On Thu, Jan 21, 2010 at 2:41 PM, Dennis Murphy <djmu...@gmail.com> wrote: > Hi: > > On Thu, Jan 21, 2010 at 12:29 PM, Peng Yu <pengyu...@gmail.com> wrote: >> >> On Thu, Jan 21, 2010 at 2:16 PM, Dennis Murphy <djmu...@gmail.com> wrote: >> > Hi: >> > >> > This paper was a prelude to his first book 'Exact Statistical Methods >> > for >> > Data Analysis'. >> > He uses what is called a generalized p-value approach to inference, and >> > for >> > the >> > book he wrote commercial software. AFAIK, no R package implements his >> > methodology. The 'conventional' approach to unequal variance in ANOVA is >> > to use generalized least squares, whose implementation is found in gls() >> > in >> > the nlme package. >> >> There are quite a few references on ?gls. Which one is the most >> introductory material that I should start with, if I want to >> understand the method? > > GLS is a standard technique in linear model theory. It is well documented. > Any good book on linear statistical models should have a discussion on it. > (Probably Wikipedia, too). If unequal > variance is the only issue (meaning independent observations), the technique > is called weighted least squares (WLS). GLS is more general in that it can > be applied to correlated observations. Assuming the variances are known > (a big if), it is easy to convert from WLS to ordinary least squares - > divide all > the responses by the group standard deviation to which it belongs. The > transformation in GLS (again, assuming variances known) involves a matrix > transformation (Cholesky, when appropriate). When the variances are unknown, > as they usually are, the estimation problem is a lot messier and one needs > to resort to approximations.
Would you please recommend a good book to me? >> Do you have any simple explanation that may help me understand what is >> the difference between the method in 'Exact Statistical Methods for >> Data Analysis' and the method in gls()? > > No. They're quite different approaches. Weerahandi's is conditional; > GLS is unconditional. Would you please elaborate what you mean by "conditional" and "unconditional"? > Dennis >> >> > HTH, >> > Dennis >> > >> > On Thu, Jan 21, 2010 at 12:03 PM, Peng Yu <pengyu...@gmail.com> wrote: >> >> >> >> I found this paper on ANOVA on unequal error variance. Has this be >> >> incorporated to any R package? Is there any textbook that discuss the >> >> problem of ANOVA on unequal error variance in general? >> >> >> >> http://www.jstor.org/stable/2532947?cookieSet=1 >> >> >> >> ______________________________________________ >> >> R-help@r-project.org mailing list >> >> https://stat.ethz.ch/mailman/listinfo/r-help >> >> PLEASE do read the posting guide >> >> http://www.R-project.org/posting-guide.html >> >> and provide commented, minimal, self-contained, reproducible code. >> > >> > >> >> ______________________________________________ >> R-help@r-project.org mailing list >> https://stat.ethz.ch/mailman/listinfo/r-help >> PLEASE do read the posting guide >> http://www.R-project.org/posting-guide.html >> and provide commented, minimal, self-contained, reproducible code. > > ______________________________________________ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
