Is group mean and overall mean independent?

1. Jul 17, 2011

colstat

In an ANOVA experiment, you have,
group mean $\overline{y}$.
overall mean $\overline{y}$..

Are they independent?
Some samples overlap to calculate these means.

What is var($\overline{y}$.-$\overline{y}$..) ?

Last edited: Jul 17, 2011
2. Jul 17, 2011

pmsrw3

You mean under the null hypothesis, I presume. No, they're not independent, for the reason you give.

3. Jul 17, 2011

colstat

What is var($\overline{y}$.-$\overline{y}$..) ?

4. Jul 17, 2011

pmsrw3

Umm, I'd have to look it up or work it out, and I'm too lazy to do that right now. But you should be able to find it in any stats book.

5. Jul 18, 2011

colstat

Ok. Is it something like this?
var($\overline{y}$.) + var($\overline{y}$..) + something else?

6. Jul 18, 2011

pmsrw3

Well, in general Var(a-b) = Var(a) + Var(b) - 2Cov(a,b), so you could write it in the form you give. But there's also a more precise formula in this case based on partitioning the sums of squares that contribute to the distinct variances.

7. Jul 18, 2011

colstat

what is 2Cov(a,b) in this case?

8. Jul 18, 2011

pmsrw3

Cov(a,b) is the covariance of a and b, $\mathbb{E}\left[\left(a-\mu_a\right)\left(b-\mu_b\right)\right]$. Is that what you're asking, or are you asking me what it actually evaluates to when $a=\overline{y}_{.}$ and $b=\overline{y}_{..}$?

9. Jul 18, 2011

colstat

evaluation.

10. Jul 18, 2011

pmsrw3

Write $\overline{y}_{..}$ as a linear combination of the $\overline{y}_{.}$. Now use Cov(a,b+c) = Cov(a,b) + Cov(a,c) to expand it. The $\overline{y}_{.}$ are all independent (under the null hypothesis), so all the cross covariances vanish. Cov(a, a) = Var(a), and Var(a/n) = Var(a)/n^2.

11. Jul 18, 2011

colstat

The book gives standard error: s$\sqrt{1/n.-1/N}$, where s = $\sqrt{MSE}$

How do I go from standard error to variance?

Last edited: Jul 18, 2011
12. Jul 18, 2011

pmsrw3

The square of a standard error is an estimate (usually unbiased) of the variance of whatever it's the standard error of.

13. Jul 18, 2011

colstat

I didn't get the last part of your sentence, are you saying standard error squared is variance?

14. Jul 18, 2011

pmsrw3

Yes, standard error squared is (an estimate of) variance. But the variance of what? The last part of the sentence was concerned with that.

In general, if you do an ANOVA or a regression, you'll get a bunch of standard errors. You get an SE for the overall mean, you get an SE for each group mean, if it's a multilevel or two-way ANOVA there will be some more SEs, and if it's a regression there'll be an SE for each coefficient. If I give you a number and I tell you it's the standard error of coefficient 2, then you know that the square of that number is an estimate of the variance of coefficient 2. And so on, for all the other SEs. That's what I meant.

15. Jul 18, 2011

colstat

I thought standard deviation squared is variance. So, does standard deviation not exist, or are they just the same thing?

16. Jul 18, 2011

pmsrw3

A standard error is a kind of a standard deviation. But usually "standard deviation" is used for the sample measurements themselves, whereas "standard error" is for estimators. For instance, if you have 4 measurements, y1 - y4, the square of the standard deviation is an estimate of the variance of any one of the yi. The square of the standard error of the mean (which is half the standard deviation) is an estimate of the variance of the mean of the four y's.

17. Jul 18, 2011

colstat

so, is this correct? var($\overline{y}$i.-$\overline{y}$..) = s2(1/ni-1/N)

18. Jul 18, 2011

pmsrw3

I'm really not sure without working it out or looking it up. You said your book said that was SE, but you didn't say what it's the SE of. I don't do ANOVA so often that I have all the formulas in my head (and anyway, I rely on a computer for the actual calculations, like any sensible person).

19. Jul 18, 2011

colstat

umm, I think it should be right with the following sources I looked up:

1. "Applied Linear Regression Models" 5th by Kutner and Li P738 Example
2. "A First Course in Design and Analysis of Experiments" by Oehlert P44 top box and P43 bottom, free pdf on Oehlert's page.

20. Jul 18, 2011

pmsrw3

Of course it's RIGHT, but what is it? You said it's "the standard error". The standard error of WHAT? And why do you think this particular SE should be the variance of the difference between the global mean and the group means? I would have guessed it was most likely the variance of the global mean.