CHAPTER 3

INFERENCES REGARDING MULTIVARIATE

POPULATION MEAN
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3.1 Introduction
This lesson deals with inference problems on multivariate population mean. Similar
to univariate population, inference problems may arise in three different scenarios:
Case I: Inference problems regarding a single multivariate population
Case II: Inference problems regarding two means from a paired population
Case III: Inference problems regarding two means from two independent
populations
All three cases have been dealt with briefly in this lesson. All three problems make
use of the Hotelling's T-square statistic.
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3.2 Focus of Analysis

Univariate Case Multivariate Case

Measuring only a single component. Data: random vectors

Data: scalar quantities

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3.3 Assumptions Made in Each Case
4 Univariate Case Multivariate Case
1. Distribution
The data all have a common mean ; The data have a common mean vector , i.e.,
mathematically,
This also implies that there are no sub-populations
This implies that there is a single population of with different mean vectors.
subjects and no sub-populations with different
means.

2. Homoskedasticity
The data have common variance , The data for all subjects have common variance-
mathematically, covariance matrix , i.e.,
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3.Independence
The subjects are independently The subjects are independently sampled.
sampled.

4. Normality
The subjects are sampled from a The subjects are sampled from a multivariate
normal distribution normal distribution.

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 3.4 Hypothesis Testing in Each Case
Univariate
6 Case Multivariate Case

Consider hypothesis Consider hypothesis testing:

testing: Vs.
We can also write this expression as shown below:

Vs. Another way of writing this null hypothesis is shown below:

Vs.

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3.5 Univariate Statistics: t-test
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Hypothesis:

Under univariate statistics null hypothesis can be tested using a t-statistic as shown in the
expression below:

Under this -statistic is going to have a distribution with degrees of freedom. We would
reject at level if the absolute value of the test statistic is greater than the critical value from
the -table, evaluated at as shown below:
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3.6 A Naive Approach
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Following univariate method, a naive approach for testing multivariate hypothesis is to
compute the -test statistics for each individual variable; i.e.,

Thus we could define tj, which would be the t-statistic for the jth variable as shown above.
We may then reject for at least one variable .

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3.6.1 Problem with Family-wide error rate
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The basic problem with this naive approach is that it does not control the family-wide error
rate. By definition, the family-wide error rate is the probability of rejecting at least one of
the null hypotheses when all of the Ho’s are true.
To understand the family-wide error rate suppose that the experimental variance-covariance
matrix to be diagonal. This implies zero covariances between the variables. If the data are
multivariate normally distributed then this would mean that all of the variables are
independently distributed. In this case, the family wide error rate is

where is the dimension of the multivariate date and is the level of significance.
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3.6.2 Consequence
The10naive approach yields a liberal test. That is, we will tend to reject the null hypothesis
more often than we should.

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3.7 Bonferroni Correction
Under11the Bonferroni Correction we would reject the null hypothesis that mean vector is equal
to our hypothesized mean vector at level if, for at least one variable the absolute value of is
greater than the critical value from the -table with 1 degrees of freedom evaluated at for at
least one variable between and .
Note: For independent data, this yields a family-wide error rate of approximately α. For
example, if we are looking at an α = 0.05, family-wide error rate is shown in the table below
for different values of p. You can see that these are all close to the desired level of 0.05.

2 3 4 5 10 20 50
family-wide 0.049375 0.049171 0.049070 0.049010 0.048890 0.048830 0.048794
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3.8 Hotelling’s T-Square
12

As an alternative test statistic, the Hotelling’s T2 is going to be used.

Test statistic as shown below:

Where

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The statistic is called Hotellng’s in honor of Harald Hotelling, a pioneer in multivariate
analysis, who first obtained its sampling distribution. Here is the estimated covariance
matrix of .
follows as distribution
That is

we would reject the null hypothesis, Ho, at level α if the test statistic F is greater than

the critical value from the F-table with p and n-p degrees of freedom, evaluated at level α.

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Example 3.1:
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Let the data matrix for a random sample of size from a bivariate normal population be

Evaluate the observed for . What is the sampling distribution of in this case?

Example 3.2 :( Sweat Data)

Perspiration from 20 healthy females was analyzed. Three components, sodium content and
potassium content were measured and the results, which we called the sweat data, are
presented in below table
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Test the hypothesis
Vs.

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3.9 Confidence Regions and Simultaneous Comparisons of Component Means
Let consider the following example,

Example 3.3 :( USDA Women’s Health Survey)

In 1985, the USDA commissioned a study of women’s nutrition. Nutrient intake was
measured for a random sample of 737 women aged 25-50 years. Five nutritional
components were measured: calcium, iron, protein, vitamin A and vitamin C. In previous
analyses of these data, the sample mean vector was calculated. The table below shows the
recommended daily intake and the sample means for all the variables:
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 Variable Recommended Intake (μo) Mean
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Calcium 1000 mg 624.0 mg

Iron 15mg 11.1 mg

Protein 60g 65.8 g

Vitamin A 800 μg 839.6 μg

Vitamin C 75 mg 78.9 mg

Sample variance-covariance matrix

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Q1.Whether women meet the federal nutritional intake guidelines.

The hypothesis of interest is that women meet nutritional standards for all nutritional
components. This null hypothesis would be rejected if women fail to meet nutritional
standards on any one or more of these nutritional variables. In mathematical notation, the
null hypothesis is the population mean vector equals the hypothesized mean vector as
shown below:

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Q2. If they fail to meet the guidelines, then which nutrients the women fail to meet the
20
guidelines?
Let us first compare the univariate case with the analogous multivariate case in the following
tables.
A naive approach to addressing the above is by calculating of Confidence Intervals for each
of the nutritional intake levels, one-at-a-time, using univariate method as shown below:

If we consider only a single variable, we can say with (1 - α) × 100% confidence that the
interval includes the corresponding population mean.

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A one-at-a-time 95% confidence interval for calcium is given by the following where values are substituted into
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the formula and calculated are shown below:
The one-at-a-time confidence intervals are summarized in the table below:

Variable μo 95% Confidence Interval

Calcium 1000 mg 595.3, 652.8

Iron 15mg 10.7, 11.6

Protein 60g 63.6, 68.0

Vitamin A 800 μg 721.5, 957.8

Vitamin C 75 mg 73.6, 84.2

Looking at this table, it appears that the average daily intakes of calcium and iron are too low (since the
intervals fall below the recommended intakes of these variables), and the average daily intake of protein is
too high (since the interval falls above the recommended intake of protein). 11/02/2023
Problem: The problem with these one-at-a-time intervals is that they do not control for
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family-wide error rate.
Consequence: We are less than 95% confident that all of the intervals simultaneously cover
their respective means.
To fix this problem we can calculate a (1 - α) × 100% Confidence Ellipse for the population
mean vector μ. To calculate this confidence ellipse we must recall that for independent
random observations from a multivariate normal distribution with mean vector μ and
variance-covariance matrix Σ, the F-statistic which we calculated before, (shown below), is
going to be F-distributed with p and n-p degrees of freedom:

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Here23the squared Mahalanobis distance between and μ is being used. Note that a closely-
related equation for a hyper-ellipse is

In particular, this is the confidence ellipse for the population mean, μ.

Are determined by going

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Units along the eigenvectors . Beginning at the center , the axis of the confidence ellipsoid
are

Where

The ratio of the ’s will help identify relative amount along pairs of axis.

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Example 3.4 (Constructing a confidence ellipse for )

The quality-control department of a manufacturer of microwave ovens is required by the
federal government to monitor the amount of radiation emitted when the doors of the
ovens are closed and opened. Observations of the radiation emitted of n = 42 randomly
selected ovens were made. The data are listed in below:

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Simultaneous Confidence Statements
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A (1 - α) × 100% confidence ellipse yields simultaneous (1 - α) × 100% confidence intervals
for all linear combinations of the variable means. Consider linear combinations of population
means as below:

Moreover

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If a random sample from the population is available, a corresponding sample of ’s can

be created by taking linear combinations. Thus,

The sample mean and variance of the observed values are by

Where and are the sample mean vector and covariance matrix of the ’s respectively.
Simultaneous confidence intervals can be developed from a consideration of confidence
intervals for for a various choices of The argument proceeds as follows.

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For a fixed and unknown, a confidence interval for is based on student’s t-ratio
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And lead to the statement

Or

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In terms of interpreting the (1 - α) × 100% confidence ellipse, we can say that we are (1
- α) × 100% confident that all such confidence intervals cover their respective linear
combinations of the treatment means, regardless of what linear combinations we may
wish to consider. In particular, we can consider the trivial linear combinations which
correspond to the individual variables. So this says that we going to be also (1 - α) ×
100% confident that all of the intervals given in the expression below:

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Result 3.1:
Let 32be a random sample from an population with positive definite. Then , simultaneously
for all c, the interval

Will contain with probability (1 - α) × 100%.

It is convenient to refer to the simultaneous intervals of the above result as - intervals, since
the convergence probability is determined by the distribution of The successive choices and
so on for the - intervals allow us to conclude that

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𝑥2−
√
𝑝 ( 𝑛−1 )
( 𝑛− 𝑝 )
𝐹 𝑝 ,𝑛 −𝑝 ,𝛼
√ 𝑠22
√𝑛
≤ 𝜇 2 ≤ 𝑥 2+
√𝑝 ( 𝑛− 1 )
( 𝑛−𝑝 )
𝐹 𝑝, 𝑛−𝑝 ,𝛼
√
√𝑛
𝑠22

All hold simultaneously with confidence coefficient (1 - α). Note that, without modifying the
coefficient (1 - α) we can make statements about the differences corresponding to. In this
case and we have the statement

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In addition, we can conclude the statements about belonging to the sample mean-centered
ellipses

and still maintain the confidence coefficient (1 - α) for the whole set of statements.

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Example 3.5:(Simultaneous confidence intervals as shadows of the confidence ellipsoid)
35
Find the 95% confidence ellipse for the means of the fourth roots of the door-closed and
door-open microwave radiation measurements.

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Example 3.6: (Constructing simultaneous confidence intervals and ellipses)
36 scores obtained by n = 87 college students on the College Level Examination Program
The
(CLEP) subtestsand the College Qualification Test (CQT) subtests andare given. Construct
simultaneous confidence interval.

The Bonferroni Method of Multiple Comparisons

Let us develop simultaneous interval estimates for the restricted set consisting of the
components of . Lacking information on the relative importance of these components, we
consider the individual t- intervals

Where
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Example 3.7:(Constructing Bonferroni simultaneous confidence intervals and
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comparing
them with -intervals) Let us return to the microwave oven radiation data we shall obtain the
simultaneous 95% Bonferroni confidence intervals for the means,

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3.1038Profile Plots
If the data is of a very large dimension, tables of simultaneous or Bonferroni confidence
intervals are hard to grasp at a cursory glance. A better approach is to visualize the
coverage of the confidence intervals through a profile plot.

Procedure
A profile plot is obtained by using the following three step procedure:
Step 1: Standardize each of the observations by dividing them by their hypothesized
means.

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Step 2: Compute the sample mean for the 's to obtain sample means corresponding to each
of the variables . These sample means are then plotted against the variable .

Step 3: Plot either simultaneous or Bonferroni confidence bands for the population mean
of the transformed variables,
Simultaneous confidence bands are given by the usual formula, using the 's instead of the
usual 's as shown below:

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The same substitutions are made for the Bonferroni confidence band formula:

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3.11 41
Large Sample Inferences about a Population Mean Vector
When the sample size is large, tests of hypotheses and confidence regions for can be constructed
without the assumption of a normal population. for large n, we are able to make inferences about the
population mean even though the parent distribution is discrete. In fact, serious departures from a
normal population can be overcome by large sample sizes. Both tests of hypotheses and simultaneous
confidence statements will then possess (approximately) their nominal levels. The advantages
associated with large samples may be partially offset by a loss in
sample information caused by using only the summary statistics , and . On the other hand, since is a
sufficient summary for normal populations. the closer the underlying population is to multivariate
normal, the more efficiently the sample information will be utilized in making inferences. All large-
sample inferences about are based on a -distribution.
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Result
42 3.2: Let be a random sample from a population with mean and positive definite
covariance matrix . When is large, the hypothesis , is rejected in favor of a, at a level of
significance approximately , if the observed

Here is the upper th percentile of a chi-square distribution with degrees of freedom.

Result 3.3: Let be a random sample from a population with mean and positive definite covariance .
If is large,

will contain , for every , with probability approximately .

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Example 3.8 :(Constructing large sample simultaneous confidence intervals)
43 educator tested thousands of Finnish students on their native musical ability in order educator
A music
tested thousands of Finnish students on their native musical ability in order to set national norms in
Finland. Summary statistics for part of the data set are given in Table 5.5. These statistics are based on
a sample of n = 96 Finnish 12th graders.

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