Matakuliah Tahun Versi : A0064 / Statistik Ekonomi : 2005 : 1/1 Pertemuan 26 Metode Non Parametrik-2 1 Learning Outcomes Pada akhir pertemuan ini, diharapkan mahasiswa akan mampu : • Menyimpulkan hasil pengujian hipotesis dengan menggunakan uji peringkat bertanda Wilcoxon dan Uji Kruskal-Wallis 2 Outline Materi • Uji Peringkat Bertanda Wilcoxon • Uji Kruskal-Wallis 3 COMPLETE 14-4 BUSINESS STATISTICS 5th edi tion 14-5 The Wilcoxon Signed-Ranks Test (Paired Ranks) The null and alternative hypotheses: H0: The median difference between populations are 1 and 2 is zero H1: The median difference between populations are 1 and 2 is not zero Find the difference between the ranks for each pair, D = x1 -x2, and then rank the absolute values of the differences. The Wilcoxon T statistic is the smaller of the sums of the positive ranks and the sum of the negative ranks: T min ( ), ( ) For small samples, a left-tailed test is used, using the values in Appendix C, Table 10. E[T ] n ( n 1) 4 The large-sample test statistic: McGraw-Hill/Irwin T z T E[T ] n ( n 1)( 2 n 1) 24 T Aczel/Sounderpandian © The McGraw-Hill Companies, Inc., 2002 COMPLETE 14-5 BUSINESS STATISTICS 5th edi tion Example 14-6 Sold Sold (1) (2) (D<0) 56 48 100 85 22 44 35 28 52 77 89 10 65 90 70 33 40 70 60 70 8 40 45 7 60 70 90 10 85 61 40 26 Rank Rank Rank D=x1-x2 ABS(D) ABS(D)(D>0) 16 -22 40 15 14 4 -10 21 -8 7 -1 0 -20 29 30 7 McGraw-Hill/Irwin 16 22 40 15 14 4 10 21 8 7 1 * 20 29 30 7 9.0 12.0 15.0 8.0 7.0 2.0 6.0 11.0 5.0 3.5 1.0 * 10.0 13.0 14.0 3.5 9.0 0.0 15.0 8.0 7.0 2.0 0.0 11.0 0.0 3.5 0.0 * 0.0 13.0 14.0 3.5 0 12 0 0 0 0 6 0 5 0 1 * 10 0 0 0 Sum: 86 34 Aczel/Sounderpandian T=34 n=15 P=0.05 30 P=0.025 25 P=0.01 20 P=0.005 16 H0 is not rejected (Note the arithmetic error in the text for store 13) © The McGraw-Hill Companies, Inc., 2002 COMPLETE 14-6 BUSINESS STATISTICS 5th edi tion Example 14-7 Hourly Rank Messages (D<0) 151 144 123 178 105 112 140 167 177 185 129 160 110 170 198 165 109 118 155 102 164 180 139 166 82 Rank Rank Md0 149 149 149 149 149 149 149 149 149 149 149 149 149 149 149 149 149 149 149 149 149 149 149 149 149 McGraw-Hill/Irwin 2 -5 -26 29 -44 -37 -9 18 28 36 -20 11 -39 21 49 16 -40 -31 6 -47 15 31 -10 17 33 D=x1-x2 ABS(D) ABS(D) (D>0) 2 5 26 29 44 37 9 18 28 36 20 11 39 21 49 16 40 31 6 47 15 31 10 17 33 1.0 2.0 13.0 15.0 23.0 20.0 4.0 10.0 14.0 19.0 11.0 6.0 21.0 12.0 25.0 8.0 22.0 16.5 3.0 24.0 7.0 16.5 5.0 9.0 18.0 1.0 0.0 0.0 15.0 0.0 0.0 0.0 10.0 14.0 19.0 0.0 6.0 0.0 12.0 25.0 8.0 0.0 0.0 3.0 0.0 7.0 16.5 0.0 9.0 18.0 0.0 2.0 13.0 0.0 23.0 20.0 4.0 0.0 0.0 0.0 11.0 0.0 21.0 0.0 0.0 0.0 22.0 16.5 0.0 24.0 0.0 0.0 5.0 0.0 0.0 Sum: 163.5 161.5 E[ T ] n ( n 1) (25)(25 + 1) = T = 162.5 4 4 n ( n 1)( 2 n 1) 24 25( 25 1)(( 2 )( 25) 1) 24 33150 37 .165 24 The large - sample test statistic: z T E[ T ] T 163.5 162 .5 0.027 37 .165 H 0 cannot be rejected Aczel/Sounderpandian © The McGraw-Hill Companies, Inc., 2002 COMPLETE BUSINESS STATISTICS 14-7 5th edi tion Example 14-7 using the Template Note 1: You should enter the claimed value of the mean (median) in every used row of the second column of data. In this case it is 149. Note 2: In order for the large sample approximations to be computed you will need to change n > 25 to n >= 25 in cells M13 and M14. McGraw-Hill/Irwin Aczel/Sounderpandian © The McGraw-Hill Companies, Inc., 2002 COMPLETE BUSINESS STATISTICS 14-8 5th edi tion 14-6 The Kruskal-Wallis Test - A Nonparametric Alternative to One-Way ANOVA The Kruskal-Wallis hypothesis test: H0: All k populations have the same distribution H1: Not all k populations have the same distribution The Kruskal-Wallis test statistic: 12 k Rj H 3(n 1) n(n 1) n j 1 j 2 If each nj > 5, then H is approximately distributed as a 2. McGraw-Hill/Irwin Aczel/Sounderpandian © The McGraw-Hill Companies, Inc., 2002 COMPLETE 14-9 BUSINESS STATISTICS 5th edi tion Example 14-8: The Kruskal-Wallis Test SoftwareTimeRank Group RankSum 1 45 14 1 90 1 38 10 2 56 1 56 16 3 25 1 60 17 1 47 15 1 65 18 2 30 8 2 40 11 2 28 7 2 44 13 2 25 5 2 42 12 3 22 4 3 19 3 3 15 1 3 31 9 3 27 6 3 17 2 McGraw-Hill/Irwin 2 R k 12 j H j1 3( n 1) n ( n 1) nj 12 902 562 252 3(18 1) 18(18 1) 6 6 6 12 11861 57 342 6 12 .3625 2(2,0.005)=10.5966, so H0 is rejected. Aczel/Sounderpandian © The McGraw-Hill Companies, Inc., 2002 COMPLETE BUSINESS STATISTICS 14-10 5th edi tion Example 14-8: The Kruskal-Wallis Test – Using the Template McGraw-Hill/Irwin Aczel/Sounderpandian © The McGraw-Hill Companies, Inc., 2002 COMPLETE BUSINESS STATISTICS 14-11 5th edi tion Further Analysis (Pairwise Comparisons of Average Ranks) If the null hypothesis in the Kruskal-Wallis test is rejected, then we may wish, in addition, compare each pair of populations to determine which are different and which are the same. The pairwise comparison test statistic: D Ri R j where R i is the mean of the ranks of the observations from population i. The critical point for the paired comparisons: n(n 1) 1 1 2 C KW ( , k 1 ) 12 ni n j Reject if D > C KW McGraw-Hill/Irwin Aczel/Sounderpandian © The McGraw-Hill Companies, Inc., 2002 COMPLETE 14-12 BUSINESS STATISTICS 5th edi tion Pairwise Comparisons: Example 14-8 C KW Critical Point: n(n 1) 1 1 ( 2 ,k 1 ) 12 ni n j 18(18 1) 1 1 ( 9.21034) 12 6 6 87.49823 9.35 90 15 6 56 R2 9.33 6 25 R3 4.17 6 R1 McGraw-Hill/Irwin D1,2 15 9.33 5.67 D1,3 15 4.17 10.83 *** D2,3 9.33 4.17 516 . Aczel/Sounderpandian © The McGraw-Hill Companies, Inc., 2002 COMPLETE 14-13 BUSINESS STATISTICS 5th edi tion 14-7 The Friedman Test for a Randomized Block Design The Friedman test is a nonparametric version of the randomized block design ANOVA. Sometimes this design is referred to as a two-way ANOVA with one item per cell because it is possible to view the blocks as one factor and the treatment levels as the other factor. The test is based on ranks. The Friedman hypothesis test: H0: The distributions of the k treatment populations are identical H1: Not all k distribution are identical The Friedman test statistic: 2 12 R 3n( k 1) nk (k 1) k j 1 2 j The degrees of freedom for the chi-square distribution is (k – 1). McGraw-Hill/Irwin Aczel/Sounderpandian © The McGraw-Hill Companies, Inc., 2002 COMPLETE BUSINESS STATISTICS 14-14 5th edi tion Example 14-10 – using the Template Note: The p-value is small relative to a significance level of = 0.05, so one should conclude that there is evidence that not all three lowbudget cruise lines are equally preferred by the frequent cruiser population McGraw-Hill/Irwin Aczel/Sounderpandian © The McGraw-Hill Companies, Inc., 2002 COMPLETE BUSINESS STATISTICS 14-15 5th edi tion 14-8 The Spearman Rank Correlation Coefficient The Spearman Rank Correlation Coefficient is the simple correlation coefficient calculated from variables converted to ranks from their original values. The Spearman Rank Correlation Coefficient (assuming no ties): n 2 6 di rs 1 i 21 where d = R(x ) - R(y ) i i i n ( n 1) Null and alternative hypotheses: H 0: s = 0 H1: s 0 Critical values for small sample tests from Appendix C, Table 11 Large sample test statistic: z = rs ( n 1) McGraw-Hill/Irwin Aczel/Sounderpandian © The McGraw-Hill Companies, Inc., 2002 COMPLETE 14-16 BUSINESS STATISTICS 5th edi tion Spearman Rank Correlation Coefficient: Example 14-11 MMI S&P100 220 151 218 150 216 148 217 149 215 147 213 146 219 152 236 165 237 162 235 161 R-MMI R-S&P Diff Diffsq 7 6 1 1 5 5 0 0 3 3 0 0 4 4 0 0 2 2 0 0 1 1 0 0 6 7 -1 1 9 10 -1 1 10 9 1 1 8 8 0 0 Sum: Table 11: =0.005 n. .. 7 -----8 0.881 9 0.833 10 0.794 11 0.818 .. . 4 n 2 6 di (6)(4) 24 rs 1 i 21 = 1= 1= 0.9758 > 0.794 H rejected 990 0 n ( n 1) (10)(102 - 1) McGraw-Hill/Irwin Aczel/Sounderpandian © The McGraw-Hill Companies, Inc., 2002 COMPLETE BUSINESS STATISTICS 14-17 5th edi tion Spearman Rank Correlation Coefficient: Example 14-11 Using the Template Note: The pvalues in the range J15:J17 will appear only if the sample size is large (n > 30) McGraw-Hill/Irwin Aczel/Sounderpandian © The McGraw-Hill Companies, Inc., 2002 COMPLETE 14-18 BUSINESS STATISTICS 5th edi tion 14-9 A Chi-Square Test for Goodness of Fit Steps in a chi-square analysis: Formulate null and alternative hypotheses Compute frequencies of occurrence that would be expected if the null hypothesis were true - expected cell counts Note actual, observed cell counts Use differences between expected and actual cell counts to find chi-square statistic: 2 k (Oi Ei ) Ei i 1 2 Compare chi-statistic with critical values from the chi-square distribution (with k-1 degrees of freedom) to test the null hypothesis McGraw-Hill/Irwin Aczel/Sounderpandian © The McGraw-Hill Companies, Inc., 2002 COMPLETE 14-19 BUSINESS STATISTICS 5th edi tion Example 14-12: Goodness-of-Fit Test for the Multinomial Distribution The null and alternative hypotheses: H0: The probabilities of occurrence of events E1, E2...,Ek are given by p1,p2,...,pk H1: The probabilities of the k events are not as specified in the null hypothesis Assuming equal probabilities, p1= p2 = p3 = p4 =0.25 and n=80 Preference Tan Brown Maroon Black Total Observed 12 40 8 20 80 Expected(np) 20 20 20 20 80 (O-E) -8 20 -12 0 0 k ( Oi E i ) 2 i 1 Ei 2 ( 8 ) 20 2 ( 20 ) 2 ( 12 ) 20 2 20 ( 0) 2 20 30.4 2 11.3449 ( 0.01, 3) H 0 is rejected at the 0.01 level. McGraw-Hill/Irwin Aczel/Sounderpandian © The McGraw-Hill Companies, Inc., 2002 COMPLETE BUSINESS STATISTICS 14-20 5th edi tion Example 14-12: Goodness-of-Fit Test for the Multinomial Distribution using the Template Note: the pvalue is 0.0000, so we can reject the null hypothesis at any level. McGraw-Hill/Irwin Aczel/Sounderpandian © The McGraw-Hill Companies, Inc., 2002 COMPLETE 14-21 BUSINESS STATISTICS 5th edi tion Goodness-of-Fit for the Normal Distribution: Example 14-13 p(z<-1) p(-1<z<-0.44) p(-0.44<z<0) p(0<z<0.44) p(0.44<z<14) p(z>1) = 0.1587 = 0.1713 = 0.1700 = 0.1700 = 0.1713 = 0.1587 Partitioning the Standard Normal Distribution 0.1700 0.1700 0.4 0.1713 0.1713 0.3 f(z) 1. Use the table of the standard normal distribution to determine an appropriate partition of the standard normal distribution which gives ranges with approximately equal percentages. 0.2 0.1587 0.1587 0.1 z 0.0 -5 -1 0 1 5 -0.44 0.44 2. Given z boundaries, x boundaries can be determined from the inverse standard normal transformation: x = + z = 125 + 40z. 3. Compare with the critical value of the 2 distribution with k-3 degrees of freedom. McGraw-Hill/Irwin Aczel/Sounderpandian © The McGraw-Hill Companies, Inc., 2002 COMPLETE 14-22 BUSINESS STATISTICS 5th edi tion Example 14-13: Solution i Oi Ei 1 2 3 4 5 6 14 20 16 19 16 15 15.87 17.13 17.00 17.00 17.13 15.87 Oi - Ei (Oi - Ei)2 (Oi - Ei)2/ Ei -1.87 2.87 -1.00 2.00 -1.13 -0.87 3.49690 8.23691 1.00000 4.00000 1.27690 0.75690 2: 0.22035 0.48085 0.05882 0.23529 0.07454 0.04769 1.11755 2(0.10,k-3)= 6.5139 > 1.11755 H0 is not rejected at the 0.10 level McGraw-Hill/Irwin Aczel/Sounderpandian © The McGraw-Hill Companies, Inc., 2002 COMPLETE BUSINESS STATISTICS 14-23 5th edi tion Example 14-13: Solution using the Template Note: p-value = 0.8002 > 0.01 H0 is not rejected at the 0.10 level McGraw-Hill/Irwin Aczel/Sounderpandian © The McGraw-Hill Companies, Inc., 2002 COMPLETE 14-24 BUSINESS STATISTICS 5th edi tion 14-9 Contingency Table Analysis: A Chi-Square Test for Independence First Classification Category Second Classification Category 1 2 3 4 5 Column Total McGraw-Hill/Irwin 1 O11 O21 O31 O41 O51 2 O12 O22 O32 O42 O52 3 O13 O23 O33 O43 O53 4 O14 O24 O34 O44 O54 5 O15 O25 O35 O45 O55 C1 C2 C3 C4 C5 Aczel/Sounderpandian Row Total R1 R2 R3 R4 R5 n © The McGraw-Hill Companies, Inc., 2002 COMPLETE 14-25 BUSINESS STATISTICS 5th edi tion Contingency Table Analysis: A Chi-Square Test for Independence A and B are independent if:P(AUB) = P(A)P(B). If the first and second classification categories are independent:Eij = (Ri)(Cj)/n Null and alternative hypotheses: H0: The two classification variables are independent of each other H1: The two classification variables are not independent Chi-square test statistic for independence: 2 ( O E ) ij 2 ij Eij i 1 j 1 r c Degrees of freedom: df=(r-1)(c-1) Expected cell count: McGraw-Hill/Irwin Ri C j Eij n Aczel/Sounderpandian © The McGraw-Hill Companies, Inc., 2002 COMPLETE 14-26 BUSINESS STATISTICS 5th edi tion Contingency Table Analysis: Example 14-14 2(0.01,(2-1)(2-1))=6.63490 Industry Type Profit ij 11 12 21 22 Service Nonservice (Expected) (Expected) Total 42 18 60 (Expected) (60*48/100)=28.8 (60*52/100)=31.2 Loss 6 34 (Expected) (40*48/100)=19.2 (40*52/100)=20.8 Total 48 52 O 42 18 6 34 E 28.8 31.2 19.2 20.8 O-E 13.2 -13.2 -13.2 13.2 (O-E)2 (O-E)2/E 174.24 6.0500 174.24 5.5846 174.24 9.0750 174.24 8.3769 2: McGraw-Hill/Irwin 29.0865 H0 is rejected at the 0.01 level and it is concluded that the two variables are not independent. 40 100 2 Yates corrected for a 2x2 table: 2 Oij Eij 0.5 2 Eij Aczel/Sounderpandian © The McGraw-Hill Companies, Inc., 2002 COMPLETE BUSINESS STATISTICS 14-27 5th edi tion Contingency Table Analysis: Example 14-14 using the Template Note: When the contingency table is a 2x2, one should use the Yates correction. Since p-value = 0.000, H0 is rejected at the 0.01 level and it is concluded that the two variables are not independent. McGraw-Hill/Irwin Aczel/Sounderpandian © The McGraw-Hill Companies, Inc., 2002 COMPLETE 14-28 BUSINESS STATISTICS 5th edi tion 14-11 Chi-Square Test for Equality of Proportions Tests of equality of proportions across several populations are also called tests of homogeneity. In general, when we compare c populations (or r populations if they are arranged as rows rather than columns in the table), then the Null and alternative hypotheses: H0: p1 = p2 = p3 = … = pc H1: Not all pi, I = 1, 2, …, c, are equal Chi-square test statistic for equal proportions: 2 ( O E ) ij 2 ij Eij i 1 j 1 r c Degrees of freedom: df = (r-1)(c-1) Expected cell count: McGraw-Hill/Irwin Ri C j Eij n Aczel/Sounderpandian © The McGraw-Hill Companies, Inc., 2002 COMPLETE BUSINESS STATISTICS 14-29 5th edi tion 14-11 Chi-Square Test for Equality of Proportions - Extension The Median Test Here, the Null and alternative hypotheses are: H0: The c populations have the same median H1: Not all c populations have the same median McGraw-Hill/Irwin Aczel/Sounderpandian © The McGraw-Hill Companies, Inc., 2002 COMPLETE BUSINESS STATISTICS 14-30 5th edi tion Chi-Square Test for the Median: Example 14-16 Using the Template Note: The template was used to help compute the test statistic and the pvalue for the median test. First you must manually compute the number of values that are above the grand median and the number that is less than or equal to the grand median. Use these values in the template. See Table 14-16 in the text. Since the p-value = 0.6703 is very large there is no evidence to reject the null hypothesis. McGraw-Hill/Irwin Aczel/Sounderpandian © The McGraw-Hill Companies, Inc., 2002 Penutup • Metode Non parametrik pada hakekatnya merupakan suatu uji hipotesis yang membahas masalah ukuran skala ordinal dan nominal, uji ini tidak memerlukan asumsi terhadap populasi yang akan diuji (uji bebas distribusi) 31