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Friedman test

From Wikipedia, the free encyclopedia
Non-parametric statistical test
For the cryptanalytic test, seeVigenère cipher § Friedman test. For the Friedman pregnancy test, seeRabbit test.

TheFriedman test is anon-parametricstatistical test developed byMilton Friedman.[1][2][3] Similar to theparametricrepeated measuresANOVA, it is used to detect differences in treatments across multiple test attempts. The procedure involvesranking each row (orblock) together, and then considering the values of ranks by columns. Applicable tocomplete block designs, it is thus a special case of theDurbin test.

Classic examples of use are:

The Friedman test is used for one-way repeated measures analysis of variance by ranks. In its use of ranks it is similar to theKruskal–Wallis one-way analysis of variance by ranks.

The Friedman test is widely supported by manystatistical software packages.

Method

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  1. Given data{xij}n×k{\displaystyle \{x_{ij}\}_{n\times k}}, that is, amatrix withn{\displaystyle n} rows (theblocks),k{\displaystyle k} columns (thetreatments) and a single observation at the intersection of each block and treatment, calculate therankswithin each block. If there are tied values, assign to each tied value the average of the ranks that would have been assigned without ties. Replace the data with a new matrix{rij}n×k{\displaystyle \{r_{ij}\}_{n\times k}} where the entryrij{\displaystyle r_{ij}} is the rank ofxij{\displaystyle x_{ij}} within blocki{\displaystyle i}.
  2. Find the valuesr¯j=1ni=1nrij{\displaystyle {\bar {r}}_{\cdot j}={\frac {1}{n}}\sum _{i=1}^{n}{r_{ij}}}
  3. The test statistic is given byQ=12nk(k+1)j=1k(r¯jk+12)2{\displaystyle Q={\frac {12n}{k(k+1)}}\sum _{j=1}^{k}\left({\bar {r}}_{\cdot j}-{\frac {k+1}{2}}\right)^{2}}. Note that the value ofQ{\textstyle Q} does need to be adjusted for tied values in the data.[4]
  4. Finally, whenn{\textstyle n} ork{\textstyle k} is large (i.e.n>15{\textstyle n>15} ork>4{\textstyle k>4}), theprobability distribution ofQ{\textstyle Q} can be approximated by that of achi-squared distribution. In this case thep-value is given byP(χk12Q){\displaystyle \mathbf {P} (\chi _{k-1}^{2}\geq Q)}. Ifn{\textstyle n} ork{\textstyle k} is small, the approximation to chi-square becomes poor and thep-value should be obtained from tables ofQ{\textstyle Q} specially prepared for the Friedman test. If thep-value issignificant, appropriate post-hocmultiple comparisons tests would be performed.

Related tests

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  • When using this kind of design for a binary response, one instead uses theCochran's Q test.
  • TheSign test (with a two-sided alternative) is equivalent to a Friedman test on two groups.
  • Kendall's W is a normalization of the Friedman statistic between0{\textstyle 0} and1{\textstyle 1}.
  • TheWilcoxon signed-rank test is a nonparametric test of nonindependent data from only two groups.
  • TheSkillings–Mack test is a general Friedman-type statistic that can be used in almost any block design with an arbitrary missing-data structure.
  • TheWittkowski test is a general Friedman-Type statistics similar to Skillings-Mack test. When the data do not contain any missing value, it gives the same result as Friedman test. But if the data contain missing values, it is both, more precise and sensitive than Skillings-Mack test.[5]

Post hoc analysis

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Post-hoc tests were proposed by Schaich and Hamerle (1984)[6] as well as Conover (1971, 1980)[7] in order to decide which groups are significantly different from each other, based upon the mean rank differences of the groups. These procedures are detailed in Bortz, Lienert and Boehnke (2000, p. 275).[8] Eisinga, Heskes, Pelzer and Te Grotenhuis (2017)[9] provide an exact test for pairwise comparison of Friedman rank sums, implemented inR. TheEisinga c.s. exact test offers a substantial improvement over available approximate tests, especially if the number of groups (k{\displaystyle k}) is large and the number of blocks (n{\displaystyle n}) is small.

Not all statistical packages support post-hoc analysis for Friedman's test, but user-contributed code exists that provides these facilities (for example inSPSS,[10] and inR.[11]). TheR package titled PMCMRplus contains numerous non-parametric methods for post-hoc analysis after Friedman,[12] including support for theNemenyi test.

References

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  1. ^Friedman, Milton (December 1937). "The use of ranks to avoid the assumption of normality implicit in the analysis of variance".Journal of the American Statistical Association.32 (200):675–701.doi:10.1080/01621459.1937.10503522.JSTOR 2279372.
  2. ^Friedman, Milton (March 1939). "A correction: The use of ranks to avoid the assumption of normality implicit in the analysis of variance".Journal of the American Statistical Association.34 (205): 109.doi:10.1080/01621459.1939.10502372.JSTOR 2279169.
  3. ^Friedman, Milton (March 1940)."A comparison of alternative tests of significance for the problem ofm rankings".The Annals of Mathematical Statistics.11 (1):86–92.doi:10.1214/aoms/1177731944.JSTOR 2235971.
  4. ^"FRIEDMAN TEST in NIST Dataplot". August 20, 2018.
  5. ^Wittkowski, Knut M. (1988). "Friedman-Type statistics and consistent multiple comparisons for unbalanced designs with missing data".Journal of the American Statistical Association.83 (404):1163–1170.CiteSeerX 10.1.1.533.1948.doi:10.1080/01621459.1988.10478715.JSTOR 2290150.
  6. ^Schaich, E. & Hamerle, A. (1984). Verteilungsfreie statistische Prüfverfahren. Berlin: Springer.ISBN 3-540-13776-9.
  7. ^Conover, W. J. (1971, 1980). Practical nonparametric statistics. New York: Wiley.ISBN 0-471-16851-3.
  8. ^Bortz, J., Lienert, G. & Boehnke, K. (2000). Verteilungsfreie Methoden in der Biostatistik. Berlin: Springer.ISBN 3-540-67590-6.
  9. ^Eisinga, R.; Heskes, T.; Pelzer, B.; Te Grotenhuis, M. (2017)."Exactp-values for pairwise comparison of Friedman rank sums, with application to comparing classifiers".BMC Bioinformatics.18 (1): 68.doi:10.1186/s12859-017-1486-2.PMC 5267387.PMID 28122501.
  10. ^"Post-hoc comparisons for Friedman test". Archived fromthe original on 2012-11-03. Retrieved2010-02-22.
  11. ^"Post hoc analysis for Friedman's Test (R code)". February 22, 2010.
  12. ^"PMCMRplus: Calculate Pairwise Multiple Comparisons of Mean Rank Sums Extended". 17 August 2022.

Further reading

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