From Section 7.2.1, the sum of squares, divided by the degrees of freedom, is an unbiased estimator of the residual variance,
Alternatively,
So if both model 1 and model 2 fit the data then both of their normalised sums of squares are unbiased estimates of , and the expected difference in their sums of squares is,
and is also an unbiased estimator of the residual variance .
But if model 1 is not a sufficiently good model for the data
since the expected sum of squares for model 1 will be greater than as the model does not account for enough of the variability in the response.
It follows that the -statistic
is simply the ratio of two estimates of . If model 1 is a sufficient fit, this ratio will be close to 1, otherwise it will be greater than 1.
To see how far the -ratio must be from from 1 for the result not to have occurred by chance, we need its sampling distribution. It turns out that the appropriate distribution is the distribution. The proof of this is too long to cover here.