3

In the following article:

Nelson, L. S. "EXACT CRITICAL-VALUES FOR USE WITH THE ANALYSIS OF MEANS." Journal of Quality Technology 15.1 (1983): 40-44.

Nelson states that "When ANOM [Analysis of Means] is applied to k means based on equal sample sizes, their deviations from the grand mean are all equicorrelated with correlation -1/(k-1)."

What exactly does this mean? How can I calculate the correlation stated above? If I generate k vectors and each vector's mean, then calculate each mean's deviation from the grand mean, I end up with k deviations. What do I compare those to to get a correlation of -1/(k-1)?

kjetil b halvorsen
  • 63,378
  • 26
  • 142
  • 467
Todd Johnson
  • 151
  • 4

1 Answers1

1

Lets do the algebra, let $X_{ji}, j=1,\dotsc,k ; i=1,\dotsc,n$ be independent observations from $k$ groups, each with expectation $\mu_j, j=1,\dotsc,k$ and variance $\sigma^2$.

The group means is $\bar{X}_j= \frac1{n}\sum_i X_{ji}$ and the total mean is $\bar{\bar{X}} = \frac1{nk} \sum_j \sum_i X_{ji} = \frac1{k} \sum_j \bar{X}_j$ with variances $\sigma^2/n$ and $\sigma^2/nk$, respectively. We calculate (for $j\not = l$): $$ \DeclareMathOperator{\var}{\mathbb{V}ar} \DeclareMathOperator{\cov}{\mathbb{C}ov} \DeclareMathOperator{\corr}{\mathbb{c}or} \cov(\bar{X}_j-\bar{\bar{X}},\bar{X}_l-\bar{\bar{X}}) = \cov(\bar{X}_j,\bar{X}_l) - \cov(\bar{X}_j,\bar{\bar{X}})-\cov(\bar{X}_l,\bar{\bar{X}}) + \cov(\bar{\bar{X}},\bar{\bar{X}}) $$ Each of the terms: $$ \cov(\bar{X}_j,\bar{X}_l) = 0 \quad (j\not= l) \\ \cov(\bar{X}_j,\bar{\bar{X}}) = \cov(\bar{X}_l,\bar{\bar{X}}) = \\\cov(\bar{X}_j, \frac1k(\bar{X}_1+\dotso+\bar{X}_j+\dotso+\bar{X}_k)) = \cov(\bar{X}_j,\frac1k \bar{X}_j)= \frac1k \cov(\bar{X}_j,\bar{X}_j) = \frac1k \var(\bar{X}_j )= \sigma^2/nk \\ \cov( \bar{\bar{X}}, \bar{\bar{X}})=\var(\bar{\bar{X}})=\sigma^2/nk $$ Putting everything together, we have $$ \cov(\bar{X}_j-\bar{\bar{X}},\bar{X}_l-\bar{\bar{X}}) = 0 - \sigma^2/nk - \sigma^2/nk + \sigma^2/nk = -\sigma^2/nk $$ and finally the correlation is $$ \corr(\bar{X}_j-\bar{\bar{X}},\bar{X}_l-\bar{\bar{X}}) = \frac{-\sigma^2/nk}{\sigma^2/n}= -\frac1k $$ and since this correlation is the same for each pair $(j,l) \quad j\not= l$ we say it is equicorrelated. Your source above gave $k-1$ not $k$ in the denominator, you should check if you cited correctly, because what we have here is correct. You can check that intuitively by looking on the case $k=2$, your formula gives then a correlation $-1$ which cannot be correct.

kjetil b halvorsen
  • 63,378
  • 26
  • 142
  • 467