Multivariate Analysis of Variance

With equality of population means for dependent groups also means any linear combinations should be equal for all groups - both of these are evaluated in MANOVA. Correlations between depedent variables indicate partial redundance of information and results obtained will pertain to an overlap of concepts to be explained.

Examples

Uses

• test hypotheses about the relationship of sets of inter-related dependent variables and one or more nominal/ordinal dependent (grouping) variables.
• compare the means of different groups with respect to a set of different measures
• identify a subset of dependent variables contributing to the difference among groups

Assumptions

• multivariate normality
• homogeneity of variance/covariances across treatment groups: test assumption with Box's M test
• sensitive to outliers

• Univariate F-tests are based on a ratio of hypothesis MS over error MS. In multivariate designs there is no single term for hypothesis or error mean squares but rather matrices representing these. These matrices are combined into a test statistic using a variety of approaches: Pillai's trace, Wilk's lambda, Hotelling's trace, Roy's largest root - these can be transformed into an aproximate F-distribution
• ANOVA on sums of the variables vs. MANOVA
• Mahalinobis Distance: for univariate scenario: square of the standard normal deviate, in multivariate system measures how far a multivariate point is from the multivariate mean (centroid). Plotted for each case, this allows us to spot outliers in many dimensions concurrently
• Interpretation of MANOVA results - After obtaining a significant multivariate test for a particular main effect or interaction, examine the univariate F tests for each variable to help in interpreting the respective effects
• Equivalent to Discriminant Function Analysis derive a new variate as a linear combinations of the original dependent variables that results in the greatest difference among the group means on the variates.
• Then determine the significance of the difference in the variate group means using one of several multivariate statistics based on λ (i.e., eigenvalues associated with the canonical discriminant functions):
  • Pillai's Trace: V = Σ(λ_i) / (1 + λ_i )
  • Wilks' Lambda: Λ = P (1) / (1 + λ_i )
  • Hotelling's T: Τ = Σλ_i
  • Roy's Greatest Root: Ρ = (λ_max)
• Eigenvalue: measures the ability of a canonical axis to discriminate between the experimental groups. The larger the eigenvalue, the larger the group differences on the variate.

How this is done

Univariate F-Tests obtain the ratio of variance explained by the model over the error variance. In multivariate Analysis of variance these single variance terms are replaced by a Model Variance-Covariance Matrix over an Error Variance Covariance Matrix.