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Two-Sample Problem
Compare two population centers via locations (medians)
Now, compare scale parameters
Perhaps same location, perhaps not
Even more generally, compare two distributions in all respects
Assumptions
Xi , i = 1, 2, . . . , m iid
Yi , i = 1, 2, . . . , n iid
N = m + n observations
Xi s and Yi s are independent
Continuous populations
F is distribution of X , population 1
G is distribution of Y , population 2
t1
1
G (t) = H
t2
2
d
Equivalently: X = 1 Z + 1 , Y = 2 Z + 2 , with Z H
X d Y
1 = 2
var(X )
var(Y )
Write null as
H0 : 2 = 1
E (C ) =
var(C )
n(N+2)
2
var (C ) =
h P
i
mn 16 gj=1 tj rj2 N(N + 2)2
16N(N 1)
Assumptions
E (X ) E (Y ) may not exist
Only scale difference
Common median assumption is essential
n
2
i=1 (i J )
(n1)n
Xi =
1 X
Xs
m1
s6=i
Di2
1 X
=
(Xs X i )2
m2
s6=i
i = 1, 2, . . . , m
Tj = ln Ej2 ,
j = 1, 2, . . . , n
V1 =
Ai = mS0 (m 1)Si ,
i = 1, 2, . . . , m
Bj = nT0 (n 1)Tj ,
j = 1, 2, . . . , n
m
X
(Ai A)2
(estimate varA),
m(m 1)
V2 =
i=1
AB
Q=
V1 + V2
m
X
(Bj B)2
(estimate varB
n(n 1)
i=1
U2 = e {AB+z/2 V1 +V2 }
2 = e {ABz/2 V1 +V2 }
L
One-sided (lower)
L2 = e {ABz
V1 +V2 }
One-sided (upper)
U2 = e {AB+z
V1 +V2 }
Lepage Test
Test for either scale or location differences
Null:
H0 : F (t) = G (t) for all t
Alternative:
H1 : 1 6= 2 and/or 1 6= 2
Rank test
Large sample approximation
Section 5.3 (skip)
number of sample X s t
m
Gn (t) =
number of sample Y s t
n
0.0
0.2
0.4
Fn(x)
0.6
0.8
1.0
ecdf(x)
1
0
1
2
x
3
4
mn
max {|Fm (t) Gn (t)|}
d <t<
Km,n (J ) =
Dm,n =
max |Fm (t) Gn (t)|
m+n
m + n <t<
Order the m + n values as Z(1) , Z(2) , . . . , Z(m+n)
Sufficient to consider these (finitely many) differences
Dm,n = max |Fm (Z(i) ) Gn (Z(i) )|
i
Jd ,
mnN
or in fact
mn
Dm,n
m+n
Reject H0 if J q
P(J q ) =
Limiting distribution: Kolmogorov distribution (cf. (5.74)
P179)
Table A.11
Not normal
No ties
(Skip 5.5)