Showing Rejection Region Equality with Fisher Distribution

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SUMMARY

This discussion focuses on testing the equality of variances from two normal populations using the Fisher distribution. The rejection region for the hypothesis test is established as $$\{F > F_{\nu_2, \space \alpha/2}^{\nu_1} \space or \space F < (F_{\nu_1, \space \alpha/2}^{\nu_2})^{-1}\}$$, which is equivalent to $$\{S_1^2/S_2^2 > F_{\nu_2, \space \alpha/2}^{\nu_1} \space or \space S_2^2/S_1^2 > F_{\nu_1, \space \alpha/2}^{\nu_2}\}$$. Furthermore, it is demonstrated that under the null hypothesis, the probability $$P(S_L^2/S_S^2 > F_{\nu_S, \space \alpha/2}^{\nu_L})=\alpha$$ holds true, providing an alternative method for variance equality testing.

PREREQUISITES
  • Understanding of Fisher distribution and its properties
  • Knowledge of hypothesis testing and rejection regions
  • Familiarity with sample variances and degrees of freedom
  • Basic concepts of normal distributions and statistical inference
NEXT STEPS
  • Study the derivation of the Fisher distribution and its applications in hypothesis testing
  • Explore the concept of degrees of freedom in statistical tests
  • Learn about alternative methods for testing variance equality, such as Levene's test
  • Investigate the implications of using different significance levels (α) in hypothesis testing
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Statisticians, data analysts, and students studying statistical inference who are interested in hypothesis testing and variance analysis.

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Homework Statement


[/B]
For reference:
Book: Mathematical Statistics with Applications, 7th Ed., by Wackerly, Mendenhall, and Scheaffer.
Problem: 10.81

From two normal populations with respective variances ##\sigma_1^2## and ##\sigma_2^2##, we observe independent sample variances ##S_1^2## and ##S_2^2##, with corresponding degrees of freedom ##\nu_1=n_1-1## and ##\nu_2=n_2-1##. We wish to test ##H_0: \sigma_1^2=\sigma_2^2## versus ##H_a: \sigma_1^2 \neq \sigma_2^2##.

(a) Show that the rejection region given by
$$\{F > F_{\nu_2, \space \alpha/2}^{\nu_1} \space or \space F < (F_{\nu_1, \space \alpha/2}^{\nu_2})^{-1}\}$$
where ##F=S_1^2/S_2^2##, is the same as the rejection region given by
$$\{S_1^2/S_2^2 > F_{\nu_2, \space \alpha/2}^{\nu_1} \space or \space S_2^2/S_1^2 > F_{\nu_1, \space \alpha/2}^{\nu_2}\}.$$

(b) Let ##S_L^2## denote the larger of ##S_1^2## and ##S_2^2## and let ##S_S^2## denote the smaller of ##S_1^2## and ##S_2^2##. Let ##\nu_L## and ##\nu_S## denote the degrees of freedom associated with ##S_L^2## and ##S_S^2##, repectively. Use part (a) to show that, under ##H_0##,
$$P(S_L^2/S_S^2 > F_{\nu_S, \space \alpha/2}^{\nu_L})=\alpha.$$
Note that this gives an equivalent method for testing the equality of two variances.

Homework Equations


N/A

The Attempt at a Solution


[/B]
(a) $$\{F > F_{\nu_2, \space \alpha/2}^{\nu_1} \space or \space F < (F_{\nu_1, \space \alpha/2}^{\nu_2})^{-1}\}$$
$$ = \{S_1^2/S_2^2 > F_{\nu_2, \space \alpha/2}^{\nu_1} \space or \space S_1^2/S_2^2 < (F_{\nu_1, \space \alpha/2}^{\nu_2})^{-1}\}$$
$$ = \{S_1^2/S_2^2 > F_{\nu_2, \space \alpha/2}^{\nu_1} \space or \space (S_1^2/S_2^2)^{-1} > F_{\nu_1, \space \alpha/2}^{\nu_2}\}$$
$$ = \{S_1^2/S_2^2 > F_{\nu_2, \space \alpha/2}^{\nu_1} \space or \space S_2^2/S_1^2 >(F_{\nu_1, \space \alpha/2}^{\nu_2})^{-1}\}$$

(b) I have no idea on, as I'm not entirely certain how the statement could be true in the first place. Because, let's assume that ##S_1^2 = S_L^2## and ##S_2^2 = S_S^2##. Then the problem is saying to show ##P(S_1^2/S_2^2 > F_{\nu_2, \space \alpha/2}^{\nu_1}) = \alpha##, but since this gives the tail probability of the Fisher distribution, and ##F_{\alpha/2}## is defined as the value of F such that the tail probability is ##\frac{\alpha}{2}##, how can ##P(F > F_{\nu_2, \space \alpha/2}^{\nu_1}) = \alpha## when it by definition equals ##\frac{\alpha}{2}##?
 
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Wait I THINK I may have figured it out. So we have, assuming ##S_1^2 = S_L^2## and ##S_2^2 = S_S^2##:
$$P(F \in Rejection \space Region) = \alpha$$
$$P(S_L^2/S_S^2 > F_{\nu_S, \space \alpha/2}^{\nu_L} \space or \space S_S^2/S_L^2 > F_{\nu_L, \space \alpha/2}^{\nu_S}) = \alpha$$
$$P(S_L^2/S_S^2 > F_{\nu_S, \space \alpha/2}^{\nu_L})+P(S_S^2/S_L^2 > F_{\nu_L, \space \alpha/2}^{\nu_S}) = \alpha$$ since they are mutually exclusive
$$P(S_L^2/S_S^2 > F_{\nu_S, \space \alpha/2}^{\nu_L})+0 = \alpha$$ since ##\frac{S_S^2}{S_L^2} < 1## and F-values are greater than 1 (at least as far as I can tell looking at this table anyway)
$$P(S_L^2/S_S^2 > F_{\nu_S, \space \alpha/2}^{\nu_L})= \alpha$$

Is this right? And if so, could someone give a more intuitive reasoning to this? Because it still feels weird that the tail area is ##\alpha/2## but the probability of being the rejection region is ##\alpha## when it's not possible to be in one tail.
 

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