Formal Proof of ANOVA's F Distribution?

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SUMMARY

The discussion centers on the formal proof that the ratio of mean squares (MS) between and within groups in ANOVA follows an F distribution under the null hypothesis. It is established that if each mean square term is normally distributed, their sum results in a chi-squared distribution. The independence of the quadratic forms under the null hypothesis confirms that the ratio of independent chi-squared variables over their respective degrees of freedom yields an F distribution, as defined in statistical theory.

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Boot20
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Hello all,

Does anyone know where I could find a formal proof that

\frac{\text{MS between}}{\text{MS within}}

has a F distribution under the null in ANOVA?
 
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Wikipedia states that the ratio of two chi-square random variables is F. If each MS term is normal then their sum will be Chi-squared.
 
In ANOVA each sum of squares can be pictured as a quadratic form, and under the null hypothesis the quadratic forms are either exactly chi-squared (if normality is assumed) or approximately chi-squared (under some general regularity conditions). The model assumptions and the null hypothesis ensure that the different quadratic forms are independent, so

(MS between)/(MS within)

is a ratio of independent chi-squares over their degrees of freedom which, by definition, gives an F distribution.
 

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