Home page for accesible maths 10.1 The F test

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10.1.1 Where does the F-test come from?

From Section 7.2.1, the sum of squares, divided by the degrees of freedom, is an unbiased estimator of the residual variance,

𝔼[SS/(n-p)]=σ2.

Alternatively,

𝔼[SS]=(n-p)σ2.

So if both model 1 and model 2 fit the data then both of their normalised sums of squares are unbiased estimates of σ2, and the expected difference in their sums of squares is,

𝔼[SS1-SS2]=𝔼[SS1]-𝔼[SS2]=(n-p1)σ2-(n-p2)σ2=(p2-p1)σ2.

and (SS1-SS2)/(p2-p1) is also an unbiased estimator of the residual variance σ2.

But if model 1 is not a sufficiently good model for the data

𝔼[(SS1-SS2)/(p2-p1)]>σ2

since the expected sum of squares for model 1 will be greater than σ2 as the model does not account for enough of the variability in the response.

It follows that the F-statistic

F=(SS1-SS2)/(p2-p1)SS2/(n-p2).

is simply the ratio of two estimates of σ2. 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 F-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 F(p2-p1),(n-p2) distribution. The proof of this is too long to cover here.