Reg ions and S i m u lta neous Com pa risons of Com ponent Means 229
or 23. 6 5 < J.L
< 3 26. 6 1
Witwo-thdtihmeensposiosnaliblesexcept c at t e r ionotofs dothenotverrbevealal scoranyes,stehreiomarus depar
pl ginaltures fplroomtsnorand­
Q-Q
malsamplityefosirztehies lcolargleegeenough qualifitcoajtuiosntifytestthdate meta. h(Sodolee Exerogy, cevenise 5.t1h8.ough) Mortheeoverdata, tarhee
not quiThete norsimmulaltalneous y distriTb2ut-ined.terv(Salees above Sectioarn 5.e 5wi.)der than univariate intervals
becaus
neces s e
a ryal , l t h
becaus r e e mus
e , wi t thol
h t d
h e wi
s t
a h
me 95% conf conf
i d i d
ence, ence. we They
can may
make als tsao t be
e wi
mentdser t h
about an
dif erForencesin.stance, with [0, 1, -1 J, the interval for J.L2 - J.L3 has endpoints
( x2 X3) �p(n( n -p1)) Fp,n-p( 05) �s2 s3n - 2s23
a' =

_
+
_
_
± _ ·

=(54.69 -25.13) /126.05 23.8711 - 2(23.37) 29.56 3.12

± v'8.29 \j
+
= ±

tseorv(2al6.Fis4cann4,al32.lyal, s6weo8)becanisconsa cons95%trutrctconfuectd iconffdoencer tihdeenceiotntheerrelvalldiipffsoeersreJ.Lfnceso2r-pai. J.Lr3s• ofSimmeansultaneous

, and t
in­
h e
87[54.69 - JL2 , 25.132 - JL3] 23.0357 23.23.31721 ]- [54.25.6139 -- JLJ.L23 ]
same 95% confidence holds. For[126.exampl e , f o r t h le pai r ( J.L 2 , J.L 3 ) , we have
= 0.849(54.69 - J.L2) 4.633(-25.213 -0.8J.L59(3) 54.69 - J.L2) (25.13 - J.L3) 8.29
+

X <

Thilipsseselfloirptsheeisotshhowner two pairFigurs ofe 5.means3 on.pageThe 230,projealctoingonswiorthshtadows

in he295%ofcothnfesideenceellipseles­
on the axes are also indicated, and these projections are the T -intervals. •

A Comparison of S i m u ltaneous Confi dence I nterva ls

with One-at-a-Ti me I nterva ls

Anthe alcomponent
ternative apprs J.Liooneach tato thaetconsime,trasuctsiuoggesn oftconfed byidence(5-2i1)ntewirvtalhs is to cons[0, . i.d, er0, a'
0,p variables andwherleeads to t1.heThiintserapprvals oach ignores the covariance structure of the
ai , . . . , OJ ai =
=

X1 - tn-l (a/2) � JL1 tn-l (a/2) � < < X1 +

x2 - tn-l (a/2) � JL2 x2 tn-l ( a/2) � (5-27) < < +

230 Chapter 5 Inferences a bout a Mean Vector

�
V)
11 3
r-
N

0
V)

111

\£')
500 522 544 N

500 522 544

50.5 54.5 58.5

Figure 5.3 9 5 % confidence e l l i pses for pairs of means and the s i m u lta n eous T 2 -i nte rva ls­
col l ege test data .

JLi ,
Alwe dothnotoughknowpriowhatr to sampl t o as s i
e n
r g,
t , i t
n h e i
genert h i
a n
l ,t e rv
about al has
t h e pr
pr o
o babi
babi lliittyy
1-a
of
all i nof
t e rcover
v al s i n
con­ g
taininTog thseihedr resospmeectliivgeht on tAshe prweoblhaveem,poiconsntiedderoutth,ethspisecipraolbabicaseliwherty is note the obser­
JL/S. 1 - a.
vations have a joint normal distribution and0 0 lTl l
I=
0
0 0
Sivarnceiablthee, andobsseorvon,atiotnshe onprotducthe firrsutlvare foirablinedependent
are independent of t h os e on t h e s e cond
fore tP[healsalmplt-inteeirsvsalesleictn e5-d.27) contain the events can be applied, and
( JL/S J ( 1 - a) ( 1 - a) · · · ( 1 - a)
be­

( 1 - a) P
If .95 and 6, this probability is .95)6 .74.
1 -a= p = ( =
 -
Section 5.4 Confidence Reg ions and S i m u lta neous Com pa risons of Com ponent Means 231
To guar a nt e e a pr o babi l i t y of 1 a t h at al l of t h e s t a t e ment s about t h e compo­
nentrate tmeans hol d s i m ul t a neous
-Forinter1val-s; just .how95, nmuch15,wiandder depends
a == ==
ly , t h e i n
p
di v
==
i d
4,
ual
t hone mulbothtipplianders n,ofas well asinon(51-2-4) and
i n t e r v al s mus t be
�
wi d er t h an t h e s
a.
e pa­
(5-27) are )p( n - 1)
(n p _ ) Fp, n - p ( . O S) =
4( 11
1 4) (3.36) 4.14 ==
andtervals ar( .e025)100(4.2.14145,- 2.re1s45)pect/2.iv1el45y. Cons93%equent
tn - l ==
== wi d er l yt ,
h i n
an t h
t i
h soscas e e
der t h i e
v s
ed i mf ul
r o tma neous
t h e one­i n ­
at-a-tiTablme temet5.3 hgiod.ves some critical distance multipliers for one-at-a-time 2t-intervals
comput e d accor d i n g t o ( 5 - 2 1) , as wel l as t h e cor r e s p ondi
Innasgenerp inacrl,etasheeswianddthdecrof theeasTes-ifnotrerfvixaleds, rpelasatinveintcro ethaseets-.intervals, increases for fixed
2 n g s i m ul t a neous T - i n t e r v al s .
TABLE 5.3 CRITICAL DISTANCE M U LTI PLI ERS FOR O N E-AT-A-TI M E
t- I NTERVALS A N D T2- I NTE RVALS FOR S E LECTED n AN D p ( 1 - a == .95 )

�f ((nn - 1)p p) _ Fp, n - p ( . OS )

n tn - 1 ( .025) p == 4 p 10 ==

255015 2.2.2.001456410 4.3.3.631041 11.6.5329

5. 0 5
100
00
1.1.997060 3.3.0189 4.4.2618
withasanysoicisoacolnteidmlewictpliitoehndaofbycolTTabll2e-ctinietoen5.rvof3aliissn,adifobivritdfiunfualxedat inirn,andtseirnvcealp,st,ihfseo.9rconf5,theandisdaencemethen,overlecan,vel­
asallsconfociTheatieddencecompar
asmaiwentahavein anseoveren, beal much
Never t h el e s , we s o confimidesencelooklevelat tfhoemr seasparthaetebesstatteposmentsibsleaboutinfor,msaaty,ioalnl pconcermeansn­.
met
l e s t h an . 9 5. The one- a t - a - t i m et i n t e r v al s ar e t o o s h or t t o
iinntgearvmean,
al s ar e i f t
calh i
c s
ul i s
a ttehde onl
onl yy i n
when f e r e nce
t h e t
T o2 -be
t e s made.
t r e j e ct sMor t h ee over
nul l , i
hypot f t h eh one-
es i s , as t
o - a
me - t i m
r e e
­
stheanarcherthesTth2-2iinnktetrhveyalsmaydo. more accurately represent the information about the means
The T - i n t e r v al s ar e t o o wi d e i f t h ey ar e appl
ToFigurseee why,5.2. Iconsf JL1ildieers itnheitconfs T2-iidnencetervalelandlipseJLand2 liesthine sitims Tul2t-ianneous i e d onl y t o t h e p component
i n t e r v al s s h means
own i n.
n the elrelctipasngle ande fomorrmede. Theby thconfese itdwenceo intelerlivpalses.isThismsalrectler abutnglterhasvealcont, prthoenababiin(sJLtl1hi,teyJLconf2.9) 5lieofis­
idence
cover i n g t h e
prtheobabirectalinglty ofe fcovermean vect o r ILwi t h i t s component means JL 1 and JL 2 •
inbyg ththeetTw2o-iinntdiervvialduals. Thimeanss resuJLlt1 landeadsJLus2 witol consbe lairdgererathseancond.95 ap­for Cons e quent l y , t h e
o r m ed
proach to making multiple comparisons known as the Bonfer oni method.
232 Chapter 5 I nferences a bout a Mean Vector

The Bo nferroni Method of M u lti ple Co mparisons

IsOfunltttehn,eseatstIeiftntuthatieoinonumber
5.3.
nsis riet sitsrposicteofsdibtslopeeciatosmfdoiealdlbetcomponent
m
number
ter thanoftihnmeans die sviimdualultaconfneousidenceintersvtalatsement
JLi or l i n ear combi n of
at iRe­
o ns
s.
a' IL = a 1 JL 1 + a 2 JL2 + ··· + a p JLp i s s m al l , s i m ul t a neous conf i d ence 2 i n t e r v al s can be
tidevelterisnatdeveloivpede metotpedhathodfarroefmoshraormulprteortbabiip(mleorcompar
l i
e preciisseo)nsthians calthleedsimthule taneous T -intervals.becaus
t y i n equal i t y car r y i n g Bonferroni method,
t h at name.
The ale­
Suppos e t h at , pr i o r t o t h e col l e ct i o n of dat a , conf i d ence s t a t e ment s about m

sl(itsnaeearteeExermentcombiciabout natiotnshe value of with are requitruered. Let denote a confidNowence

a1 1L , a2 /-L, . . . , a'm iL
a; IL P[ Ci J =
Ci
1 - ai , i = 1, 2, . . . , m.
5.6),
P[ Ci
salel true ] at least one false
== 1 - P[ Ci J
m m

> 1 - :L p ( ci false )= 1 - :L ( 1 - p ( ci true) )

i= l i=l
( 52 )
- 8
I n equal i t y ( 5 - 2 8) , a s p eci a l cas e of t h e Bonf e r o ni
gattionorsttorucontcturreolbehithenoverd thael conferroirdrenceate statements. Thereregaris alsdoletsheoffltehxiebcorilitryelofa­
a 1 + a2 + · · · + am ,
i n equal i t y , al l o ws an i n ves t i ­
otcontherroLetchoil inusgcethdevelfeorertrhooeprlrseaismteulifmotaporrneous
a grtaontupstofateiment
i n t e r v
mporst.ant statements and balancing it by an­
al es t i m at e s f o r t h e r e s t r i c t e d s e t cons i s t i n g
ofcomponent
the component JL i s of
IL ·
s, we consider the individual t-intervals Lacki n g i n f o r m at i o n on t h e r e l a t i v e i m por t a nce of t h es e
X; ± tn - 1
i
( � ) -FE i = 1, 2, . . . , m
with we have,Sincefrom (5-28),
ai = ajm. P[Xi ± tn _ 1 (aj 2m ) � contains JLi ] = 1 - ajm,
i == 1, 2, . . . , m,

[ ( : ) -FE contains all i J (� � �)

P X; ± tn - 1
2 f.Li , > 1 - + + ..· +

== 1 - a
m terms
Thermakeeftohreef, owil othwianngoveral confstateiment
m == p
dences:level greater than or equal to we can 1 - a,

5 29 )
(-
Section 5.4 Confidence Reg ions and S i m u ltaneous Com pa risons of Component Means 233
The s t a t e ment s i n (5-29) can be compar e d wi
poiarenoft tnth_e1 (saj2amep)srtreuplctaucesre.v'(n - 1 )pFp,n-p(a)j(n - p) , but otherwise the intervals t h t h os e i n The per c ent
(5-24). a ge
Example 5 . 6 (Co nstructi ng Bonferro ni simu ltaneous confidence i nterva ls
and co mparing them with T2 -i nterva ls)
Letshalusl obtretauirnntthoethseimmiulctraoneous wave oven rBonf adiatieornodatni aconfin Exampl
95% i d ence e isn t e r and
v al s f o r We
t h 5.3
e 5.4.

snotureinmentg tJLh1ats winth=JLai2 =and = We= make use of= the resutoltsgetin Example
means , and , of
42
t h e f o ur
.05/2, i 1 , 2.
t h
t4 1 ( .05/2 ( 2 ) )
r o ot s of t h e door - c l o s e
t4 1 ( .0125 )
d and door - o pen
2.327,
mea­ 5.3,

:X1 ± t4 1 ( .0125 ) Iff = .564 ± 2.327 -J¥ or .521 < I-L l < .607

x 2 ( =2
- ± t4 1 .0125 ) \jrs;
---;:;- .603 ± 2.327 \jfN46
� or JL2 .560 < < .646
FiFiggururee shalowsong twiheth theTcorsirmesulponditaneousng confBonf
5.4
5.2,
95% idenceerinotniervin2altesrfvoalr sJL. 1 For, JL2 feachrom
95%
component mean, t h e Bonf e r o ni i n t e r v al f a l s wi t h i n t h e T - i n t e r v al . Cons e ­
iquent
sintconterelsyat,ientdhedonle rineycttihnaengulthreectcomponent
aarngulUoinart)rreegigioonnfoformrmededbybyththeetwtwooTBonf
means, the Bonfer oni intervals provide more 2 - i n t e errvalonis. Iinftweervarales

.651 - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - -- - - - - - - - -

.646
- - - - - - -

- - .....,
I

Bonferroni

.56 0 .....

. 555 -
_ _ _ _ _ _ _ _ _

- - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - r-

516 . 07 .612
pl
. .521 6
�- -���,----�--�,-

0.500 0.552 0.604

Fi gure 5.4The 95% T2 a n d 9 5 % Bonferro n i s i m u lta n eous confidence i nte rva ls for the
component mea ns-microwave ra d i ation data .
234 Chapter 5 I nferences a bout a Mean Vector

prregieciosnefesortimatgivesesththane plthaeusT2ib-ilnetevalrvualess. fOnor tthheepaiothrers (hand,

IL JL 1 , JL2 t
) h e
when t conf
h e95%i
cord ence
r e l a ­
tion between the measured variables is taken into account. •

T2-intTheervalBonfs (recaler loResni iunlttervalhaves fortlhienearsamecombigenernaatl ifoonsrm: and the analogous

5.3)
a' IL

a' X ± (critical value) �

Consequently,Lengt in everh yofinBonfstanceer wheroni ineterv=al m,
ai aj

Length of T2-interval )--- p(nn--p , 1)

Fp n - p (a)
(5-30)

whia smcalh ldoesnumbernot depend on t h e r a ndom quant i t i e s and

X As
S. we have poi n t e d out , f o r
always be shortemr. ofHowspecimucfiedh parshorametter irsicinfdiunccattieodnsin Tabltehe Bonffor eserleoctnieidntnandervalsp.wil
a' JL ,
5.4
TABLE 5.4
- =
(LE NGTH OF BONFERRONI I NTERVAL)/(LE NGTH
OF T2-I NTE RVAL) FOR 1 a .95 AND ai = .05/m
m=p
n
15
2
.88
4
.69
10
.29
25 .90 .75 .48
50 .91 .78 .58
100 .91 .80 .62
00 .91 .81 .66

We s e e f r o m
valfidences wheninmterv=alp.s needed t h e Tabl e 5.4 t h at t h e Bonf e r o ni met h od pr
Becausfeotrhieynfearreence,easyweto applwil yofandtenprapploviydesitmheulrtealneous o vi d es s h or t e r i n t
ativelyts-hinortetrcon­vals e r ­
based on the Bonfer oni method.
5.5 LARG E SAM PLE I N FERENCES ABOUT A POPU LATI ON M EAN VECTOR

When t h e s a mpl e s i z e i s l a r g e, t e s t s of hypot h es e s and conf i d ence r e

beercconsises tructed wiandthout thefasorsluamptrge in,onweofara enorablmealtopopulmakeatiniofn.ereAsncesil uaboutstratetdheinpop� gi o ns f o r IL can
Ex­
5.15, 5.16, 5.17,
uldeparatiotnurmean
e s f r o m even
a nor t h
m ough
al popult h ea par
t i o ne nt
can di
bes t r i
overb ut ci o
omen i sbydilsacrret
g e es .
a I
mpl n efasct
i z ,
es s .e r i
Bot o ush
tpresotxis ofmathypotely) thheseiersnomiand nsialmluleveltaneouss. confi d ence s t a t e ment s wi l t h en pos s e s ( ap­
 Section 5 . 5 La rge Sample Inferences about a Pop u l ation Mean Vector 235
The advant a ges as s o ci a t e d wi t h l a r g
iotnhsaermplhand,e insfionrcemat( ionScaus) is aesdubyf icusientingsuonlmmary they fsuommar e s a mpl e s may y be
s t apar
t i s ttiicaslx,
y of
and fs e t
S. by On a l o
t hse
x,
tthhee sclaomplserethinefounderrmatlioyinnwig popul a t i o n i s t o mul t i v arrinormal
a t e nor mpopulal, thaetimorons e[seefefi(c4-ie2nt1)l]y,
Alwel laknow l be ut
rge-2 satmplhat e( Xinf-ereIL)nces' ( n-about i l i z ed i n maki n g i n f e r e nces .
1 S ) -1 ( XIL ar- eIL)basedn(Xon -a x�-t2-)d' Sis-t1r(iXbut-ioIL)n. From
proximately x with pn(d.Xf.,-and th'sus-1,( X - X�(a) ] 1 - a is ap­
(4-28),

P[ 1L ) 1L ) <
=

_:_
( 5 31)
_

whereEquatx�(ai)oins the upperimmedi( 100atae)lythleperadscentto lailregofe sathmple xe�t-edsisttsrofibuthypotion.heses and simul­

(5-31)
taneous confidence regions. These procedures are summarized in Results and 5.4 5.5.

mean Result 5.4.

IL and pos i t Let
i v e X
def 1 i,n X
i t 2
e , ...
covar , X n
i a be
nce a r a
mat ndom
r i x I s
. a mpl
When e f r
n o m- a
p popul
i s l a r ga t
e, i ot n
h ewi t
hy­ h
potprohxiesmiats H0:ely a,IL if thILoe obsis reejrevcteded in favor of H1 : IL ILo , at a level of significance ap­
= =I=

n - ILo) ' S-1 - ILo) X� ( a )

(x (x >
Here x�(a) is the upper ( 100a)th percentile of a chi-square distribution with p d.f. •

(5-7),
Compar
we s e e t i
h n
atg t
t h
h e
e t
t e
e s
s t
t si tna Res
t i s t i u
c sl t 5.
have 4 wit ht h
e t h
same e cors t rrue s
ctpuondi
r e , butn g tnormal
h e c r i t i t
c h
a eory
l val u t e
es s t
ari n
e
disafmeererntesu. lAt inclosisteuratexami n at i o n, however 2 , r e veal s t h at bot h t e s t s yi e l d es s e nt i a l y t h e
ectly ffroormn tlharegfearctieolnstahtatiwherve( ntoe-p.th1e)p(SxeeFp-,tTablne-sp(t ofaes)Resj(andn u-lt p)inanditsheapprx�appendi
dilyrequal 3
5.4
4
o(apr) iaratee.apprThiosxifoml atowse­
x.)
Result 5.5. Let X 1 , X 2 ,
mean IL and positive definite covariance I. If n - p is large, ... , X n be a r a ndom s a mpl e f r o m a popul a t i o n wi t h
a' X ± � \jfa'S8
-----;;---

wewil cancontmakeain a'the 1f00(or ever1 -yaa,) %wistihmprulotababineouslityconfappridoenceximatstealtyement

/-L , 1 - a.s Consequently,
X1 ± � � contains JL1
contains JL2
contains J.Lp
236 Chapter 5 I nfe rences about a Mean Vector

and,ellipsiens addition, for all pairs = the sample mean-centered ( JLi , JLk ) , i, k 1, 2, . . . , p,

n[ xi - JLi , xk - I-Lk ]
sii sik
sik skk
[ J -1 [ - J xi - JL i
xk - JLk
_
<
2
Xp (a) contain •
( JLi , JLk )

Proof. The f i r s t par t f o l o ws f r o m Res u l t 5A. l , wi t h c 2 x�( a) .

= The pr o ba­
bispleciityallevelchoiiscaescons=equence of The swhertatemente =s for th=e are obtainTheed byelltihpe­
a'
(5-31).
[0, . . . , 0, a i , 0, . , OJ, ai 1, i
JLi
1, 2, . . . , p .
c2
. .

sfiodienceds forlepaivelrsofofapprmeansoximfoatl eolwy from Resforualltl statementwith s is,=once agaiThen, a roveresulatlofcon­the

1 - a
5A.2 x�( a) .
large sItamplis goode dissttraitbisutticioalnprthaeorcticyestuommarsubjeictzedthiesn e large sample inference procedures
(5-31). II

teroattheedeparsametchecks r e qui r e d of t h e nor m al - t h eor y met h ods . Al t h ough s m al l t o mod­

vifroamtiotnshecoulnomiudrnecausals flreoevelmproblnorImef,msaloni.tythSpecdoe basnotifiisccausaofl yQ-Q, ethanye pltruoditefserandicrulotrotierhsaertfeorimaynveslarbetigge,atfaivr eredevimovedcde­es,
a.
n extreme

outapprlioerprs iandate corothrerectfoivremacts ofioextns, rineclmeudideparng tratunsrefosrarmeatiinodinsc,atareeddes(seie,rafblore.exampl e ,[2]),

Metelatihvodsely fionr­
tseesnstinitgivmean
e t o vect
depar o
t ur rse of
s frsoymmmet nor mr i c
al mul
i t y t
ar i v
e ar di i a
s t
c e
us di
s es dt riinb ut i
[10] .
o ns I t
n h at
s o me ar e i r
n s t a nces , Re­
sults Theandnext exampl
5.4 5.5are useefuall lonlowsy fusorto il ulastrrgaetesatmplhe conses. truction of large sample si­
very
multaneous statements for single mean components.
Example 5.7 {Co nstructi ng large sample si m u ltaneous confidence i nterva ls)
Aabimuslity iicneducat
or d er oorsteetstnateditohnalousnorandsmsofinFiFinnnilashnd.stuSummar
t dents onytshteiatrisnatticsivfoermusparitcofal
n
the= dataFisnenit arshe12tgivhengrianderTabls. e These statistics are based on a sample of
96
5.5.

TABLE 5 . 5 MUSICAL APTITU DE PROFILE M EANS AND STANDARD

D EVIATIONS FOR 96 1 2TH-G RAD E F I N N I S H STU D E NTS PARTICI PATI NG
IN A STAN DARDIZATION PROG RAM
Raw score
Varx i=ablmele ody Standard deviation ( �)

x2
l = harmony 28.1
26.6
5.76
5.85
x3x4 ==mettempoer 35.4
34.2
3.82
5.12
Xx56 == phrbalaancesing 23.6
22.0
3.76
3.93
x7 = style
Source: Data courtesy of V. Sell.
22.7 4.03
 Section 5 . 5 Large Sa m p l e Inferences about a Pop u l ation Mean Vector 237
Let
meanFrcomponent us cons t r
s u ct 90% s i m ul t a
JLi , i = 1, 2, . . . , 7.
neous conf i d ence i n t e r v al s f o r t h e i n di v i d ual
X; ±
ov' m Res�'ult simultaneouswhere confidence limitsThusare, giwivtenh ap-by
x� ( .lO)
5.5,
i = 1 , 2, . . . , 7,
90%
x� ( .10 ) = 12.02 .
proximately confidence, 90%

28.1 ± VT2.02
96
� contains or JL 1 26 . 06 < i-L l < 30.14
5.85
12.02 V%
26.6 ± VT2.02 contains or JL2 24.53 < JL2 < 28.67
VT2.02 3.82
35.4 ± 12.02 V% contains or JL3 34.05 < JL3 < 36.75
VT2.02 5.12
34.2 ± 12.02 V% contains or JL4 32.39 < JL4 < 36.01
VT2.02 3.76
23.6 ± 12.02 V% contains or JLs 22.27 < JLs < 24.93
VT2.02 3.93
22.0 ± 12.02 V% contains or JL6 20.61 < JL6 < 23.39
4.03
22.7 ± VT2.02
12.02 V% contains or JL7 21.27 < JL7 < 24.13

Baspotheesd,iperze thhapse mus, uponicalthaptousitaundsde profoAmer f i l e t oi c an

be s t u dent s , t h e i n ves t i g at o r coul d hy­
ILo = [31, 27, 34, 31, 23, 22, 22]
Wemeteserecomponent
from the ssimofulILotaneousdo notstaappear tementtsoabovebe platushatibtlheevalmeluesody,fortetmpo,he corandre­
sponding means of Finnish scores. •

When t
vidual means are (a) {%h e s a mpl e s i z e i s l a r g e, t h e one- a t - a - t i m e conf i d ence i n t e r v al s f o r i n di ­
X; z --::
\j < f.L; < X; + z
(a) {%--:: \j i 1 , 2, . . . ' p

a a
=
-

2 2
wher e z( /2 ) i s t h e upper
TheindivBonfidualermeansoni simtaulketatneous 100( /2
c o nf i )
d t h
ence per i c
n ent
t e r vi l
ale soff o t
r hteh s
e t a ndar
m = p
d nor
s t a t m
e al
ment di s
s t r i
about b ut i o
t n.
h e
( a ) {%--:: ( a ) {%--::
h e s a me f o r m , but us e t h e modi fi e d per c ent i l e z( aj2p ) t o gi v e
X; - z
2p
\j < f.L; < X; + z
2 p \j i = 1 , 2, . . . ' p

the confTablideence gielvliespsothide)ininditevrivdaluals f, oBonfr theermusoniic, alandaptchiitu-sdequardatea-biasn Exampl

5.6 ed (or sheadow of 5.7.
238 Chapter 5 Inferences a bout a Mean Vector

TABLE 5.6 TH E LARG E-SAM PLE 95% I N DIVI DUAL, B O N FERRONI,

AND T2-I NTERVALS FOR TH E M USICAL APTITU D E DATA
TheThe sone-imulatta-aneous-time Bonfconfiedrenceoni iinntteerrvvalalss ususee = =
z( .025 ) 1 .96.
z( .025/7) 2.69.
T2,
The simultaneous One-or sahtadows of
x�( .05 ) 14.07. t h e el l ip s o i d , us e =
Varxl i==ablmele ody Lower -aUpper -time BonfLowerer oni IUpper ntervals Shadow Lower of ElUpper lipsoid
26.95 29.25 26.52 29.68 25.90 30.30
xx23 == hartempomony 25.43
34.64
27.77
36.16
24.99
34.35
28.21
36 . 45
24.36
33.94
28.84
36.86

X5
x4 == phrmetaesring 33.18
22.85
35.22
24.35
32.79
22.57
35.61
24.63
32.24
22.16
36.16
25.04
xx6 == balstylaence
7
21.21
21.89
22.79
23.51
20.92
21.59
23.08
23.81
20.50
21.16
23.50
24.24

F-and Alt-tbhasoughed perthecentsamplilesersaitzheermaythanbeuslaertghe,eschiome-sqsuartatiestoriciastnsandarprefdernortomrealta-ibnasthede

perstantcents. Theiles. FTheandlatperer cconsentitlaents prs aroducee thelianrfgineritienstaemplrvales and,size lhence,
t
imits ofartehemorforemconser con­er­
vatconfivie.denceTablelelipsogiidv, esinttehrevalinsdifovridtualhe ,musBonficaler aptoniit,uandde datF-baased,. Comparor shinadowg Tablofe the
5.7
5 .7
withethrTablelativeely lawergeseseamplthatealsilzofe th=e interthvale sdiifneTablrencese arare etylpiarcgalerly. iHowever
5.6,
n 96,
5.7
n t h e t h i ,
r wi
d, t
or
h
tenths, digit.
TABLE 5.7 TH E 95% I N D IVI D UAL, B O N FERRO N I, AND T2-I NTE RVALS
FOR TH E MUSICAL APTITUDE DATA
TheThe sone-imulatta-aneous-timeBonfconfiedrenceoni iinntteerrvvalalss ususee = =
t95 ( .025 ) 1 .99.
t95 ( .025/7 ) 2.75.
T2 ,
The simultaneous One-or sahtadows of t h e el
F7, 89( .05) 2.11. l i p s o i d , us e =
- a - t i
Varxl =iablmele ody Lower Upper Lower Upper Lower Upper m e Bonf e r o ni I n t e r v al s Shadow of El l i p s o i d
26.93 29.27 26.48 29.72 25.76 30.44
xx32 === hartempomony 25.41
34.63
27.79
36.17
24.96
34.33
28.24
36.47
24.23
33.85
28.97
36.95
x4 === phrmetaesring
X5
33.16
22.84
35.24
24 . 36
32.76
22.54
35.64
24.66
32.12
22.07
36.28
25.13
xx6 == balstylaence
7
21.20
21.88
22.80
23.52
20.90
21 .57
23.10
23.83
20.41
21.07
23.59
24.33
 Section 5.6 M u ltivariate Q u a l ity Control Charts 239
5. 6 M U LTIVARIATE QUALITY CONTROL CHARTS

Tovariimatprion.oveWhenthe quala manuf ity of goods and s e r v i c es , dat a need t o be exami n ed f o r caus e s of
wepabiarlietiemonis andtosrtianbig lactityivofititaehctseofuprriaonscesgeprrvs.oiccesWhen e, dats isaacontshprouloincesduousbes iscollystpraleblctoeducie,dthteongvarevaliteiamsutatioenortihswheneca­pro­
duced by common caus e s t h at ar
of varTheiatiopurn. pose of any control chart is to identify occurrences of of e al w ays pr e s e nt , and no one caus e i s a ma j or s o ur c e
special causes
varindiiacattioenathneedat comefor farotmimoutelysridepaie ofr,thbute ustuheyal prcanocesalss.oThessuggese caust imeprs ofovement variatiosntooftthene
monprocesfArso. mcontContspreciorloacharllcharcaust tteysspimakeofcalvarlythiconsaetivaron.isitastofiondatvisaibplleoandt edalinlotwimonee ortdoerdiandstinguihorshizontcom­al
lesin.esOne, callusedefcontul control rlioml charits, thtatis itnhdie cat-ceharthet amount
X ( r e ad X-
of
bar var chari a t i o
t n
.
)
due
To cr t o
e atcommon
e an X - c caus
har t­,
1.
2.
PlCroetattheeandindiplviodtualtheobscenterevratlinioens orthseasmplample means x, e mean i nof t i m
al leofor t dh er
e .
obs e r v at i o ns .
3. CalculaUpper te and plcontot rtohlelcontimit roUCLl limits given by3 standard deviation
( ) = x + ( )
Lower cont r o l l i m i t ( LCL ) = x - 3 s( t a ndar d devi a t i o n )
Thethe obsstaendarrvatdiodevins beiatinognplinottheed.contForroslinliglmeitobss isetrhveatesiotnsim, atit eisdofsttaendarn thed sdeviamplateiosntan­of
dardevidadevitionaistitohn.e sIafmpltheemeans of s u bs a mpl e s of s i z e m arVm .
e pl o t e d, t h en t h e s t a ndar d
andassumiminngusnorthrmeealsltyandardistsrtdiabndardeviutedadtdatdeviionsa,aaroftioefnachosldisevlyiednsedisgonalbythiatngthanerTheeoutis -contaoverf-crontoylslmrimoallitlobsschance, of plus
e r v a­
tion-that is, an observation suggesting a special cause of variation.
Example 5.8 (Creating a u nivariate co ntro l chart)
ThetivitiMadi s o n, Wi s c ons i n , pol i c e depar t m ent r e gul a r l y moni t o r s many of i t s ac­
dattotaaleonfsoasrf1ivpar2epaydit fofpereanrentiongoi
kiods,nordsngaboutofqualoverihaltytiimmf apreyearhourovement s. . Eacprhogrobsam.ervTablatione r5.e8prgievseesnttshea
We exami n e t h e s t a bi l i t y of t h e l e gal appear a nces
puttheesamer calculasationAlgivsoes, the sa3558.mple sSitanndarce inddidevividualatiovaln uises wil be 607,plot anded, thies
x1 =
over t i m e hour s . A com­
x1
x1. � =

control limits arUCLe = 3 3558 3 607 5379 x1 + ( �) = + ( ) =

LCL = x1 - 3 (�) =

Thein Fidatgurae, 5.al5ongonwipageth th240.e centerline and control limits, are plot ed as an -chart 3558 - 3 607
( ) = 1737 X
240 Chapter 5 I nferences about a Mean Vector

TABLE 5.8 FIVE TYPES OF OVE RTI M E H O U RS FOR TH E MADISON,

WISCO N S I N, POLICE D E PARTM E NT
xl x2 x3 x4 Xs
Legal Appear a nces Ext r a or d i n ar y
Hours Event Hours Hours Hours Hours Hol d over COA 1 Meet i n g
3387 2200 1181 14,861 236
3109 875 3532 1 1,367 310
2670 957 2502 13,329 1182
3125 1758 4510 12,328 1208
3469 868 3032 12,847 1385
3120 398 2130 13,979 1053
3671 1603 1982 13,528 1046
4531 523 4675 12,699 1100
3678 2034 2354 13,534 1349
3238 1136 4606 1 1,609 1 150
3135 5326 3044 14,189 1216
5217 1658 3340 15,052 660
3728 1945 211 1 12,236 299
3506 344 1291 15,482 206
3824 807 1365 14,900 239
3516 1223 1175 15,078 161
1 Compensatory overtime allowed.

5500
Legal Appearances Overtime Hours

UCL 5379 =

4500
�
::3
ca
>
::3
x1
ca 3500
"C1 = 3558
·>
�
�

2500

LCL = 1737
1 500

0 5 10 15

Observation Number

Figure 5.5 The X -ch a rt for x1 = legal a ppea ra nces ove rtime h o u rs.
 Section 5.6 M u ltivariate Q u a l ity Control Charts 241

tcommon The l e gal appear a nces over t i m e hour s ar

he data wercauseecols, sloecnoted.speciThealvar-causiateiovarn iinatoverion itsiminedihourcatesd.appears to be due to e s t a bl e over t h e per i o d i n whi c h
•

ustweeend tWiocharmonith moracttoeerriprtshtanoiccess oneands stiamwibiporllitcontyt.antSuchrcharol tashaectapprovererisotaiachcl, aprmulcoanbabitaccount

ivariate fappror coroachrelashtioulonsdbe­be
l i t y of f a l s e l y s i g nal i n g a
sablpeciesacanl causmakee of ivart imiapostionsibwhenle to oneasseiss nottheprovereseantl .erHirogrhracortertehlatatiiosnsimamong t h e var i ­
numberTheof2twunio vmosariattcommon e charts. multivariate charts are (i) the ellipse foplrmieatd bychara tlaandrge
(i ) thTwoe T -cascharest.that arise in practice need to be treated dif erently:
1.
2.
Moni
Set t i n tgo r
a i n g
cont t h reo s l trae bi
gi l i
o tny of
f o raf u gi
t v
u en
r e sampl
obs e r v eat ofi o mul
ns t i v ar i a t e obs e r v at i o ns
Itinviartiaial tye, weobsconservatidioernsthxe1 ,usx2e, of multiLatvareiart, ewecontdisrcousl prs tohcedur
. . . , X
n
. es e pr eoscedurfor aessawhenmple ofthemulob­­
servations are subgroup means.
Charts fo r Mon itoring a Sample of Ind ividual M u ltivariate
Observations for Stabil ity

1, .
We assume that X X2, _!_ , Xn are i_!_ndependently_!_distributed_!_as By_!_Result 4.8, Np ( JL , I ) .
X. - X ( - ) X. - X - - X . - X. - - X
. .

n
1
1 1 n 1 n 1- 1 n 1+
1
=
n n
· · · · · ·

has
and
Cov ( Xj - X) ( - ) _

= 1
1
n I
2 + ( n - 1 )n -2 I =
(n
n
-1)
I
Each Xj - X has a normal distribution but, Xj - X is not independent of the sam­
pl(Xje covar i a nce
1 mat r i x S. However t o set control limits we approximate that
- X ) ' S- (Xj - X ) has a chi-square distribution.
Ellipse Format Chart. The el l i p s e f o r m at char t f o r a
ichars theactmoreriestiinctsuonitivteheofjtthheunichart artse, butplotitsedappras aopaiachris(xjlim1 ,ixjted2).toThetwo variaqualblesi.tyTheellitpwsoe bi v ar i a t e cont r o l r e gi o n
95%
consists of all x that satisfy(x - x)'S-1 (x - x) < x�( .05 ) (5-32)
Example 5.9 {An e l l i pse format chart for overti me hou rs)
Letcharusactreerfiesrtitcos Exampl e 5.8 and cr e at e a qual i t y el l i p s e f o r t h e pai r of over t i m e
culation gives (legal appearances, extraordinary event) hours. A computer cal­
242 Chapter 5 I nfe rences a bout a Mean Vector

x- = [ 3558
1478
] and = [ S
]
367,884.7 -72,093.8
-72,093.8 1,399,053.1
We i l u s t r a t e
consists of all that satisfy
x
t h e qual i t y el l i p s e f o r m at char t us i n g t h e el l
99%i p s e , whi c h
(x - x ) ' S - 1 (x - x ) x� ( .01 ) <

Here =( = and the ellipse becomes )

sl l s22
p 2, so x�( .01 ) 9.21,
(x l - x1 ) 2 (x l - xl ) (x2 - x2 ) (x2 - x1 )
2
- 2s1 2 +
s1 1S22 - S12 2
_______

S1 1
----

S1 1S22 S22

= ( 367844.7 X 1399053.1 )
367844.7 X 1399053.1 - ( -72093.8) 2
X

( (x 1 - 3558 ) 2
367844.7
- 2( - 72093 · 8 )
(x 1 - 3558) ( x2 - 1478) (x2 - 1478) 2
367844.7 X 1399053.1
+
)
1399053.1
< 9.Zl

This ellipse format chart is graphed, along with the pairs of data, in Figure 5.6.

• -+-
0
0
0
V)

0
0
0

s
�

•.:;j
�
� •

0
> •
•

•
•
=:
•
� +.
j:.Ll
>
0 •
0

�
0 • • •
-
•

�
=:
•
• •
�
0

.b
� 0

j:.Ll
K

0
0
0

1500 2500 3500 4500 5500 Figure 5.6 The q u a l ity control 99%
e l l i pse fo r legal a ppea ra nces a n d
Appearances Overtime extraord i n a ry event ove rtime.

Not i c e t h at one poi n t , i n di c at e d wi t h an ar r o w, i s def i n i t e l y out s i d e of

elstrliupctsee.d.WhenThe a poi-charnttisfooutr ofwasthegicontven rinolFireggiuroen, indithvatidualfor charis givtsenarienconFig­­
X
t h e
X x1 5.5; x2
ure Whenon pagethe lower control limit is les than zero for data that must be non­
5.7 243.
negat i
line in Figurev e, i t i s
5.7.
gener a l y s e t t o zer o . The LCL = l i
0 m i t i s s h own by t h e das h ed
 Section 5.6 M u ltivariate Q u a l ity Control Charts 243
Extraordinary Event Hours

6000

5000 UCL 5027

=

4000
�
::3
3000
ca
> 2000
::3
ca
"'0
· s; 1 000
�
�
�
0

- 1000
- 2000 LCL = - 207 1
- 3000
0 5 10 15
Observation Number

Figure 5.7 The X-chart for x 2 = extraord i n a ry eve nt h o u rs.

Was t h er e a s p eci
ttihmeeUnithatteids outStatseidsebombed a l caus e of t h e s i n gl e poi n t f o r ext r a or
the uppera fcontoreirgonl lcapiimittainl,FiandgursetudentDurs at iMadi
5.7?
d i n ar y event
ng thissopern wereiod,over ­
prweekotesperting.iod.A Almathjoough,rity ofbythites extverryaordefdiinniartioyn,overexttriamoredwasinaryusovered intimtheatoccurfours­
onltainyswhentabilitsyp. ecial events occur and is therefore unpredictable, it stil has a cer­ •

T2-Chart. A T 2 - c har t c a n be appl i e d t o a l a r g e number of char

ldiiksepltahyede elliinpsteimfeorormatder, itraisthnoter tlhimaniteasd atosctwatotevarr pliaoblt, eands. Morthisemakes a ct e r i s t i c s .
over, thpate poiternntss andare Un­
trendsForvisitbhleej. th point, we calculate the T2-statistic
T J = (xj - x) ' S-1 (xj - x) (5-33)
then plcontot threolTl2im-valit ues on a time axis. The lower control limit is zero, and we use
Wethe upper
UCL = x�( .05 )
or, sometTherime esis,no centerline in the T2-chart. Notice that the T2-statistic is the same
x�( .01 ) .
as the quantity used to test normality in Section
dJ 4.6.
Example 5. 1 0 (A T2 -chart for overtime hou rs)
Usonitnhgethtwe opolvariceia2depar
bl e s x t m
l ent
= l dat
e a
gal i n
appearExampl a ncese 5.8,
hourwe s cons
and txr u2ct a=
T
ext 2 -rpal o
or t dbasi n e
ar d
y
event hours. T -charts with more than two variables are considered in
244 Chapter 5 I nferences about a Mean Vector

cise 5.e225.6. 9We. take = .01 to be consistent with the ellipse format chart
iExern Exampl a
The
orin dExampl T - c har t i n Fi g ur e 5. 8 r e veal s t h at t h e pai r ( l e gal appear a nces , ext r a ­
inary evente 5.9),hourconfsirfmors perthatiotdhi1s iiss dueout ofto contthe lraorlg. eFurvaltuheerofinvesexttriagoratdioinn,arasy
12
event overtime during that period. II

10

N 6
N

•
2
•
•
•
0

0 2 4 6 8 10 12 14 16

Period
Figure 5.8 The T2 -ch a rt for legal appea ra n ces h o u rs and ext raord i n a ry eve nt hou rs, a = . 0 1 .

When t h e mul t i v ar i
sBonfhouledrbeonidetineterrmvialnsediswhifrequent a nt e T 2 - c har t s i g nal s t h at t h e j t h uni t i s out of cont r o
ch varlyiachosbles earneforerstphonsis puriblpeos. e. modiThe ktfiehdvarregiiaoblnebasis outed
A
l
on
,
it

of
xk
control if does not ltine i1n( .t0h05/e inp)terval tn 1 ( .005/p)
1

( xk -
- vs;:;; ' xk +
- YS;;;; )
where p is the total number of measured variables.
Exa m p l e 5 . 1 1 {Contro l of roboti c welders-more than T2 needed)
Thetubeasyokessembltoy aoftuabe.drivTheeshafintputfors anto tauthe oautmobiomatle eredquiwelredsintghemachicirclenweles musdingt of
be
contof goodrol equald toitbey. wiIntorhindercerttoacontin operrolatthinegprliomcesitsswher, oneepraomachi
ces s ne prneeroducesmeasweluredds
engi
four critical variables: X1 =Voltage (volts)
XX32 == FeedCurresntpeed((amps)in/min)
X 4 = ( i n er t ) Gas
Table 5.9 gives the values of these variables at 5-second intervals. fl o w ( c fm )
 Section 5.6 M u ltivariate Q u a l ity Control Charts 245

TABLE 5.9 WELD ER DATA

Case Voltage (X1 ) Current (X2) Feed speed (X3) Gas flow (X4)
1 23.0 276 289.6 51.0
2 22.0 281 289.0 51.7
3 22.8 270 288.2 51.3
4 22.1 278 288.0 52.3
5 22.5 275 288.0 53.0
6 22.2 273 288.0 51.0
7 22.0 275 290.0 53.0
8 22.1 268 289.0 54.0
9 22.5 277 289.0 52.0
10 22.5 278 289.0 52.0
11 22.3 269 287.0 54.0
12 21.8 274 287.6 52.0
13 22.3 270 288.4 51.0
14 22.2 273 290.2 51.3
15 22.1 274 286.0 51.0
16 22.1 277 287.0 52.0
17 21.8 277 287.0 51.0
18 22.6 276 290.0 51.0
19 22.3 278 287.0 51.7
20 23.0 266 289.1 51.0
21 22.9 271 288.3 51.0
22 21.3 274 289.0 52.0
23 21.8 280 290.0 52.0
24 22.0 268 288.3 51.0
25 22.8 269 288.7 52.0
26 22.0 264 290.0 51.0
27 22.5 273 288.6 52.0
28 22.2 269 288.2 52.0
29 22.6 273 286.0 52.0
30 21.7 283 290.0 52.7
31 21.9 273 288.7 55.3
32 22.3 264 287.0 52.0
33 22.2 263 288.0 52.0
34 22.3 266 288.6 51.7
35 22.0 263 288.0 51.7
36 22.8 272 289.0 52.3
37 22.0 277 287.7 53.3
38 22.7 272 289.0 52.0
39 22.6 274 287.2 52.7
40 22.7 270 290.0 51.0
Source: Data courtesy o f Mark Abbotoy.
246 Chapter 5 I nferences a bout a Mean Vector

The nor m al as s u mpt i o n i s r e as o nabl e f o r mos t var

natlatiuornaflolrogar2succesithmsivofe obsgas eflrovw.atioInsn addion eachtion, vartheriaeblise.no appreciable serial corre-· i a bl e s , but we t a ke t h e
A T - c har t f o r t h e f o ur wel d i n g var i a bl e s i
tnoedpoilinne tiss tarhee out oflimcontit androl,tbuthe socaslidelineisisouttheside thliemit. Usliminigt.the limit,
95%
s gi v en
99%
i n Fi g ur e5.9.
99%
The dot ­
31 95%
varlipsieablfWhat
eorsgas? Mosdoflotwht eofandqualthevolivartytacontige,ablsrehosownlarelelipiinnsecontFis g(eurlroeipl.seHowever
format char, thets) showqualfoirtytwelo-·
r e veal
5.10, s t h 99%
at cas e 31 i s out
ofvarcontiate rol charandtthfoisr lisn(duegas fltoow)an,unusin Fiuguralley largeshvolowsumethatofthgasis poiflonw.t isTheoutuniside­
X 5.11,
the tAlhrletehseigotmaherlimuniitsv. arItiaappear
32. t e - csharthtats havegas flalowl poiwasntrsewisetthatinththeeitarrtghetrefeosrigcasmae
X
control limits.
14- 99% Limit

12- •

10- 95% Limit

� - - - - - - - - - - - - - - - - - - - - - - - - - - - - - -

•
� • •
('l 8-
• •
• •
6- • •
• • •
••
• • •• •
•
4-
• • • •
••
• • • •
2-
• • •• •
•
•
••
I I I I I
0-

0 10 20 30 40 Figure 5.9 The T 2-chart for the

we l d i n g data with 9 5 % and 99%
Case l i m its.

4.05

•
4.00

0
,.-.

••
�
� •
• . a• a ••• a
1/.l
�
3 . 95
• •• a. • • • ••
OJ)

s::=
._.,

3 . 90

3 . 85

20.5 2 1 .0 2 1 .5 22.0 22.5 23.0 23.5 24.0

Figure 5 . 1 0 The 99% q u a l ity control
Voltage e l l i pse for l n (gas fl ow) and vo ltage.
 Section 5.6 M u ltivariate Q u a l ity Control Charts 247

1
UCL = 4. 005
4.00

1:>< 3 . 95 Mean = 3 . 95 1

3 . 90 LCL = 3 . 896

0 10 20 30 40
Figure 5 . 1 1 The u n ivariate X-c h a rt
Case for l n (gas flow) .

I n t h i s exampl e , a s h i f t i n a s i n gl
almost masked (with 95% limits), by being combined into a single T -value. e var i a bl e was mas k ed by 99% 2 l i m i t s ,•
or
Contro l Reg ions for Future I nd ividual Observations

Thecontrgoalol renowgionifsotroausfuetudatre aobsx1e, rxv2at, ion, xxnor, colfulteuctreedobswhenervataioprnso.cesThes isresgitaoblnei,ntowhisetcha

. . •

aproces
futures obsis setravblatei,owen is expect
t a ke t e
h ed t o
obsl i e
e rivs cal
at i l
o e
nsd atforecast,
o be i n or prediction, region.
dependent l y di s t r i b ut I
e fd t h
ase
iNtop(ringIqual) . Becaus
JL,
ity, we egitvheestheerebasgioinsc diarsteriofbutmorionetgener heoryaasl imResporutltance5.6. than just for mon­
Result 5.6. Let X 1 , X 2 , . . , X
let X be a2future observation f,rom1 the same distribution. Then- ) n be i n dependent l y di s t r i b ut e d as Np ( JL, I ) , and
n - - (n 1 p
T = (X -X) s- (X - X) is distributed as n-p
n+ 1 n - p FP'
and a ( - a)% p-dim-ensio1nal pre-diction ellipsoid is given by all x satisfying
100 1
(n 2 - 1 )p
X- X
( ) ' s- ( ) X- X p, n - p a )
(
n(n p) F
<
_

Proof. We f i r s t not e t h at X - X has mean 0. Si n ce X i s a f u t u r e obs e r v at i o n,

X and X are independent, so
Cov(X -X) = Cov(X) + Cov( X ) = I + -I = + I
- - 1
n
(n
n
1)

and, by Result + (X - X) is1 distributed as Np( O, I ) . Now,

4.8, Vnj ( n 1)
(rl (X - X ) 'S- (X - X) (rl
\j -;;-+1 \j -;;-+1
Wiwhischharcombi
t, Wp,nn-es1 (I)a mul, ratndomivariatmate norrixmialn ,tNhep(forIm) , random vector and an independent
0,
248 Chapter 5 I nferences a bout a M ea n Vector

ivariatvecte noromr al ) ' ( Wishart rad.ndomf. matrix )-1 ( mulratindom

( mulratndom variatvecte noromr al )
has th212-213.
pages e scaled distribution claimed according to (5-8) and the discussion on
F
The constant for the ellipsoid fol ows from (5-6). II

elthleipeisoNotgienvect
d. eItthiatsorcentsthofeeprreeddiSiatnctceitohne rinegiitioanl sianmplReseumean
S.
lt 5.6 foranda futitusreaxesobsarereveddetvalermueinxieds byan
x,

1 )p
-1 - ( 2
J 1
[ -'
P (X - X ) S (X - X ) < (
nn n- _
p ) p,n - p
F (a) = -a
beftionorelelianypse newis 1 observations are taken, the probability that wil fal in the predic­
- a.
X
Keep i n mi n d t h at t h e cur r e nt obs e r v at i o ns mus
used tBaso detederonmiResne contult 5.ro6l, weregiobtonsaifnorthfuettuwreo obscharertvs atfoirofnsut. ure observations. t be s t a bl e bef o r e t h ey c a n be
Co ntrol E l l i pse for Futu re Observations

p
With 2, the 95% prediction ellipse in Resn2ul-t 5.16)2specializes to
=

, _1
_ (
_

(x - x ) (x - x) n n 2)
S < ( _
F2 ,n - 2 ( .05 ) (5-34)
Anytrol elfulitpusree. observation xis declared to be out of control if it fal s out of the con­
Example 5 . 1 2 {A Co ntro l e l l i pse for futu re overti me hours)
Ieventn Examploverteim5.9e,hourwe checked s . Let ' s t h
us e
e sttha bi
es l
e i t y
dat ofa l
t e
o gal
det appear
e r m i n a
e nces
a cont and r o l ext
r e r
gi a
o or
n df i
o n
r ar
fuy­
ture paiFrrosmofExampl values.e 5.9 and Figure 5.6, we find that the pair of values for pe­
reliolidps11e. werAlleofoutthofe poicontntrsoarl. eWethenremoved i n cont t
r h
o i
l s
, poi
s o tnhtey and can det s e
e rrvme itnoeddett h e
e r new
m i n e99%
t h e
p
Fi95%gurpreAny5.edi12cftualiotounngrreeobswigiothnerjtvhuatestiiondefnitifianal15ledinfgsotiranblteheobs2.eleliThirpvsatesiiocontsnsre. garroldeledlipasse sitsasblhowne or iinn
=

contcontrrooll.obsAnerobsvatieornvatoriosnpecioutasl-icdause ofe vartheiaeltiliopn.se represents a potential out-of­ ll

T2 -Chart fo r Futu re Observations

For each new observation x, plot n 1

T2 =
n 1 (x ' x
+
- x ) S - ( - x)
 Section 5.6 M u ltivariate Q u a l ity Control Charts 249

0
0
0
�

•
0
0 •
0 •
N
� •
•
•
a
�
>
'€
0
� •
> 0
� -+-
� 0
0 •
>. • •
......
�
�
•

0 0
�
C\S 0 •
;....

l:i lr) •
>< •
�

0
0
lr)
I

1 500 2500 3500 4500 5500 Figure 5 . 1 2 The 95% co ntrol e l l i pse
for future legal a ppeara nces a n d
Appearances Overtime ext raord i n a ry event overtime.

in time order. Set LCL = and take - 0,

(n l )p
UCL = (n
_ F
p) p,n - p
( . OS )

Poisuggesnts tabovethat ththeeprupperocesscontin quesrol ltiimonit srheoulpredsebent potexamientniaedl sptoecidetalecausrmineevarwhetiatihoern andim­

mediate corrective action is warranted.
Control Charts Based on Subsam ple Means

Itdentis lasysdiusmedtributtheatd aseach randomWevectproorceedof obsdiferevratentiolnsy whenfromtthheespramplocesinsgisprinodepen­

Np ( 0, I ) . cedur e
sfiprecist sfaiempls theat, we deteunirmtisnbee itsselseactmpled,eatmeanthe saXme1 andtimcovar
m > 1 e, fromiatncehe prmatocesrixs. SFr1 . oWhen
m the
the populFor aatgener ion isanorl sumbsalampl, these emeantwo rXajndom
, Xj -quantX hasitiaesnorarme ialndependent
di s t r i b ut i o .n with mean
Cov Xj - X = ( )2 Cov Xj -2 Cov X1 =
Oand
1 1 - (n - 1 )
( ) ( ) ( )
_ = _ n
1-- + I
n n nm
250 Chapter 5 I nferences about a Mean Vector

where 1 � ­
X j=1 xj
=

= -
n
£.J

scommon As wi
amples ccovar l be des
an beicombi c rni b
ed edt oi n
giSect
v e a isoi n
n 6.
gl e4 ,
es tthi e
m s
ataempl
( c ale l covar
e d i a nces
S pooled in f r
Chapt o m et rh e
6)n
ofs u
t hb­
e
ance This pooled estimate is
I.
1
S ( S 1 S2 S n )
= -
n
+ + ··· +

Her
Furof frtheedom. e( nm
( nm - n
- n ) S i s i n dependent of each
er, Notic)Se itshdiatswetribaruteedesastima Wiatinshgart irnatndom X j and, t
math err e
i xf o r
wi et,hof t
nm - n
h ei r mean
degr X.
e es
anylargeginumber
ven periofod.degrTheseese ofestfirmeedom. I e r n al l y f r o m
ators arConse combiequentnedlyt,o give a single estimator with t h e dat a col l e ct e d in
a

(5-35)
is distributed as (nm - n)p
( nm - n - p + 1 )
Fp, nm - n - p+1
multivariate observations, theInellanipsanale foormgousat charfashtiofonrtpaio ourrs ofdisscuusbssaiompln one means
Ellipse Format Chart.

, _1 ( n - 1 ) ( m - 1 )2
individiuals
( )S ( )
_

x-x
= _

x-x
=

<
m ( nm - n - 1 ) F2, nm - n- 1 ( .05) (5-36)
althoughSubsthample rigehts -corhandresspiondide isnusg utoalpoily apprnts outoximsidateeofd asthe�cont.05)rjol .ellipse should
x( m
be
carmeasefuulred.y checked f o r changes i n t h e behavi o r
The interested reader i2s refer ed to for additional discussion. of t
[9]
h e qual i t y char a ct e r i s t i c s bei n g
we plot the quantToity constrTyuct a T -Xcharj -tXwi)t'hS-s1u(bsXjampl- Xe)data and characteristics,
T2-Chart.

= m(
p

for j = 1 , 2, . . . , n,
where the (n - 1 ) (m - 1 p ) Fp, nm- n- p+1 ( .05)
UCL =
( nm - n - p + 1 )
The UCLValuiess ofofteTjn apprthat oexceedximatetdheasUCL.0cor5) when
x�(
r e s p ond inst l
o a r
potg e.e nt i a l y out - o f - c ont r o lor
special cause variation, which should be checked. (See [9] .)
 Section 5.6 M u ltivariate Q u a l ity Control Charts 251
Contro l Reg ions for Future Subsample Observations

Once dat a ar e col l e ct e d f r o m t h e s

set contIf rXolisliamfiutstuforer fsuutbsuraemplobseemean,t a bl e oper a t i o n
rved suthbsenamplX -e means of a . pr o ces s , t h ey can be us e d t o
bution with mean and 0
X has a mul t i v ar i a t e nor m al di s t r i ­
- = - 1 _ (n + 1 )
(
Cov X -X = Cov X -Cov X1 = ) ( ) + ( ) I
n nm
Consequently,
nm
n+1
( X -X 'S-1 X -X ) ( )

is distributed as ( nm - n)p
( nm - n - p + 1 ) Fp, nm -n - p +l
Control Ellipse for Future Subsample Means.
ture subsample mean for = characteristics is defined by the set of all such that
p 2
The pr e di c t i o n el l i p
x
s e f o r a f u ­
, _1 _ (n + 1 ) (m - 1 ) 2
(x - x) S (x - x) F2, nm - n- 1 ( .05 ) (5-37)
_ = =

<
m ( nm - n - 1 )
where, again, the right-hand side is usually approximated as .05 . x�( ) /m

T2-Chart for Future Subsample Means.

control limit and plot the quantity As bef o r e , we br i n g nj ( n + 1 ) i n t o t h e
for future sample means in chronological order. The upper control limit is then
( n + 1 ) (m - 1 )p
UCL = Fp, nm -n - p+l .05)(
( nm - n - p + 1 )
The UCLPointiss outoftesnidappre of tohxiemprateedidcastion el.l0ip5)sewhenor aboveis ltahrege.UCL suggest that the cur­
x�( n
rprentevivalousuesstaofblethpre qualocesist.yThichars amaycteribesticgoods are diorfbad,erentbutin salommeoswayt cerftraoinmlythwaroseraofnttshea
careful search for the reasons for the change.
252 Chapter 5 I nfe rences about a Mean Vector

5.7 I N FERENCES ABOUT M EAN VECTORS

W H E N S O M E OBSERVATI O N S ARE M I S S I N G

causaOfretesepn,ondent
ofsoamebrcomponent
etakdown i nstofhearvectecorodrinobsg equiervatpmention arore unavai becaus laeblofe.thThie unwis mayl inoccurgnessbe­ of

handl e i n compl o e ans

t e w
obs er e a
r vpar
at i ot i
nsc ul, a
or r i
mi t esm i on
n g a
val s u
u r
es v ey
, ques
depends t i o
, nnai
t o a r
l aer. g The
e ext bes
e ntt, way
on t ht oe
exper
tshuervreyeismpononsentsaaell,ascontruiechs,esasxtubspeopl
. If theewipatthteextrnrofemelmiys hiingghvalincomes ues is clwhooselryeftuiesde ttoo rtehsepvalonduein a of

e quent
tsiictualattieocnshniwherquesehavedata beenare midevels ingoatpedrandom-t i n fe r e nces may be s e r i
for thesehcasat ies,scas. Howevero us l y bi a s e d.
, we To ardat
e able , no
e t o s t
t a
r t
e i s
at ­
anism regenerA
sponsiablleapprfor tohache mifsorincomput g valuesinisg maxiinflmuumencedlikebyels iinhthoodwhie valchesutethiofme chance
not tatheesvarfromech­
iambliens­.
complete data isconsgivenistsbyofDemps t e r , Lai r d , and Rubi n [ 5 ] . Thei r t e chni q ue, cal l e d t h e
the and Givanen isstoteemerpsati:vesetcalimatculeatioofn itnhvole unknown
EM algorithm,
prediction estimation
ving two steps. We call them
tshtaeticontsticsr. ibution of any mis ing observation to the (complparetea-dmetatae)rssu, prf iceidientct
1. Prediction step.
r--..1

(J

2. Estimation step. Us e t h e pr e di c t e d s u f i c i e nt
tTheimatcale ofcultahteioparn cyclametesefrrso.m one step to the other, until the revised estimates do s t a t i s t i c s t o comput e a r e vi s e d es ­
not diWhen f er apprtheeciobsableyrvfatroimonsthXe 1es, tXim2,at...e,obtXnaarineeda irnandom the presviamplouseitferroamtioan.p-variate
nordatamsalufpopul a t i o n, t h e
icient statistics [see (4-21)] n pr e di c t i o n-es t i m at i o n al g or i t h m i s bas e d on t h e compl e t e ­
T1 j�=l Xj
= = nX

and n
T2 j�=l XjXj
= = (n - l)S + nXX '
Iandn thvaris casiance-JL e, the algandorithmreprspoectceedsivelyas-arfoleounknown
I,
ws: We assandumemusthatt betheespopultimataetid.on mean
Prediction step. For each vect o r xj wi t h mi s i n g val u es , l e t x ) 1) denote the
mixj' s- inxjg(1component s and x ) 2 ) denote those components which are available. Thus,
- [ 1) , xj(2)' ] .
Gi v en es t i m at e ji
s and I f r o m t h e es t i m at i o n s t e p, us e t h e mean of t h e condi ­
( l
tional normal distribution of x ), given x ), to estimate the mis ing values. That ( 2 is, 1

1 If all the components x1 are missing, set x1 = ii and x1x� = I + ii ii ' .