Applied Statistical Methods

Larry Winner
Department of Statistics
University of Florida

February 23, 2009

2
Contents

1 Introduction 7
1.1 Populations and Samples . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7
1.2 Types of Variables . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 8
1.2.1 Quantitative vs Qualitative Variables . . . . . . . . . . . . . . . . . . . . . . 8
1.2.2 Dependent vs Independent Variables . . . . . . . . . . . . . . . . . . . . . . . 9
1.3 Parameters and Statistics . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 10
1.4 Graphical Techniques . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12
1.5 Basic Probability . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 16
1.5.1 Diagnostic Tests . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 20
1.6 Exercises . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 21

2 Random Variables and Probability Distributions 25

2.1 The Normal Distribution . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 25
2.1.1 Statistical Models . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 29
2.2 Sampling Distributions and the Central Limit Theorem . . . . . . . . . . . . . . . . 29
2.2.1 Distribution of Y . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 29
2.3 Other Commonly Used Sampling Distributions . . . . . . . . . . . . . . . . . . . . . 32
2.3.1 Student’s t-Distribution . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 32
2.3.2 Chi-Square Distribution . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 32
2.3.3 F -Distribution . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 32
2.4 Exercises . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 32

3 Statistical Inference – Hypothesis Testing 35

3.1 Introduction to Hypothesis Testing . . . . . . . . . . . . . . . . . . . . . . . . . . . . 35
3.1.1 Large–Sample Tests Concerning µ1 − µ2 (Parallel Groups) . . . . . . . . . . . 37
3.2 Elements of Hypothesis Tests . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 38
3.2.1 Significance Level of a Test (Size of a Test) . . . . . . . . . . . . . . . . . . . 38
3.2.2 Power of a Test . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 39
3.3 Sample Size Calculations to Obtain a Test With Fixed Power . . . . . . . . . . . . . 40
3.4 Small–Sample Tests . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 42
3.4.1 Parallel Groups Designs . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 42
3.4.2 Crossover Designs . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 44
3.5 Exercises . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 48

4 Statistical Inference – Interval Estimation 55

4.1 Large–Sample Confidence Intervals . . . . . . . . . . . . . . . . . . . . . . . . . . . . 55
4.2 Small–Sample Confidence Intervals . . . . . . . . . . . . . . . . . . . . . . . . . . . . 57

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4 CONTENTS

4.2.1 Parallel Groups Designs . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 57

4.2.2 Crossover Designs . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 58
4.3 Exercises . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 59

5 Categorical Data Analysis 61

5.1 2 × 2 Tables . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 62
5.1.1 Relative Risk . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 62
5.1.2 Odds Ratio . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 64
5.1.3 Extension to r × 2 Tables . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 65
5.1.4 Difference Between 2 Proportions (Absolute Risk) . . . . . . . . . . . . . . . 66
5.1.5 Small–Sample Inference — Fisher’s Exact Test . . . . . . . . . . . . . . . . . 67
5.1.6 McNemar’s Test for Crossover Designs . . . . . . . . . . . . . . . . . . . . . . 68
5.1.7 Mantel–Haenszel Estimate for Stratified Samples . . . . . . . . . . . . . . . . 70
5.2 Nominal Explanatory and Response Variables . . . . . . . . . . . . . . . . . . . . . . 72
5.3 Ordinal Explanatory and Response Variables . . . . . . . . . . . . . . . . . . . . . . 73
5.4 Nominal Explanatory and Ordinal Response Variable . . . . . . . . . . . . . . . . . . 76
5.5 Assessing Agreement Among Raters . . . . . . . . . . . . . . . . . . . . . . . . . . . 77
5.6 Exercises . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 78

6 Experimental Design and the Analysis of Variance 85

6.1 Completely Randomized Design (CRD) For Parallel Groups Studies . . . . . . . . . 85
6.1.1 Test Based on Normally Distributed Data . . . . . . . . . . . . . . . . . . . . 86
6.1.2 Test Based on Non–Normal Data . . . . . . . . . . . . . . . . . . . . . . . . . 90
6.2 Randomized Block Design (RBD) For Crossover Studies . . . . . . . . . . . . . . . . 92
6.2.1 Test Based on Normally Distributed Data . . . . . . . . . . . . . . . . . . . . 92
6.2.2 Friedman’s Test for the Randomized Block Design . . . . . . . . . . . . . . . 95
6.3 Other Frequently Encountered Experimental Designs . . . . . . . . . . . . . . . . . . 97
6.3.1 Latin Square Designs . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 97
6.3.2 Factorial Designs . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 99
6.3.3 Nested Designs . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 107
6.3.4 Split-Plot Designs . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 112
6.3.5 Repeated Measures Designs . . . . . . . . . . . . . . . . . . . . . . . . . . . . 119
6.4 Exercises . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 123

7 Linear Regression and Correlation 133

7.1 Least Squares Estimation of β0 and β1 . . . . . . . . . . . . . . . . . . . . . . . . . . 134
7.1.1 Inferences Concerning β1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 138
7.2 Correlation Coefficient . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 140
7.3 The Analysis of Variance Approach to Regression . . . . . . . . . . . . . . . . . . . . 141
7.4 Multiple Regression . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 142
7.4.1 Testing for Association Between the Response and the Full Set of Explanatory
Variables . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 143
7.4.2 Testing for Association Between the Response and an Individual Explanatory
Variable . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 143
7.5 Exercises . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 147
CONTENTS 5

8 Logistic, Poisson, and Nonlinear Regression 153

8.1 Logistic Regression . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 153
8.2 Poisson Regression . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 158
8.3 Nonlinear Regression . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 160
8.4 Exercises . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 162

9 Survival Analysis 167

9.1 Estimating a Survival Function — Kaplan–Meier Estimates . . . . . . . . . . . . . . 167
9.2 Log–Rank Test to Compare 2 Population Survival Functions . . . . . . . . . . . . . 169
9.3 Relative Risk Regression (Proportional Hazards Model) . . . . . . . . . . . . . . . . 171
9.4 Exercises . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 175

A Statistical Tables 183

B Bibliography 187
6 CONTENTS
Chapter 1

Introduction

These notes are intended to provide the student with a conceptual overview of statistical methods
with emphasis on applications commonly used in research. We will briefly cover the topics of
probability and descriptive statistics, followed by detailed descriptions of widely used inferential
procedures. The goal is to provide the student with the information needed to be able to interpret
the types of studies that are reported in academic journals, as well as the ability to perform such
analyses. Examples are taken from journals in a wide range of academic fields.

1.1 Populations and Samples

A population is the set of all units or individuals of interest to a researcher. In some settings, we
may also define the population as the set of all values of a particular characteristic across the set
of units. Typically, the population is not observed, but we wish to make statements or inferences
concerning it. Populations can be thought of as existing or conceptual. Existing populations are
well–defined sets of data containing elements that could be identified explicitly. Examples include:

PO1 CD4 counts of every American diagnosed with AIDS as of January 1, 1996.

PO2 Amount of active drug in all 20–mg Prozac capsules manufactured in June 1996.

PO3 Presence or absence of prior myocardial infarction in all American males between 45 and 64
years of age.

Conceptual populations are non–existing, yet visualized, or imaginable, sets of measurements. This
could be thought of characteristics of all people with a disease, now or in the near future, for
instance. It could also be thought of as the outcomes if some treatment were given to a large group
of subjects. In this last setting, we do not give the treatment to all subjects, but we are interested
in the outcomes if it had been given to all of them. Examples include:

PO4 Bioavailabilities of a drug’s oral dose (relative to i. v. dose) in all healthy subjects under
identical conditions.

PO5 Presence or absence of myocardial infarction in all current and future high blood pressure
patients who receive short–acting calcium channel blockers.

PO6 Positive or negative result of all pregnant women who would ever use a particular brand of
home pregnancy test.

7
8 CHAPTER 1. INTRODUCTION

Samples are observed sets of measurements that are subsets of a corresponding population.
Samples are used to describe and make inferences concerning the populations from which they arise.
Statistical methods are based on these samples having been taken at random from the population.
However, in practice, this is rarely the case. We will always assume that the sample is representative
of the population of interest. Examples include:

SA1 CD4 counts of 100 AIDS patients on January 1, 1996.

SA2 Amount of active drug in 2000 20–mg Prozac capsules manufactured during June 1996.

SA3 Prior myocardial infarction status (yes or no) among 150 males aged 45 to 64 years.

SA4 Bioavailabilities of an oral dose (relative to i.v. dose) in 24 healthy volunteers.

SA5 Presence or absence of myocardial infarction in a fixed period of time for 310 hypertension
patients receiving calcium channel blockers.

SA6 Test results (positive or negative) among 50 pregnant women taking a home pregnancy test.

1.2 Types of Variables

1.2.1 Quantitative vs Qualitative Variables
The measurements to be made are referred to as variables. This refers to the fact that we
acknowledge that the outcomes (often referred to as endpoints in the medical world) will vary
among elements of the population. Variables can be classified as quantitative (numeric) or qualitative
(categorical). We will use the terms numeric and categorical throughout this text, since quantitative
and qualitative are so similar. The types of analyses used will depend on what type of variable is
being studied. Examples include:

VA1 CD4 count represents numbers (or counts) of CD4 lymphocytes per liter of peripheral blood,
and thus is numeric.

VA2 The amount of active drug in a 20–mg Prozac capsule is the actual number of mg of drug
in the capsule, which is numeric. Note, due to random variation in the production process,
this number will vary and never be exactly 20.0–mg.

VA3 Prior myocardial infarction status can be classified in several ways. If it is classified as either
yes or no, it is categorical. If it is classified as number of prior MI’s, it is numeric.

Further, numeric variables can be broken into two types: continuous and discrete. Continuous
variables are values that can fall anywhere corresponding to points on a line segment. Some
examples are weight and diastolic blood pressure. Discrete variables are variables that can take on
only a finite (or countably infinite) number of outcomes. Number of previous myocardial infarctions
and parity are examples of discrete variables. It should be noted that many continuous variables
are reported as if they were discrete, and many discrete variables are analyzed as if they were
continuous.
Similarly, categorical variables also are commonly described in one of two ways: nominal and
ordinal. Nominal variables have distinct levels that have no inherent ordering. Hair color and
sex are examples of variables that would be described as nominal. On the other hand, ordinal
variables have levels that do follow a distinct ordering. Examples in the medical field typically
1.2. TYPES OF VARIABLES 9

relate to degrees of change in patients after some treatment (such as: vast improvement, moderate
improvement, no change, moderate degradation, vast degradation/death).

Example 1.1 In studies measuring pain or pain relief, visual analogue scales are often used.
These scales involve a continuous line segment, with endpoints labeled as no pain (or no pain relief)
and severe (or complete pain relief). Further, there may be adjectives or descriptions written along
the line segment. Patients are asked to mark the point along the scale that represents their status.
This is treated then as a continuous variable. Figure 1.1 displays scales for pain relief and pain,
which patients would mark, and which a numeric score (e.g. percent of distance from bottom to
top of scale) can be obtained (Scott and Huskisson, 1976).

Figure 1.1: Visual Analogue Scales corresponding to pain relief and pain

Example 1.2 In many instances in social and medical sciences, no precise measurement of an
outcome can be made. Ordinal scale descriptions (referred to as Likert scales) are often used. In
one of the first truly random trials in Britain, patients with pulmonary tuberculosis received either
streptomycin or no drug (Medical Research Council, 1948). Patients were classified after six months
into one of the following six categories: considerable improvement, moderate/slight improvement,
no material change, moderate/slight deterioration, considerable deterioration, or death. This is an
ordinal scale.

1.2.2 Dependent vs Independent Variables

Applications of statistics are often based on comparing outcomes among groups of subjects. That
is, we’d like to compare outcomes among different populations. The variable(s) we measure as
the outcome of interest is the dependent variable, or response. The variable that determines the
population a measurement arises from is the independent variable (or predictor). For instance,
if we wish to compare bioavailabilities of various dosage forms, the dependent variable would be
10 CHAPTER 1. INTRODUCTION

AU C (area under the concentration–time curve), and the independent variable would be dosage
form. We will extend the range of possibilities of independent variables later in the text. The
labels dependent and independent variables have the property that they imply the relationship
that the independent variable “leads to” the dependent variable’s level. However they have some
unfortunate consequences as well. Throughout the text, we will refer to the dependent variable as
the response and the independent variable(s) as explanatory variables.

1.3 Parameters and Statistics

Parameters are numerical descriptive measures corresponding to populations. Since the pop-
ulation is not actually observed, the parameters are considered unknown constants. Statistical
inferential methods can be used to make statements (or inferences) concerning the unknown pa-
rameters, based on the sample data. Parameters will be referred to in Greek letters, with the
general case being θ.
For numeric variables, there are two commonly reported types of descriptive measures: location
and dispersion. Measures of location describe the level of the ‘typical’ measurement. Two measures
widely studied are the mean (µ) and the median. The mean represents the arithmetic average of
all measurements in the population. The median represents the point where half the measurements
fall above it, and half the measurements fall below it. Two measures of the dispersion, or spread, of
measurements in a population are the variance σ 2 and the range. The variance measures the average
squared distance of the measurements from the mean. Related to the variance is the standard
deviation (σ). The range is the difference between the largest and smallest measurements. We will
primarily focus on the mean and variance (and standard deviation). A measure that is commonly
reported in research papers is the coefficient of variation. This measure is the ratio of the standard
deviation to the mean, stated as a percentage (CV = (σ/µ)100%). Generally small values of CV
are considered best, since that means that the variability in measurements is small relative to their
mean (measurements are consistent in their magnitudes). This is particularly important when data
are being measured with scientific equipment, for instance when plasma drug concentrations are
measured in assays.
For categorical variables, the most common parameter is π, the proportion having the charac-
teristic of interest (when the variable has two levels). Other parameters that make use of population
proportions include relative risk and odds ratios. These will be described in upcoming sections.
Statistics are numerical descriptive measures corresponding to samples. We will use the
general notation θ̂ to represent statistics. Since samples are ‘random subsets’ of the population,
statistics are random variables in the sense that different samples will yield different values of the
statistic.
In the case of numeric measurements, suppose we have n measurements in our sample, and we
label them y1 , y2 , . . . , yn . Then, we compute the sample mean, variance, standard deviation, and
coefficient of variation as follow:
Pn
i=1 yi y 1 + y2 + · · · + y n
µ̂ = y = =
n n
Pn
− y)2 (y1 − y)2 + (y2 − y)2 + · · · (yn − y)2 √
2 i=1 (yi
s = = s= s2
n−1 n−1
s
 
CV = 100%
y
1.3. PARAMETERS AND STATISTICS 11

In the case of categorical variables with two levels, which are generally referred to as Presence and
Absence of the characteristic, we compute the sample proportion of cases where the character is
present as (where x is the number in which the character is present):

x # of elements where characteristic is present)

π̂ = =
n # of elements in the sample (trials)
Statistics based on samples will be used to estimate parameters corresponding to populations, as
well as test hypotheses concerning the true values of parameters.

Example 1.3 A study was conducted to observe the effect of grapefruit juice on cyclosporine
and prednisone metabolism in transplant patients (Hollander, et al., 1995). Among the mea-
surements made was creatinine clearance at the beginning of the study. The values for the
n = 8 male patients in the study are as follow: 38,66,74,99,80,64,80,and 120. Note that here
y1 = 38, . . . , y8 = 120.
P8
i=1 yi 38 + 66 + 74 + 99 + 80 + 64 + 80 + 120 621
µ̂ = y = = = = 77.6
8 8 8
P8
2 − y)2
i=1 (yi
s = =
8−1

(38 − 77.6)2 + (66 − 77.6)2 + (74 − 77.6)2 + (99 − 77.6)2 + (80 − 77.6)2 + (64 − 77.6)2 + (80 − 77.6)2 + (120 − 77.6)2
8−1
4167.9 √
= = 595.4 s= 595.4 = 24.4
7

s 24.4
   
CV = 100% = 100% = 31.4%
y 77.6

So, for these patients, the mean creatinine clearance is 77.6ml/min and the variance is 595.4(ml/min)2 ,
the standard deviation is 24.4(ml/min), and the coefficient of variation is 31.4%. Thus, the ‘typical’
patient lies 24.4(ml/min) from the overall average of 77.6(ml/min), and the standard deviation is
31.4% as large as the mean.

Example 1.4 A study was conducted to quantify the influence of smoking cessation on weight
in adults (Flegal, et al., 1995). Subjects were classified by their smoking status (never smoked, quit
≥ 10 years ago, quit < 10 years ago, current cigarette smoker, other tobacco user). We would like
to obtain the proportion of current tobacco users in this sample. Thus, people can be classified
as current user (the last two categories), or as a current nonuser (the first three categories). The
sample consisted of n = 5247 adults, of which 1332 were current cigarette smokers, and 253 were
other tobacco users. If we are interested in the proportion that currently smoke, then we have
x = 1332 + 253 = 1585.
# current tobacco users x 1585
π̂ = = = = .302
sample size n 5247
So, in this sample, .302, or more commonly reported 30.2%, of the adults were classified as current
tobacco users. This example illustrates how categorical variables with more than two levels can
often be re–formulated into variables with two levels, representing ‘Presence’ and ‘Absence’.
12 CHAPTER 1. INTRODUCTION

1.4 Graphical Techniques

In the previous section, we introduced methods to describe a set of measurements numerically. In
this section, we will describe some commonly used graphical methods. For categorical variables,
pie charts and histograms (or vertical bar charts) are widely used to display the proportions of
measurements falling into the particular categories (or levels of the variable). For numeric variables,
pie charts and histograms can be used where measurements are ‘grouped’ together in ranges of levels.
Also, scatterplots can be used when there are two (or more) variables measured on each subject.
Descriptions of each type will be given by examples. The scatterplot will be seen in Chapter 7.

Example 1.5 A study was conducted to compare oral and intravenous antibiotics in patients
with lower respiratory tract infection (Chan, et al., 1995). Patients were rated in terms of their final
outcome after their assigned treatment (delivery route of antibiotic). The outcomes were classified
as: cure (1), partial cure (2), antibiotic extended (3), antibiotic changed (4), death (5). Note that
this variable is categorical and ordinal. For the oral delivery group, the numbers of patients falling
into the five outcome levels were: 74, 68, 16, 14, and 9, respectively. Figure 1.2 represents a vertical
bar chart of the numbers of patients falling into the five categories. The height of the bar represents
the frequency of patients in the stated category. Figure 1.3 is a pie chart for the same data. The
size of the ‘slice’ represents the proportion of patients falling in each group.

FREQUENCY
80
70
60
50
40
30
20
10
0
1 2 3 4 5
OUTCOME
Figure 1.2: Vertical Bar Chart of frequency of each outcome in antibiotic study
1.4. GRAPHICAL TECHNIQUES 13

FREQUENCY of OUTCOME

1
74

5
9
4
2 14
68
3
16

Figure 1.3: Pie Chart of frequency of each outcome in antibiotic study

14 CHAPTER 1. INTRODUCTION

Example 1.6 Review times of all new drug approvals by the Food and Drug Administration
for the years 1985–1992 have been reported (Kaitin, et al., 1987,1991,1994). In all, 175 drugs were
approved during the eight–year period. Figure 1.4 represents a histogram of the numbers of drugs
falling in the categories: 0–10, 10–20, . . . , 110+ months. Note that most drugs fall in the lower
(left) portion of the chart, with a few drugs having particularly large review times. This distribution
would be referred to as being skewed right due to the fact it has a long right tail.

FREQUENCY
50

40

30

20

10

0
5 1 2 3 4 5 6 7 8 9 1 1
5 5 5 5 5 5 5 5 5 0 1
5 5
REV_TIME MIDPOINT
Figure 1.4: Histogram of approval times for 175 drugs approved by FDA (1985–1992)

Example 1.7 A trial was conducted to determine the efficacy of streptomycin in the treatment
of pulmonary tuberculosis (Medical Research Council, 1948). After 6 months, patients were clas-
sified as follows: 1=considerable improvement, 2=moderate/slight improvement, 3=no material
change, 4=moderate/slight deterioration, 5=considerable deterioration, 6=death. In the study, 55
patients received streptomycin, while 52 patients received no drug and acted as controls. Side–
by–side vertical bar charts representing the distributions of the clinical assessments are given in
Figure 1.5. Note that the patients who received streptomycin fared better in general than the
controls.

Example 1.8 The interactions between theophylline and two other drugs (famotidine and cime-
tidine) were studied in fourteen patients with chronic obstructive pulmonary disease (Bachmann,
et al., 1995). Of particular interest were the pharmacokinetics of theophylline when it was being
1.4. GRAPHICAL TECHNIQUES 15

FREQUENCY
30

20

10

0
1 2 3 4 5 6 1 2 3 4 5 6 OUTCOME
Control Strepto TRT_GRP
Figure 1.5: Side–by–side histograms of clinical outcomes among patients treated with streptomycin
and controls
16 CHAPTER 1. INTRODUCTION

taken simultaneously with each drug. The study was conducted in three periods: one with theo-
phylline and placebo, a second with theophylline and famotidine, and the third with theophylline
and cimetidine. One outcome of interest is the clearance of theophylline (liters/hour). The data
are given in Table 1.1 and a plot of clearance vs interacting drug (C=cimetidine, F=famotidine,
P=placebo) is given in Figure 1.6. A second plot, Figure 1.7 displays the outcomes vs subject,
with the plotting symbol being the interacting drug. The first plot identifies the differences in the
drugs’ interacting effects, while the second displays the patient–to–patient variability.

Interacting Drug
Subject Cimetidine Famotidine Placebo
1 3.69 5.13 5.88
2 3.61 7.04 5.89
3 1.15 1.46 1.46
4 4.02 4.44 4.05
5 1.00 1.15 1.09
6 1.75 2.11 2.59
7 1.45 2.12 1.69
8 2.59 3.25 3.16
9 1.57 2.11 2.06
10 2.34 5.20 4.59
11 1.31 1.98 2.08
12 2.43 2.38 2.61
13 2.33 3.53 3.42
14 2.34 2.33 2.54
y 2.26 3.16 3.08
s 0.97 1.70 1.53

Table 1.1: Theophylline clearances (liters/hour) when drug is taken with interacting drugs

1.5 Basic Probability

Probability is used to measure the ‘likelihood’ or ‘chances’ of certain events (prespecified out-
comes) of an experiment. Certain rules of probability will be used in this text and are described
here. We first will define 2 events A and B, with probabilities P (A) and P (B), respectively. The
intersection of events A and B is the event that both A and B occur, the notation being AB
(sometimes written A ∩ B). The union of events A and B is the event that either A or B occur,
the notation being A ∪ B. The complement of event A is the event that A does not occur, the
notation being A. Some useful rules on obtaining these and other probabilities include:

• P (A ∪ B) = P (A) + P (B) − P (AB)

P (AB)
• P (A|B) = P (A occurs given B has occurred) = P (B) (assuming P (B) > 0)

• P (AB) = P (A)P (B|A) = P (B)P (A|B)

• P (A) = 1 − P (A)

A certain situation occurs when events A and B are said to be independent. This is when
P (A|B) = P (A), or equivalently P (B|A) = P (B), in this situation, P (AB) = P (A)P (B). We will
be using this idea later in this text.
1.5. BASIC PROBABILITY 17

CL
8

1
C F P
DRUG
Figure 1.6: Plot of theophylline clearance vs interacting drug
18 CHAPTER 1. INTRODUCTION

CL_C
8

7 F

6 P P
5 F F
F P
4 PC
C C FP
FP
3
P C PFC PCF
F F FP C C
2 PF
C P C
PF C C
1 C PFC
1 2 3 4 5 6 7 8 9 10 11 12 13 14
SUBJECT
Figure 1.7: Plot of theophylline clearance vs subject with interacting drug as plotting symbol
1.5. BASIC PROBABILITY 19

Example 1.9 The association between mortality and intake of alcoholic beverages was analyzed
in a cohort study in Copenhagen (Grønbæk, et al., 1995). For purposes of illustration, we will
classify people simply by whether or not they drink wine daily (explanatory variable) and whether
or not they died (response variable) during the course of the study. Numbers (and proportions)
falling in each wine/death category are given in Table 1.2.

Death Status
Wine Intake Death (D) No Death (D) Total
Daily (W ) 74 (.0056) 521 (.0392) 595 (.0448)
Less Than Daily (W ) 2155 (.1622) 10535 (.7930) 12690 (.9552)
Total 2229 (.1678) 11056 (.8322) 13285 (1.0000)

Table 1.2: Numbers (proportions) of adults falling into each wine intake/death status combination

If we define the event W to be that the adult drinks wine daily, and the event D to be that the
adult dies during the study, we can use the table to obtain some pertinent probabilities:

1. P (W ) = P (W D) + P (W D) = .0056 + .0392 = .0448

2. P (W ) = P (W D) + P (W D) = .1622 + .7930 = .9552

3. P (D) = P (W D) + P (W D) = .0056 + .1622 = .1678

4. P (D) = P (W D) + P (W D) = .0392 + .7930 = .8322

P (W D) .0056
5. P (D|W ) = P (W ) = .0448 = .1250

P (W D) .1622
6. P (D|W ) = P (W )
= .9552 = .1698

In real terms these probabilities can be interpreted as follows:

1. 4.48% (.0448) of the people in the survey drink wine daily.

2. 95.52% (.9552) of the people do not drink wine daily.

3. 16.78% (.1678) of the people died during the study.

4. 83.22% (.8322) of the people did not die during the study.

5. 12.50% (.1250) of the daily wine drinkers died during the study.

6. 16.98% (.1698) of the non–daily wine drinkers died during the study.

In these descriptions, the proportion of ... can be interpreted as ‘if a subject were taken at random
from this survey, the probability that it is ...’. Also, note that the probability that a person dies
depends on their wine intake status. We then say that the events that a person is a daily wine
drinker and that the person dies are not independent events.
20 CHAPTER 1. INTRODUCTION

1.5.1 Diagnostic Tests

Diagnostic testing provides another situation where basic rules of probability can be applied. Sub-
jects in a study group are determined to have a disease (D+ ), or not have a disease (D− ), based
on a gold standard (a process that can detect disease with certainty). Then, the same subjects are
subjected to the newer (usually less traumatic) diagnostic test and are determined to have tested
positive for disease (T + ) or tested negative (T − ). Patients will fall into one of four combinations
of gold standard and diagnostic test outcomes (D+ T + , D+ T − , D− T + , D− T − ). Some commonly
reported probabilities are given below.

Sensitivity This is the probability that a person with disease (D+ ) will correctly test positive
based on the diagnostic test (T + ). It is denoted sensitivity = P (T + |D+ ).

Specificity This is the probability that a person without disease (D− ) will correctly test negative
based on the diagnostic test (T − ). It is denoted specif icity = P (T − |D− ).

Positive Predictive Value This is the probability that a person who has tested positive on a
diagnostic test (T + ) actually has the disease (D+ ). It is denoted P V + = P (D+ |T + ).

Negative Predictive Value This is the probability that a person who has tested negative on a di-
agnostic test (T − ) actually does not have the disease (D− ). It is denoted P V − = P (D− |T − ).

Overall Accuracy This is the probability that a randomly selected subject is correctly diagnosed
by the test. It can be written as accuracy = P (D+ )sensitivity + P (D− )specif icity.

Two commonly used terms related to diagnostic testing are false positive and false negative.
False positive is when a person who is nondiseased (D− ) tests positive (T + ), and false negative is
when a person who is diseased (D+ ) tests negative (T − ). The probabilities of these events can be
written in terms of sensitivity and specif icity:

P (False Positive) = P (T + |D− ) = 1−specif icity P (False Negative) = P (T − |D+ ) = 1−sensitivity

When the study population is representative of the overall population (in terms of the propor-
tions with and without disease (P (D+ ) and P (D− )), positive and negative value can be obtained
directly from the table of outcomes (see Example 1.8 below). However, in some situations, the
two group sizes are chosen to be the same (equal numbers of diseased and nondiseased subjects).
In this case, we must use Bayes’ Rule to obtain the positive and negative predictive values. We
assume that the proportion of people in the actual population who are diseased is known, or well
approximated, and is P (D+ ). Then, positive and negative predictive values can be computed as:

P (D+ )sensitivity
PV + =
P (D+ )sensitivity + P (D− )(1 − specif icity)

P (D− )specif icity

PV − = .
P (D− )specif icity + P (D+ )(1 − sensitivity)
We will cover these concepts based on the following example. Instead of using the rules of prob-
ability to get the conditional probabilities of interest, we will make intituitive use of the observed
frequencies of outcomes.

Example 1.10 A noninvasive test for large vessel peripheral arterial disease (LV-PAD) was re-
ported (Feigelson, et al.,1994). Their study population was representative of the overall population
 1.6. EXERCISES 21

based on previous research they had conducted. A person was diagnosed as having LV-PAD if their
ankle–to–arm blood pressure ratio was below 0.8, and their posterior tibial peak forward flow was
below 3cm/sec. This diagnostic test was much simpler and less invasive than the detailed test used
as a gold standard. The experimental units were left and right limbs (arm/leg) in each subject, with
967 limbs being tested in all. Results (in observed frequencies) are given in Table 1.3. We obtain

Gold Standard
Diagnostic Test Disease (D+ ) No Disease (D− ) Total
Positive (T + ) 81 9 90
Negative (T − ) 10 867 877
Total 91 876 967

Table 1.3: Numbers of subjects falling into each gold standard/diagnostic test combination

the relevant probabilities below. Note that this study population is considered representative of
the overall population, so that we can compute positive and negative predictive values, as well as
overall accuracy, directly from the frequencies in Table 1.3.

Sensitivity Of the 91 limbs with the disease based on the gold standard, 81 were correctly deter-
mined to be positive by the diagnostic test. This yields a sensitivity of 81/91=.890 (89.0%).

Specificity Of the 876 limbs without the disease based on the gold standard, 867 were correctly
determined to be negative by the diagnostic test. This yields a specificity of 867/876=.990
(99.0%).

Positive Predictive Value Of the 90 limbs that tested positive based on the diagnostic test, 81
were truly diseased based on the gold standard. This yields a positive predictive value of
81/90=.900 (90.0%).

Negative Predictive Value Of the 877 limbs that tested negative based on the diagnostic test,
867 were truly nondiseased based on the gold standard. This yields a negative predictive
value of 867/877=.989 (98.9%).

Overall Accuracy Of the 967 limbs tested, 81 + 867 = 948 were correctly diagnosed by the test.
This yields an overall accuracy of 948/967=.980 (98.0%).

1.6 Exercises
1. A study was conducted to examine effects of dose, renal function, and arthritic status on the
pharmacokinetics of ketoprofen in elderly subjects (Skeith, et al.,1993). The study consisted of
five nonarthritic and six arthritic subjects, each receiving 50 and 150 mg of racemic ketoprofen
in a crossover study. Among the pharmacokinetic indices reported is AU C0−∞ (mg/L)hr for S–
ketoprofen at the 50 mg dose. Compute the mean, standard deviation, and coefficient of variation,
for the arthritic and non–arthritic groups, separately. Do these groups tend to differ in terms of
the extent of absorption, as measured by AU C?
Non–arthritic: 6.84, 9.29, 3.83, 5.95, 5.77
Arthritic: 7.06, 8.63, 5.95, 4.75, 3.00, 8.04
 22 CHAPTER 1. INTRODUCTION

2. A study was conducted to determine the efficacy of a combination of methotrexate and misoprostol
in early termination of pregnancy (Hausknecht, 1995). The study consisted of n = 178 pregnant
women, who were given an intra–muscular dose of methotrexate (50mg/m2 of body–surface–area),
followed by an intravaginal dose of misoprostol (800µg) five to seven days later. If no abortion
occurred within seven days, the woman was offered a second dose of misoprostol or vacuum as-
piration. ’Success’ was determined to be a complete termination of pregnancy within seven days
of the first or second dose of misoprostol. In the study, 171 women had successful terminations
of pregnancy, of which 153 had it after the first dose of misoprostol. Compute the proportions of
women: 1) who had successful termination of pregnancy, and 2) the proprtion of women who had
successful termination after a single dose of misoprostol.
3. A controlled study was conducted to determine whether or not beta carotene supplementation had
an effect on the incidence of cancer (Hennekens, et al.,1996). Subjects enrolled in the study were
male physicians aged 40 to 84. In the double–blind study, subjects were randomized to receive
50mg beta carotene on separate days, or a placebo control. Endpoints measured were the presence
or absence of malignant neoplasms and cardiovascular disease during a 12+ year follow–up period.
Numbers (and proportions) falling in each beta carotene/malignant neoplasm (cancer) category are
given in Table 1.4.
Cancer Status
Trt Group Cancer (C) No Cancer (C) Total
Beta Carotene (B) 1273 (.0577) 9763 (.4423) 11036 (.5000)
Placebo (B) 1293 (.0586) 9742 (.4414) 11035 (.5000)
Total 2566 (.1163) 19505 (.8837) 22071 (1.0000)

Table 1.4: Numbers (proportions) of subjects falling into each treatment group/cancer status com-
bination

(a) What proportion of subjects in the beta carotene group contracted cancer during the study?
Compute P (C|B).
(b) What proportion of subjects in the placebo group contracted cancer during the study? Com-
pute P (C|B).
(c) Does beta carotene appear to be associated with decreased risk of cancer in this study popu-
lation?

4. Medical researcher John Snow conducted a vast study during the cholera epidemic in London
during 1853–1854 (Frost, 1936). Snow found that water was being distributed through pipes of two
companies: the Southwark and Vauxhall company, and the Bambeth company. Apparently the
Lambeth company was obtaining their water from the Thames upstream from the London sewer
outflow, while the Southwark and Vauxhall company was obtaining theirs near the sewer outflow
(Gehan and Lemak, 1994). Based on Snow’s work, and the water company records of customers,
people in the South Districts of London could be classified by water company and whether or not
they died from cholera. The results are given in Table 1.5.

(a) What is the probability a randomly selected person (at the start of the period) would die from
cholera?
(b) Among people being provided water by the Lambeth company, what is the probability of
death from cholera? Among those being provided by the Southwark and Vauxhall company?
 1.6. EXERCISES 23

Cholera Death Status

Water Company Cholera Death (C) No Cholera Death (C) Total
Lambeth (L) 407 (.000933) 170956 (.391853) 171363 (.392786)
S&V (L) 3702 (.008485) 261211 (.598729) 264913 (.607214)
Total 4109 (.009418) 432167 (.990582) 436276 (1.0000)

Table 1.5: Numbers (proportions) of subjects falling into each water company/cholera death status
combination

(c) Mortality rates are defined as the number of deaths per a fixed number of people exposed.
What was the overall mortality rate per 10,000 people? What was the mortality rate per
10,000 supplied by Lambeth? By Southwark and Vauxhall? (Hint: Multiply the probability
by the fixed number exposed, in this case it is 10,000).

5. An improved test for prostate cancer based on percent free serum prostrate–specific antigen (PSA)
was developed (Catalona, et al.,1995). Problems had arisen with previous tests due to a large per-
centage of “false positives”, which leads to large numbers of unnecessary biopsies being performed.
The new test, based on measuring the percent free PSA, was conducted on 113 subjects who scored
outside the normal range on total PSA concentration (thus all of these subjects would have tested
positive based on the old – total PSA – test). Of the 113 subjects, 50 had cancer, and 63 did not,
as determined by a gold standard. Based on the outcomes of the test (T + if %PSA leq20.3, T −
otherwise) given in Table 1.6, compute the sensitivity, specificity, postive and negative predictive
values, and accuracy of the new test. Recall that all of these subjects would have tested positive
on the old (total PSA) test, so any specificity is an improvement.

Gold Standard
Diagnostic Test Disease (D+ ) No Disease (D− ) Total
Positive (T + ) 45 39 84
Negative (T − ) 5 24 29
Total 50 63 113

Table 1.6: Numbers of subjects falling into each gold standard/diagnostic test combination – Free
PSA exercise

6. A study reported the use of peritoneal washing cytology in gynecologic cancers (Zuna and Behrens,
1996). One part of the report was a comparison of peritoneal washing cytology and peritoneal
histology in terms of detecting cancer of the ovary, endometrium, and cervix. Using the histology
determination as the gold standard, and the washing cytology as the new test procedure, deter-
mine the sensitivity, specificity, overall accuracy, and positive and negative predictive values of the
washing cytology procedure. Outcomes are given in Table 1.7.
24 CHAPTER 1. INTRODUCTION

Gold Standard
Diagnostic Test Disease (D+ ) No Disease (D− ) Total
Positive (T + ) 116 4 120
Negative (T − ) 24 211 235
Total 140 215 355

Table 1.7: Numbers of subjects falling into each gold standard/diagnostic test combination – gy-
necologic cancer exercise
Chapter 2

Random Variables and Probability

Distributions

We have previously introduced the concepts of populations, samples, variables and statistics. Re-
call that we observe a sample from some population, measure a variable outcome (categorical or
numeric) on each element of the sample, and compute statistics to describe the sample (such as
Y or π̂). The variables observed in the sample, as well as the statistics they are used to compute,
are random variables. The idea is that there is a population of such outcomes, and we observe
a random subset of them in our sample. The collection of all possible outcomes in the population,
and their corresponding relative frequencies is called a probability distribution. Probability dis-
tributions can be classified as continuous or discrete. In either case, there are parameters associated
with the probabilty distribution; we will focus our attention on making inferences concerning the
population mean (µ), the median and the proportion having some characteristic (π).

2.1 The Normal Distribution

Many continuous variables, as well as sample statistics, have probability distibutions that can be
thought of as being bell-shaped. That is, most of the measurements in the population tend to
fall around some center point (the mean, µ), and as the distance from µ increases, the relative
frequency of measurements decreases. Variables (and statistics) that have probability distributions
that can be characterized this way are said to be normally distributed. Normal distributions
are symmetric distributions that are classified by their mean (µ), and their standard deviation (σ).
Random variables that are approximately normally distributed have the following properties:

1. Approximately half (50%) of the measurements fall above (and thus, half fall below) the
mean.

2. Approximately 68% of the measurements fall within one standard deviation of the mean (in
the range (µ − σ, µ + σ)).

3. Approximately 95% of the measurements fall within two standard deviations of the mean (in
the range (µ − 2σ, µ + 2σ).

4. Virtually all of the measurements lie within three standard deviations of the mean.

If a random variable, Y , is normally distributed, with mean µ and standard deviation σ, we

will use the notation Y ∼ N (µ, σ). If Y ∼ N (µ, σ), we can write the statements above in terms of

25
26 CHAPTER 2. RANDOM VARIABLES AND PROBABILITY DISTRIBUTIONS

probability statements:

P (Y ≥ µ) = 0.50 P (µ−σ ≤ Y ≤ µ+σ) = 0.68 P (µ−2σ ≤ Y ≤ µ+2σ) = 0.95 P (µ−3σ ≤ Y ≤ µ+3σ) ≈ 1

Example 2.1 Heights (or lengths) of adult animals tend to have distributions that are well
described by normal distributions. Figure 2.1 and Figure 2.2 give relative frequency distributions
(histograms) of heights of 25–34 year old females and males, respectively (U.S. Bureau of the Census,
1992). Note that both histograms tend to be bell–shaped, with most people falling relatively close
to some overall mean, with fewer people falling in ranges of increasing distance from the mean.
Figure 2.3 gives the ‘smoothed’ normal distributions for the females and males. For the females,
the mean is 63.5 inches with a standard deviation of 2.5. Among the males, the mean 68.5 inches
with a standard deviation of 2.7. If we denote a randomly selected female height as YF , and a
randomly selected male height as YM , we could write: YF ∼ N (63.5, 2.5) and YM ∼ N (68.5, 2.7).

PCT_HT SUM
15
14
13
12
11
10
9
8
7
6
5
4
3
2
1
0
55 56 57 58 59 60 61 62 63 64 65 66 67 68 69 70 71 72 73 74 75
INCHES MIDPOINT

Figure 2.1: Histogram of the population of U.S. female heights (age 25–34)

While there are an infinite number of combinations of µ and σ, and thus an infinite number
of possible normal distributions, they all have the same fraction of measurements lying a fixed
number of standard deviations from the mean. We can standardize a normal random variable by
the following transformation:
Y −µ
Z =
σ
Note that Z gives a measure of ‘relative standing’ for Y ; it is the number of standard deviations
above (if positive) or below (if negative) the mean that Y is. For example, if a randomly selected
female from the population described in the previous section is observed, and her height, Y is found
to be 68 inches, we can standardize her height as follows:

Y −µ 68 − 63.5
Z = = = 1.80
σ 2.5
2.1. THE NORMAL DISTRIBUTION 27

PCT_HT SUM
16
15
14
13
12
11
10
9
8
7
6
5
4
3
2
1
0
55 56 57 58 59 60 61 62 63 64 65 66 67 68 69 70 71 72 73 74 75
INCHES MIDPOINT

Figure 2.2: Histogram of the population of U.S. male heights (age 25–34)

F1
0.20
0.18
0.16
0.14
0.12
0.10
0.08
0.06
0.04
0.02
0.00
56 58 60 62 64 66 68 70 72 74 76 78
HT

Figure 2.3: Normal distributions used to approximate the distributions of heights of males and
females (age 25–34)
28 CHAPTER 2. RANDOM VARIABLES AND PROBABILITY DISTRIBUTIONS

Thus, a woman of height 5’8” is 1.80 standard deviations above the mean height for women in
this age group. The random variable, Z, is called a standard normal random variable, and is
written as Z ∼ N (0, 1).
Tables giving probabilities of areas under the standard normal distribution are given in most
statistics books. We will use the notation that za is the value such that the probability that a
standard normal random variable is larger than za is a. Figure 2.4 depicts this idea. Table A.1
gives the area, a, for values of za between 0 and 3.09.

FZ
0.4

0.3

0.2

0.1

0.0
-4 -2 0 2 4
Z

Figure 2.4: Standard Normal Distribution depicting za and the probability Z exceeds it

Some common values of a, and the corresponding value, za are given in Table 2.1. Since the
normal distribution is symmetric, the area below −za is equal to the area above za , which by
definition is a. Also note that the total area under any probability distribution is 1.0.

a 0.500 0.100 0.050 0.025 0.010 0.005

za 0.000 1.282 1.645 1.960 2.326 2.576

Table 2.1: Common values of a and its corresponding cut–off value za for the standard normal
distribution

Many random variables (and sample statistics based on random samples) are normally dis-
tributed, and we will be able to use procedures based on these concepts to make inferences con-
cerning unknown parameters based on observed sample statistics.
One example that makes use of the standard normal distribution to obtain a percentile in
the original units by ‘back–transforming’ is given below. It makes use of the standard normal
distribution, and the following property:

Y −µ
Z = =⇒ Y = µ + Zσ
σ
2.2. SAMPLING DISTRIBUTIONS AND THE CENTRAL LIMIT THEOREM 29

That is, an upper (or lower) percentile of the original distribution can be obtained by finding the cor-
responding upper (or lower) percentile of the standard normal distribution and ‘back–transforming’.

Example 2.2 Assume male heights in the 25–34 age group are normally distributed with
µ = 68.5 and σ = 2.7 (that is: YM ∼ N (69.1, 2.7)). Above what height do the tallest 5% of males
exceed? Based on the standard normal distribution, and Table 2.1, we know that z.05 is 1.645 (that
is: P (Z ≥ 1.645) = 0.05). That means that approximately 5% of males fall at least 1.645 standard
deviations above the mean height. Making use of the property stated above, we have:

ym(.05) = µ + z.05 σ = 68.5 + 1.645(2.7) = 72.9

Thus, the tallest 5% of males in this age group are 72.9 inches or taller (assuming heights are ap-
proximately normally distributed with this mean and standard deviation). A probability statement
would be written as: P (YM ≥ 72.9) = 0.05.

2.1.1 Statistical Models

This chapter introduced the concept of normally distributed random variables and their probability
distributions. When making inferences, it is convenient to write the random variable in a form that
breaks its value down into two components – its mean, and its ‘deviation’ from the mean. We can
write Y as follows:
Y = µ + (Y − µ) = µ + ε,
where ε = Y − µ. Note that if Y ∼ N (µ, σ), then ε ∼ N (0, σ). This idea of a statistical model is
helpful in statistical inference.

2.2 Sampling Distributions and the Central Limit Theorem

As stated at the beginning of this section, sample statistics are also random variables, since they
are computed based on elements of a random sample. In particular, we are interested in the
distributions of Y (µ̂) and π̂, the sample mean for a numeric variable and the sample proportion
for a categorical variable, respectively. It can be shown that when the sample sizes get large,
the sampling distributions of Y and π̂ are approximately normal, regardless of the shape of the
probability distribution of the individual measurements. That is, when n gets large, the random
variables Y and π̂ are random variables with probability (usually called sampling) distributions
that are approximately normal. This is a result of the Central Limit Theorem.

2.2.1 Distribution of Y
We have just seen that when the sample size gets large, the sampling distribution of the sample
mean is approximately normal. One interpretation of this is that if we took repeated samples of
size n from this population, and computed Y based on each sample, the set of values Y would have
a distribution that is bell–shaped. The mean of the sampling distribution of Y is µ, the mean of the
underlying distribution of measurements, and the standard deviation (called the standard error)
√
is σY = σ/ n, where σ is the standard deviation of the population of individual measurements.
√
That is, Y ∼ N (µ, σ/ n).
√
The mean and standard error of the sampling distribution are µ and σ/ n, regardless of the
sample size, only the shape being approximately normal depends on the sample size being large.
30 CHAPTER 2. RANDOM VARIABLES AND PROBABILITY DISTRIBUTIONS

Further, if the distribution of individual measurements is approximately normal (as in the height
example), the sampling distribution of Y is approximately normal, regardless of the sample size.

Example 2.3 For the drug approval data (Example 1.4, Figure 1.4), the distribution of ap-
proval times is skewed to the right (long right tail for the distribution). For the 175 drugs in this
‘population’ of review times, the mean of the review times is µ = 32.06 months, with standard
deviation σ = 20.97 months.

10,000 random samples of size n = 10 and a second 10,000 random samples of size n = 30
were selected from this population. For each sample, we computed y. Figure 2.5 and Figure 2.6
represent histograms of the 10,000 sample means of sizes n = 10 and n = 30, respectively. Note
that the distribution for samples of size n = 10 is skewed to the right, while the distribution for
samples of n = 30 is approximately normal. Table 2.2 gives the theoretical and empirical (based
on the 10,000 samples) means and standard errors (standard deviations) of Y for sample means of
these two sample sizes.

FREQUENCY
1300
1200
1100
1000
900
800
700
600
500
400
300
200
100
0
68111112222233333444445555566666
024680246802468024680246802468
MEAN10 MIDPOINT
Figure 2.5: Histogram of sample means (n = 10) for drug approval time data
2.2. SAMPLING DISTRIBUTIONS AND THE CENTRAL LIMIT THEOREM 31

FREQUENCY
3000

2000

1000

0
68111112222233333444445555566666
024680246802468024680246802468
MEAN30 MIDPOINT
Figure 2.6: Histogram of sample means (n = 30) for drug approval time data

Theoretical √ PEmpirical
n µY = µ σY √= σ/ n y= y/10000 sy
10 32.06 20.97/√10 = 6.63 32.15 6.60
30 32.06 20.97/ 30 = 3.83 32.14 3.81

Table 2.2: Theoretical and empirical (based on 10,000 random samples) mean and standard error
of Y based on samples of n = 10 and n = 30
 32 CHAPTER 2. RANDOM VARIABLES AND PROBABILITY DISTRIBUTIONS

2.3 Other Commonly Used Sampling Distributions

In this section we briefly introduce some probability distributions that are also widely used in
making statistical inference. They are: Student’s t-dsitribution, the Chi-Square Distribution, and
the F -Distribution.

2.3.1 Student’s t-Distribution

This distribution arises in practice when the standard deviation of the population is unknown and
we replace it with the sample standard deviation when constructing a z-score for a sample mean.
The distribution is indexed by its degrees of freedom, which represents the number of independent
observations used to construct the estimated standard deviation (n-1 in the case of a single sample
mean). We write:

Y −µ
t= √ ∼ tn−1
s/ n

Critical values of the t-distribution are given in Table A.2.

2.3.2 Chi-Square Distribution

This distribution arises when sums of squared Z-statistics are computed. Random variables follow-
ing the Chi-Square distribution can only take on positive values. It is widely used in categorical
data analysis, and like the t-distribution, is indexed by its degrees of freedom. Critical values of the
Chi-Square distribution are given in Table A.3.

2.3.3 F -Distribution
This distribution arises when when ratios of independent Chi-Square statistics divided by their
degrees of freedom are computed. Random variables following the F -distribution can only take on
positive values. It is widely used in regression and the analysis of variance for quantitative variables,
and is indexed by two types of degrees of freedom, the numerator and denominator. Critical values
of the F -distribution are given in Table A.4.

2.4 Exercises
7. The renowned anthropologist Sir Francis Galton was very interested in measurements of many
variables arising in nature (Galton, 1889). Among the measurements he obtained in the Anthro-
pologic Laboratory in the International Exhibition of 1884 among adults are: height (standing
without shoes), height (sitting from seat of chair), arm span, weight (in ordinary indoor clothes),
breathing capacity, and strength of pull (as archer with bow). He found that the relative frequency
distributions of these variables were very well approximated by normal distributions with means
and standard deviations given in Table 2.3. Although these means and standard deviations were
based on samples (as opposed to populations), the samples are sufficiently large than we can (for
our purposes) treat them as population parameters.

(a) What proportion of males stood over 6 feet (72 inches) in Galton’s time?
(b) What proportion of females were under 5 feet (60 inches)?
 2.4. EXERCISES 33

Males Females
Variable µ σ µ σ
Standing height (inches) 67.9 2.8 63.3 2.6
Sitting height (inches) 36.0 1.4 33.9 1.3
Arm span (inches) 69.9 3.0 63.0 2.9
Weight (pounds) 143 15.5 123 14.3
Breathing capacity (in3 ) 219 39.2 138 28.6
Pull strength (Pounds) 74 12.2 40 7.3

Table 2.3: Means and standard deviations of normal distributions approximating natural occuring
distributions in adults

(c) Sketch the approximate distributions of sitting heights among males and females on the same
line segment.
(d) Above what weight do the heaviest 10% of males fall?
(e) Below what weight do the lightest 5% of females weigh?
(f) Between what bounds do the middle 95% of male breathing capacities lie?
(g) What fraction of women have pull strengths that exceed the pull strength that 99% of all men
exceed?

8. In the previous exercise, give the approximate sampling distribution for the sample mean y for
samples in each of the following cases:

(a) Standing heights of 25 randomly selected males.

(b) Sitting heights of 35 randomly selected females.
(c) Arm spans of 9 randomly selected males.
(d) Weights of 50 randomly selected females.

9. In the previous exercises, obtain the following probabilities:

(a) A sample of 25 males has a mean standing height exceeding 70 inches.

(b) A sample of 35 females has a mean sitting height below 32 inches.
(c) A sample of 9 males has a mean arm span between 69 and 71 inches.
(d) A sample of 50 females has a mean weight above 125 pounds.
34 CHAPTER 2. RANDOM VARIABLES AND PROBABILITY DISTRIBUTIONS
Chapter 3

Statistical Inference – Hypothesis

Testing

In this chapter, we will introduce the concept of statistical inference in the form of hypothesis test-
ing. The goal is to make decisions concerning unknown population parameters, based on observed
sample data. In pharmaceutical studies, the purpose is often to demonstrate that a new drug is
effective, or possibly to show that it is more effective than an existing drug. For instance, in Phase
II and Phase III clinical trials, the purpose is to demonstrate that the new drug is better than
a placebo control. For numeric outcomes, this implies eliciting a higher (or lower in some cases)
mean response that measures clinical effectiveness. For categorical outcomes, this implies having
a higher (or lower in some cases) proportion having some particular outcome in the population
receiving the new drug. In this chapter, we will focus only on numeric outcomes.

Example 3.1 A study was conducted to evaluate the efficacy and safety of fluoxetine in treating
late–luteal–phase dysphoric disorder (a.k.a. premenstrual syndrome) (Steiner, et al., 1995). A
primary outcome was the percent change from baseline for the mean score of three visual analogue
scales after one cycle on the randomized treatment. There were three treatment groups: placebo,
fluoxetine (20 mg/day) and fluoxetine (60 mg/day). If we define the population mean percent
changes as µp , µf 20 , and µf 60 , respectively; we would want to show that µf 20 and µf 60 were larger
than µp to demonstrate that fluoxetine is effective.

3.1 Introduction to Hypothesis Testing

Hypothesis testing involves choosing between two propositions concerning an unknown parameter’s
value. In the cases in this chapter, the propositions will be that the means are equal (no drug
effect), or that the means differ (drug effect). We work under the assumption that there is no drug
effect, and will only reject that claim if the sample data gives us sufficient evidence against it, in
favor of claiming the drug is effective.
The testing procedure involves setting up two contradicting statements concerning the true value
of the parameter, known as the null hypothesis and the alternative hypothesis, respectively.
We assume the null hypothesis is true, and usually (but not always) wish to show that the alternative
is actually true. After collecting sample data, we compute a test statistic which is used as evidence
for or against the null hypothesis (which we assume is true when calculating the test statistic). The
set of values of the test statistic that we feel provide sufficient evidence to reject the null hypothesis
in favor of the alternative is called the rejection region. The probability that we could have

35
36 CHAPTER 3. STATISTICAL INFERENCE – HYPOTHESIS TESTING

obtained as strong or stronger evidence against the null hypothesis (when it is true) than what we
observed from our sample data is called the observed significance level or p–value.
An analogy that may help clear up these ideas is as follows. The researcher is like a prosecutor
in a jury trial. The prosecutor must work under the assumption that the defendant is innocent
(null hypothesis), although he/she would like to show that the defendant is guilty (alternative
hypothesis). The evidence that the prosecutor brings to the court (test statistic) is weighed by
the jury to see if it provides sufficient evidence to rule the defendant guilty (rejection region). The
probability that an innocent defendant could have had more damning evidence brought to trial
than was brought by the prosecutor (p-value) provides a measure of how strong the prosecutor’s
evidence is against the defendant.
Testing hypotheses is ‘clearer’ than the jury trial because the test statistic and rejection region
are not subject to human judgement (directly) as the prosecutor’s evidence and jury’s perspective
are. Since we do not know the true parameter value and never will, we are making a decision in
light of uncertainty. We can break down reality and our decision into Table 3.1. We would like to

Decision
H0 True H0 False
Actual H0 True Correct Decision Type I Error
State H0 False Type II Error Correct Decision

Table 3.1: Possible outcomes of a hypothesis test

set up the rejection region to keep the probability of a Type I error (α) and the probability of a
Type II error (β) as small as possible. Unfortunately for a fixed sample size, if we try to decrease α,
we automatically increase β, and vice versa. We will set up rejection regions to control for α, and
will not concern ourselves with β. Here α is the probability we reject the null hypothesis when it
is true. (This is like sending an innocent defendant to prison). Later, we will see that by choosing
a particular sample size in advance to gathering the data, we can control both α and β.
We can write out the general form of a large–sample hypothesis test in the following steps,
where θ is a population parameter that has an estimator (θ̂) that is approximately normal.

1. H0 : θ = θ0

2. HA : θ 6= θ0 or HA : θ > θ0 or HA : θ < θ0 (which alternative is appropriate should be clear

from the setting).

θ̂−θ0
3. T.S.: zobs = σ̂θ̂

4. R.R.: |zobs | > zα/2 or zobs > zα or zobs < −zα (which R.R. depends on which alternative
hypothesis you are using).

5. p-value: 2P (Z > |zobs |) or P (Z > zobs ) or P (Z < zobs ) (again, depending on which alternative
you are using).

In all cases, a p-value less than α corresponds to a test statistic being in the rejection region (reject
H0 ), and a p-value larger than α corresponds to a test statistic failing to be in the rejection region
(fail to reject H0 ). We will illustrate this idea in an example below.
3.1. INTRODUCTION TO HYPOTHESIS TESTING 37

Sample 1 Sample 2
Mean y1 y2
Std Dev s1 s2
Sample Size n1 n2

Table 3.2: Sample statistics needed for a large–sample test of µ1 − µ2

(y 1 −y 2 )
H0 : µ1 − µ2 = 0 Test Statistic: zobs = q s2 s2
1+ 2
n1 n2
Alternative Hypothesis Rejection Region P − Value
HA : µ1 − µ2 > 0 RR: zobs > zα p − val = P (Z ≥ zobs )
HA : µ1 − µ2 < 0 RR: zobs < −zα p − val = P (Z ≤ zobs )
HA : µ1 − µ2 6= 0 RR: |zobs | > zα/2 p − val = 2P (Z ≥ |zobs |)

Table 3.3: Large–sample test of µ1 − µ2 = 0 vs various alternatives

3.1.1 Large–Sample Tests Concerning µ1 − µ2 (Parallel Groups)

To test hypotheses of this form, we have two independent random samples, with the statistics and
information given in Table 3.2. The general form of the test is given in Table 3.3.

Example 3.2 A randomized clinical trial was conducted to determine the safety and efficacy
of sertraline as a treatment for premature ejaculation (Mendels, et al.,1995). Heterosexual male
patients suffering from premature ejaculation were defined as having suffered from involuntary
ejaculation during foreplay or within 1 minute of penetration in at least 50% of intercourse attempts
during the previous 6 months. Patients were excluded if they met certain criteria such as depression,
receiving therapy, or being on other psychotropic drugs.
Patients were assigned at random to receive either sertraline or placebo for 8 weeks after a one
week placebo washout. Various subjective sexual function measures were obtained at baseline and
again at week 8. The investigator’s Clinical Global Impressions (CGI) were also obtained, including
the therapeutic index, which is scored based on criteria from the ECDEU Assessment Manual for
Psychopharmacology (lower scores are related to higher improvement). Summary statistics based
on the CGI therapeutic index scores are given in Table 3.4. We will conduct test whether or not
the mean therapeutic indices differ between the sertraline and placebo groups at the α = 0.05
significance level, meaning that if the null hypothesis is true (drug not effective), there is only a
5% chance that we will claim that it is effective. We will conduct a 2–sided test, since there is a

Sertraline Placebo
Mean y 1 = 5.96 y 2 = 10.75
Std Dev s1 = 4.59 s2 = 3.70
Sample Size n1 = 24 n2 = 24

Table 3.4: Sample statistics for sertraline study in premature ejaculation patients

risk the drug could worsen the situation. If we do conclude the means differ, we will determine if
38 CHAPTER 3. STATISTICAL INFERENCE – HYPOTHESIS TESTING

the drug is better of worse than the placebo, based on the sign of the test statistic.

H0 : µ1 − µ2 = 0 (µ1 = µ2 ) vs HA : µ1 − µ2 6= 0 (µ1 6= µ2 )

We then compute the test statistic, and obtain the appropriate rejection region:
y − y2 5.96 − 10.75 −4.79
T.S.: zobs = r 1 =q = = −3.98 R.R.: |zobs | ≥ z.025 = 1.96
s21 s22 (4.59)2
+ (3.70)2 1.203
n1 + n2 24 24

Since the test statistic falls in the rejection (and is negative), we reject the null hypothesis and
conclude that the mean is lower for the sertraline group than the placebo group, implying the drug
is effective. Note that the p−value is less than .005 and is actually .0002:

p − value = 2P (Z ≥ 3.98) < 2P (Z ≥ 2.576) = 0.005

3.2 Elements of Hypothesis Tests

In the last section, we conducted a test of hypothesis to determine whether or not two population
means differed. In this section, we will cover the concepts of size and power of a statistical test. We
will consider this under the same context: a large–sample test to compare two population means,
based on a parallel groups design.

3.2.1 Significance Level of a Test (Size of a Test)

We saw in the previous chapter that for large samples, the sample mean, Y has a sampling distri-
√
bution that is approximately normal, with mean µ and standard error σY = σ/ n. This can be
extended to the case where we have two sample means from two populations (with independent
samples). In this case, when n1 and n2 are large, we have:
s
σ12 σ22
Y 1 − Y 2 ∼ N (µ1 − µ2 , σY 1 −Y 2 ) σY 1 −Y 2 = +
n1 n2

So, when µ1 = µ2 (the drug is ineffective), Z = qY σ12−Y σ22 is standard normal (see Section 2.1). Thus,
1+ 2
n1 n2
if we are testing H0 : µ1 − µ2 = 0 vs HA : µ1 − µ2 > 0, we would have the following probability
statements:  
 Y1−Y2 
P
r 2 ≥ za 
 = P (Z ≥ za ) = a
σ1 σ22
n1 + n2

This gives a natural rejection region for our test statistic to control α, the probability we reject the
null hypothesis when it is true (claim an ineffective drug is effective). Similarly, the p–value is the
probability that we get a larger values of zobs (and thus Y 1 − Y 2 ) than we observed. This is the
area to the right of our test statistic under the standard normal distribution. Table 3.5 gives the
cut–off values for various values of α for each of the three alternative hypotheses. The value α for
a test is called its significance level or size.
Typically, we don’t know σ1 and σ2 , and replace them with their estimates s1 and s2 , as we did
in Example 3.2.
3.2. ELEMENTS OF HYPOTHESIS TESTS 39

Alternative Hypothesis (HA )

α HA : µ1 − µ2 > 0 HA : µ1 − µ2 < 0 HA : µ1 − µ2 6= 0
.10 zobs ≥ 1.282 zobs ≤ −1.282 |zobs | ≥ 1.645
.05 zobs ≥ 1.645 zobs ≤ −1.645 |zobs | ≥ 1.96
.01 zobs ≥ 2.326 zobs ≤ −2.326 |zobs | ≥ 2.576

Table 3.5: Rejection Regions for tests of size α

3.2.2 Power of a Test

The power of a test corresponds to the probability of rejecting the null hypothesis when it is false.
That is, in terms of a test of efficacy for a drug, the probability we correctly conclude the drug is
effective when in fact it is. There are many parameter values that correspond to the alternative
hypothesis, and the power depends on the actual value of µ1 − µ2 (or whatever parameter is being
tested). Consider the following situation.
A researcher is interested in testing H0 : µ1 − µ2 = 0 vs HA : µ1 − µ2 > 0 at α = 0.05
significance level. Suppose, that the variances of each population are known, and σ12 = σ22 = 25.0.
The researcher takes samples of size n1 = n2 = 25 from each population. The rejection region is
set up under H0 as (see Table 3.5):
s
y1 − y2 σ12 σ22 √
zobs = r ≥ 1.645 =⇒ y 1 − y 2 ≥ 1.645 + = 1.645 2.0 = 2.326
σ12 σ22 n1 n2
n1 + n2

That is, we will reject H0 if y 1 − y 2 ≥ 2.326. Under the null hypothesis (µ1 = µ2 ), the probability
that y 1 − y 2 is larger than 2.326 is 0.05 (very unlikely).
Now the power of the test represents the probability we correctly reject the null hypothesis
when it is false (the alternative is true, µ1 > µ2 ). We are interested in finding the probability that
Y 1 − Y 2 ≥ 2.326 when Hr A is true.!This probability depends on the actual value of µ1 − µ2 , since
σ12 σ22
Y 1 − Y 2 ∼ N µ1 − µ2 , n1 + n2 . Suppose µ1 − µ2 = 3.0, then we have the following result,
used to obtain the power of the test:
 
 (Y 1 − Y 2 ) − (µ1 − µ2 ) 2.326 − 3.0 
P (Y 1 − Y 2 ≥ 2.326) = P  r ≥ √  = P (Z ≥ −0.48) = .6844

σ12 σ22 2.0 
n1 + n2

See Figure 3.1 for a graphical depiction of this. The important things to know about power
(while holding all other things fixed) are:
• As the sample sizes increase, the power of the test increases. That is, by taking larger samples,
we improve our ability to find a difference in means when they really exist.

• As the population variances decrease, the power of the test increases. Note, however, that
the researcher has no control over σ1 or σ2 .

• As the difference in the means, µ1 − µ2 increases, the power increases. Again, the researcher
has no control over these parameters, but this has the nice property that the further the true
state is from H0 , the higher the chance we can detect this.
40 CHAPTER 3. STATISTICAL INFERENCE – HYPOTHESIS TESTING

FHO
0.35

0.30

0.25

0.20

0.15

0.10

0.05

0.00
-4 0 4 8
M1_M2

Figure 3.1: Significance level and power of test under H0 (µ1 − µ2 = 0) and HA (µ1 − µ2 = 3)

Figure 3.2 gives “power curves” for four sample sizes (n1 = n2 = 25, 50, 75, 100) as a function of
µ1 − µ2 (0–5). The vertical axis gives the power (probability we reject H0 ) for the test.
In many instances, too small of samples are taken, and the test has insufficient power to detect
an important difference. The next section gives a method to compute a sample size in advance that
provides a test with adequate power.

3.3 Sample Size Calculations to Obtain a Test With Fixed Power

In the last section, we saw that the one element of a statistical test that is related to power that a
researcher can control is the sample size from each of the two populations being compared. In many
applications, the process is developed as follows (we will assume that we have a 2–sided altenative
(HA : µ1 − µ2 6= 0) and the two population standard deviations are equal, and will denote the
common value as σ):

1. Define a clinically meaningful difference δ = µ1 −µ 2

σ . This is a difference in population means
in numbers of standard deviations since σ is usually unknown. If σ is known, or well approx-
imated, based on prior experience, a clinically meaningful difference can be stated in terms
of the units of the actual data.

2. Choose the power, the probability you will reject H0 when the population means differ by
the clinically meaningful difference. In many instances, the power is chosen to be .80. Obtain
zα/2 and zβ , where α is the significance level of the test, and β = (1−power) is the probability
of a type II error (accepting H0 when in fact HA is true). Note that z.20 = .84162.
3.3. SAMPLE SIZE CALCULATIONS TO OBTAIN A TEST WITH FIXED POWER 41

POWER
1.0
0.9
0.8
0.7
0.6
0.5
0.4
0.3
0.2
0.1
0.0
0 1 2 3 4 5
M1_M2

Figure 3.2: Power of test (Probability reject H0 ) as a function of µ1 − µ2 for varying sample sizes

2(zα/2 +zβ )2
3. Choose as sample sizes: n1 = n2 = δ2

Choosing a sample size this way allows researchers to be confident that if an important difference
really exists, they will have a good chance of detecting it when they conduct their hypothesis test.

Example 3.3 A study was conducted in patients with renal insufficiency to measure the phar-
macokinetics of oral dosage of Levocabastine (Zazgornik, et al.,1993). Patients were classified as
non–dialysis and hemodialysis patients. In their study, one of the pharmacokinetic parameters of
interest was the terminal elimination half–life (t1/2 ). Based on pooling the estimates of σ for these
two groups, we get an estimate of σ̂ = 34.4. That is, we’ll assume that in the populations of
half–lifes for each dialysis group, the standard deviation is 34.4.
What sample sizes would be needed to conduct a test that would have a power of .80 to detect a
difference in mean half–lifes of 15.0 hours? The test will be conducted at the α = 0.05 significance
level.
µ1 −µ2 15.0
1. δ = σ = 34.4 = .4360.

2. zα/2 = z.025 = 1.96 and z1−.80 = z.20 = .84162.

2(zα/2 +zβ )2 2(1.96+.84162)2

3. n1 = n2 = δ2
= (.4360)2
= 82.58 ≈ 83

That is, we would need to have sample sizes of 83 from each dialysis group to have a test where
the probability we conclude that the two groups differ is .80, when they actually differ by 15 hours.
These sound like large samples (and are). The reason is that the standard deviation of each group
is fairly large (34.4 hours). Often, experimenters will have to increase δ, the clinically meaningful
difference, or decrease the power to obtain physically or economically manageable sample sizes.
42 CHAPTER 3. STATISTICAL INFERENCE – HYPOTHESIS TESTING

3.4 Small–Sample Tests

In this section we cover small–sample tests without going through the detail given for the large–
sample tests. In each case, we will be testing whether or not the means (or medians) of two
distributions are equal. There are two considerations when choosing the appropriate test: (1)
Are the population distributions of measurements approximately normal? and (2) Was the study
conducted as a parallel groups or crossover design? The appropriate test for each situation is given
in Table 3.6. We will describe each test with the general procedure and an example.
The two tests based on non–normal data are called nonparametric tests and are based on
ranks, as opposed to the actual measurements. When distributions are skewed, samples can contain
measurements that are extreme (usually large). These extreme measurements can cause problems
for methods based on means and standard deviations, but will have less effect on procedures based
on ranks.
Design Type
Parallel Groups Crossover
Normally Distributed Data 2–Sample t–test Paired t–test
Non–Normally Distributed Data Wilcoxon Rank Sum test Wilcoxon Signed–Rank Test
(Mann–Whitney U –Test)

Table 3.6: Statistical Tests for small–sample 2 group situations

3.4.1 Parallel Groups Designs

Parallel groups designs are designs where the samples from the two populations are independent.
That is, subjects are either assigned at random to one of two treatment groups (possibly active
drug or placebo), or possibly selected at random from one of two populations (as in Example 3.4,
where we had non–dialysis and hemodialysis patients). In the case where the two populations
of measurements are normally distributed, the 2–sample t–test is used. This procedure is very
similar to the large–sample test from the previous section, where only the cut–off value for the
rejection region changes. In the case where the populations of measurements are not approximately
normal, the Mann–Whitney U –test (or, equivalently the Wilcoxon Rank–Sum test) is commonly
used. These tests are based on comparing the average ranks across the two groups when the
measurements are ranked from smallest to largest, across groups.

2–Sample Student’s t–test for Normally Distributed Data

This procedure is identical to the large–sample test, except the critical values for the rejection
regions are based on the t–distribution with ν = n1 + n2 − 2 degrees of freedom. We will assume
the two population variances are equal in the 2–sample t–test. If they are not, simple adjustments
can be made to obtain the appropriate test. We then ‘pool’ the 2 sample variances to get an
estimate of the common variance σ 2 = σ12 = σ22 . This estimate, that we will call s2p is calculated as
follows:
(n1 − 1)s21 + (n2 − 1)s22
s2p = .
n1 + n2 − 2
The test of hypothesis concerning µ1 − µ2 is conducted as follows:

1. H0 : µ1 − µ2 = 0
3.4. SMALL–SAMPLE TESTS 43

2. HA : µ1 − µ2 6= 0 or HA : µ1 − µ2 > 0 or HA : µ1 − µ2 < 0 (which alternative is appropriate

should be clear from the setting).

3. T.S.: tobs = q (y1 −y2 )

s2p ( n1 + n1 )
1 2

4. R.R.: |tobs | > tα/2,n1 +n2 −2 or tobs > tα,n1 +n2 −2 or tobs < −tα,n1 +n2 −2 (which R.R. depends on
which alternative hypothesis you are using).

5. p-value: 2P (T > |tobs |) or P (T > tobs ) or P (T < tobs ) (again, depending on which alternative
you are using).

The values tα/2,n1 +n2 −2 are given in Table A.2.

Example 3.4 In the pharmaockinetic study in renal patients described in Example 3.3, the
authors measured the bioavailability of the drug in each patient by computiong AU C (Area under
the concentration–time curve, in (ng · hr/mL)). Table 3.7 has the raw data, as well as the mean
and standard deviation for each group. We will test whether or not mean AU C is equal in the
two populations, assuming that the populations of AU C are approximately normal. We have no
prior belief of which group (if any) would have the larger mean, so we will test H0 : µ1 = µ2 vs
HA : µ1 6= µ2 .

Non–Dialysis Hemodialysis
857 527
567 740
626 392
532 514
444 433
357 392
y 1 = 563.8 y 2 = 499.7
s1 = 172.0 s2 = 131.4
n1 = 6 n2 = 6

Table 3.7: AU C measurements for levocabastine in renal insufficiency patients

First, we compute s2p , the pooled variance:

(n1 − 1)s21 + (n2 − 1)s22 (6 − 1)(172.0)2 + (6 − 1)(131.4)2 234249.8

s2p = = = = 23424.98 (sp = 153.1)
n1 + n2 − 2 6+6−2 10

Now we conduct the (2–sided) test as described above with α = 0.05 significance level:

• H0 : µ1 − µ2 = 0

• HA : µ1 − µ2 6= 0

• T.S.: tobs = q (y1 −y2 ) = p(563.8−499.7)

1 1
= 64.1
88.4 = 0.73
s2p ( n1 + n1 ) 23424.98( 6 + 6 )
1 2

• R.R.: |tobs | > tα/2,n1 +n2 −2 = t.05/2,6+6−2 = t.025,10 = 2.228

44 CHAPTER 3. STATISTICAL INFERENCE – HYPOTHESIS TESTING

• p-value: 2P (T > |tobs |) = 2P (T > 0.73) > 2P (T > 1.372) = 2(.10) = .20 (From t–table,
t.10,10 = 1.372)
Based on this test, we do not reject H0 , and cannot conclude that the mean AU C for this dose of
levocabastine differs in these two populations of patients with renal insufficiency.

Wilcoxon Rank Sum Test for Non-Normally Distributed Data

The idea behind this test is as follows. We have samples of n1 measurements from population 1 and
n2 measurements from population 2 (Wilcoxon,1945). We rank the n1 + n2 measurements from 1
(smallest) to n1 + n2 (largest), adjusting for ties by averaging the ranks the measurements would
have received if they were different. We then compute T1 , the rank sum for measurements from
population 1, and T2 , the rank sum for measurements from population 2. This test is mathemati-
cally equivalent to the Mann–Whitney U –test. To test for differences between the two population
distributions, we use the following procedure:
1. H0 : The two population distributions are identical (µ1 = µ2 )
2. HA : One distribution is shifted to the right of the other (µ1 6= µ2 )
3. T.S.: T = min(T1 , T2 )
4. R.R.: T ≤ T0 , where values of T0 given in tables in many statistics texts for various levels of
α and sample sizes.
For one-sided tests to show that the distribution of population 1 is shifted to the right of population
2 (µ1 > µ2 ), we use the following procedure (simply label the distribution with the suspected higher
mean as population 1):
1. H0 : The two population distributions are identical (µ1 = µ2 )
2. HA : Distribution 1 is shifted to the right of distribution 2 (µ1 > µ2 )
3. T.S.: T = T2
4. R.R.: T ≤ T0 , where values of T0 are given in tables in many statistics texts for various levels
of α and various sample sizes.

Example 3.5 For the data in Example 3.4, we will use the Wilcoxon Rank Sum test to determine
whether or not mean AU C differs in these two populations. Table 3.8 contains the raw data, as
well as the ranks of the subjects, and the rank sums Ti for each group.
For a 2–tailed test, based on sample sizes of n1 = n2 = 6, we will reject H0 for T = min(T1 , T2 ) ≤
26. Since T = min(45, 33) = 33, we fail to reject H0 , and cannot conclude that the mean AU C
differs among non–dialysis and hemodialysis patients.

3.4.2 Crossover Designs

In crossover designs, subjects receive each treatment, thus acting as their own control. Procedures
based on these designs take this into account, and are based in determining differences between
treatments after “removing” variability in the subjects. When it is possible to conduct them,
crossover designs are more powerful than parallel groups designs in terms of being able to detect a
difference (reject H0 ) when differences truly exist (HA is true), for a fixed sample size. In particular,
many pharmacokinetic, and virtually all bioequivalence, studies are crossover designs.
3.4. SMALL–SAMPLE TESTS 45

Non–Dialysis Hemodialysis
857 (12) 527 (7)
567 (9) 740 (11)
626 (10) 392 (2.5)
532 (8) 514 (6)
444 (5) 433 (4)
357 (1) 392 (2.5)
n1 = 6 n2 = 6
T1 = 45 T2 = 33

Table 3.8: AU C measurements (and ranks) for levocabastine in renal insufficiency patients

Paired t–test for Normally Distributed Data

In crossover designs, each subject receives each treatment. In the case of two treatments being
compared, we compute the difference in the two measurements within each subject, and test whether
or not the population mean difference is 0. When the differences are normally distributed, we use
the paired t–test to determine if differences exist in the mean response for the two treatments.
It should be noted that in the paired case n1 = n2 by definition. That is, we will always have
equal sized samples when the experiment is conducted properly. We will always be looking at
the n = n1 = n2 differences, and will have n differences, even though there were 2n = n1 + n2
measurements made. From the n differences, we will compute the mean and standard deviation,
which we will label as d and sd :
Pn Pn
i=1 di − d)2
i=1 (di
q
d= s2d = sd = s2d
n n−1
The procedure is conducted as follows:

1. H0 : µ1 − µ2 = µD = 0

2. HA : µD 6= 0 or HA : µD > 0 or HA : µD < 0 (which alternative is appropriate should be

clear from the setting).

3. T.S.: tobs = d/( √sdn )

4. R.R.: |tobs | > tα/2,n−1 or tobs > tα,n−1 or tobs < −tα,n−1 (which R.R. depends on which
alternative hypothesis you are using).

5. p-value: 2P (T > |tobs |) or P (T > tobs ) or P (T < tobs ) (again, depending on which alternative
you are using).

As with the 2–sample t–test, the values corresponding to the rejection region are given in the
Table A.2.

Example 3.6 A study was conducted to compare immediate– and sustained–release formula-
tions of codeine (Band, et al.,1994). Thirteen healthy patients received each formulation (in random
order, and blinded). Among the pharmacokinetic parameters measured was maximum concentra-
tion at single–dose (Cmax ). We will test whether or not the population mean Cmax is higher for
46 CHAPTER 3. STATISTICAL INFERENCE – HYPOTHESIS TESTING

Cmax (ng/mL)
Subject (i) SRCi IRCi di = SRCi − IRCi
1 195.7 181.8 13.9
2 167.0 166.9 0.1
3 217.3 136.0 81.3
4 375.7 221.3 153.4
5 285.7 195.1 90.6
6 177.2 112.7 64.5
7 220.3 84.2 136.1
8 243.5 78.5 165.0
9 141.6 85.9 55.7
10 127.2 85.3 41.9
11 345.2 217.2 128.0
12 112.1 49.7 62.4
13 223.4 190.0 33.4
Mean SRC = 217.8 IRC = 138.8 d = 78.9
Std. Dev. sSRC = 79.8 sIRC = 59.4 sd = 53.0

Table 3.9: Cmax measurements for sustained– and immediate–release codeine

the sustained–release (SRC) than for the immediate–release (IRC) formulation. The data, and
the differences (SRC − IRC) are given in Table 3.9.
We will conduct the test (with α = 0.05) by completing the steps outlined above.

1. H0 : µ1 − µ2 = µD = 0

2. HA : µD > 0

3. T.S.: tobs = d/( √sdn ) = 78.9/( √

53.0
13
)= 78.9
14.7 = 5.37

4. R.R.: tobs > tα,n−1 = t.05,12 = 1.782

5. p-value: P (T > tobs ) = P (T > 5.37) < P (T > 4.318) = .0005 (since t.0005,12 = 4.318).

We reject H0 , and conclude that mean maximum concentration at single–dose is higher for the
sustained–release than for the immediate–release codeine formulation.

Wilcoxon Signed–Rank Test for Paired Data

A nonparametric test that is often conducted in crossover designs is the signed–rank test (Wilcoxon,1945).
Like the paired t–test, the signed–rank test takes into account that the two treatments are being
assigned to the same subject. The test is based on the difference in the measurements within each
subject. Any subjects with differences of 0 (measurements are equal under both treatments) are
removed and the sample size is reduced. The test statistic is computed as follows:

1. For each pair, subtract measurement 2 from measurement 1.

2. Take the absolute value of each of the differences, and rank from 1 (smallest) to n (largest),
adjusting for ties by averaging the ranks they would have had if not tied.
3.4. SMALL–SAMPLE TESTS 47

3. Compute T + , the rank sum for the positive differences from 1), and T − , the rank sum for
the negative differences.

To test whether or not the population distributions are identical, we use the following procedure:

1. H0 : The two population distributions are identical (µ1 = µ2 )

2. HA : One distribution is shifted to the right of the other (µ1 6= µ2 )

3. T.S.: T = min(T + , T − )

4. R.R.: T ≤ T0 , where T0 is a function of n and α and given in tables in many statistics texts.

For a one-sided test, if you wish to show that the distribution of population 1 is shifted to the right
of population 2 (µ1 > µ2 ), the procedure is as follows:

1. H0 : The two population distributions are identical (µ1 = µ2 )

2. HA : Distribution 1 is shifted to the right of distribution 2 (µ1 > µ2 )

3. T.S.: T −

4. R.R.: T ≤ T0 , where T0 is a function of n and α and given in tables in many statistics texts.

Note that if you wish to use the alternative µ1 < µ2 , use the above procedure with T + replacing
T − . The idea behind this test is to determine whether the differences tend to be positive (µ1 > µ2 )
or negative (µ1 < µ2 ), where differences are ‘weighted’ by their magnitude.

Example 3.7 In the study comparing immediate– and sustained–release formulations of codeine
(Band, et al.,1994), another pharmacokinetic parameter measured was the half–life at steady–state
(tSS
1/2 ). We would like to determine whether or not the distributions of half–lives are the same
(µ1 = µ2 ) for immediate– and sustained–release codeine. We will conduct the signed–rank test
(2–sided), with α = 0.05. The data and ranks are given in Table 3.10. Note that subject 2 will be
eliminated since both measurements were 2.1 hours for her, and the sample size will be reduced to
12.
Based on Table 3.10, we get T + (the sum of the ranks for positive differences) and T − (the sum
of the ranks of the negative differences), as well as the test statistic T , as follows:

T + = 1+10+5+2+12+11+8+9+4 = 62 T − = 6.5+3+6.5 = 16 T = min(T + , T − ) = min(62, 16) = 16

We can then use the previously given steps to test for differences in the locations of the distributions
of half–lives for the two formulations.

1. H0 : The two population distributions are identical (µ1 = µ2 )

2. HA : One distribution is shifted to the right of the other (µ1 6= µ2 )

3. T.S.: T = min(T + , T − ) = 16

4. R.R.: T ≤ T0 , where T0 = 14 is based on 2–sided alternative , α = 0.05, and n = 12.

Since T = 16 does not fall in the rejection region, we cannot reject H0 , and we fail to conclude
that the means differ. Note that the p–value is thus larger than 0.05, since we fail to reject H0 (the
authors report it as 0.071).
 48 CHAPTER 3. STATISTICAL INFERENCE – HYPOTHESIS TESTING

tSS
1/2 (hrs)
Subject (i) SRCi IRCi di = SRCi − IRCi |di | rank(|di |)
1 2.6 2.5 0.1 0.1 1
2 2.1 2.1 0.0 0.0 –
3 3.8 2.7 1.1 1.1 10
4 3.1 3.7 −0.6 0.6 6.5
5 2.8 2.3 0.5 0.5 5
6 3.6 3.4 0.2 0.2 2
7 4.2 2.3 1.9 1.9 12
8 3.2 1.4 1.8 1.8 11
9 2.5 1.7 0.8 0.8 8
10 2.1 1.1 1.0 1.0 9
11 2.0 2.3 −0.3 0.3 3
12 1.9 2.5 −0.6 0.6 6.5
13 2.7 2.3 0.4 0.4 4

Table 3.10: tSS

1/2 measurements for sustained– and immediate–release codeine

3.5 Exercises
10. A review paper concerning smoking and drug metabolism related information obtained in a wide
variety of clinical investigations on the topic (Dawson and Vestal,1982). Among the drugs studied
was antipyrine, and the authors report results of metabolic clearance rates measured among smokers
and nonsmokers of various ages. Based on values of metabolic clearance rate (mlhr−1 kg −1 ) for the
18–39 age group and combining moderate and heavy smokers, we get the summary statistics in
Table 3.11. Test whether or not smoking status is associated with metabolic clearance rate, that is,
test whether or not mean metabolic clearance rates differ between the two groups. If a difference
exists, what can we say about the effect of smoking on antipyrine metabolism? Test at α = 0.05
significance level.

Nonsmokers Smokers
Mean y 1 = 30.6 y 2 = 38.6
Std Dev s1 = 7.54 s2 = 12.43
Sample Size n1 = 37 n2 = 36

Table 3.11: Sample statistics for antipyrine metabolism study in smokers and nonsmokers

11. The efficacy of fluoxetine on anger in patients with borderline personality disorder was studied in
22 patients with BPD (Salzman, et al.,1995). Among the measures used was the Profile of Mood
States (POMS) anger scale. In the blinded, controlled study, patients received either fluoxetine
or placebo for 12 weeks, with measurements being made before and after treatment. Table 3.12
contains the post–treatment summary statistics for the two drug groups. Use the independent
sample t–test to test whether or not fluoxetine reduces anger levels (as measured by the POMS
scale). Test at α = 0.05 significance level.
12. Cyclosporine pharmacokinetics after intravenous and oral administration have been studied under
similar experimental conditions in healthy subjects (Gupta, et al.,1990) and in pre–kidney trans-
 3.5. EXERCISES 49

Fluoxetine Placebo
Mean y 1 = 40.31 y 2 = 44.89
Std Dev s1 = 5.07 s2 = 8.67
Sample Size n1 = 13 n2 = 9

Table 3.12: Sample statistics for fluoxetine study in BPD patients

plant patients (Aweeka, et al.,1994). Among the pharmacokinetic parameters estimated within
each patient is mean absorption time (MAT) for the oral dose in plasma (when taken without
food). Values of MAT for the two groups (healthy and pre–transplant) are given in Table 3.13.
Complete the rankings and conduct the Wilcoxon Rank Sum test to determine whether or not
mean MAT differs in the two populations. Note that for α = 0.05, we reject H0 : µ1 = µ2 in favor
of HA : µ1 6= µ2 when T = min(T1 , T2 ) ≤ 49 for these sample sizes and α = 0.05.

Healthy Pre–Transplant
5.36 (14) 2.64
4.35 4.84 (13)
2.61 (4) 2.42 (2.5)
3.78 2.92
2.78 2.94
4.51 2.42 (2.5)
3.43 15.08 (16)
1.66 (1) 11.04 (15)
n1 = 8 n2 = 8
T1 = T2 =

Table 3.13: AU C measurements (and ranks) for levocabastine in renal insufficiency patients

13. An efficacy study for fluoxetine in 9 patients with obsessive–compulsive disorder was conducted in
an uncontrolled trial (Fontaine and Chouinard,1986). In this trial, baseline and post–treatment (9–
week) obsessive–compulsive measurements were obtained using the Comprehensive Psychopatho-
logical Rating Scale (CPRS). Note that this is not a controlled trial, in the sense that there was
not a group that was randomly assigned a placebo. This trial was conducted very early in the
drug screening process. The mean and standard deviation of the differences (baseline–day 56)
values for the nine subjects are given below. Use the paired t–test to determine whether or not
obsessive–compulsive scores are lower at the end of the trial (H0 : µD = 0 vs HA : µD > 0) at
α = 0.05.
d = 9.3 sd = 2.6 n = 9

14. A study investigated the effect of codeine on gastrintestinal motility (Mikus, et al., 1997). Of
interest was determing whether or not problems associated with motility are due to the codeine
or its metabolite morphine. The study had both a crossover phase and a parallel phase, and was
made up of five subjects who are extensive metabolizers and five who are poor metabolizers.

(a) In one phase of the study, the researchers measured the orocecal transit times (OCTT in hrs)
after administration of placebo and after 60 mg codeine phosphate in healthy volunteers. Data
are given in Table 3.14. Test whether or not their is an increase in motility time while on
 50 CHAPTER 3. STATISTICAL INFERENCE – HYPOTHESIS TESTING

Extensive Poor
Codeine Placebo D = C − P Codeine Placebo D = C − P
13.7 7.2 6.5 13.7 11.7 2.0
10.7 4.7 6.0 7.7 6.7 1.0
8.2 5.7 2.5 10.7 6.2 4.5
13.7 10.7 3.0 8.7 6.2 2.5
6.7 6.2 0.5 10.7 11.7 –1.0
d = 3.7 sd = 2.51 d = 1.8 sd = 2.02

Table 3.14: OCTT data for codeine experiment with extensive and poor metabolizers.

codeine as compared to on placebo separately for each metabolizing group. Use the paired t–
test and α = 0.05. Intuitively, do you feel this implies that codeine, or its metabolite morphine
may be the cause of motility, based on these tests?
(b) In a separate part of the study, they compared the distributions of maximum concentration
(Cmax ) of both codeine and its metabolite morphine. The authors compared these by the
Wilcoxon Rank–Sum test (under another name). Use the independent sample t–test to com-
pare them as well (although the assumption of equal variances is not appropriate for morphine).
The means and standard deviations are given in Table 3.15.

Extensive Poor
Substance yE sE yP sP
Codeine 664 95 558 114
Morphine 13.9 10.5 0.68 0.15

Table 3.15: Cmax statistics for codeine and morphine among extensive and poor metabolizers.

15. Orlistat, an inhibitor of gastrointestinal lipases has recently received FDA approval as treatment
for obesity. Based on its pharmacologic effects, there are concerns it may interact with oral contra-
ceptives among women. A study was conducted to determine whether progesterone or luteinizing
hormone levels increased when women were simultaneously taking orlistat and oral contraceptives
versus when they were only taking contraceptives (Hartmann, et al., 1996). For distributional
reasons, the analysis is based on the natural log of the measurements, as opposed to their actual
levels. The data and relevant information are given in Table 3.16 for the measurements based on
progesterone levels (µgl−1 ).

(a) Based on the Wilcoxon Signed–Rank test, can we determine that levels of the luteinizing
hormone are higher among women receiving orlistat than women receiving placebo? Since
there are n = 12 women with non–zero differences, we reject H0 : No drug interaction, in favor
of HA : Orlistat increases luteinizing hormone level for T − ≤ 17 for α = 0.05.
(b) Conduct the same hypothesis test based on the paired–t test at α = 0.05.
(c) Based on these tests, should women fear that use of orlistat decreases the efficacy of oral
contraceptives (in terms of increasing levels of luteinizing hormones)?

16. Prior to FDA approval of fluoxetine, many trials comparing its efficacy to that of tricyclic antide-
pressant imipramine and a placebo control (Stark and Hardison,1985). One measure of efficacy was
3.5. EXERCISES 51

Subject Orlistat Placebo Orl–Plac rank (|Orl–Plac|)

1 0.5878 0.5653 0.0225 1
2 0.3646 0.3646 0.0000 —
3 0.3920 0.3646 0.0274 2
4 0.9243 1.3558 -0.4316 11
5 0.6831 1.0438 -0.3607 8
6 1.3403 2.1679 -0.8277 12
7 0.3646 0.3646 0.0000 —
8 0.3646 0.3646 0.0000 —
9 0.4253 0.8329 -0.4076 10
10 0.3646 0.3646 0.0000 —
11 0.3646 0.3646 0.0000 —
12 0.3646 0.3646 0.0000 —
13 1.6467 1.4907 0.1561 4
14 0.3646 0.3646 0.0000 —
15 0.5878 0.4055 0.1823 5
16 0.3646 0.3646 0.0000 —
17 0.5710 0.4187 0.1523 3
18 1.1410 1.4303 -0.2893 6
19 1.0919 0.7747 0.3172 7
20 0.7655 0.3646 0.4008 9
Mean 0.654 0.707 –0.053 —
Std Dev — — 0.285 —

Table 3.16: LN (AU C) luteinizing hormaone among women receiving orlistat and placebo (crossover
design)
.
 52 CHAPTER 3. STATISTICAL INFERENCE – HYPOTHESIS TESTING

the change in Hamilton Depression score (last visit score – baseline score). The following results
are the mean difference and standard deviation of the differences for the placebo group. Obtain a
99% confidence interval for the mean change in Hamilton Depression score for patients receiving a
placebo. Is there evidence of a placebo effect?
d = 8.2 sd = 9.0 n = 169

17. A crossover design was implemented to study the effect of the pancreatic lipase inhibitor Orlistat on
postprandial gallbladder contraction (Froehlich, et al.,1996). Of concern was whether use of Orlistat
decreased contraction of the gallbladder after consumption of a meal. Six healthy volunters were
given both Orlistat and placebo and meals of varying levels of fat. The measurement made at each
meal was the AU C for the gallbladder contraction (relative to pre–meal) curve.
The researchers were concerned that Orlistat would reduce gallbladder contraction, and thus in-
crease risk of gallstone formulation. Data for the three meal types are given in Table 3.17. Recall
that the same subjects are being used in all arms of the study.

Meal Type Sample size d sd

High Fat 6 443 854.6
Mixed 6 313 851.7
No Fat 6 −760 859.0

Table 3.17: AU C statistics for differences within Orlistat and placebo measurements of study
subjects.

(a) Is there evidence that for any of these three diets, that a single dose of Orlistat decreases
gallbladder contraction? For each diet, test each at α = 0.01 using the appropriate normal
theory test.
(b) What assumptions are you making in doing these tests?

18. A study of the effect of food on sustained–release theophylline absorption was conducted in fifteen
healthy subjects (Boner, et al.,1986). Among the parameters measured in the patients was Cmax ,
the maximum concentration of the drug (µg/mL). The study was conducted as a crossover design,
and measurements were made via two assays, enzyme immunoassay test (EMIT) and fluorescence
polarization immunoassay (FPIA). Values of Cmax under fasting and fed states for the EMIT assay
are given in Table 3.18. Complete the table and test whether or not food effects the rate of
absorption (as measured by Cmax ) by using the Wilcoxon Signed–Rank test (α = 0.05). We reject
H0 : µ1 = µ2 in favor of HA : µ1 6= µ2 if T = min(T + , T − ) ≤ T0 = 25 for a sample size of 15, and
a 2–sided test at α = 0.05.
19. A clinical trial was conducted to determine the effect of dose frequency on fluoxetine efficacy and
safety among patients with major depressive disorder (Rickels, et al.,1985). Patients were randomly
assigned to receive the drug once a day (q.d. patients) or twice a day (b.i.d. patients). Efficacy
measurements were based on the Hamilton (HAM–D) depression scale, the Covi anxiety scale, and
the Clinical Global Impression (CGI) severity and improvement scales. There were two inferential
questions posed: 1) for each dosing regimen, is fluoxetine effective, and 2) is there any differences
between the efficacy of the drug between the two dosing regimens. Measurements were made after a
1–week placebo run–in (baseline) and at last visit (after 3–8 visits). For each patient, the difference
between the last visit and baseline score was measured.
3.5. EXERCISES 53

tSS
1/2 (hrs)
Subject (i) Fasting Fed di =Fast–Fed |di | rank(|di | )
1 15.00 15.10 –0.10 0.10
2 14.70 11.90 2.80 2.80
3 11.15 16.35 –5.20 5.20
4 9.75 9.40 0.35 0.35
5 9.60 12.15 –2.55 2.55
6 10.05 15.30 –5.25 5.25
7 9.90 9.35 0.55 0.55
8 23.15 17.30 5.85 5.85
9 11.25 12.75 –1.50 1.50
10 7.80 10.20 –2.40 2.40
11 15.00 12.95 2.05 2.05
12 14.45 8.60 5.85 5.85
13 8.38 6.50 1.88 1.88
14 7.80 9.65 –1.85 1.85
15 7.05 11.25 –4.20 4.20

Table 3.18: Cmax measurements for theophylline under fasting and fed states

(a) Within each dosing regimen, what tests would be appropriate for testing efficacy of the drug?
(b) In terms of comparing the effects of the dosing regimens, which tests would be appropriate?
54 CHAPTER 3. STATISTICAL INFERENCE – HYPOTHESIS TESTING
Chapter 4

Statistical Inference – Interval

Estimation

A second form of statistical inference, interval estimation, is a widely used tool to describe a
population, based on sample data. When it can be used, it often preferred over formal hypothesis
testing, although it is used in the same contexts. The idea is to obtain an interval, based on sample
statistics, that we can be confident contains the population parameter of interest. Thus, testing
a hypothesis that a parameter equals some specified value (such as µ1 − µ2 = 0) can be done by
determining whether or not 0 falls in the interval.
Without going into great detail, confidence intervals are formed basedr on the! sampling distri-
σ12 σ22
bution of a statistic. Recall, for large–samples, Y 1 − Y 2 ∼ N µ1 − µ2 , n1 + n2 . We know then

that in approximately 95% of all samples, Y 1 − Y 2 will lie within two standard errors of the mean.
Thus, when we take a sample, and observe y 1 − y 2 , we can be very confident that this value lies
within two standard errors of the unknown value µ1 − µ2 . If we add and subtract two standard
errors from our sample statistic y 1 − y 2 (also called a point estimate), we have an interval that
we are very confident contains µ1 − µ2 . The algebra for the general case is given in the next section.
In general, we will form a (1 − α)100% confidence interval for the parameter, where 1 − α
represents the proportion of intervals that would contain the unknown parameter if this procedure
were repeated on many different samples. The width of a (1 − α)100% confidence interval (I’ll
usually use 95%) depends on:

• The confidence level (1 − α). As (1 − α) increases, so does the width of the interval. If we
want to increase the confidence we have that the interval contains the parameter, we must
increase the width of the interval.

• The sample size(s). The larger the sample size, the smaller the standard error of the estimator,
and thus the smaller the interval.

• The standard deviations of the underlying distributions. If the standard deviations are large,
then the standard error of the estimator will also be large.

4.1 Large–Sample Confidence Intervals

Since many estimators (θ̂) in the previous section are normally distributed with a mean equal to
the true parameter (θ), and standard error (σθ̂ ), we can obtain a confidence interval for the

55
56 CHAPTER 4. STATISTICAL INFERENCE – INTERVAL ESTIMATION

true parameter. We first define zα/2 to be the point on the standard normal distribution such that
P (Z ≥ zα/2 ) = α/2. Some values that we will see (and have seen) various times are z.05 = 1.645,
z.025 = 1.96, and z.005 = 2.576, respectively. The main idea behind confidence intervals is the
following. Since we know that θ̂ ∼ N (θ, σθ ), then we also know Z = θ̂−θ
σθ̂ ∼ N (0, 1). So, we can
write:
θ̂ − θ
P (−zα/2 ≤ ≤ zα/2 ) = 1 − α
σθ̂
A little bit of algebra gives the following:

P (θ̂ − zα/2 σθ̂ ≤ θ ≤ θ̂ + zα/2 σθ̂ ) = 1 − α

This merely says that “in repeated sampling, our estimator will lie within zα/2 standard errors of
the mean a fraction of 1 − α of the time.” The resulting formula for a large–sample (1 − α)100%
confidence interval for θ is
θ̂ ± zα/2 σθ̂ .
When the standard error σθ̂ is unknown (almost always), we will replace it with the estimated
standard error σ̂θ̂ .
In particular, for parallel–groups (which are usually the only designs that have large samples),
a (1 − α)100% confidence interval for µ1 − µ2 is:
s
s21 s2
(y 1 − y 2 ) ± zα/2 + 2
n1 n2

Example 4.1 An dose–response study for the efficacy of intracavernosal alprostadil in men
suffering from erectile dysfunction was reported (Linet, et al.,1996). Patients were assigned at
random to receive one of: placebo, 2.5, 5.0, 10.0, or 20.0 µg alprostadil. One measure reported was
the duration of erection as measured by RigiScan (≥ 70% rigidity). We would like to obtain a 95%
confidence interval for the difference between the population means for the 20µg and 2.5µg groups.
The sample statistics are given in Table 4.1.

20µg 2.5µg
Mean y 1 = 44 minutes y 2 = 12 minutes
Std Dev s1 = 55.8 minutes s2 = 27.7 minutes
Sample Size n1 = 58 n2 = 57

Table 4.1: Sample statistics for alprostadil study in dysfunctional erection patients

For a 95% confidence interval, we need to find z.05/2 = z.025 = 1.96, and the interval can be
obtained as follows:
s s
s21 s2 (55.8)2 (27.7)2
(y 1 −y 2 )±zα/2 + 2 ≡ (44−12)±1.96 + ≡ 32±16.1 ≡ (15.9, 48.1)
n1 n2 58 57

Thus, we can conclude the (population) mean duration of erection is between 16 and 48 minutes
longer for patients receiving a 20µg dose than for patients receiving 2.5µg. Note that since the entire
interval is positive, we can conclude that the mean is significantly higher in the higher dose group.
4.2. SMALL–SAMPLE CONFIDENCE INTERVALS 57

4.2 Small–Sample Confidence Intervals

In the case of small samples from populations with unknown variances, we can make use of the
t-distribution to obtain confidence intervals. In all cases, we must assume that the underlying
distribution is approximately normal, although this restriction is not necessary for moderate sample
sizes. We will consider the case of estimating the difference between two means, µ1 −µ2 , for parallel
groups and crossover designs separately. In both of these cases, the sampling distribution of the
sample statistic is used to obtain the corresponding confidence interval.

4.2.1 Parallel Groups Designs

When the samples are independent, we use methods very similar to those for the large–sample case.
In place of the zα/2 value, we will use the tα/2,n1 +n2 −2 value, which will be somewhat larger than
the z value, yielding a wider interval.
One important difference is that these methods assume the two population variances, although
unknown, are equal. We then ‘pool’ the two sample variances to get an estimate of the common
variance σ 2 = σ12 = σ22 . This estimate, that we will call s2p is calculated as follows (we also used
this in the hypothesis testing chapter):
(n1 − 1)s21 + (n2 − 1)s22
s2p = .
n1 + n2 − 2
The corresponding confidence interval can be written:
s
1 1
 
(y 1 − y 2 ) ± tα/2,n1 +n2 −2 s2p + .
n1 n2

Example 4.2 Two studies were conducted to study pharmacokinetics of orally and intra-
venously administered cyclosporine (Gupta, et al.,1990; Aweeka, et al.,1994). The first study
involved healthy subjects being given cyclosporine under low–fat and high–fat diet (we will focus
on the low–fat phase). The second study was made up of pre–kidney transplant patients. Both
studies involved eight subjects, and among the pharmacokinetic parameters reported was the oral
bioavailability of cyclosporine. Oral bioavailability (F ) is a measure (in percent) that relates the
amount of an oral dose that reaches the systemic circulation to the amount of an intravenous dose
that reaches it (Gibaldi, 1984). It can be computed as:
AU Coral · DOSEiv
 
Foral = 100%,
AU Civ · DOSEoral
where AU Coral is the area under the concentration–time curve during the oral phase and AU Civ
is that for the intravenous phase. In these studies, the intravenous dose was 4mg/Kg and the oral
dose was 10mg/Kg. For each study group, the relevant statistics (based on plasma measurements)
are given in Table 4.2.
First, we obtain the pooled variance, s2p :
(n1 − 1)s21 + (n2 − 1)s22 (8 − 1)(6)2 + (8 − 1)(15)2
s2p = = = 130.5 (sp = 11.4)
n1 + n2 − 2 8+8−2
Then, we can compute a 95% confidence interval after nothing that tα/2,n1 +n2 −2 = t.025,14 = 2.145:
s s
1 1 1 1
   
(y 1 −y 2 )±tα/2,n1 +n2 −2 s2p + ≡ (21−24)±2.145 130.5 + ≡ −3±12.3 ≡ (−15.3, 9.3)
n1 n2 8 8
58 CHAPTER 4. STATISTICAL INFERENCE – INTERVAL ESTIMATION

Healthy Subjects Pre–Transplant Patients

Mean y 1 = 21% y 2 = 24%
Std Dev s1 = 6% s2 = 15%
Sample Size n1 = 8 n2 = 8

Table 4.2: Sample statistics for bioavailability in cyclosporine studies

Thus, we can be confident that the mean oral bioavailability for healthy patients is somewhere
between 15.3% lower than and 9.3% higher than that for pre–kidney transplant patients. Since
this interval contains both positive and negative values (and thus 0), we cannot conclude that the
means differ. As is often the case in small samples, this interval is fairly wide, and our estimate of
µ1 − µ2 is not very precise.

4.2.2 Crossover Designs

In studies where the same subject receives each treatment, we make use of this fact and make
inferences on µ1 − µ2 through the differences observed within each subject. That is, as we did in
the section on hypothesis testing, we will obtain each difference (T RT 1 − T RT 2), and compute the
mean (d) and standard deviation (sd ) of the n differences. Based on these statistics, we obtain a
95% confidence interval for µ1 − µ2 as follows:
sd
d ± tα/2,n−1 √ .
n

Example 4.3 In the cyclosporine study in healthy patients described in Example 4.2, each
subject was given the drug with a low fat diet, and again with a high fat diet (Gupta, et al.,1990).
One of the patients did not complete the high fat diet phase, so we will look only at the n = 7
healthy patients. Among the pharmacokinetic parameters estimated in each patient was clearance
(liters of plasma cleared of drug per hour per kilogram). Clearance was computed as CLiv =
DOSEiv /AU Civ . Table 4.3 gives the relevant information (based on plasma cyclosporine measure-
ments) to obtain a 95% confidence interval for the difference in mean CLiv for oral dose under high
and low fat diet phases. Based on the data in Table 4.3 and the fact that t.025,6 = 2.447, we can

CLiv (L/hr/Kg)
Subject (i) High Fat Low Fat d =High–Low
1 0.569 0.479 0.090
2 0.668 0.400 0.268
3 0.624 0.358 0.266
4 0.521 0.372 0.149
5 0.679 0.563 0.116
7 0.939 0.636 0.303
8 0.882 0.448 0.434
Mean 0.697 0.465 d = 0.232
Std Dev 0.156 0.103 sd = 0.122

Table 4.3: Cyclosporine CLiv measurements for high and low fat diets in healthy subjects
 4.3. EXERCISES 59

obtain a 95% confidence interval for the true mean difference in cyclosporine under high and low
fat diets:
sd 0.122
d ± tα/2,n−1 √ ≡ 0.232 ± 2.447 √ ≡ 0.232 ± 0.113 ≡ (0.119, 0.345).
n 7
We can be 95% confident that the true difference in mean clearance for high and low fat diets
is between .119 and .345 L/hr/Kg. Since the entire interval is positive, we can conclude that
clearance is greater on a high fat diet (that is, when taken with food) than on a low fat diet. The
authors concluded that food enhances the removal of cyclosporine in healthy subjects.

4.3 Exercises
20. Compute and interpret 95% confidence intervals for µ1 − µ2 for problems 11, 12, and 14 of Chapter
3.
60 CHAPTER 4. STATISTICAL INFERENCE – INTERVAL ESTIMATION
Chapter 5

Categorical Data Analysis

We have seen previously that variables can be categorical or numeric. The past two chapters dealt
with comparing two groups in terms of quantitaive responses. In this chapter, we will introduce
methods commonly used to analyze data when the response variable is categorical. The data
are generally counts of individuals, and are given in the form of an r × c contingency table.
Throughout these notes, the rows of the table will represent the r levels of the explanatory variable,
and the columns will represent the c levels of the response variable. The numbers within the table
are the counts of the numbers of individuals falling in that cell’s combination of levels of the
explanatory and response variables. The general set–up of an r × c contingency table is given in
Table 5.1.

Response Variable
1 2 ··· c
1 n11 n12 · · · n1c n1.
Explanatory 2 n21 n22 · · · n2c n2.
.. .. .. .. .. ..
Variable . . . . . .
r nr1 nr2 ··· nrc nr.
n.1 n.2 ··· n.c

Table 5.1: An r × c Contingency Table

Recall that categorical variables can be nominal or ordinal. Nominal variables have levels
that have no inherent ordering, such as sex (male, female) or hair color (black, blonde, brown, red).
Ordinal variables have levels that do have a distinct ordering such as diagnosis after treatment
(death, worsening of condition, no change, moderate improvement, cure).
In this chapter, we will cover the cases: 1) 2 × 2 tables, 2) both of the variables are nominal,
3) both of the variables are ordinal, and 4) the explanatory variable is nominal and the response
variable is ordinal. All cases are based on independent sample (parallel groups studies), although
case–control studies can be thought of as paired samples, however (although not truly crossover
designs). We won’t pursue that issue here. Statistical texts that cover these topics in detail include
(Agresti,1990), which is rather theoretical and (Agresti,1996) which is more applied and written
specifically for applied practicioners.

61
62 CHAPTER 5. CATEGORICAL DATA ANALYSIS

5.1 2 × 2 Tables
There are many situations where both the independent and dependent variables have two levels.
One example is efficacy studies for drugs, where subjects are assigned at random to active drug
or placebo (explanatory variable) and the outcome measure is whether or not the patient is cured
(response variable). A second example is epidemiological studies where disease state is observed
(response variable), as well as exposure to risk factor (explanatory variable). Drug efficacy studies
are generally conducted as randomized clinical trials, while epidemiological studies are generally
conducted in cohort and case–control settings (see Chapter 1 for descriptions of these type studies).
For this particular case, we will generalize the explanatory variable’s levels to exposed (E) and
not exposed (E), and the response variable’s levels as disease (D) and no disease (D). These
interpretations can be applied in either of the two settings described above and can be generalized
to virtually any application. The data for this case will be of the form of Table 5.2.

Disease State
D (Present) D (Absent) Total
Exposure E (Present) n11 n12 n1.
State E (Absent) n21 n22 n2.
Total n.1 n.2 n

Table 5.2: A 2 × 2 Contingency Table

In the case of drug efficacy studies, the exposure state can be thought of as the drug the subject
is randomly assigned to. Exposure could imply that a subject was given the active drug, while
non–exposure could imply having received placebo. In either type study, there are two measures of
association commonly estimated and reported. These are the relative risk and the odds ratio.
These methods are also used when the explanatory variable has more than two levels, and the
response variable has two levels. The methods described below are computed within pairs of levels
of the explanatory variables, with one level forming the “baseline” group in comparisons. This
extension will be described in Example 5.3.

5.1.1 Relative Risk

For prospective studies (cohort and randomized clinical trials), a widely reported measure of as-
sociation between exposure status and disease state is relative risk. Relative risk is a ratio of the
probability of obtaining the disease among those exposed to the probability of obtaining disease
among those not exposed. That is:
P (D|E)
Relative Risk = RR =
P (D|E)
Based on this definition:
• A relative risk greater than 1.0 implies the exposed group have a higher probability of con-
tracting disease than the unexposed group.
• A relative risk less than 1.0 implies that the exposed group has a lower chance of contracting
disease than unexposed group (we might expect this to be the case in drug efficacy studies).
• A relative risk of 1.0 implies that the risk of disease is the same in both exposure groups (no
association between exposure state and disease state).
5.1. 2 × 2 TABLES 63

Note that the relative risk is a population parameter that must be estimated based on sample data.
We will be able to calculate confidence intervals for the relative risk, allowing inferences to be made
concerning this population parameter, based on the range of values of RR within the (1 − α)100%
confidence interval. The procedure to compute a (1−α)100% confidence interval for the population
relative risk is as follows:

1. Obtain the sample proportions of exposed and unexposed subjects who contract disease.
These values are: π̂E = nn11
1.
and π̂E = nn21
2.
, respectively.
π̂E
2. Compute the estimated relative risk: RR = π̂E .

(1−π̂E ) (1−π̂E )
3. Compute v = n11 + n21 (This is the estimated variance of ln(RR)).
√ √
4. The confidence interval can be computed as: (RRe−zα/2 v
, RRezα/2 v
).

Example 5.1 An efficacy study was conducted for the drug pamidronate in patients with stage
III multiple myeloma and at least one lytic lesion (Berenson, et al.,1996). In this randomized
clinical trial, patients were assigned at random to receive either pamidronate (E) or placebo (E).
One endpoint reported was the occurrence of any skeletal events after 9 cycles of treatment (D) or
non–occurrence (D). The results are given in Table 5.3. We will use the data to compute a 95%
confidence interval for the relative risk of suffering skeletal events (in a time period of this length)
for patients on pamidronate relative to patients not on the drug.

Occurrence of Skeletal Event

Yes (D) No (D)
Treatment Pamidronate (E) 47 149 196
Group Placebo (E) 74 107 181
121 256 377

Table 5.3: Observed cell counts for pamidronate data

First, we obtain the proportions of patients suffering skeletal events among those receiving the
active drug, and among those receiving the placebo:

n11 47 n21 74
π̂E = = = 0.240 π̂E = = = 0.409
n1. 196 n2. 181

Then we can compute the estimated relative risk (RR) and the estimated variance of its natural
log (v):

π̂E .240 (1 − π̂E ) (1 − π̂E ) (1 − .240) (1 − .409)

RR = = = 0.587 v= + = + = .016+.008 = .024
π̂E .409 n11 n21 47 74

Finally, we obtain a 95% confidence interval for the population relative risk (recall that z.025 = 1.96):
√ √ √ √
(RRe−z.05/2 v
, RRez.05/2 v
) ≡ (0.587e−1.96 .024
, 0.587e1.96 .024
)

≡ (0.587(0.738), 0.587(1.355)) ≡ (0.433, 0.795)

64 CHAPTER 5. CATEGORICAL DATA ANALYSIS

Thus, we can be confident that the relative risk of suffering a skeletal event (in this time period) for
patients on pamidronate (relative to patients not on pamidronate) is between 0.433 and 0.795. Since
this entire interval is below 1.0, we can conclude that pamidronate is effective at reducing the risk
of skeletal events. Further, we can estimate that pamidronate reduces the risk by (1 − RR)100% =
(1 − 0.587)100% = 41.3%.

5.1.2 Odds Ratio

For retrospective (case–control) studies, subjects are identified as cases (D) or controls (D), and
it is observed whether the subjects had been exposed to the risk factor (E) or not (E). Since we
are not sampling from the populations of exposed and unexposed, and observing whether or not
disease occurs (as we do in prospective studies), we cannot estimate P (D|E) or P (D|E).
First we define the odds of an event occurring. If π is the probability that an event occurs,
the odds o that it occurs is o = π/(1 − π). The odds can be interpreted as the number of times
the event will occur for every time it will not occur if the process were repeated many times. For
example, if you toss a coin, the probability it lands heads is π = 0.5. The corresponding odds of a
head are o = 0.5/(1 − 0.5) = 1.0. Thus if you toss a coin many the times, the odds of a head are 1.0
(or 1–to–1 if you’ve ever been to a horse or dog track). Note that while odds are not probabilities,
they are very much related to them: high probabilities are associated with high odds, and low
probabilities are associated with low odds. In fact, for events with very low prababilities, the odds
are very close to the probability of the event.
While we cannot compute P (D|E) or P (D|E) for retrospective studies, we can compute the
odds that a person was exposed given they have the disease, and the odds that a person was exposed
given they don’t have the disease. The ratios of these two odds is called the odds ratio. The odds
ratio (OR) is similar to the relative risk, and is virtually equivalent to it when the prevalence of
the disease (P (D)) is low. The odds ratio is computed as:

odds of disease given exposed odds of exposure given diseased n11 /n21 n11 n22
OR = = = =
odds of disease given unexposed odds of exposure given not diseased n12 /n22 n12 n21

The odds ratio is similar to relative risk in the sense that it’s a population parameter that must be
estimated, as well as the interpretations associated with it in terms of whether its value is above,
below, or equal to 1.0. That is:

• If the odds ratio is greater than 1.0, the odds (and thus probability) of disease is higher among
exposed than unexposed.

• If the odds ratio is less than 1.0, the odds (and thus probability) of disease is lower among
exposed than unexposed.

• If the odds ratio is 1.0, the odds (and thus probability) of disease is the same for both groups
(no association between exposure to risk factor and disease state).

The procedure to compute a (1 − α)100% confidence interval for the population odds ratio is as
follows:
n11 n22
1. Obtain the estimated odds ratio: OR = n12 n21 .

1 1 1 1
2. Compute v = n11 + n12 + n21 + n22 (this is the variance of ln(OR)).
√ √
3. The confidence interval can be computed as: (ORe−zα/2 v
, ORezα/2 v
).
5.1. 2 × 2 TABLES 65

Example 5.2 An epidemiological case–control study was reported, with cases being 537 people
diagnosed with lip cancer (D) and controls being made up of 500 people with no lip cancer (D)
(Broders, 1920). One risk factor measured was whether or not the subject had smoked a pipe (pipe
smoker – E, non–pipe smoker – E). Table 5.4 gives the numbers of subjects falling in each lip
cancer/pipe smoking combination. We would like to compute a 95% confidence interval for the
population odds ratio, and determine whether or not pipe smoking is associated with higher (or
possibly lower) odds (and probability) of contracting lip cancer.

Occurrence of Lip Cancer

Yes (D) No (D)
Pipe Smoking Yes (E) 339 149 488
Status No (E) 198 351 549
537 500 1037

Table 5.4: Observed cell counts for lip cancer/pipe smoking data

We compute the confidence interval as described above, again recalling that zα/2 = z0.025 = 1.96:
n11 n22 339(351)
1. OR = n12 n21 = 149(198) = 4.03.
1 1 1 1 1 1 1 1
2. v = n11 + n12 + n21 + n22 = 339 + 149 + 198 +
351 = 0.0176
√ √ √ √
3. 95% CI: (ORe−zα/2 v
, ORe zα/2 v
)= (4.03e−1.96 .0176 , 4.03e1.96 .0176 ) = (3.11, 5.23).
We can be 95% confident that the population odds ratio is between 3.11 and 5.23. That is the odds
of contracting lip cancer is between 3.1 and 5.2 times higher among pipe smokers than non–pipe
smokers. Note that in making the inference that pipe smoking causes lip cancer, we would need to
demonstrate this association after controlling for other potential risk factors. We will see methods
for doing this in later sections.

5.1.3 Extension to r × 2 Tables

As mentioned above, we can easily extend these methods to explanatory variables with more than
r = 2 levels, by defining a baseline group, and forming r − 1 2 × 2 tables with the baseline group
always acting as the unexposed (E) group. When the explanatory variable is ordinal, there will be
a natural baseline group, otherwise one is arbitrarily chosen.

Example 5.3 A cohort study was conducted involving use of hypertension drugs and the
occurrence of cancer during a four–year period (Pahor, et al.,1996). The study group involved 750
subjects, each with no history of cancer and over the age of 70. Patients were classified as users of β–
blockers, angiotensin converting enzyme (ACE) inhibitors, or calcium channel blockers (verapamil,
nifedipine, and dilitiazem). Most subjects on calcium channel blockers were on the short–acting
formulation. The authors used the group receiving β–blockers as the baseline group, so that the
relative risks reported are for ACE inhibitors relative to β–blockers, and for calcium channel blockers
relative to β–blockers. The results, including estimates and 95% confidence intervals are given in
Table 5.5. The unadjusted values are based on the raw data and the formulas described above; the
adjusted values are those reported by the authors after fitting a proportional hazards regression
model (see Chapter 9). The adjusted values control for patient differences with respect to: age,
gender, race, smoking, body mass index, and hospital admissions (not related to cancer). We will
66 CHAPTER 5. CATEGORICAL DATA ANALYSIS

see very small differences between the adjusted and unadjusted values; this a sign that the three
treatment (drug) groups are similar in terms of the levels of these other factors.

Drug Raw Data Unadjusted Adjusted

Class # Patients # Cancers Rel. Risk 95% CI Rel. Risk 95% CI
β–blockers 424 28 1.00 – 1.00 –
ACE inhibitors 124 6 0.73 (0.31,1.73) 0.73 (0.30,1.78)
Calcium channel blockers 202 27 2.03 (1.23,3.34) 2.02 (1.16,3.54)

Table 5.5: Cancer by drug class data with unadjusted and adjusted relative risks

Note that the confidence interval for the relative risk of developing cancer on ACE inhibitors
relative to β–blockers contains 1.00 (no association), so we cannot conclude that differences exist
in cancer risk among these two drug classes. However, when we compare calcium channel blockers
to β–blockers, the entire confidence interval is above 1.00, so the risk of developing cancer is higher
among patients taking calcium channel blockers. It can also be shown that the risk is higher for
patients on calcium channel blockers than among patients on ACE inhibitors (compute the 95% CI
for the relative risk to see this).

5.1.4 Difference Between 2 Proportions (Absolute Risk)

The relative risk was a measure of a ratio of two proportions. In the context mentioned above, it
could be thought of as the ratio of the probability of a specific outcome (e.g. death or disease)
among an exposed population to the same probability among an unexposed population. We could
also compare the proportions by studying their difference, as opposed to their ratio. In medical
studies, relative risks and odds ratios appear to be reported much more often than differences, but
we will describe the process of comparing two population proportions briefly.
Using notation described above, we have πE − πE representing the difference in proportions
of events between an exposed and an unexposed group. When our samples are independent (e.g.
parallel groups design), the estimator π̂E −π̂E , the difference in sample proportions, is approximately
normal in large samples. Its sampling distribution can be written as:
s !
πE (1 − πE ) πE (1 − πE )
π̂E − π̂E ∼ N πE − πE , + ,
nE nE

where nE and nE are the sample sizes from the exposed and unexposed groups, respectively.
Just as a relative risk of 1 implied the proportions were the same (no treatment effect in the
case of experimental treatments), an absolute risk of 0 has the same interpretation.
Making use of the large–sample normality of the estimator based on the difference in the sample
proportions, we can compute a confidence interval for πE − πE or test hypotheses concerning its
value as follow (see Table 5.2 for labels). The results for the confidence interval are given below,
to conduct a test, you would simply take the ratio of the estimate to its standard error to obtain
a z–statistic.

1. Obtain the sample proportions of exposed and unexposed subjects who contract disease.
These values are: π̂E = nn11
1.
and π̂E = nn21
2.
, respectively.

2. Compute the estimated difference in proportions (absolute risk): π̂E − π̂E .

5.1. 2 × 2 TABLES 67

π̂E (1−π̂E ) π̂E (1−π̂E )

3. Compute v = n1. + (This is the estimated variance of π̂E − π̂E ).
n2.
√
4. The confidence interval can be computed as: (π̂E − π̂E ) ± zα/2 v

Note that this method appears to be rarely reported in the medical literature. Particularly, in
situations where the proportions are very small (e.g. rare diseases), the difference πE − πE may
be relatively small, while the risk ratio may be large. Consider the case where 3% of an exposed
group, and 1% of an unexposed group have the outcome of interest.

Example 5.4 In what may be the first truly ranomized clinical trial, British patients were
randomized to receive either streptomycin and bed rest or simply be rest (Medical Research Council,
1948). The supply of streptomycin was very limited, which justified conducting an experiment
where only half of the subjects received the active treatment. Nowadays of course, that is common
practice. The exposure variable will be the treatment (streptomycin/control). The outcome of
interest will be whether or not the patient showed improvement. Let πE be the proportion of all
TB patients who, if given streptomycin, would show improvement at 6 months. Further we will
define πE as a similar proportion among patients receiving only bed rest. The data are given in
Table 5.6.
Improvement in Condition
Yes No
Treatment Streptomycin (E) 38 17 55
Group Control (E) 17 35 52
55 52 107

Table 5.6: Observed cell counts for streptomycin data

We get the following relevant quantities:

38 17 .691(.309) .327(.673)
π̂E = = .691 π̂E = = .327 v= + = .0081
55 52 55 52
Then a 95% confidence interval for the true difference (absolute risk) is:
√
(.691 − .327) ± 1.96 .0081 ≡ .364 ± .176 ≡ (.188, .540).

We can conclude that the proportion of all patients given streptomycin who show improvement is
between .188 and .540 higher than patients not receiving streptomycin at the 95% level of confidence.
Since the entire interval exceeds 0, we can can conclude that the streptomycin appears to provide
a real effect.
In the case of crossover designs, there is a method that makes use of the paired nature of the
data. It is referred to as McNemar’s test.

5.1.5 Small–Sample Inference — Fisher’s Exact Test

The tests for association described previously all assume that the samples are sufficiently large
so that the estimators (or their logs in the case of relative risk and odds ratio) have sampling
distributions that are approximately normal. However, in many instances studies are based on
small samples. This may arise due to cost or ethical reasons. A test due to R.A. Fisher, Fisher’s
exact test, was developed for this particular situation. The logic of the test goes as follows:
68 CHAPTER 5. CATEGORICAL DATA ANALYSIS

We have a sample with n1. people (or experimental units) that are considered exposed and n2.
that are considered not exposed. Further we have n.1 individuals that contract the event of interest
(e.g. death or disease), of which n11 were exposed. The question is, conditional on the number
exposed and the number of events, what is the probability that as many or more (fewer) of the
events could have been in the exposed group (under the assumption that there is no exposure effect
in the population). The math is not difficult, but can be confusing. We will simply present the test
through an example, skipping the computation of the probabilities.

Example 5.5 A study was reported on the effects of antiseptic treatment among amputations
in a British surgical hospital (Lister, 1870). Tragically for Dr. Lister, he lived before Fisher, so
he felt unable to make and inference based on statistical methodology, although he saw the effect
was certainly there. We can make use of Fisher’s exact test to make the inference. The study had
two groups: one group based on amputation without antiseptic (years 1864 and 1866), and a group
based on amputation with antiseptic (years 1867–1869). All surgeries were in the same hospital.
We will consider the patients with antiseptic as the exposed. The endpoint reported was death
(apparently due to the surgery and disease that was associated with it). The results are given in
Table 5.7.

Surgical Outcome
Death No Death
Treatment Antiseptic (E) 6 34 40
Group Control (E) 16 19 35
22 53 75

Table 5.7: Observed cell counts for antiseptic data

Note that this study is based on historical, as opposed to concurrent controls. From the data
we that there were 40 patients exposed to the antiseptic and 22 deaths, of which 6 were treated
with antiseptic. Now if the treatment is effective, it should reduce deaths, so we have to ask what
is the probability that 6 or fewer of the 22 deaths could have been in the antiseptic group, given
there were 40 patients in that group. It ends up that this probability is .0037. That is, under
the assumption of no treatment effect, the probability that based on a sample of this size, and
this number of deaths, it is very unlikely that the sample results would have been this strong or
stronger in favor of the antiseptic group. If we conduct this test with α = 0.05, the p–value (.0037)
is smaller than α, and we conclude that the antiseptic was associated with a lower probability of
death.

5.1.6 McNemar’s Test for Crossover Designs

When the same subjects are being observed under both experimental treatments, McNemar’s test
can be used to test for treatment effects. The important subjects are the ones who respond differ-
ently under the two conditions. Counts will appear as in Table 5.8.
Note that n11 are subjects who have the outcome characteristic present under both treatments,
while n22 is the number having the outcome characteristic absent under both treatments. None
of these subjects offer any information regarding treatment effects. The subjects who provide
information are the n12 individuals who have the outcome present under treatment 1, and absent
under treatment 2; and the n21 individuals who have the outcome absent under treatment 1, and
5.1. 2 × 2 TABLES 69

Trt 2 Outcome
Present Absent
Trt 1 Present n11 n12 n1.
Outcome Absent n21 n22 n2.
n.1 n.2 n..

Table 5.8: Notation for McNemar’s Test

present under treatment 2. Note that treatment 1 and treatment 2 can also be “Before” and “After”
treatment, or any two conditions.
A large-sample test for treatment effects can be conducted as follows.

• H0 : Pr(Outcome Present—Trt 1)=Pr(Outcome Present—Trt 2) (No Trt effect)

• HA : The probabilities differ (Trt effects - This can be 1-sided also)

• T S : zobs = √n12 −n21

n12 +n21

• RR : |zobs| ≥ zα/2 (For 2-sided test)

• P -value: 2P (Z ≥ |zobs |) (For 2-sided test)

Often this test is reported as a chi-square test. The statistic is the square of the z-statistic
above, and its treated as a chi-square random variable with one degree of freedom (which will be
discussed shortly). The 2-sided z-test, and the chi-square test are mathematically equivalent.

Example 5.6
A study involving a cohort of women in Birmingham, AL examined revision surgery involving
silicone gel breast implants (Brown and Pennello, 2002). Of 165 women with surgical records who
had reported having surgery, the following information was obtained.

• In 69 cases, both self report and surgical records said there was a rupture or leak.

• In 63 cases, both self report and surgical records said there was not a rupture or leak.

• In 28 cases, the self report said there was a rupture or leak, but the surgical records did not
report one.

• In 5 cases, the self report said there was not a rupture or leak, but the surgical records
reported one.

The data are summarized in Table 5.9. Present refers to a rupture or leak, Absent refers to no
rupture or leak.
We can test whether the tendency to report ruptures/leaks differs between self reports and
surgical records based on McNemar’s test, since both outcomes are being observed on the same
women.

• H0 : No differences in tendency to report ruptures/leaks between self reports and surgical

records

• HA : The probabilities differ

70 CHAPTER 5. CATEGORICAL DATA ANALYSIS

Surgical Record
Present Absent
Self Present 69 28 97
Report Absent 5 63 68
74 91 165

Table 5.9: Self Report and Surgical Records of Silicone breast implant rupture/leak

• T S : zobs = √28−5 = 23
= 4.00
28+5 5.74

• RR : |zobs| ≥ z.025 = 1.96 (For 2-sided test, with α = 0.05)

• P -value: 2P (Z ≥ 4.00) ≈ 0 (For 2-sided test)

Thus, we conclude that the tendencies differ. Self reports appear to be more likely to report a
rupture or leak than surgical records.

5.1.7 Mantel–Haenszel Estimate for Stratified Samples

In some situations, the subjects in the study may come from one of several populations (strata). For
instance, an efficacy study may have been run at multiple centers, and there may be some “center”
effect that is related to the response. Another example is if race is related to the outcomes, and we
may wish to adjust for race by computing odds ratios separately for each race, then combine them.
This is a situation where we would like to determine if there is an association between the
explanatory and response variables, after controlling for a second explanatory variable. If there
are k populations, then we can arrange the data (in a different notation than in the previous
sections) as displayed in Table 5.10. Note that for each table, ni is the sample size for that strata
(ni = Ai + Bi + Ci + Di ). The procedure was developed specifically for retrospective case/control
studies, but may be applied to prospective studies as well (Mantel and Haenszel,1959).

Strata 1 Strata 2
Disease State Disease State
D (Present) D (Absent) Total D (Present) D (Absent) Total
Exposure E (Present) A1 B1 ... E Ak Bk
State E (Absent) C1 D1 ... E Ck Dk
Total n1 nk

Table 5.10: Contingency Tables for Mantel–Haenszel Estimator

The estimator of the odds ratio is computed as:

k P k P
R Ri i=1 Ai Di /ni
ORM H = = Pi=1
k
= k
S
P
i=1 Si i=1 Bi Ci /ni

One estimate of the variance of the log of ORM H is:

k
1 X 1 1 1 1
 
2
v = V̂ (ln(ORM H )) = 2 S + + +
S i=1 i Ai Bi Ci Di
5.1. 2 × 2 TABLES 71

As with the odds ratio, we can obtain a 95% CI for the population odds ratio as:
√ √
(ORM H e−1.96 v
, ORM H e1.96 v
)
.

Example 5.7 A large study relating smoking habits and death rates reported that cigarette
smoking was related to higher death rate (Hammond and Horn,1954). Men were classified as regular
cigarette smokers (E) and noncigarette smokers (E). The nonsmokers had never smoked cigarettes
regularly. There were a total of 187,766 men who were successfully traced from the early 1952 start
of study through October 31,1953. Of that group, 4854 (2.6%) had died.
A second variable that would clearly be related to death was age. In this study, all men were
50–69 at entry. The investigators then broke these ages down into four strata (50–54,55–59,60–
64,65–69). The overall outcomes (disregarding age) are given in Table 5.11. Note that the overall
odds ratio is OR = (3002(78092))/(104820(1852)) = 1.21.

Occurrence of Death
Yes (D) No (D)
Cigarette Smoking Yes (E) 3002 104280 107822
Status No (E) 1852 78092 79944
4854 182912 187766

Table 5.11: Observed cell counts for cigarette smoking/death data

The data, stratified by age group, are given in Table 5.12. Also, the odds ratios, proportion
deaths (P (D)), and proportion smokers (P (E)) are given.

Age Group (i) Ai Bi Ci Di ni Ri Si OR P (D) P (E)

50–54 (1) 647 39990 204 20132 60973 213.6 133.8 1.60 .0140 .6665
55–59 (2) 857 32894 394 21671 55816 332.7 232.2 1.43 .0224 .6047
60–64 (3) 855 20739 488 19790 41872 404.1 241.7 1.67 .0321 .5157
65–69 (4) 643 11197 766 16499 29105 364.5 294.7 1.24 .0484 .4068

Table 5.12: Observed cell counts and odds ratio calculations (by age group) for cigarette smok-
ing/death data

Note that the odds ratio is higher within each group than it is for the overall group. This is
referred to as Simpson’s Paradox. In this case it can be explained as follows:
• Mortality increases with age from 1.40% for 50–54 to 4.84% for 65–69.
• As the age increases, the proportion of smokers decreases from 66.65% to 40.68%
• A higher proportion of nonsmokers are in the higher risk (age) groups than are smokers.
Thus, the nonsmokers are at a “disadvantage” because more of them are in the higher age
groups (many smokers in the population have already died before reaching that age group).
This leads us to desire an estimate of the odds ratio adjusted for age. That is what the Mantel–
Haenszel estimate provides us with. We can now compute it as described above:
4
X 4
X
R= Ri = 213.6+332.7+404.1+364.5 = 1314.9 S= Si = 133.8+232.2+241.7+294.7 = 902.4
i=1 i=1
72 CHAPTER 5. CATEGORICAL DATA ANALYSIS

R 1314.9
ORM H = = = 1.46
S 902.4
The estimated variance of ln(ORM H ) is 0.00095 (trust me). Then we get the following 95%CI for
the odds ratio in the population of males in the age group 50–69 (adjusted for age):
√ √ √ √
(ORM H e−1.96 v
, ORM H e1.96 v
) ≡ (1.46e−1.96 .00095
, 1.46e1.96 .00095
) ≡ (1.37, 1.55).

We can be very confident that the odds of death (during the length of time of the study – 20
months) is between 37% and 55% higher for smokers than nonsmokers, after controlling for age
(among males in the 50–69 age group).

5.2 Nominal Explanatory and Response Variables

In cases where both the explanatory and response variables are nominal, the most commonly used
method of testing for association between the variables is the Pearson Chi–Squared Test. In
these situations, we are interested if the probability distributions of the response variable are the
same at each level of the explanatory variable.
As we have seen before, the data represent counts, and appear as in Table 5.1. The nij values
are referred to as the observed values. If the variables are independent (not associated), then the
population probability distributions for the response variable will be identical within each level of
the explanatory variable, as in Table 5.13.

Response Variable
1 2 ··· c
1 p1 p2 · · · p c 1.0
Explanatory 2 p1 p2 · · · p c 1.0
.. .. .. . . .. ..
Variable . . . . . .
r p1 p2 ··· pc 1.0

Table 5.13: Probability distributions of response variable within levels of explanatory variable under
condition of no association between the two variables.

We have already seen special cases of this for 2 × 2 tables. For instance, in Example 5.1, we
were interested in whether the probaility distributions of skeletal incident status were the same for
the active drug and placebo groups. We demonstrated that the probability of having a skeletal
incident was higher in the placebo group, and thus treatment and skeletal incident variables were
associated (not independent).
To perform Pearson’s Chi–square test, we compute the expected values for each cell count under
the hypothesis of independence, and we obtain a statistic based on discrepancies between the
observed and expected values:
ni. n.j
observed = nij expected =
n
The expected values represent how many individuals would have fallen in cell (i, j) if the probability
distributions of the response variable were the same for each level of the explanatory variable. The
test is conducted as follows:
5.3. ORDINAL EXPLANATORY AND RESPONSE VARIABLES 73

1. H0 : No association between the explanatory and response variables (see Table 5.13).

2. HA : Explanatory and response variables are associated

ni. n.j 2
(observed−expected)2 (nij − )
3. T.S.: X 2 =
P P
allcells expected = i,j
n
ni. n.j
n

4. RR: X 2 > χ2α,(r−1)(c−1) where χ2α,(r−1)(c−1) is a critical value that can be found in Table A.3.

5. p–value: P (χ2 ≥ X 2 )

Example 5.8 A case–control study was conducted in Massachusetts regarding habits, charac-
teristics, and environments of individuals with and without cancer (Lombard and Doering, 1928).
Among the many factors that they reported was marital status. We will conduct Pearson’s Chi–
squared test to determine whether or not cancer status (response variable) is independent of marital
status. The observed and expected values are given in Table 5.14.

Marital Status Cancer No Cancer Total

Single 29 (38.1) 47 (37.9) 76
Married 116 (112.3) 108 (111.7) 224
Widowed 67 (61.6) 56 (61.4) 123
Div/Sep 5 (5.0) 5 (5.0) 10
Total 217 216 433

Table 5.14: Observed (expected) values of numbers of subjects within each marital/cancer status
group (One non–cancer control had unknown marital status)

To obtain the expected cell counts, we take the row total times the column total divided by the
overall total. For instance, for the single cancer cases, we get exp = (76)(217)/433 = 38.1. Now,
we can test: H0 :Marital and cancer status are independent vs HA : Marital and cancer status are
associated. We compute the test statistic as follows:
X (observed − expected)2 (29 − 38.1)2 (47 − 37.9)2 (5 − 5.0)2
X2 = = + + ··· + = 5.53
expected 38.1 37.9 5.0

We reject H0 for values of X 2 ≥ χ2α,(r−1)(c−1) . For this example, if we have r = 4 and c = 2, so

(r − 1)(c − 1) = 3, and if we test at α = 0.05, we reject H0 if X 2 ≥ χ2.05,3 = 7.81. Since the test
statistic does not fall in the rejection region, we fail to reject H0 , and we cannot conclude that
marital status is associated with the occurrence of cancer.

5.3 Ordinal Explanatory and Response Variables

In situations where both the explanatory and response variables are ordinal, we would like to take
advantage of the fact that the levels of the variables have distinct orderings. We can ask questions
such as: Do individuals with high levels of the explanatory variable tend to have high (low) levels
of the corresponding response variable. For instance, suppose that the explanatory variable is dose,
with increasing (possibly numeric) levels of amount of drug given to a subject, and the response
variable is a categorical measure (possibly subjective) of degree of improvement. Then, we may
74 CHAPTER 5. CATEGORICAL DATA ANALYSIS

be interested in seeing if as dose increases, the degree of improvement increases (this is called a
dose–response relationship).
Many measures have been developed for this type of experimental setting. Most are based on
concordant and discordant pairs. Concordant pairs involve pairs where one subject scores higher
on both variables than the other subject. Discordant pairs are pairs where one subject scores higher
on one variable, but lower on the other variable, than the other subject.
In cases where there is a positive association between the two variables, we would expect
more concordant than discordant pairs. That is, there should be many subjects who score high on
both variables, and many who score low on both, with fewer subjects scoring high one variable and
low on the other. On the other hand, if there is a negative association, we would expect more
discordant pairs than concordant pairs. That is, people will tend to score high on one variable, but
lower on the other.

Example 5.9 A dose–response study was conducted to study nicotine and cotinine replacement
with nicotine patches of varying dosages (Dale, et al.,1995). We will treat the explanatory variable,
dose, as ordinal, and we will treat the symptom ‘feeling of exhaustion’ as an ordinal response
variable with two levels (absent/mild, moderate/severe). The numbers of subjects falling in each
combination of levels are given in Table 5.15.

Nicotine Feeling of Exhaustion

Dose Absent/Mild Moderate/Severe Total
Placebo 16 2 18
11mg 16 2 18
22mg 13 4 17
44mg 14 4 18
Total 59 12 71

Table 5.15: Numbers of subjects within each dose/symptom status combination

Concordant pairs are pairs where one subject scores higher on each variable than the other
subject. Thus, all subjects in the 44mg dose group who had moderate/severe symptoms are con-
cordant with all subjects who received less than 44mg and had absent/mild symptoms. Similarly,
all subjects in the 22mg dose group who had moderate/severe symptoms are concordant with all
subjects who received less than 22mg and had absent/mild symptoms. Finally, all subjects in
the 11mg dose group who had moderate/severe symptoms are concordant with the subjects who
received the placebo and had absent/mild symptoms. Thus, the total number of concordant pairs
(C) is:
C = 4(16 + 16 + 13) + 4(16 + 16) + 2(16) = 180 + 128 + 32 = 340
Discordant pairs are pairs where one subject scores higher on one variable, but lower on the other
variable than the other subject. Thus, all subjects in the 44mg dose group who had absent/mild
symptoms are discordant with all subjects who received less than 44mg and had moderate/severe
symptoms. Similarly, all subjects in the 22mg dose group who had absent/mild symptoms are
discordant with all subjects who received less than 22mg and had moderate/severe symptoms.
Finally, all subjects in the 11mg dose group who had absent/mild symptoms are discordant with
all subjects who received the placebo and had moderate/severe symptoms. Thus, the total number
of discordant pairs (D) is:
D = 14(2 + 2 + 4) + 13(2 + 2) + 16(2) = 112 + 52 + 32 = 196
5.3. ORDINAL EXPLANATORY AND RESPONSE VARIABLES 75

Notice that there are more concordant pairs than discordant pairs. This is consistent with more
adverse effects at higher doses.
Two commonly reported measures of ordinal association are gamma and Kendall’s τb . Both of
these measures lie between −1 and 1. Negative values correspond to negative association, and posi-
tive values correspond to positive association. These types of association were described previously.
A value of 0 implies no association between the two variables. Here, we give the formulas for the
point estimates, their standard errors are better left to computers to handle. Tests of hypothesis
and confidence intervals for the population measure are easily obtained from large–samples.
The point estimates for gamma and Kendall’s τb are:
C −D C −D
γ̂ = τ̂b = q
C +D 0.5 (n2 −
P
n2i. )(n2 −
P
n2.j )

To conduct a large–sample test of whether or not the population parameter is 0 (that is, a test
of association between the explanatory and response variables), we complete the following steps:

1. H0 : γ = 0 (No association)

2. HA : γ 6= 0 (Association exists)

3. T.S. zobs = std. γ̂error

4. R.R.:|zobs | ≥ zα/2

5. p–value:2P (z ≥ |zobs |)

For a test concerning Kendall’s τb , replace γ with τb . For a (1 − α)100% CI for the population
parameter, simply compute (this time we use τb ):

τ̂b ± zα/2 (std. error)

Example 5.10 For the data from Example 5.9, we can obtain estimates of gamma and Kendall’s

τb , from Table 5.15 and the calculated values C and D.

C −D 340 − 196 144
γ̂ = = = = 0.269
C +D 340 + 196 536
C −D
τ̂b = q
0.5 (n2 − n2i. )(n2 − n2.j )
P P

340 − 196
= p
0.5 ((71)2 − ((18)2 + (18)2 + (17)2 + (18)2 ))((71)2 − ((59)2 + (12)2 ))
144 144
p = = 0.124
0.5 (3780)(1416) 1156.8
From a statistical computer package, we get estimated standard errors of 0.220 and 0.104, respec-
tively. We will test H0 : γ = 0 vs HA : γ 6= 0 at α = 0.05 and compute a 95% CI for τb .

1. H0 : γ = 0 (No association)

2. HA : γ 6= 0 (Association exists)
76 CHAPTER 5. CATEGORICAL DATA ANALYSIS

3. T.S. z = std. γ̂error = 0.269

0.220 = 1.22

4. R.R.:|z| ≥ zα/2 = 1.96

Since the test statistic does not fall in the rejection region, we cannot conclude that there is an
association between dose and feeling of exhaustion (note that this is a relatively small sample, so
this test has little power to detect an association).
A 95% CI for τb can be computed as:

τ̂b ± zα/2 (std. error) ≡ 0.124 ± 1.96(0.104) ≡ 0.124 ± 0.204 ≡ (−0.080, 0.328)

The interval contains 0 (which implies no association), so again we cannot conclude that increased
dose implies increased feeling of exhaustion in a population of nicotine patch users.

5.4 Nominal Explanatory and Ordinal Response Variable

In the case where we have an explanatory variable that is nominal and an ordinal response variable,
we use an extension of the Wilcoxon Rank Sum test that was described in Section 3.5.1. This
involves ranking the subjects from smallest to largest in terms of the measurement of interest
(there will be many ties), and compute the rank–sum (Ti ) for each level of the nominal explanatory
variable (typically a treatment group). We then compare the mean ranks among the r groups by
the following procedure, known as the Kruskal–Wallis Test.

1. H0 : The probability distributions of the ordinal response variable are the same for each level
of the explanatory variable (treatment group). (No association).

2. HA : The probability distributions of the response variable are the not same for each level of
the explanatory variable. (Association).
12 Pr Ti2
3. T.S.: H = n(n+1) i=1 ni − 3(n + 1).

4. R.R.: H > χ2α,r−1 , where χ2α,ν is given in Table A.3, for various ν and α.

It should be noted that there is an adjustment for the ties that can be computed, but we will not
cover that here (see Hollander and Wolfe (1973), p.140).

Example 5.11 A study was conducted to compare r = 3 methods of delivery of antibiotics

in patients with lower respiratory tract infection (Chan, et al.,1995). The three modes of delivery
were:

1. oral (375mg) co–amoxiclav three times a day for 7 days

2. intravenous (1.2g) co–amox three times a day for 3 days followed by oral (375mg) co–amox
three times a day for 4 days

3. intravenous (1g) cefotaxime three times a day for 3 days followed by oral (500mg) cefuroxime
axetil twice a day for 4 days

Outcome was ordinal: death, antibiotic changed, antibiotic extended, partial cure, cure. Table 5.16
contains the numbers of patients in each drug delivery/outcome category, the ranks, and the rank
sums for each method of delivery.
5.5. ASSESSING AGREEMENT AMONG RATERS 77

Therapeutic Outcome
Method of Antibiotic Antibiotic Partial Rank
Delivery (i) Death Changed Extended Cure Cure Sum (Ti )
1 (n1 = 181) 9 14 16 68 74 51703.0
2 (n2 = 181) 13 18 21 66 63 47268.5
3 (n3 = 179) 11 16 30 53 69 47639.5
Ranks 1–33 34–81 82–148 149–335 336–541
Avg. Rank 17.0 57.5 115.0 242.0 438.5

Table 5.16: Data and ranks for antibiotic delivery data (n = n1 + n2 + n3 = 541)

To obtain T1 , the rank sum for the subjects on oral co–amox, note that 9 of them received
the rank of 17.0 (the rank assigned to each death), 14 received the rank of 57.5, etc. That is,
T1 = 9(17.0) + 14(57.5) + 16(115.0) + 68(242.0) + 74(438.5). Here, we will test whether (H0 ) or not
(HA ) the distributions of therapeutic outcome differ among the three modes of delivery (as always,
we test at α = 0.05). The test statistic is computed as follows:
r
!
12 X Ti2 12 (51703.0)2 (47268.5)2 (47639.5)2
H= − 3(n + 1) = + + − 3(542) =
n(n + 1) i=1 ni 541(542) 181 181 179

12
(14769061.9 + 12344260.2 + 12678893.6) − 1626 = 1628.48 − 1626 = 2.48
541(542)
The rejection region is H ≥ χ2.05,3−1 = χ2.05,2 = 5.99. Since our test statistic does not fall in the
rejection region, we cannot reject H0 , we have no evidence that the distributions of therapeutic
outcomes differ among the three modes of delivery. The authors stated that since there appears to
be no differences among the outcomes, the oral delivery mode would be used since it is simplest to
perform.

5.5 Assessing Agreement Among Raters

As mentioned in Chapter 1, in many situations the response being measured is an assessment
made by an investigator. For instance, in many trials, the response may be the change in a
patient’s condition, which would involve rating a person along some sort of Likert (ordinal) scale.
A patient may be classified as: dead, condition much worse, condition slightly/moderately worse,
. . . , condition much improved. Unfortunately measurements such as these are much more subjective
than measures such as time to death or blood pressure. In many instances, a pair (or more) of
raters may be used, and we would like to assess the level of their agreement.
A measure of agreement that was developed in psychiatric diagnosis is Cohen’s κ (Spitzer,
et al,1967). It measures the proportion of agreement beyond chance agreement. It can take on
negative values when the agreement is worse than expected by chance, and the largest value it
can take is 1.0, which occurs when there is perfect agreement. While κ only detects disagreement,
a modification, called weighted κ distinguishes among levels of disagreement (e.g. raters who
disagree by one category are in stronger agreement than raters who differ by several categories).
We will illustrate the computation of κ with a non–medical example, the reader is referred to
(Spitzer, et al,1967), and its references for computation of weighted κ.
 78 CHAPTER 5. CATEGORICAL DATA ANALYSIS

Example 5.12 A study compared the level of agreement among popular movie critics (Agresti
and Winner,1997). The pairwise levels of agreement among 8 critics (Gene Siskel, Roger Ebert,
Michael Medved, Jeffrey Lyons, Rex Reed, Peter Travers, Joel Siegel, and Gene Shalit) was com-
puted. In this example, we will focus on Siskel and Ebert. There were 160 movies that both critics
reviewed during the study period, the results are given in Table 5.17, which is written as a 3 × 3
contingency table.

Siskel Ebert Rating

Rating Con Mixed Pro Total
24 8 13 45
Con (.150) (.050) (.081) (.281)
(.074) (.053) (.155) —
8 13 11 32
Mixed (.050) (.081) (.069) (.200)
(.053) (.038) (.110) —
10 9 64 83
Pro (.063) (.056) (.400) (.519)
(.136) (.098) (.285) —
Total 42 30 88 160
.263 .188 .550 1.00

Table 5.17: Ratings on n = 160 movies by Gene Siskel and Roger Ebert – raw counts, observed
proportions, and proportions expected under chance

If their ratings were independent (that is, knowledge of Siskel’s rating gives no information as
to what Ebert’s rating on the same movie), we would expect the following probabilities along the
main diagonal (where the critics agree):
p11 = P (Con|Siskel) · P r(Con|Ebert) = (.281)(.263) = .074
p22 = P (Mixed|Siskel) · P r(Mixed|Ebert) = (.200)(.188) = .038
p33 = P (Pro|Siskel) · P r(Pro|Ebert) = (.281)(.263) = .285
So, even if their ratings were independent, we would expect the proportion of movies that they
would agree on by chance to be pc = .074 + .038 + .285 = .397. That is, we would expect them to
agree about 40% of the time, based on their marginal distributions. In fact, the observed proportion
of movies for which they agree on is po = .150 + .081 + .400 = .631, so they agree on about 63% of
the movies. We can now compute Cohen’s κ:
observed agreement – chance agreement .631 − .397 .234
κ= = = = .388
1 – chance agreement 1 − .397 .603
This would be considered a moderate level of agreement. The sample difference between the
observed agreement and the agreement expected under independence is 39% of the maximum
possible difference.

5.6 Exercises
21. Coronary–artery stenting, when conducted with coronary angioplasty has negative side effects
related to anyicoagulant therapy. A study was conducted to determine whether or not use of
 5.6. EXERCISES 79

antiplatelet therapy produces better results than use of anticoagulants (Schiömig, et al.,1996).
Patients were randomized to receive either anticoagulant or antiplatelet therapy, and classified by
presence or absence of primary cardiac endpoint, where death by cardiac causes, MI, aortocoronary
bypass, or repeated PTCA of stented vessel constituted an event. In the randomized study, patients
received either aniplatelet (n1 = 257) or anticoagulant therapy. Results, in terms of numbers of
patients suffering a primary cardiac endpoint for each therapy are given in Table 5.18.

(a) What proportion of patients on antiplatelet therapy suffer a primary cardiac endpoint (this is
denoted π̂E , as we will consider the antiplatelet group as ‘exposed’ in relative risk calculations)?
(b) What proportion of patients on anticoagulant therapy suffer a primary cardiac endpoint (this
is denoted π̂E , as we will consider the anticoagulant group as ‘unexposed’ in relative risk
calculations)?
(c) Compute the Relative Risk of suffering a primary cardiac endpoint for patients receiving
antiplatelet therapy, relative to patients receiving anticoagulant therapy?
(d) Compute and interpret the 95% CI for the population relative risk.
(e) By how much does using antiplatelet therapy reduce risk of a primary cardiac endpoint com-
pared to using anticoagulant therapy?

Occurrence of Primary Cardiac Event

Yes (D) No (D)
Treatment Antiplatelet (E) 4 253 257
Group Anticoagulant (E) 16 244 260
20 497 517

Table 5.18: Observed cell counts for antiplatelet/anticoagulant data

22. The results of a multicenter clinical trial to determine the safety and efficacy of the pancreatic
lipase inhibitor, Xenical, was reported (Ingersoll, 1997). Xenical is used to block the absorption
of dietary fat. The article reported that more than 4000 patients in the U.S. and Europe were
randomized to receive Xenical or a placebo in a parallel groups study. After one year, 57% of those
receiving Xenical had lost at least 5% of their body weight, as opposed to 31% of those receiving
a placebo. Assume that exactly 4000 patients were in the study, and that 2000 were randomized
to receive a placebo and 2000 received Xenical. Test whether or not the drug can be considered
effective at the α = 0.05 significance level by computing a 95% confidence interval for the “relative
risk” of losing at least 5% of body weight for those receiving Xenical relative to those receiving
placebo.

23. A case–control study of patients on antihypertensive drugs related an increased risk of myocardial
infarction (MI) for patients using calcium channel blockers (Psaty, et al.,1995). In this study, cases
were antihypertensive drug patients who had suffered a first fatal or nonfatal MI through 1993, and
controls were antihypertensive patients, matched by demographic factors, who had not suffered a
MI. Among the comparisons reported were patients receiving calcium channel (CC) blockers (with
and without diuretics) and patients receiving β–blockers (with and without diuretics). Results of
numbers of patient by drug/MI status combination are given in Table 5.19. Compute the odds
ratio of suffering MI (CC blockers relative to β–blockers), and the corresponding 95% CI. Does
it appear that calcium channel blockers are associated with higher odds (and thus probability) of
suffering MI than β–blockers?
 80 CHAPTER 5. CATEGORICAL DATA ANALYSIS

Occurrence of Myocardial Infarction

Yes (D) No (D)
Antihypertensive CC blocker (E) 80 230 310
Drug β–blocker (E) 85 395 480
165 625 790

Table 5.19: Observed cell counts for antihypertensive drug/MI data

24. A Phase III clinical trial generated the following results in terms of efficacy of the cholesterol
reducing drug pravastatin in men with high cholesterol levels prior to treatment (Shepherd, et al.,
1995). A sample of n = 6595 men from ages 45 to 64 were randomized to receive either pravastatin
or placebo. The men were followed for an average of 4.9 years, and were classified by presence
or absence of the primary endpoint: nonfatal MI or death from CHD. The results are given in
Table 5.20. Compute the relative risk of suffering nonfatal MI or death from CHD (pravastatin
relative to placebo), and the corresponding 95% CI. Does pravastatin appear to reduce the risk
of nonfatal MI or death from CHD? Give a point estimate, and 95% confidence interval for the
percent reduction in risk.

Nonfatal MI or Death from CHD

Present (D) Absent (D)
Pravastatin (E) 174 3128 3302
Placebo (E) 248 3045 3293
422 6173 6595

Table 5.20: Observed cell counts for pravastatin efficacy trial

25. In Lister’s study of the effects of antiseptic in amputations, he stated that amputations in the
upper limb were quite different, and that in these cases “if death does occur, it is commonly the
result of the wound assuming unhealthy characters” (Lister, 1870). Thus, he felt that the best way
do determine antiseptic’s efficacy was to compare the outcomes of upper limb surgeries separately.
The results are given in Table 5.21.

Surgical Outcome
Death No Death
Treatment Antiseptic (E) 1 11 12
Group Control (E) 6 6 12
7 17 24

Table 5.21: Observed cell counts for antiseptic data – Upper limb cases

(a) Given there were 7 deaths, and 12 people in the antiseptic group and 12 in the control group,
write out the two tables that provide as strong or stronger evidence of antiseptic’s effect (hint:
this table is one of them).
(b) Under the hypothesis of no antiseptic effect, the combined probability of the correct two tables
from part a) being observed is .034. If we use Fisher’s exact test with α = 0.05, do we conclude
 5.6. EXERCISES 81

that there is an antiseptic effect in terms of reducing risk of death from amputations? What
is the lowest level of α for which we will reject H0 ?

26. A study was conducted to compare the detection of genital HIV-1 from tampon eluents with
cervicovaginal lavage (CVL) and plasma specimens in women with HIV-1 (Webber, et al (2001)).
Full data were obtained from 97 women. Table 5.22 has the numbers of women testing positive and
negative based on tampon eluents and CVL (both tests are conducted on each of the women). Test
whether the probabilities of detecting HIV-1 differ based on tampons versus CVL at the α = 0.05
significance level.

Tampon
Positive Negative
CVL Positive 23 19 42
Negative 10 45 55
33 64 97

Table 5.22: Detection of HIV-1 via CVL and Tampons in Women with HIV-1

27. A case–control study was reported on a population–based sample of renal cell carcinoma patients
(cases), and controls who did not suffer from the disease (McLaughlin, et al.,1984). Among the
factors reported was the ethnicity of the individuals in the study. Table 5.23 contains the numbers
of cases and controls by each of 7 ethnicities (both parents from that ethnic background). Use
Pearson’s chi–squared test to determine whether or not there is an association between ethnic
background and occurrence of renal cell carcinoma (first, complete the table by computing the
expected cell counts under the null hypothesis of no association for the Scandinavians).

Ethnicity Cancer No Cancer Total

German 60 (59.0) 64 (65.0) 124
(60 − 59.0)2 /59.0 = .017 (64 − 65.0)/65.0 = .015
Irish 17 (14.7) 14 (16.3) 31
(17 − 14.7)2 /14.7 = .360 (14 − 16.3)2 /16.3 = .325
Swedish 22 (25.7) 32 (28.3) 54
(22 − 25.7)2 /25.7 = .533 (32 − 28.3)2 /28.3 = .484
Norwegian 23 (20.9) 21 (23.1) 44
(23 − 20.9)2 /20.9 = .211 (21 − 23.1)2 /23.1 = .191
Czech 6 (6.2) 7 (6.8) 13
(6 − 6.2)2 /6.2 = .006 (7 − 6.8)2 /6.8 = .006
Russian 4 (4.8) 6 (5.2) 10
(4 − 4.8)2 /4.8 = .133 (6 − 5.2)2 /5.2 = .123
Scandinavian 63 ( ) 71 ( ) 134

Total 195 215 410

Table 5.23: Observed (expected) values of numbers of subjects within each ethnicity/cancer status
group and chi–square test stat contribution
 82 CHAPTER 5. CATEGORICAL DATA ANALYSIS

28. A survey was conducted among pharmacists to study attitudes toward shifts from prescription to
over–the–counter status (Madhavan, 1990). Pharmacists were asked to judge the appropriateness
of switching to OTC dor each of the three drugs: promethazine, terfenadine, and naproxen. Results
were operationalized to classify each pharmacist into one of two switch judgment groups (yes/no).
Results are given in Table 5.24. Conduct a chi–square test (α = 0.05) to determine whether there
is an association between experience(≤ 15/ ≥ 16 years). If an association exists, which group is
has a higher fraction of pharmacists favoring the switch to OTC status.

Experience No OTC Switch OTC Switch Total

≤ 15 years 28 (38.7) 50 (39.3) 78
≥ 16 years 46 (35.3) 25 (—) 71
Total 75 74 149

Table 5.24: Observed (expected) values of numbers of subjects within each experience/OTC switch
status group

29. In a review of studies relating smoking to drug metablism, the side effect of drowsiness (ab-
sent/present) and smoking status (non/light/heavy) were reported in a study of 1214 subjects
receiving diazepam (Dawson and Vestal,1982). The numbers of subjects falling into each combina-
tion of these ordinal variables is given in Table 5.25.

Smoking Drowsiness
Status Absent Present Total
Nonsmokers 593 51 644
Light Smokers 359 30 389
Heavy Smokers 176 5 181
Total 86 1128 1214

Table 5.25: Numbers of subjects within each smoking/drowsy status combination

Treating each variable as ordinal, we can obtain the numbers of concordant pairs (where one person
scores higher on both variables than the other) and discordant pairs (where one scores higher on
smoking, and the other scores higher on drowsiness) of subjects. The numbers of concordant and
discordant pairs are:
C = 5(359 + 593) + 30(593) = 22550 D = 176(30 + 51) + 359(51) = 32565
(a) Compute γ̂.
(b) The std. error of γ̂ is σ̂γ̂ = .095. Test H0 : γ = 0 vs HA : γ 6= 0 at α = 0.05 significance level.
Does there appear to be an association between drowsiness and smoking status?
(c) τ̂b = −0.049 and σ̂τˆb = 0.025. Compute a 95% CI for the population measure of association
and interpret it.
30. A randomized trial was conducted to study the effectiveness of intranasal ipratropium bromide
against the common clod (Hayden, et al, 1996). Patients were randomized to receive one of three
treatments: intranasal ipratropium, vehicle control, or no treatment. Patients assessed the overall
treatment effectiveness as one of three levels: much better, better, or no difference/worse. Outcomes
for day 1 are given in Table 5.26. We will treat both of these variables as ordinal.
 5.6. EXERCISES 83

Treatment Effectiveness
Group No Diff/Worse Better Much Better Total
No Treatment 58 73 5 136
Vehicle Control 37 82 18 137
Ipratropium 18 86 33 137
Total 113 244 56

Table 5.26: Numbers of subjects within each treatment/effectiveness combination

(a) Compute the number of concordant and discordant pairs. Treat the ipratropium group as the
high level for treatment and much better for the high level of effectiveness.
(b) Compute γ̂.
(c) The estimated standard error of γ̂ is .059. Can we conclude that there is a positive association
between treatment group and effectiveness at the α = 0.05 significance level based on this
measure?
(d) Compute τ̂B .
(e) The estimated standard error of τ̂B is .039. Compute a 95% confidence interval for the
population value. Based on the interval, can we conclude that there is a positive association
between treatment group and effectiveness at the α = 0.05 significance level?

31. A study designed to determine the effect of lowering cholesterol on mood state was conducted in a
placebo controlled parallel groups trial (Wardle, et al.,1996). Subjects between the ages of 40 and
75 were assigned at random to receive simvastatin, an HMG CoA reductase inhibitor, or a placebo.
Subjects were followed an average of 3 years, and asked to complete the profile of mood states
(POMS) questionnaire. Since some previous studies had shown evidence of an association between
low cholesterol, they compared the active drug group with the placebo group in POMS scores for
several scale. Table 5.27 gives the numbers of subjects for each treatment group falling in k = 7
ordinal categories for the fatigue/inertia scale (high scores correspond to high fatigue). Compute
the rank sums, and test whether or not the distributions of the POMS scores differ among the
treatment groups (α = 0.05), using the Kruskal–Wallis test. Is there any evidence that subjects
with lower cholesterol (simvastatin group) tend to have higher levels of fatigue than the control
group?

Profile of Mood States (POMS) Score

Trt Group 0 1–4 5–8 9–12 13–16 17–20 21–24 Rank Sum (Ti )
Simvastatin (n1 = 334) 23 98 98 58 40 10 7
Placebo (n2 = 157) 8 43 56 28 8 11 3
Ranks 1–31 32–172 173–326 327–412 413–460 461–481 482–491
Avg. Rank 16.0 102.0 249.5 369.5 436.5 471.0 486.5

Table 5.27: Data and ranks for cholesterol drug/fatigue data (n = n1 + n2 = 491)

32. In the paper, studying agreement among movie reviewers, the following results were obtained for
Michael Medved and Jeffrey Lyons, formerly of Sneak Previews (Agresti and Winner,1997). The
following table gives the observed frequencies, observed proportions, and expected proportions
under chance. Compute and interpret Cohen’s κ for Table 5.28.
84 CHAPTER 5. CATEGORICAL DATA ANALYSIS

Lyons Medved Rating

Rating Con Mixed Pro Total
22 7 8 37
Con (.179) (.057) (.065) (.301)
(.117) (.078) (.105) —
5 7 7 19
Mixed (.041) (.057) (.057) (.154)
(.060) (.040) (.054) —
21 18 28 67
Pro (.171) (.146) (.228) (.545)
(.213) (.142) (.191) —
Total 48 32 43 123
.390 .260 .350 1.00

Table 5.28: Ratings on n = 123 movies by Michael Medved and Jeffrey Lyons – raw counts, observed
proportions, and proportions expected under chance
Chapter 6

Experimental Design and the Analysis

of Variance

In previous chapters, we have covered methods to make comparisons between the means of a numeric
response variable for two treatments. We have seen the case where the experiment was conducted
as a parallel groups design, as well as a crossover design. Further, we have used procedures that
assume normally distributed data, as well as nonparametric methods that can be used when data
are not normally distributed.
In this chapter, we will introduce methods that can be used to compare more than two groups
(that is, when the explanatory variable has more than two levels). In this chapter, we will refer
to explanatory variables as factors, and their levels as treatments. We will cover the following
situations:

• 1–Factor, Parallel Groups Designs (Completely Randomized Design)

• 1–Factor, Crossover Designs (Randomized Block Design, Latin Square)

• 2–Factor, Parallel Groups Designs

• 2–Factor Nested Designs

• 2–Factor Split-Plot Designs in Blocks

• Parallel Groups Repeated Measures Designs

In all situations, we will have a numeric response variable, and at least one categorical (or
numeric, with several levels) independent variable. The goal will always be to compare mean (or
median) responses among several populations. When all factor levels for a factor are included in
the experiment, the factor is said to be fixed. When a sample of a larger population of factor levels
are included, we say the factor is random.

6.1 Completely Randomized Design (CRD) For Parallel Groups

Studies
In the Completely Randomized Design, we have one factor that we are controlling. This factor has
k levels (which are often treatment groups), and we measure ni units on the ith level of the factor.
We will define the observed responses as Yij , representing the measurement on the j th experimental

85
86 CHAPTER 6. EXPERIMENTAL DESIGN AND THE ANALYSIS OF VARIANCE

unit (subject), receiving the ith treatment. We will write this in model form as follows where the
factor is fixed (all levels of interest are included in the experiment:

Yij = µ + αi + εij = µi + εij .

Here, µ is the overall mean measurement across all treatments, αi is the effect of the ith treatment
(µi = µ + αi ), and εij is a random error component that has mean 0 and variance σ 2 . This εij can
be thought of as the fact that there will be variation among the measurements of different subjects
receiving the same treatment.
We will place a condition on the effects αi , namely that they sum to zero. Of interest to
the experimenter is whether or not there is a treatment effect, that is do any of the levels of
the treatment provide higher (lower) mean response than other levels. This can be hypothesized
symbolically as H0 : α1 = α2 = · · · = αk = 0 (no treatment effect) against the alternative
HA : Not all αi = 0 (treatment effects exist).
As with the case where we had two treatments to compare, we have a test based on the assump-
tion that the k populations are normal (mound–shaped), and a second test (based on ranks) that
does not assume that the k populations are normal. However, these methods do assume common
spreads (standard deviations) within the k populations.

6.1.1 Test Based on Normally Distributed Data

When the underlying populations of measurements that are to be compared are approximately
normal, we conduct the F –test. To conduct this test, we partition the total variation in the sample
data to variation within and among treatments. This partitioning is referred to as the analysis
of variance and is an important tool in many statistical procedures. First, we will define the
following items:
Pni
j=1 yij
yi =
n
sPi
ni
− y i )2
j=1 (yij
si =
ni − 1
n = n1 + · · · + nk
Pk Pni
i=1 j=1 yij
y =
n
ni
k X
X
T otalSS = (yij − y)2
i=1 j=1
k
X
SST = ni (y i − y)2
i=1
k
X
SSE = (ni − 1)s2i
i=1

Here, y i and si are the mean and standard deviation of measurements in the ith treatment group,
and y and n are the overall mean and total number of all measurements. T otalSS is the total
variability in the data (ignoring treatments), SST measures the variability in the sample means
among the treatments, and SSE measures the variability within the treatments. In these last
terms, SS represents sum of squares.
6.1. COMPLETELY RANDOMIZED DESIGN (CRD) FOR PARALLEL GROUPS STUDIES87

Note that we are trying to determine whether or not the population means differ. If they do,
we would expect SST to be large, since that sum of squares is picking up differences in the sample
means. We will be able to conduct a test for treatment effects after setting up an Analysis of
Variance table, as shown in Table 6.1. In that table, we have the sums of squares for treatments
(SST ), for error (SSE), and total (T otalSS). Also, we have degrees of freedom, which represents
the number of “independent” terms in the sum of squares. Then, we have mean squares, which
are sums of squares divided by their degrees of freedom. Finally, the F –statistic is computed as
F = M ST /M SE. This will serve as our test statistic. While this may look daunting, it is simply a
general table that can be easily computed and used to test for treatment effects. Note that M SE
is an extension of the pooled variance we computed in Chapter 3 for two groups, and often we see
that M SE = s2 .
ANOVA
Source of Sum of Degrees of Mean
Variation Squares Freedom Square F
Pk
TREATMENTS SST = i=1 ni (y i − y)2 k−1 M ST = SST
k−1 F =MM ST
SE
Pk SSE
ERROR SSE = i=1 (ni − 1)s2i n−k M SE = n−k
Pk Pni
TOTAL T otalSS = i=1 j=1 (yij − y)2 n−1

Table 6.1: The Analysis of Variance Table for the Completely Randomized (Parallel Groups) Design

Recall the model that we are using to describe the data in this design:

Yij = µ + αi + εij = µi + εij .

The effect of the ith treatment is αi . If there is no treatment effect among any of the levels of the
factor under study, that is if the population means of the k treatments are the same, then each of
the parameters αi are 0. This is a hypothesis we would like to test. The alternative hypothesis will
be that not all treatments have the same mean, or equivalently, that treatment effects exist (not
all αi are 0). If the null hypothesis is true (all k population means are equal), then the statistic
M ST
Fobs = M SE follows the F -distribution with k − 1 numerator and n − k denominator degrees of
freedom. Large values of Fobs are evidence against the null hypothesis of no treatment effect (recall
what SST and SSE are). The formal method of testing this hypothesis is as follows.

1. H0 : α1 = · · · = αk = 0 (µ1 = · · · = µk ) (No treatment effect)

2. HA : Not all αi are 0 (Treatment effects exist)

M ST
3. T.S. Fobs = M SE

4. R.R.: Fobs > Fα,k−1,n−k critical values of the F –distribution are given in Table A.4.

5. p-value: P (F ≥ Fobs )

Example 6.1 A randomized clinical trial was conducted to observe the safety and efficacy
of a three–drug combination in patients with HIV infection (Collier, et al., 1996). Patients were
assigned at random to one of three treatment groups: saquinavir, zidovudine, zalcitabine (SZZ);
88 CHAPTER 6. EXPERIMENTAL DESIGN AND THE ANALYSIS OF VARIANCE

saquinivir, zidovudine (SZ), or zidovudine, zalcitabine (ZZ). One of the numeric measures made on
patients was their normalized area under the log–transformed curve for the CD4+ count from day 0
to day 24. Positive values imply increasing CD4+ counts (relative to baseline), and negative values
imply decreasing CD4+ counts. We would like to compare the three treatments, and in particular
show that the three–drug treatment is better than either of the two two–drug treatments. First,
however, we will simply test whether there are treatment effects. Summary statistics based on the
normalized area under the log–transformed CD4+ count curves at week 24 of the study are given
in Table 6.2. The Analysis of Variance is given in Table 6.3. Note that we have k = 3 treatments
and n = 270 total measurements (90 subjects per treatment). We will test whether or not the three
means differ at α = 0.05.
Trt 1 (SZZ) Trt 2 (SZ) Trt 3 (ZZ)
Mean y 1 = 12.2 y 2 = 5.1 y 3 = −0.3
Std Dev s1 = 18.97 s2 = 19.92 s3 = 20.87
Sample Size n1 = 90 n2 = 90 n3 = 90

Table 6.2: Sample statistics for sequanavir study in HIV patients

ANOVA
Source of Sum of Degrees of Mean
Variation Squares Freedom Square F
3537.5
TREATMENTS 7074.9 2 3537.5 F = 397.5 = 8.90
ERROR 106132.5 267 397.5
TOTAL 113207.4 269

Table 6.3: The Analysis of Variance table for the sequanavir study in HIV patients

1. H0 : α1 = α2 = α3 = 0 (µ1 = µ2 = µ3 ) (No treatment effect)

2. HA : Not all αi are 0 (Treatment effects exist)

M ST
3. T.S. Fobs = M SE = 8.90

4. R.R.: Fobs > Fα,k−1,n−k = F0.05,2,267 = 3.03

5. p-value: P (F ≥ Fobs ) = P (F ≥ 8.90) = .0002

Since, we do reject H0 , we can conclude that the means differ, now we will describe methods to
make pairwise comparisons among treatments.

Comparison of Treatment Means

Assuming that we have concluded that treatment means differ, we generally would like to know
which means are significantly different. This is generally done by making either pre–planned or all
pairwise comparisons between pairs of treatments. We will look at how to make comparisons for
each treatment with a control, and then how to make all comparisons. The three methods are very
similar.
Dunnett’s Method for Comparing Treatments With a Control
6.1. COMPLETELY RANDOMIZED DESIGN (CRD) FOR PARALLEL GROUPS STUDIES89

In many situations, we’d like to compare each treatment with the control (when there is a
natural control group). Here, we would like to make all comparisons of treatment vs control (k − 1,
in all) with an overall confidence level of (1 − α)100%. If we arbitrarily label the control group
as treatment 1, we want to obtain simultaneous confidence intervals for µi − µ1 for i = 2, . . . , k.
Based on each confidence interval, we can determine whether the treatment differs from the control
by determining whether or not 0 is included in the interval. The general form of the confidence
intervals is: s
1 1
 
(y i − y 1 ) ± dα,k−1,n−k M SE + ,
ni n1
where dα,k−1,n−k is given in tables of various statistical texts (see Montgomery (1991)). We will
see an application of Dunnett’s method in Chapter 10.
Bonferroni’s Method of Multiple Comparisons
Bonferroni’s method is used in many situations and is based on the following premise: If we
wish to make c∗ comparisons, and be (1 − α)100% confident they are all correct, we should make
each comparison at a higher level of confidence (lower probability of type I error). If we make
each comparison at α/c∗ level of significance, we have an overall error rate no larger than α. This
method is conservative and can run into difficulties (low power) as the number of comparisons
increases. The general procedure is to compute the c∗ intervals as follows:
v !
u
u 1 1
(y i − y j ) ± tα/2c∗,n−k tM SE + ,
ni nj

where tα/2c,n−k is obtained from the t–table. When exact values of α/2c are not available from the
table, the next lower α (higher t) value is used.
Tukey’s Method for All Pairwise Comparisons
The previous method described works well when comparing various treatments with a control.
Various methods have been developed to handle all possible comparisons and keep the overall error
rate at α, including the widely reported Bonferroni procedure described above. Another commonly
used procedure is Tukey’s method, which is more powerful than the Bonferroni method (but more
limited in its applicability). Computer packages will print these comparisons automatically. Tukey’s
method involves setting up confidence intervals for all pairs of treatment means simultaneously. If
there are k treatments, their will be k(k−1)
2 such intervals. The general form, allowing for different
sample sizes for treatments i and j is:
v !
u
u 1 1
(y i − y j ) ± qα,k,n−k tM SE + /2,
ni nj

where qα,k,n−k is called the studentized range and is given in tables in many text books (see
Montgomery (1991)). When the sample sizes are equal (ni = nj ), the formula can be simplified to:
s
1
 
(y i − y j ) ± qα,k,n−k M SE .
ni

Example 6.2 In the sequanavir study described in Example 6.1, we concluded that treatment
effects exist. We can now make pairwise comparisons to determine which pairs of treatments differ.
There are three comparisons to be made: SZZ vs SZ, SZZ vs ZZ, and SZ vs ZZ. We will use
90 CHAPTER 6. EXPERIMENTAL DESIGN AND THE ANALYSIS OF VARIANCE

Bonferroni’s and Tukey’s methods to obtain 95% CI’s for each difference in mean area under the
log–transformed CD4+ curve. The general form for Bonferroni’s simultaneous 95% CI’s is (with
c = 3):
v ! s
u
1 1 1 1
u  
(y i − y j ) ± tα/2c,n−k tM SE + (y i − y j ) ± t.0083,267 397.5 +
ni nj 90 90

(y i − y j ) ± 2.41(2.97) (y i − y j ) ± 7.16
For Tukey’s method, the confidence intervals are of the form:
s s
1 1
   
(y i − y j ) ± qα,k,n−k M SE (y i − y j ) ± q0.05,3,267 397.5
ni 90

(y i − y j ) ± 3.32(2.10) (y i − y j ) ± 6.97
The corresponding confidence intervals are given in Table 6.4.

Simultaneous 95% CI’s

Comparison yi − yj Bonferroni Tukey
SZZ vs SZ 12.2 − 5.1 = 7.1 (−0.06, 14.26) (0.13, 14.07)
SZZ vs ZZ 12.2 − (−0.3) = 12.5 (5.34, 19.66) (5.53, 19.47)
SZ vs ZZ 5.1 − (−0.3) = 5.4 (−1.76, 12.56) (−1.57, 12.37)

Table 6.4: Bonferroni and Tukey multiple comparisons for the sequanavir study in HIV patients

Based on the intervals in Table 6.4, we can conclude that patients under the three–drug treat-
ment (SZZ) have higher means than those on either of the two two–drug therapies (SZ and ZZ),
although technically, Bonferroni’s method does contain 0 (just barely). This is a good example that
Bonferroni’s method is less powerful than Tukey’s method. No difference can be detected between
the two two–drug treatments. The authors did not adjust α for multiple comparisons (see p. 1012,
Statistical Analysis section). This made it ‘easier’ to find differences, but increases their risk of
declaring an ineffective treatment as being effective.

6.1.2 Test Based on Non–Normal Data

A nonparametric test for the Completely Randomized Design (CRD), where each experimental
unit receives only one treatment, is the Kruskal-Wallis Test (Kruskal and Wallis,1952). The
idea behind the test is similar to that of the Wilcoxon Rank Sum test. The main difference is that
instead of comparing 2 population distributions, we are comparing k > 2 distributions. Sample
measurements are ranked from 1 (smallest) to n = n1 + · · · + nk (largest), with ties being replaced
with the means of the ranks the tied subjects would have received had they not tied. For each
treatment, the sum of the ranks of the sample measurements are computed, and labelled Ti . The
sample size from the ith treatment is ni , and the total sample size is n = n1 + · · · + nk . We have
previously seen this test in Chapter 5.
The hypothesis we wish to test is whether the k population distributions are identical against
the alternative that some distribution(s) is (are) shifted to the right of other(s). This is similar to
the hypothesis of no treatment effect that we tested in the previous section. The procedure is as
follows:
6.1. COMPLETELY RANDOMIZED DESIGN (CRD) FOR PARALLEL GROUPS STUDIES91

1. H0 : The k population distributions are identical (µ1 = µ2 = · · · = µk )

2. HA : Not all k distributions are identical (Not all µi are equal)

12 Pk Ti2
3. T.S.: H = n(n+1) i=1 ni − 3(n + 1).

4. R.R.: H > χ2α,k−1

5. p–value: P (χ2 ≥ H)

Note that each of the sample sizes ni must be at least 5 for this procedure to be used.
If we do reject H0 , and conclude treatment differences exist, we could run the Wilcoxon Rank
Sum test on all pairs of treatments, adjusting the individual α levels by taking α/c∗ where c∗ is
the number of comparisons, so that the overall test (on all pairs) has a significance level of α. This
is an example of Bonferroni’s procedure.

Example 6.2 The use of thalidomide was studied in patients with HIV–1 infection (Klausner,
et al.,1996). All patients were HIV–1+ , and half of the patients also had tuberculosis infection
(T B + ). There were n = 32 patients at the end of the study, 16 received thalidomide and 16 received
placebo. Half of the patients in each drug group were T B + (the other half T B − ), so we can think
of this study having k = 4 treatments: T B + /thalidomide, T B + /placebo, T B − /thalidomide, and
T B − /placebo. One primary measure was weight gain after 21 days. We would like to test whether
or not the weight gains differ among the 4 populations. The weight gains (negative values are
losses) and their corresponding ranks are given in Table 6.5, as well as the rank sum for each group.

Group (Treatment)
T B + /Thal T B − /Thal T B + /Plac T B − /Plac
(i = 1) (i = 2) (i = 3) (i = 4)
9.0 (32) 2.5 (23) 0.0 (9) –0.5 (7)
6.0 (31) 3.5 (26.5) 1.0 (15.5) 0.0 (9)
4.5 (30) 4.0 (28.5) –1.0 (6) 2.5 (23)
2.0 (20.5) 1.0 (15.5) –2.0 (4) 0.5 (12)
2.5 (23) 0.5 (12) –3.0 (1.5) –1.5 (5)
3.0 (25) 4.0 (28.5) –3.0 (1.5) 0.0 (9)
1.0 (15.5) 1.5 (18.5) 0.5 (12) 1.0 (15.5)
1.5 (18.5) 2.0 (20.5) –2.5 (3) 3.5 (26.5)
T1 = 195.5 T2 = 173.0 T3 = 52.5 T4 = 107.0

Table 6.5: 21–day weight gains in kg (and ranks) for thalidomide study in HIV–1 patients

We can test whether or not the weight loss distributions differ among the four groups using the
Kruskal–Wallis test. We will conduct the test at the α = 0.05 significance level.

1. H0 : The 4 population distributions are identical (µ1 = µ2 = µ3 = µ4 )

2. HA : Not all 4 distributions are identical (Not all µi are equal)

Ti2 (195.5)2 (173.0)2 (52.5)2 (107.0)2
 
12 k 12
− 3(n + 1) = − 3(33) =
P
3. T.S.: H = n(n+1) i=1 ni 32(33) 8 + 8 + 8 + 8
116.98 − 99 = 17.98.
92 CHAPTER 6. EXPERIMENTAL DESIGN AND THE ANALYSIS OF VARIANCE

4. R.R.: H ≥ χ2α,k−1 = χ2.05,3 = 7.815

5. p–value: P (χ23 ≥ 17.98) = .0004

We reject H0 , and conclude differences exist. Based on the high rank sums for the thalidomide
groups, the drug clearly increases weight gain. Pairwise comparisons could be made using the
Wilcoxon Rank Sum test. We could also combine treatments 1 and 2 as a thalidomide group and
treatments 3 and 4 as a placebo group, and compare them using the Wilcoxon Rank Sum test.

6.2 Randomized Block Design (RBD) For Crossover Studies

In crossover designs, each subject receives each treatment. In these cases, subjects are referred to
as blocks. The notation for the RBD is very similar to that of the CRD, with only a few additional
elements. The model we are assuming here is:
Yij = µ + αi + βj + εij = µi + βj + εij .
Here, µ represents the overall mean measurement, αi is the (fixed) effect of the ith treatment, βj
is the (typically random) effect of the j th block, and εij is a random error component that can
be thought of as the variation in measurments if the same experimental unit received the same
treatment repeatedly. Note that just as before, µi represents the mean measurement for the ith
treatment (across all blocks). The general situation will consist of an experiment with k treatments
being received by each of b blocks.

6.2.1 Test Based on Normally Distributed Data

When the block effects (βj ) and random error terms (εij ) are independent and normally distributed,
we can conduct an F –test similar to that described for the Completely Randomized Design. The
notation we will use is as follows:
Pb
j=1 yij
y i. =
b
Pk
i=1 yij
y .j =
k
n = b·k
Pk Pni
i=1 j=1 yij
y =
n
k X
X b
T otalSS = (yij − y)2
i=1 j=1
k
X
SST = b(y i. − y)2
i=1
Xb
SSB = k(y .j − y)2
j=1
SSE = T otalSS − SST − SSB

Note that we simply have added items representing the block means (y .j ) and variation among
the block means (SSB). We can further think of this as decomposing the total variation into
6.2. RANDOMIZED BLOCK DESIGN (RBD) FOR CROSSOVER STUDIES 93

differences among the treatment means (SST ), differences among the block means (SSB), and
random variation (SSE).

ANOVA
Source of Sum of Degrees of Mean
Variation Squares Freedom Square F
TREATMENTS SST k−1 M ST = SST
k−1 F =MM ST
SE
SSB
BLOCKS SSB b−1 M SB = b−1
SSE
ERROR SSE (b − 1)(k − 1) M SE = (b−1)(k−1)

TOTAL T otalSS bk − 1

Table 6.6: The Analysis of Variance Table for the Randomized Block Design

Once again, the main purpose for conducting this type of experiment is to detect differences
among the treatment means (treatment effects). The test is very similar to that of the CRD, with
only minor adjustments. We are rarely interested in testing for differences among blocks, since we
expect there to be differences among them (that’s why we set up the design this way), and they
were just a random sample from a population of such experimental units. The treatments are the
items we chose specifically to compare in the experiment. The testing procedure can be described
as follows:

1. H0 : α1 = · · · = αk = 0 (µ1 = · · · = µk ) (No treatment effect)

2. HA : Not all αi are 0 (Treatment effects exist)

M ST
3. T.S. Fobs = M SE

4. R.R.: Fobs ≥ Fα,k−1,(b−1)(k−1)

5. p-value: P (F ≥ Fobs )

Not surprisingly, the procedures to make comparisons among means are also very similar to the
methods used for the CRD. In each formula described previously for Dunnett’s, Bonferroni’s, and
Tukey’s methods, we replace ni with b, when making comparisons among treatment means.
The Relative Efficiency of conducting the Randomized Block Design, as opposed to the
Completely Randomized Design is:

M SECR (b − 1)M SB + b(t − 1)M SE

RE(RB, CR) = =
M SERB (bt − 1)M SE

This represents the number of times as many replicates would be needed for each treatment in
a CRD to obtain as precise of estimates of differences between two treatment means as we were
able to obtain by using b experimental units pert treatment in the RBD.

Example 6.3 In Example 1.5, we plotted data from a study quantifying the interaction between
theophylline and two drugs (famotidine and cimetidine) in a three–period crossover study that
included receiving theophylline with a placebo control (Bachmann, et al.,1995). We would like to
compare the mean theophylline clearances when it is taken with each of the three drugs: cimetidine,
94 CHAPTER 6. EXPERIMENTAL DESIGN AND THE ANALYSIS OF VARIANCE

famotidine, and placebo. Recall from Figure 1.5 that there was a large amount of subject–to–subject
variation. In the RBD, we control for that variation when comparing the three treatments. The
raw data, as well as treatment and subject (block) means are given in Table 6.7. The Analysis of
Variance is given in Table 6.8. Note that in this example, we are comparing k = 3 treatments in
b = 14 blocks.
Interacting Drug Subject
Subject Cimetidine Famotidine Placebo Mean
1 3.69 5.13 5.88 4.90
2 3.61 7.04 5.89 5.51
3 1.15 1.46 1.46 1.36
4 4.02 4.44 4.05 4.17
5 1.00 1.15 1.09 1.08
6 1.75 2.11 2.59 2.15
7 1.45 2.12 1.69 1.75
8 2.59 3.25 3.16 3.00
9 1.57 2.11 2.06 1.91
10 2.34 5.20 4.59 4.04
11 1.31 1.98 2.08 1.79
12 2.43 2.38 2.61 2.47
13 2.33 3.53 3.42 3.09
14 2.34 2.33 2.54 2.40
Trt Mean 2.26 3.16 3.08 2.83

Table 6.7: Theophylline clearances (liters/hour) when drug is taken with interacting drugs

ANOVA
Source of Sum of Degrees of Mean
Variation Squares Freedom Square F
TREATMENTS 7.01 2 3.51 10.64
BLOCKS 71.81 13 5.52
ERROR 8.60 26 0.33
TOTAL 87.42 41

Table 6.8: Analysis of Variance table for theophylline interaction data (RBD)

We can now test for treatment effects, and if necessary use Tukey’s method to make pairwise
comparisons among the three drugs (α = 0.05 significance level).

1. H0 : α1 = α2 = α3 = 0 (µ1 = µ2 = µ3 ) (No drug effect on theophylline clearance)

2. HA : Not all αi are 0 (Drug effects exist)

M ST
3. T.S. Fobs = M SE = 10.64

4. R.R.: Fobs ≥ Fα,k−1,(b−1)(k−1) = F0.05,2,26 = 3.37

5. p-value: P (F ≥ Fobs ) = P (F ≥ 10.64) = 0.0004

6.2. RANDOMIZED BLOCK DESIGN (RBD) FOR CROSSOVER STUDIES 95

Since we do reject H0 , and conclude differences exist among the treatment means, we will use
Tukey’s method to determine which drugs differ significantly. Recall that for Tukey’s method, we
compute simultaneous confidence intervals of the form given below, with k being the number of
treatments (k=3), n the total number of observations (n = bk=3(14)=42), and ni the number of
measurements per treatment (ni = b = 14).
s r
1 1
(y i − y j ) ± qα,k,n−k M SE( ) =⇒ (y i − y j ) ± 3.514 0.33( ) =⇒ (y i − y j ) ± 0.54
ni 14

The corresponding simultaneous 95% confidence intervals and conclusions are given in Table 6.9.
We conclude that theophylline has a significantly lower clearance when taken with cimetidine than

Comparison yi − yj CI Conclusion
Cimetidine vs Famotidine 2.26 − 3.16 = −0.90 (−1.44, −.36) C<F
Cimetidine vs Placebo 2.26 − 3.08 = −0.82 (−1.36, −.28) C<P
Famotidine vs Placebo 3.16 − 3.08 = 0.08 (−0.46, 0.62) F =P

Table 6.9: Tukey’s simultaneous 95% CI’s for theophylline interaction data (RBD)

when taken with famotidine or placebo. No difference appear to exist when theophylline is taken
with famotidine or with placebo. While cimetidine appears to interact with theophylline, famotidine
does not appear to interact with it in patients with chronic obstructive pulmonary disease.
The relative efficiency of using this design as opposed to a Completely Randomized Design is
obtained as:
M SECR (b − 1)M SB + b(t − 1)M SE (14 − 1)(5.52) + 14(3 − 1)(0.33) 81
RE(RB, CR) = = = = = 6.0
M SERB (bt − 1)M SE (14(3) − 1)0.33 13.53
We would have to have 6(14)=84 subjects per treatment to have as precise of comparisons
between treatment means if this had been conducted as a CRD (parallel groups design).

6.2.2 Friedman’s Test for the Randomized Block Design

A nonparametric procedure that can be used to analyze data from the Randomized Block Design
(RBD), where each subject receives each treatment is Friedman’s Test. The idea behind Friedman’s
Test is to rank the measurements corresponding to the k treatments within each block. We then
compute the rank sum corresponding to each treatment. This test can also be used when the data
consists of preferences (ranks) among k competing items.
Once the measurements are ranked within each block from 1 (smallest) to k (largest), and the
rank sums T1 , T2 , . . . , Tk are computed for each treatment, the test is conducted as follows (assume
b blocks are used in the experiment):
1. H0 : The k population distributions are identical (µ1 = µ2 = · · · = µk )

2. HA : Not all k distributions are identical (Not all µi are equal)

12 Pk 2
3. T.S.: Fr = bk(k+1) i=1 Ti − 3b(k + 1).

4. R.R.: Fr ≥ χ2α,k−1 .

5. p–value:P (χ2 ≥ Fr )
96 CHAPTER 6. EXPERIMENTAL DESIGN AND THE ANALYSIS OF VARIANCE

Either k (the number of treatments) or b (the number of blocks) must be larger than 5 for this test
to be appropriate.
If we do reject H0 , and conclude treatment effects exist, we can conduct Wilcoxon’s Signed–
Rank Test on all pairs of treatments (adjusting α for the number of comparisons being made, as in
Bonferroni’s method), to determine which pairs differ significantly. Other, more powerful methods
are available that need extensive tables (see Hollander and Wolfe (1974), p.151).

Example 6.4 A crossover study was conducted to compare the absorption characteristics of a
new formulation of valproate – depakote sprinkle in capsules (Carrigan, et al.,1990). There were
b = 11 subjects, and each received the new formulation (capsule) in both fasting and non–fasting
conditions. They also received an enteric–coated tablet. Each drug was given to each subject
three times. Among the pharmacokinetic parameters measured was tmax , the time to maximum
concentration. The mean tmax for each treatment (capsule–fasting, capsule–nonfasting, enteric–
coated–fasting) is given for each subject in Table 6.10, as well as the within subject ranks. We will
test for treatment effects using Friedman’s test (α = 0.05).

Formulation/Fasting State
Subject Capsule (fasting) Capsule (nonfasting) Enteric–Coated (fasting)
1 3.5 (2) 4.5 (3) 2.5 (1)
2 4.0 (2) 4.5 (3) 3.0 (1)
3 3.5 (2) 4.5 (3) 3.0 (1)
4 3.0 (1.5) 4.5 (3) 3.0 (1.5)
5 3.5 (1.5) 5.0 (3) 3.5 (1.5)
6 3.0 (1) 5.5 (3) 3.5 (2)
7 4.0 (2.5) 4.0 (2.5) 2.5 (1)
8 3.5 (2) 4.5 (3) 3.0 (1)
9 3.5 (1.5) 5.0 (3) 3.5 (1.5)
10 3.0 (1) 4.5 (3) 3.5 (2)
11 4.5 (2) 6.0 (3) 3.0 (1)
Rank sum T1 = 19.0 T2 = 32.5 T3 = 14.5

Table 6.10: Mean tmax and (ranks) for valproate absorption study

1. H0 : The 3 distributions of tmax are identical for the three treatments (µ1 = µ2 = µ3 )

2. HA : The 3 distributions of tmax are not identical (Not all µi are equal)
12 k 2 12 2
i=1 Ti − 3b(k + 1) = + (32.5)2 + (14.5)2 ] − 3(11)(4) =
P
3. T.S.: Fr = bk(k+1) 11(3)(4) [(19.0)
147.95 − 132 = 15.95.

4. R.R.: Fr ≥ χ2α,k−1 = χ2.05,2 = 5.99.

We reject H0 , and conclude that treatment effects exist. Clearly, the capsule taken nonfasting
has the highest times to maximum concentration (lowest rate of absorption). We could conduct the
Wilcoxon signed–rank test on all pairs of treatments to determine which pairs are significantly differ-
ent. The results would be that the nonfasting/capsule had a higher mean than both fasting/capsule
and fasting/enteric–coated tablet, and that the fasting/capsule and fasting/enteric–coated tablet
were not significantly different.
6.3. OTHER FREQUENTLY ENCOUNTERED EXPERIMENTAL DESIGNS 97

6.3 Other Frequently Encountered Experimental Designs

In this section, we will introduce several commonly used designs through examples. We will proceed
through their analyses without spending much time on the theoretical details. These classes of
designs are:

1. Latin Square Designs

2. Factorial Designs

3. Nested Designs

4. Split-Plot Designs

5. Repeated Measures Designs

6.3.1 Latin Square Designs

The Latin Square Design is an extension of the Randomized Block Design to include two blocking
factors, each with the same number of levels as the primary treatment factor. A classic example
is to compare 4 brands of automobile tires (treatment factor) using 4 cars as one blocking factor
(random) and tire position on car as the second blocking factor (fixed). The experimental design
can be set up as in Table ??.

Tire Position
Car 1 2 3 4
1 A B C D
2 B C D A
3 C D A B
4 D A B C

Table 6.11: Latin Square Design (4 Treatments)

The 4 test cars would be randomized to the 4 labels (1,2,3,4); the 4 tire positions (Right
Front, Left Front, Right Rear, Left Rear) would be randomized to the 4 labels, and the 4 brands
would be randomized to the 4 labels (A,B,C,D). In practice, this experiment would be replicated
in over multiple squares (blocks of 4 cars). The model and Analysis of Variance can be obtained as
follows for the case of an experiment consisting of one latin square with t treatments and N = t2
observations.
Yijk = µ + αk + βi + γj + εij
where αk is the effect of treatment k, βi is the effect of row i, and γj is the effect of column j.
Note that we only use two subscripts, as each observation is indexed by its row and column, the
superscript identifies the treatment. To obtain the analysis of variance, we obtain the row means
(y i. ), the column means (y .j ), the treatment means (y k ), and the overall mean (y). Then, we obtain
the following sums of squares and the Analysis of Variance in Table 6.12.
t X
X b
k
T otalSS = (yij − y)2
i=1 j=1
98 CHAPTER 6. EXPERIMENTAL DESIGN AND THE ANALYSIS OF VARIANCE

t
X
SST = t (y k − y)2
k=1
Xt
SSR = t (y i. − y)2
i=1
SSE = T otalSS − SST − SSR − SSC

ANOVA
Source of Sum of Degrees of Mean
Variation Squares Freedom Square F
TREATMENTS SST t−1 M ST = SST
t−1 F =MM ST
SE
SSR
ROWS SSR t−1 M SR = t−1
SSC
COLUMNS SSC t−1 M SC = t−1
SSE
ERROR SSE (t − 1)(t − 2) M SE = (t−1)(t−2)

TOTAL T otalSS t2 − 1

Table 6.12: The Analysis of Variance Table for the Latin Square Design

Once again, the main purpose for conducting this type of experiment is to detect differences
among the treatment means (treatment effects). The test is very similar to that of the CRD and
RBD, with only minor adjustments. We are rarely interested in testing for differences among either
blocking factor, since we expect there to be differences among them (that’s why we set up the
design this way). The treatments are the items we chose specifically to compare in the experiment.
The testing procedure can be described as follows:
1. H0 : α1 = · · · = αt = 0 (No treatment effect)
2. HA : Not all αi are 0 (Treatment effects exist)
M ST
3. T.S. Fobs = M SE

4. R.R.: Fobs ≥ Fα,t−1,(t−1)(t−2)

5. p-value: P (F ≥ Fobs )
Not surprisingly, the procedures to make comparisons among means are also very similar to
the methods used for the CRD and the RBD. In each formula described previously for Dunnett’s,
Bonferroni’s, and Tukey’s methods, we replace ni in the CRD and b in the RBD with t, when
making comparisons among treatment means.
The Relative Efficiency of conducting the Latin Square Design, as opposed to the Completely
Randomized Design is:
M SECR M SR + M SC + (t − 1)M SE
RE(LS, CR) = =
M SELS (t + 1)M SE
This represents the number of times as many replicates would be needed for each treatment in
a CRD to obtain as precise of estimates of differences between two treatment means as we were
able to obtain by using t experimental units pert treatment in the Latin Square.
6.3. OTHER FREQUENTLY ENCOUNTERED EXPERIMENTAL DESIGNS 99

6.3.2 Factorial Designs

Many times we have more than one set of treatments that we’d like to compare simultaneously.
For instance, drug trials are generally run at different medical centers. In this case, the drug a
subject receives would be factor A (active or placebo), while the center he/she is located at would
be factor B. Then we might test for drug effects or center effects.
An interaction would exist if the drug effects differ among centers. That is an undesirable
situation, but one we should test for. If we wish to measure the interaction we will have to have
more than one measurement (replicate) corresponding to each combination of levels of the 2 factors.
In this situation, that would mean having multiple subjects receiving each treatment at each center.
Denoting the k th measurement observed under the ith level of factor A and the j th level of factor
B, the model is written as:
Yijk = µ + αi + βj + (αβ)ij + εijk ,
where µ is the overall mean, αi is the effect of the ith level of factor A, βj is the effect of the
j th level of factor B, (αβ)ij is the effect of the interaction of the ith level of factor A and the j th
level of factor B, and εijk is the random error term representing the fact that subjects within each
treatment combinations will vary, as well as if the same subject were measured repeatedly, his/her
measurements would vary. Here, we consider the model where both factors A and B are fixed, with
all levels of interest present in the study. As before, we assume that εijk is normally distributed
with mean 0 and variance σ 2 . Some interesting hypotheses to test are as follows:

1. H0 : (αβ)11 = · · · = (αβ)ab = 0 (No interaction effect).

2. H0 : α1 = · · · = αa = 0 (No effects among the levels of factor A)

3. H0 : β1 = · · · = βb = 0 (No effects among the levels of factor B)

The total variation in the set of observed measurements can be decomposed into four parts:
variation in the means of the levels of factor A, variation in the means of the levels of factor B,
variation due to the interaction of factors A and B, and error variation. The formulas for the sums
of squares are given here.
Pr
k=1 yijk
y ij. =
r
Pb Pr
j=1 k=1 yijk
y i.. =
Pa br
Pr
i=1 k=1 yijk
y .j. =
ar
n = a·b·r
Pa Pb Pr
i=1 j=1 k=1 yijk
y =
n
a X
X b X
r
T otalSS = (yijk − y)2
i=1 j=1 k=1
X a
SSA = br (y i.. − y)2
i=1
X b
SSB = ar (y .j. − y)2
j=1
100 CHAPTER 6. EXPERIMENTAL DESIGN AND THE ANALYSIS OF VARIANCE

a X
X b
SSAB = r (y ij. − y i.. − y .j. + y)2
i=1 j=1
a X
X b X
r
SSE = (yijk − y ij. )2
i=1 j=1 k=1

Note that this type of analysis, is almost always done on a computer. The analysis of variance can
be set up as shown in Table 6.13, assuming r measurements are made at each combination of levels
of the two factors.
ANOVA
Source of Sum of Degrees of Mean
Variation Squares Freedom Square F
FACTOR A SSA a−1 M SA = SSA
a−1 F =MM SA
SE
SSB M SB
FACTOR B SSB b−1 M SB = b−1 F = M SE
SSAB M SAB
INTERACTION AB SSAB (a − 1)(b − 1) M SAB = (a−1)(b−1) F = M SE
SSE
ERROR SSE ab(r − 1) M SE = ab(r−1)

TOTAL T otalSS abr − 1

Table 6.13: The Analysis of Variance Table for a 2-Factor Factorial Design

The tests for interactions and for effects of factors A and B involve the three F –statistics, and
can be conducted as follow.
1. H0 : (αβ)11 = · · · = (αβ)ab = 0 (No interaction effect).

2. HA : Not all (αβ)ij = 0 (Interaction effects exist)

M SAB
3. T.S. Fobs = M SE

4. R.R.: Fobs ≥ Fα,(a−1)(b−1),ab(r−1)

5. p-value: P (F ≥ Fobs )
Assuming no interaction effects exist, we can test for differences among the effects of the levels of
factor A as follows.
1. H0 : α1 = · · · = αa = 0 (No factor A effect).

2. HA : Not all αi = 0 (Factor A effects exist)

M SA
3. T.S. Fobs = M SE

4. R.R.: Fobs ≥ Fα,(a−1),ab(r−1)

5. p-value: P (F ≥ Fobs )
Assuming no interaction effects exist, we can test for differences among the effects of the levels of
factor B as follows.
6.3. OTHER FREQUENTLY ENCOUNTERED EXPERIMENTAL DESIGNS 101

1. H0 : β1 = · · · = βb = 0 (No factor B effect).

2. HA : Not all βj = 0 (Factor B effects exist)

M SB
3. T.S. Fobs = M SE

4. R.R.: Fobs ≥ Fα,(b−1),ab(r−1)

5. p-value: P (F ≥ Fobs )

Note that if we conclude interaction effects exist, we usually look at the individual combinations
of factors A and B separately (as in the Completely Randomized Design), and don’t conduct the
last two tests.

Example 6.5 Various studies have shown that interethnic differences in drug–metabolizing
enzymes exist. A study was conducted to determine whether differences exist in pharmacokinetics
of the tricyclic antidepressant nortriptyline between Hispanics and Anglos (Gaviria, et al.,1986).
The study consisted of five males and five females from each ethnic group. We would like to
determine whether ethnicity or sex differences exist, or whether there is an interaction between
the two variables on the outcome variable total clearance (ml/min/kg). The data (by ethnic/sex
group) are given in Table 6.14 and in Figure 6.1. The model is written as:

Yijk = µ + αi + βj + (αβ)ij + εijk ,

where µ is the overall mean, αi is the effect of the ith level of factor A (ethnicity: 1=Hispanic,
2=Anglo), βj is the effect of the j th level of factor B (sex: 1=Female, 2=Male), (αβ)ij is the effect
of the interaction of the ith of ethnicity and the j th level of sex.

Hispanics Anglos
Females Males Females Males
10.5 5.4 7.1 5.7
8.3 7.1 10.8 3.8
8.5 6.1 12.3 7.8
6.4 10.8 7.0 4.4
6.5 4.1 7.9 9.9

Table 6.14: Total clearance data for nortriptyline study

We can compute the Analysis of Variance table, by obtaining the total sum of squares and
partitioning that variation into parts attributable to: ethnicity differences, sex differences, ethnic-
ity/sex interaction, and random (within ethnic/sex group) variation. The Analysis of Variance is
given in Table 6.15.
The tests for interactions and for effects of factors A and B involve the three F –statistics, and
can be conducted as follow (each test at α = 0.05).

1. H0 : (αβ)11 = · · · = (αβ)22 = 0 (No interaction effect).

2. HA : Not all (αβ)ij = 0 (Interaction effects exist)

M SAB
3. T.S. Fobs = M SE = 0.432
102 CHAPTER 6. EXPERIMENTAL DESIGN AND THE ANALYSIS OF VARIANCE

13
12
11
10
c 9
l
e 8
a 7
r
a 6
n 5
c
e 4
3
2
1
0

Figure 6.1: Total clearances and group means for nortriptyline ethnicity study

ANOVA
Source of Sum of Degrees of Mean
Variation Squares Freedom Square F
0.450
Ethnicity (A) 0.450 1 0.450 5.347 = 0.084
20.402
Sex (B) 20.402 1 20.402 5.347 = 3.816
2.312
Ethnic×Sex (AB) 2.312 1 2.312 5.347 = 0.432
ERROR 85.548 16 5.347
TOTAL 108.712 19

Table 6.15: The Analysis of Variance table for the nortriptyline data
6.3. OTHER FREQUENTLY ENCOUNTERED EXPERIMENTAL DESIGNS 103

4. R.R.: Fobs ≥ F.05,1,16 = 4.49

5. p-value: P (F ≥ 0.432) = .5203

Since no interaction effects exist, we can test for differences among the effects of the levels of factor
A (ethnicity) as follows.

1. H0 : α1 = α2 = 0 (No ethnicity effect).

2. HA : Not all αi = 0 (Ethnicity effects exist)

M SA
3. T.S. Fobs = M SE = 0.084

4. R.R.: Fobs ≥ F.05,1,16 = 4.49

5. p-value: P (F ≥ 0.084) = .7757

Again, since no interaction effects exist, we can test for differences among the effects of the levels
of factor B (sex) as follows.

1. H0 : β1 = β2 = 0 (No sex effect).

2. HA : Not all βj = 0 (Sex effects exist)

M SB
3. T.S. Fobs = M SE = 3.816

4. R.R.: Fobs ≥ F.05,1,16 = 4.49

5. p-value: P (F ≥ 3.816) = .0685

A few things are worth noting here:

• An interaction would have meant that ethnicity effects differed between the sexes (and that
sex effects differed between the ethnicities).

• Since there is no interaction, we can test for main effects between ethnicities and then between
sexes, seperately. If there had been an interaction, we would have had to treat all four
ethnic/sex combinations as individual groups, and compared those four groups (like in the
CRD).

• There clearly is no ethnic effect here, we have a large p–value for that test, and also see
Figure 6.1.

• While the sex effects are not significant at α = 0.05 (p-value=.0685), it is close. These are
fairly small samples given the subject–to–subject variability. This is not a very powerful test.
Based on the plots, and the consistency across ethnicities, women do appear to eliminate
nortriptyline more rapidly (higher clearance) than men do.
104 CHAPTER 6. EXPERIMENTAL DESIGN AND THE ANALYSIS OF VARIANCE

Post-Hoc Comparisons
When there is no interaction, we can make pairwise comparisons among levels of Factor A and
Factor B, respectively. For Factor A, we can use Bonferroni’s or Tukey’s method, and obtain
simultaneous confidence intervals of the form:
Bonferroni (with c∗ = a(a − 1)/2):
s
2
 
(y i.. − y i0 .. ) ± tα/2c∗,ab(r−1) M SE
br

Tukey’s s
1
 
(y i.. − y i0 .. ) ± qα,a,ab(r−1) M SE
br
For Factor B, we can use the following formulas:
Bonferroni (with c∗ = b(b − 1)/2)
s
2
 
(y .j. − y .j 0 . ) ± tα/2c∗,ab(r−1) M SE
ar

Tukey’s s
1
 
(y .j. − y .j 0 . ) ± qα,b,ab(r−1) M SE
ar
When there is an interaction present, that means the effects of the levels of Factor A depend
on the level of Factor B, and vice versa. Then it only makes sense to make comparisons among
levels of one factor within the levels of the other factor. Note that these intervals will be wider
than those for the main effects, as they are based on fewer observations per sample mean.
To compare all levels of Factor A, when Factor B is at level j, we can set up simultaneous
confidence intervals of the form:
Bonferroni (with c∗ = a(a − 1)/2):
s
2
 
(y ij. − y i0 j. ) ± tα/2c∗,ab(r−1) M SE ,
r

Tukey’s s
1
 
(y ij. − y i0 j. ) ± qα,a,ab(r−1) M SE .
r
For comparing levels of Factor B, when Factor A is at level i:
Bonferroni (with c∗ = b(b − 1)/2)
s
2
 
(y ij. − y ij 0 . ) ± tα/2c∗,ab(r−1) M SE ,
r

Tukey’s s
1
 
(y ij. − y ij 0 . ) ± qα,b,ab(r−1) M SE .
r
6.3. OTHER FREQUENTLY ENCOUNTERED EXPERIMENTAL DESIGNS 105

Mixed Effects Models

When Factor A is a Fixed Factor (all levels are included in the study), and Factor B is a Random
Factor (only a sample of its levels are included, such as medical centers in a clinical trial), we call
it a Mixed Effects Model. The computation of the sums of squares in the Analysis of Variance
is the same, but the tests for treatment effects change. We write the model:

Yijk = µ + αi + βj + (αβ)ij + εijk

where µ is the overall mean, αi is the effect of the ith level of factor A, βj is the (random) effect of
the j th level of factor B, (αβ)ij is the (random) interaction of the factor A at level i and factor B
at level j. One (of several) way this model is parameterized is to assume:
a
X      
αi = 0 βj ∼ N 0, σb2 2
(αβ)ij ∼ N 0, σab εijk ∼ N 0, σe2
i=1

All random effects and error terms are mutually independent in this (particular) formulation. The
Analysis of Variance for the mixed effects model is given in Table 6.16.

ANOVA
Source of Sum of Degrees of Mean
Variation Squares Freedom Square F
FACTOR A SSA a−1 M SA = SSA
a−1 F = M SA
M SAB
SSB M SB
FACTOR B SSB b−1 M SB = b−1 F = M SAB
SSAB M SAB
INTERACTION AB SSAB (a − 1)(b − 1) M SAB = (a−1)(b−1) F = M SE
SSE
ERROR SSE ab(r − 1) M SE = ab(r−1)

TOTAL T otalSS abr − 1

Table 6.16: The Analysis of Variance Table for a 2-Factor Factorial Design

Tests concerning interactions and main effects for the mixed model are carried out as follow:
2 = 0 (No interaction effect).
1. H0 : σab
2 > 0 (Interaction effects exist)
2. HA : σab
M SAB
3. T.S. Fobs = M SE

4. R.R.: Fobs ≥ Fα,(a−1)(b−1),ab(r−1)

5. p-value: P (F ≥ Fobs )

Assuming no interaction effects exist, we can test for differences among the effects of the levels of
factor A as follows.

1. H0 : α1 = · · · = αa = 0 (No factor A effect).

2. HA : Not all αi = 0 (Factor A effects exist)

106 CHAPTER 6. EXPERIMENTAL DESIGN AND THE ANALYSIS OF VARIANCE

M SA
3. T.S. Fobs = M SAB

4. R.R.: Fobs ≥ Fα,(a−1),(a−1)(b−1)

5. p-value: P (F ≥ Fobs )

Assuming no interaction effects exist, we can test for differences among the effects of the levels of
factor B as follows.

1. H0 : σb2 = 0 (No factor B effect).

2. HA : σb2 > 0 (Factor B effects exist)

M SB
3. T.S. Fobs = M SAB

4. R.R.: Fobs ≥ Fα,(b−1),(a−1)(b−1)

5. p-value: P (F ≥ Fobs )

Assuming the interaction is not significant, we can make pairwise comparisons among levels of
Factor A based on simultaneous confidence intervals.
Bonferroni (with c∗ = a(a − 1)/2):
s
2
 
(y i.. − y i0 .. ) ± tα/2c∗,(a−1)(b−1) M SAB ,
br

Tukey’s s
1
 
(y i.. − y i0 .. ) ± qα,a,(a−1)(b−1) M SAB .
br

Random Effects Models

When both Factor A and Factor B are Random Factors, we call it a Random Effects Model.
The computation of the sums of squares in the Analysis of Variance is the same, but the tests for
treatment effects change. We write the model:

Yijk = µ + αi + βj + (αβ)ij + εijk

where µ is the overall mean, αi is the effect of the ith level of factor A, βj is the (random) effect of
the j th level of factor B, (αβ)ij is the (random) interaction of the factor A at level i and factor B
at level j. One way this model is parameterized is to assume:
       
αi ∼ N 0, σa2 βj ∼ N 0, σb2 2
(αβ)ij ∼ N 0, σab εijk ∼ N 0, σe2

All random effects and error terms are mutually independent in this formulation. The Analysis of
Variance for the random effects model is given in Table 6.17.
Tests concerning interactions and main effects for the mixed model are carried out as follow:

2 = 0 (No interaction effect).

1. H0 : σab
2 > 0 (Interaction effects exist)
2. HA : σab
6.3. OTHER FREQUENTLY ENCOUNTERED EXPERIMENTAL DESIGNS 107

ANOVA
Source of Sum of Degrees of Mean
Variation Squares Freedom Square F
FACTOR A SSA a−1 M SA = SSA
a−1 F = M SA
M SAB
SSB M SB
FACTOR B SSB b−1 M SB = b−1 F = M SAB
SSAB M SAB
INTERACTION AB SSAB (a − 1)(b − 1) M SAB = (a−1)(b−1) F = M SE
SSE
ERROR SSE ab(r − 1) M SE = ab(r−1)

TOTAL T otalSS abr − 1

Table 6.17: The Analysis of Variance Table for a 2-Factor Factorial Design

M SAB
3. T.S. Fobs = M SE

4. R.R.: Fobs ≥ Fα,(a−1)(b−1),ab(r−1)

5. p-value: P (F ≥ Fobs )

Assuming no interaction effects exist, we can test for differences among the effects of the levels of
factor A as follows.
1. H0 : σa2 = 0 (No factor A effect).

2. HA : σa2 > 0 (Factor A effects exist)

M SA
3. T.S. Fobs = M SAB

4. R.R.: Fobs ≥ Fα,(a−1),(a−1)(b−1)

5. p-value: P (F ≥ Fobs )
Assuming no interaction effects exist, we can test for differences among the effects of the levels of
factor B as follows.
1. H0 : σb2 = 0 (No factor B effect).

2. HA : σb2 > 0 (Factor B effects exist)

M SB
3. T.S. Fobs = M SAB

4. R.R.: Fobs ≥ Fα,(b−1),(a−1)(b−1)

5. p-value: P (F ≥ Fobs )

6.3.3 Nested Designs

In some designs, one factor’s levels are nested within levels of another factor. Thus, the levels of
Factor B that are exposed to one level of Factor A are different from those that receive a different
level of Factor A. There will be r replications under each “combination” of factor levels. We can
write the statistical model as:
Yijk = µ + αi + βj(i) + εijk
108 CHAPTER 6. EXPERIMENTAL DESIGN AND THE ANALYSIS OF VARIANCE

where µ is the overall mean, αi is the effect of the ith level of Factor A, βj(i) is the effect of the
j th level of Factor B nested under the ith level of Factor A, and εijk is the random error term.
In general, there will be a levels for Factor A, bi levels of Factor B, and r replicates per cell. In
practice, Factor A will be fixed or random, and Factor B will be either fixed or random. In any
event, the Analysis of Variance is the same, and is obtained as follows:

Pr
k=1 yijk
y ij. =
r
Pbi Pr
j=1 k=1 yijk
y i.. =
bi r
a
X
n = r bi
i=1
Pa Pbi Pr
i=1 j=1 k=1 yijk
y =
n
X bi X
a X r
T otalSS = (yijk − y)2
i=1 j=1 k=1
Xa
SSA = r bi (y i.. − y)2
i=1
Xa Xb
SSB(A) = r (y ij. − y i.. )2
i=1 j=1

X r
b X
a X
SSE = (yijk − y ij. )2
i=1 j=1 k=1

Factors A and B Fixed

In the case where both A and B are fixed factors, the effects are fixed (unknown) constants, and
we assume:
a
X bi
X  
αi = 0 βj(i) = 0 ∀i εijk ∼ N 0, σe2
i=1 j=1

The Analysis of Variance when both factors A and B(A) are fixed is given in Table 6.18, where
b. = ai=1 bi .
P

The tests for interactions and for effects of factors A and B involve the two F –statistics, and
can be conducted as follow. We can test for differences among the effects of the levels of factor A
as follows.

1. H0 : α1 = · · · = αa = 0 (No factor A effect).

2. HA : Not all αi = 0 (Factor A effects exist)

M SA
3. T.S. Fobs = M SE

4. R.R.: Fobs ≥ Fα,(a−1),b. (r−1)

5. p-value: P (F ≥ Fobs )
6.3. OTHER FREQUENTLY ENCOUNTERED EXPERIMENTAL DESIGNS 109

ANOVA
Source of Sum of Degrees of Mean
Variation Squares Freedom Square F
FACTOR A SSA a−1 M SA = SSA
a−1 F =MM SA
SE
SSB(A) M SB(A)
FACTOR B(A) SSB(A) b. − a M SB(A) = b. −a F = M SE
SSE
ERROR SSE b. (r − 1) M SE = b. (r−1)

TOTAL T otalSS rb. − 1

Table 6.18: The Analysis of Variance Table for a 2-Factor Nested Design – A and B Fixed Factors

We can test for differences among the effects of the levels of factor B as follows.

1. H0 : β1(1) = . . . = βba (a) = 0 (No factor B effect).

2. HA : Not all βj(i) = 0 (Factor B effects exist)

M SB(A)
3. T.S. Fobs = M SE

4. R.R.: Fobs ≥ Fα,(b−1),b. (r−1)

5. p-value: P (F ≥ Fobs )

We can make pairwise comparisons among levels of Factor A based on constructing simultaneous
confidence intervals as follow:
Bonferroni (with c∗ = a(a − 1)/2):
s
1 1
 
(y i.. − y i0 .. ) ± tα/2c∗,b. (r−1) M SE + ,
rbi rbi0

Tukey’s s
M SE 1 1
 
(y i.. − y i0 .. ) ± qα,a,b. (r−1) +
2 rbi rbi0
To compare levels of Factor B under a particular level of Factor A, we can construct simultaneous
confidence intervals as follow:
Bonferroni (with c∗ = bi (bi − 1)/2):
s
2
 
(y ij. − y ij 0 . ) ± tα/2c∗,b. (r−1) M SE ,
r

Tukey’s s
1
 
(y ij. − y ij 0 . ) ± qα,bi ,b. (r−1) M SAB
r
110 CHAPTER 6. EXPERIMENTAL DESIGN AND THE ANALYSIS OF VARIANCE

Factor A Fixed and B Random

In the case where A is fixed and B is random, the effects for levels of Factor A are fixed (unknown)
constants, the effects of levels of Factor B are random variables, and we assume:
a
X    
2
αi = 0 βj(i) ∼ N 0, σb(a) εijk ∼ N 0, σe2
i=1

Further, we assume all random effects of levels of Factor B and all random error terms are mutually
independent. The sums of squares are the same as in the previous subsection, but the error term
for Factor A changes. The Analysis of Variance when Factor A is fixed and B(A) is random is
given in Table 6.19, where b. = ai=1 bi .
P

ANOVA
Source of Sum of Degrees of Mean
Variation Squares Freedom Square F
FACTOR A SSA a−1 M SA = SSA
a−1 F = M SA
M SB(A)
SSB(A) M SB(A)
FACTOR B(A) SSB(A) b. − a M SB(A) = b. −a F = M SE
SSE
ERROR SSE b. (r − 1) M SE = b. (r−1)

TOTAL T otalSS rb. − 1

Table 6.19: The Analysis of Variance Table for a 2-Factor Nested Design – A Fixed and B Random

The tests for interactions and for effects of factors A and B involve the two F –statistics, and
can be conducted as follow. We can test for differences among the effects of the levels of factor A
as follows.

1. H0 : α1 = · · · = αa = 0 (No factor A effect).

2. HA : Not all αi = 0 (Factor A effects exist)

M SA
3. T.S. Fobs = M SB(A)

4. R.R.: Fobs ≥ Fα,(a−1),b. −a

5. p-value: P (F ≥ Fobs )

We can test for differences among the effects of the levels of factor B as follows.

1. H0 : σb2( a) = 0 (No factor B effect).

2
2. HA : σb(a) > 0 (Factor B effects exist)

M SB(A)
3. T.S. Fobs = M SE

4. R.R.: Fobs ≥ Fα,(b. −a),b. (r−1)

5. p-value: P (F ≥ Fobs )
6.3. OTHER FREQUENTLY ENCOUNTERED EXPERIMENTAL DESIGNS 111

We can make pairwise comparisons among levels of Factor A based on constructing simultaneous
confidence intervals as follow:
Bonferroni (with c∗ = a(a − 1)/2):
s
1 1
 
(y i.. − y i0 .. ) ± tα/2c∗,b. −a M SB(A) + ,
rbi rbi0

Tukey’s s
M SB(A) 1 1
 
(y i.. − y i0 .. ) ± qα,a,b. −a +
2 rbi rbi0

Factors A and B Random

In the case where A and B are both random, the effects for levels of Factor A Factor B are random
variables, and we assume:
     
αi N 0, σa2 2
βj(i) N 0, σb(a) εijk N 0, σe2

Further, we assume all random effects of levels of Factors A and B and all random error terms are
mutually independent. The sums of squares are the same as in the previous subsections, and the
error term for Factor A is the same as in the mixed case. The Analysis of Variance when Factor A
is fixed and B(A) is random is given in Table 6.20, where b. = ai=1 bi .
P

ANOVA
Source of Sum of Degrees of Mean
Variation Squares Freedom Square F
FACTOR A SSA a−1 M SA = SSA
a−1 F = M SA
M SB(A)
SSB(A) M SB(A)
FACTOR B(A) SSB(A) b. − a M SB(A) = b. −a F = M SE
SSE
ERROR SSE b. (r − 1) M SE = b. (r−1)

TOTAL T otalSS rb. − 1

Table 6.20: The Analysis of Variance Table for a 2-Factor Nested Design – A and B Random

The tests for interactions and for effects of factors A and B involve the two F –statistics, and
can be conducted as follow. We can test for differences among the effects of the levels of factor A
as follows.

1. H0 : σa2 = 0 (No factor A effect).

2. HA : σa2 > 0 (Factor A effects exist)

M SA
3. T.S. Fobs = M SB(A)

4. R.R.: Fobs ≥ Fα,(a−1),b. −a

5. p-value: P (F ≥ Fobs )
112 CHAPTER 6. EXPERIMENTAL DESIGN AND THE ANALYSIS OF VARIANCE

We can test for differences among the effects of the levels of factor B as follows.

1. H0 : σb2( a) = 0 (No factor B effect).

2
2. HA : σb(a) = 0 (Factor B effects exist)

M SB(A)
3. T.S. Fobs = M SE

4. R.R.: Fobs ≥ Fα,(b. −a),b. (r−1)

5. p-value: P (F ≥ Fobs )

6.3.4 Split-Plot Designs

In some experiments, with two or more factors, we have a restriction on randomization when
assigning units to combinations of treatments. This may be due to measurements being made
at multiple time points, or in the logistics of condusting the experiment. In this setting, we will
have larger experimental units (whole plots), which are made up of smaller subunits (subplots).
Factors that are assigned to the whole plots are called the Whole Plot Factor. Not surprisingly,
the factor applied to the sub units is called the Sub Plot Factor. Often the experiment will be
replicated in various blocks (maybe locations in a field trial or days in a laboratory experiment).
An experiment to compare 4 heating temperatures and 6 additive ingredients to bread flour
may be conducted as follows:

• Select 4 large pieces of (homogeneous) bread flour

• Randomly assign each piece to a temperature setting

• Break each piece into 6 subparts

• Randomly Assign an additive to each subpart, such that each full piece of flour receives each
additive

• Conduct the experiment on 5 days

Note that with extended cooking times, we would be unable to individually prepare 24 combi-
nations of temperature and additive in a single day. Thus, we have a restriction on randomization
and cannot use a Completely Randomized Design. In this study, temperature is the whole plot
factor, additive is the sub-plot factor, and days serve as blocks.
The general form of the model for a Split-Plot experiment is:

Yijk = µ + αi + βj + (αβ)ij + γk + (αγ)ik + εijk

where µ is the overall mean, αi is the effect of the ith level of (Whole Plot) Factor A, βj is the
effect of the j th block, (αβ)ij is the interaction between the ith level of Factor A and Block j, γk is
the effect of the k th level of (Sub-Plot) Factor C, (αγ)ik is the interaction between the ith level of
Factor A and the k th level of Factor C, and εijk is the random error term.
In general, there will be a levels for Factor A, b blocks, and c levels of Factor C. In practice,
Factor A will be fixed or random, and Factor C will be either fixed or random, and Blocks will be
random. In any event, the Analysis of Variance is the same, and is obtained as follows:
6.3. OTHER FREQUENTLY ENCOUNTERED EXPERIMENTAL DESIGNS 113

Pc
k=1 yijk
y ij. =
c
Pb
j=1 yijk
y i.k =
Pa b
i=1 yijk
y .jk =
a
Pb Pc
j=1 k=1 yijk
y i.. =
Pa bc
P c
i=1 k=1 yijk
y .j. =
ac
Pa Pb
i=1 j=1 yijk
y ..k =
ab
n = abc
Pa Pb Pc
i=1 j=1 k=1 yijk
y =
n
X c
b X
a X
T otalSS = (yijk − y)2
i=1 j=1 k=1
X a
SSA = bc (y i.. − y)2
i=1
X b
SSB = ac (y .j. − y)2
j=1
a X
X b
SSAB = c (y ij. − y i.. − y .j. + y)2
i=1 j=1
Xc
SSC = ab (y ..k − y)2
k=1
a X
X c
SSAC = b (y i.k − y i.. − y ..k + y)2
i=1 k=1
SSE = T SS − SSA − SSB − SSAB − SSC − SSAC

Note that the error term represents the sum of the BC interaction and three-way ABC inter-
action, and thus assumes there is no sup-plot by block interaction.
We now consider the cases where the Whole-Plot and Sub-Plot factors are fixed or random
(there are 4 cases).

Factors A and C Fixed

In the case where both A and C are fixed factors, the effects are fixed (unknown) constants, and
we assume: a c a c
X X X X
αi = 0 γk = 0 (αγ)ik = (αγ)ik = 0 ∀k, i
i=1 k=1 i=1 k=1
     
βj ∼ N 0, σb2 2
(αβ)ij ∼ N 0, σab εijk ∼ N 0, σe2
114 CHAPTER 6. EXPERIMENTAL DESIGN AND THE ANALYSIS OF VARIANCE

The Analysis of Variance when both factors A and C are fixed is given in Table 6.21.

ANOVA
Source of Sum of Degrees of Mean
Variation Squares Freedom Square F
FACTOR A SSA a−1 M SA = SSA
a−1 F = M SA
M SAB
SSB
FACTOR B SSB b−1 M SB = b−1
SSAB
INTERACTION AB SSAB (a − 1)(b − 1) M SAB = (a−1)(b−1)
SSC M SC
FACTOR C SSC c−1 M SC = c−1 F = M SE
SSAC M SAC
INTERACTION AC SSAC (a − 1)(c − 1) M SAC = (a−1)(c−1) F = M SE
SSE
ERROR SSE a(b − 1)(c − 1) M SE = a(b−1)(c−1)

TOTAL T otalSS abc − 1

Table 6.21: The Analysis of Variance Table for a Split-Plot Design – A and B Fixed Factors

The tests for interactions and for effects of factors A, C and their interaction involve the three
F –statistics, and can be conducted as follow. First, we test for an interaction between the whole
plot factor (A) and the sub-plot factor (C).

1. H0 : (αγ)11 = · · · = (αγ)ac = 0 (No factor AC interaction).

2. HA : Not all (αγ)ik = 0 (AC interaction exists)

M SAC
3. T.S. Fobs = M SE

4. R.R.: Fobs ≥ Fα,(a−1)(c−1),a(b−1)(c−1)

5. p-value: P (F ≥ Fobs )

Assuming no interaction exists, we can test for differences among the effects of the levels of
factor A as follows.

1. H0 : α1 = · · · = αa = 0 (No factor A effect).

2. HA : Not all αi = 0 (Factor A effects exist)

M SA
3. T.S. Fobs = M SAB

4. R.R.: Fobs ≥ Fα,(a−1),(a−1)(b−1)

5. p-value: P (F ≥ Fobs )

Again assuming no interaction, we can test for differences among the effects of the levels of factor
C as follows.

1. H0 : γ1 = . . . = γc = 0 (No factor C effect).

2. HA : Not all γk = 0 (Factor C effects exist)

6.3. OTHER FREQUENTLY ENCOUNTERED EXPERIMENTAL DESIGNS 115

M SC
3. T.S. Fobs = M SE

4. R.R.: Fobs ≥ Fα,c−1,a(b−1)(c−1)

5. p-value: P (F ≥ Fobs )

We can make pairwise comparisons among levels of Factor A based on constructing simultaneous
confidence intervals as follow:
Bonferroni (with c∗ = a(a − 1)/2):
s
1 1
 
(y i.. − y i0 .. ) ± tα/2c∗,(a−1)(b−1) M SAB + ,
bc bc

Tukey’s r
1
(y i.. − y i0 .. ) ± qα,a,(a−1)(b−1) M SAB
bc
To compare levels of Factor C, we can construct simultaneous confidence intervals as follow:
Bonferroni (with c∗ = c(c − 1)/2):
s
2
 
(y ..k − y ..k0 ) ± tα/2c∗,a(b−1)(c−1) M SE ,
ab

Tukey’s s
1
 
(y ..k − y ..k0 ) ± qα,c,a(b−1)(c−1) M SE
ab
To compare subplots within the same whole plot treatment and vice versa is messy, please see
the PowerPoint presentation splitplot.ppt.

Factors A Fixed and C Random

In the case where the whole plot factor is fixed, but the sub-plot factor is random, we assume:
a
X    
αi = 0 γk ∼ N 0, σc2 2
(αγ)ik ∼ N 0, σac
i=1
     
βj ∼ N 0, σb2 2
(αβ)ij ∼ N 0, σab εijk ∼ N 0, σe2
The Analysis of Variance when factor A is fixed and C is random is given in Table 6.22.
The tests for interactions and for effects of factors A, C and their interaction involve the three
F –statistics, and can be conducted as follow. First, we test for an interaction between the whole
plot factor (A) and the sub-plot factor (C).
2 = 0 (No factor AC interaction).
1. H0 : σac
2 > 0 (AC interaction exists)
2. HA : σac
M SAC
3. T.S. Fobs = M SE

4. R.R.: Fobs ≥ Fα,(a−1)(c−1),a(b−1)(c−1)

116 CHAPTER 6. EXPERIMENTAL DESIGN AND THE ANALYSIS OF VARIANCE

ANOVA
Source of Sum of Degrees of Mean
Variation Squares Freedom Square F
FACTOR A SSA a−1 M SA = SSA
a−1 F = M SA+M SE
M SAB+M SAC
SSB
FACTOR B SSB b−1 M SB = b−1
SSAB
INTERACTION AB SSAB (a − 1)(b − 1) M SAB = (a−1)(b−1)
SSC M SC
FACTOR C SSC c−1 M SC = c−1 F = M SE
SSAC M SAC
INTERACTION AC SSAC (a − 1)(c − 1) M SAC = (a−1)(c−1) F = M SE
SSE
ERROR SSE a(b − 1)(c − 1) M SE = a(b−1)(c−1)

TOTAL T otalSS abc − 1

Table 6.22: The Analysis of Variance Table for a Split-Plot Design – A Fixed and B Random

5. p-value: P (F ≥ Fobs )

Assuming no interaction exists, we can test for differences among the effects of the levels of
factor A as follows.

1. H0 : α1 = · · · = αa = 0 (No factor A effect).

2. HA : Not all αi = 0 (Factor A effects exist)

M SA+M SE
3. T.S. Fobs = M SAB+M SAC

4. R.R.: Fobs ≥ Fα,ν1 ,ν2

5. p-value: P (F ≥ Fobs )

These degrees of freedom can be obtained by Satterthwaite’s Approximation:

(M SA + M SE)2 (M SAB + M SAC)2

ν1 = M SA2 M SE 2
ν2 = M SAB 2 M SAC 2
a−1 + a(b−1)(c−1) (a−1)(b−1) + (b−1)(c−1)

Again assuming no interaction, we can test for differences among the effects of the levels of
factor C as follows.

1. H0 : σc2 = 0 (No factor C effect).

2. HA : σc2 > 0 (Factor C effects exist)

M SC
3. T.S. Fobs = M SE

4. R.R.: Fobs ≥ Fα,c−1,a(b−1)(c−1)

5. p-value: P (F ≥ Fobs )
6.3. OTHER FREQUENTLY ENCOUNTERED EXPERIMENTAL DESIGNS 117

Factor A Random and C Fixed

In the case where the whole plot factor is random, but the sub-plot factor is fixed, we assume:
  c
X  
αi ∼ N 0, σa2 γk = 0 2
(αγ)ik ∼ N 0, σac
k=1
     
βj ∼ N 0, σb2 2
(αβ)ij ∼ N 0, σab εijk ∼ N 0, σe2
The Analysis of Variance when factor A is random and C is fixed is given in Table 6.23.

ANOVA
Source of Sum of Degrees of Mean
Variation Squares Freedom Square F
FACTOR A SSA a−1 M SA = SSA
a−1 F = M SA
M SAB
SSB
FACTOR B SSB b−1 M SB = b−1
SSAB
INTERACTION AB SSAB (a − 1)(b − 1) M SAB = (a−1)(b−1)
SSC M SC
FACTOR C SSC c−1 M SC = c−1 F = M SAC
SSAC M SAC
INTERACTION AC SSAC (a − 1)(c − 1) M SAC = (a−1)(c−1) F = M SE
SSE
ERROR SSE a(b − 1)(c − 1) M SE = a(b−1)(c−1)

TOTAL T otalSS abc − 1

Table 6.23: The Analysis of Variance Table for a Split-Plot Design – A Random and B Fixed

The tests for interactions and for effects of factors A, C and their interaction involve the three
F –statistics, and can be conducted as follow. First, we test for an interaction between the whole
plot factor (A) and the sub-plot factor (C).
2 = 0 (No factor AC interaction).
1. H0 : σac
2 > 0 (AC interaction exists)
2. HA : σac
M SAC
3. T.S. Fobs = M SE

4. R.R.: Fobs ≥ Fα,(a−1)(c−1),a(b−1)(c−1)

5. p-value: P (F ≥ Fobs )

Assuming no interaction exists, we can test for differences among the effects of the levels of
factor A as follows.

1. H0 : σa2 = 0 (No factor A effect).

2. HA : σa2 > 0 (Factor A effects exist)

M SA
3. T.S. Fobs = M SAB

4. R.R.: Fobs ≥ Fα,(a−1),(a−1)(b−1)

118 CHAPTER 6. EXPERIMENTAL DESIGN AND THE ANALYSIS OF VARIANCE

5. p-value: P (F ≥ Fobs )

Again assuming no interaction, we can test for differences among the effects of the levels of
factor C as follows.

1. H0 : γ1 = · · · = γc = 0 (No factor C effect).

2. HA : Not all γk = 0 (Factor C effects exist)

M SC
3. T.S. Fobs = M SE

4. R.R.: Fobs ≥ Fα,c−1,a(b−1)(c−1)

5. p-value: P (F ≥ Fobs )

Factors A and C Random

In the case where both the whole plot factor and the sub-plot factor are random, we assume:
     
αi ∼ N 0, σa2 γk ∼ N 0, σc2 2
(αγ)ik ∼ N 0, σac
     
βj ∼ N 0, σb2 2
(αβ)ij ∼ N 0, σab εijk ∼ N 0, σe2
The Analysis of Variance when both factors A and C are random is given in Table 6.24.

ANOVA
Source of Sum of Degrees of Mean
Variation Squares Freedom Square F
FACTOR A SSA a−1 M SA = SSA
a−1 F = M SA+M SE
M SAB+M SAC
SSB
FACTOR B SSB b−1 M SB = b−1
SSAB
INTERACTION AB SSAB (a − 1)(b − 1) M SAB = (a−1)(b−1)
SSC M SC
FACTOR C SSC c−1 M SC = c−1 F = M SAC
SSAC M SAC
INTERACTION AC SSAC (a − 1)(c − 1) M SAC = (a−1)(c−1) F = M SE
SSE
ERROR SSE a(b − 1)(c − 1) M SE = a(b−1)(c−1)

TOTAL T otalSS abc − 1

Table 6.24: The Analysis of Variance Table for a Split-Plot Design – A and B Random

The tests for interactions and for effects of factors A, C and their interaction involve the three
F –statistics, and can be conducted as follow. First, we test for an interaction between the whole
plot factor (A) and the sub-plot factor (C).
2 = 0 (No factor AC interaction).
1. H0 : σac
2 > 0 (AC interaction exists)
2. HA : σac
M SAC
3. T.S. Fobs = M SE
6.3. OTHER FREQUENTLY ENCOUNTERED EXPERIMENTAL DESIGNS 119

4. R.R.: Fobs ≥ Fα,(a−1)(c−1),a(b−1)(c−1)

5. p-value: P (F ≥ Fobs )

Assuming no interaction exists, we can test for differences among the effects of the levels of
factor A as follows.

1. H0 : σa2 = 0 (No factor A effect).

2. HA : σa2 > 0 (Factor A effects exist)

M SA+M SE
3. T.S. Fobs = M SAB+M SAC

4. R.R.: Fobs ≥ Fα,ν1 ,ν2

5. p-value: P (F ≥ Fobs )

These degrees of freedom can be obtained by Satterthwaite’s Approximation:

(M SA + M SE)2 (M SAB + M SAC)2

ν1 = M SA2 M SE 2
ν2 = M SAB 2 M SAC 2
a−1 + a(b−1)(c−1) (a−1)(b−1) + (b−1)(c−1)

Again assuming no interaction, we can test for differences among the effects of the levels of
factor C as follows.

1. H0 : σc2 = 0 (No factor C effect).

2. HA : σc2 > 0 (Factor C effects exist)

M SC
3. T.S. Fobs = M SAC

4. R.R.: Fobs ≥ Fα,c−1,(a−1)(c−1)

5. p-value: P (F ≥ Fobs )

6.3.5 Repeated Measures Designs

In some experimental situations, subjects are assigned to treatments, and measurements are made
repeatedly over some fixed period of time. This can be thought of as a CRD, where more than one
measurement is being made on each experimental unit. We would still like to detect differences
among the treatment means (effects), but we must account for the fact that measurements are being
made over time. Previously, the error was differences among the subjects within the treatments
(recall that SSE = ki=1 (ni − 1)s2i ). Now we are observing various measurements on each subject
P

within each treatment, and have a new error term. The measurement Yijk , representing the outcome
for the ith treatment on the j th subject (who receives that treatment) at the k th time point, can
be written as:
Yijk = µ + αi + βj(i) + γk + αγik + εijk ,
where:

• µ is the overall mean

• αi is the effect of the ith treatment (i = 1, . . . , a)

• βj(i) is the effect of the j th subject who receives the ith treatment (j = 1, . . . , bi )
120 CHAPTER 6. EXPERIMENTAL DESIGN AND THE ANALYSIS OF VARIANCE

• γk is the effect of the k th time point (k = 1, . . . , r)

• αγik is the interaction of the ith treatment and the k th time point

• εijk is the random error component that is assumed to be N (0, σe2 ).

Pa
The sums of squares can be obtained as follows where b. = i=1 bi :
Pr
k=1 yijk
y ij. =
r
Pbi
j=1 yijk
y i.k =
bi
Pbi Pr
j=1 k=1 yijk
y i.. =
bi r
Pa Pbi
i=1 j=1 yijk
y ..k =
b.
a
X
n = r bi
i=1
Pa Pbi Pr
i=1 j=1 k=1 yijk
y =
n
X bi X
a X r
T otalSS = (yijk − y)2
i=1 j=1 k=1
Xa
SSA = r bi (y i.. − y)2
i=1
a X
X b
SSB(A) = r (y ij. − y i.. )2
i=1 j=1
Xr X c
SSC = b. (y ..k − y)2
k=1 k=1
a X
X c
SSAC = bi (y i.k − y i.. − y ..k + y)2
i=1 k=1
Xa X b Xr
SSE = (yijk − y ij. − y i.k + y i.. )2
i=1 j=1 k=1

In practice, treatments and time points will always be treated as fixed effects and subjects
nested within treatments are random effects. The Analysis of Variance is given in Table 6.25 (this
is always done on a computer). The degrees of freedom are based on the experiment consisting of
a treatments, b subjects receiving each treatment, and measurements being made at r points in
time. Note that if the number of subjects per treatment differ (bi subjects receiving treatment i),
we replace a(b − 1) with ai=1 (bi − 1).
P

The main hypothesis we would test is for a treatment effect. This test is of the form:

1. H0 : α1 = · · · = αa = 0 (No treatment effect)

2. HA : Not all αi = 0 (Treatment effects)

6.3. OTHER FREQUENTLY ENCOUNTERED EXPERIMENTAL DESIGNS 121

ANOVA
Source of Sum of Degrees of Mean
Variation Squares Freedom Square F
Treatments SSA a−1 M SA = SSA
a−1 F = M SA
M SB(A)
SSB(A)
Subjects(Trts) SSB(A) a(b − 1) M SB(A) = a(b−1)
SST ime M ST ime
Time SST ime r−1 M ST ime = r−1 F = M SE
SSAT i M SAT i
Trt * Time SSAT i (a − 1)(r − 1) M SAT i = (a−1)(r−1) F = M SE
SSE
Error SSE a(b − 1)(r − 1) M SE = a(b−1)(r−1)

TOTAL T otalSS abr − 1

Table 6.25: The Analysis of Variance Table for a Repeated Measures Design

M SA
3. T.S.: Fobs = M SB(A)

4. R.R.: Fobs ≥ Fα,a−1,a(b−1)

5. p-value: P (F ≥ Fobs )
We can also test for time effects and time by treatment interaction. These are of the form:
1. H0 : γ1 = · · · = γr = 0 (No time effect)
2. HA : Not all γk = 0 (Time effects)
M ST ime
3. T.S.: Fobs = M SE

4. R.R.: Fobs ≥ Fα,r−1,a(b−1)(r−1)

5. p-value: P (F ≥ Fobs )

1. H0 : (αγ)11 = · · · = (αγ)ar = 0 (No trt by time interaction)

2. HA : Not all (αγ)ik = 0 (Trt by Time interaction)
M SAT i
3. T.S.: Fobs = M SE

4. R.R.: Fobs ≥ Fα,(a−1)(r−1),a(b−1)(r−1)

5. p-value: P (F ≥ Fobs )

Example 6.7 A study was conducted to determine the safety of long–term use of sulfacytine
on the kidney function in men (Moyer, et al.,1972). The subjects were 34 healthy prisoners in
Michigan, where the prisoners were assigned at random to receive one of: high dose (500 mg, 4
times daily), low dose (250 mg, 4 times daily), or no dose (placebo, 4 times daily). Measurements of
creatinine clearance were taken once weekly for 13 weeks, along with a baseline (pre–Rx ) reading.
The goal was to determine whether or not long–term use of sulfacytine affected renal function,
which was measured by creatinine clearance.
Note the following elements of this study:
122 CHAPTER 6. EXPERIMENTAL DESIGN AND THE ANALYSIS OF VARIANCE

Treatments These are the dosing regimens (high, low, none)

Subjects 34 prisoners, each prisoner being assigned to one treatment (parallel groups). 12 received
each drug dose, 10 received placebo.

Time Periods There were 14 measurements made on each prisoner, one at baseline, then one
each week for 13 weeks.

The means for each treatment/week combination are given in Table 6.26. Again, recall our goal is
to determine whether the overall means differ among the three treatment groups.

Treatment Week Trt

Grp 0 1 2 3 4 5 6 7 8 9 10 11 12 13 Mean
H.D. 100.0 102.2 102.3 105.2 94.3 104.8 90.8 96.8 93.3 93.6 85.7 91.8 93.6 98.0 96.6
L.D. 87.6 96.1 94.7 105.2 91.9 102.5 98.5 95.5 99.7 106.3 93.3 103.0 94.7 94.9 97.4
Plac 103.9 108.7 99.4 105.6 89.0 97.3 101.1 97.1 94.7 101.7 100.4 102.6 91.1 90.8 98.8
Mean 96.8 102.0 98.8 105.3 91.9 101.8 96.5 96.4 96.0 100.5 92.7 98.9 93.3 94.8 97.6

Table 6.26: Mean Creatinine clearances for each treatment/week combination – sulfacytine data

Note that in this problem, we have a = 3 treatments and r = 14 time points, but that b, the
number of subjects within each treatment varies (b1 = b2 = 12, b3 = 10). This will cause no
problems however, and the degrees of freedom for the analysis of variance table will be adjusted so
that a(b − 1) will be replaced by b1 + b2 + b3 − a = 34 − 3 = 31. Based on the data presented, and a
reasonable assumption on the subject–to–subject variability, we get the analysis of variance given
in Table 6.27.
ANOVA
Source of Sum of Degrees of Mean
Variation Squares Freedom Square F
188.16
Treatments 376.32 2 188.16 3381.36 = 0.0556
Subjects(Trts) 104822.16 31 3381.36
Time 2035.58 13 156.58
Trt * Time 6543.34 26 251.67
Error 45282.14 403 112.36
TOTAL 159059.54 475

Table 6.27: The Analysis of Variance Table for Sulfacytine Example

Now, we can test whether the mean creatinine clearances differ among the three treatment
groups (at α = 0.05 significance level):

1. H0 : α1 = α2 = α3 = 0 (No treatment effect)

2. HA : Not all αi = 0 (Treatment effects)

M SA
3. T.S.: Fobs = M SB(A) = 0.0556
 6.4. EXERCISES 123

4. R.R.: Fobs ≥ Fα,a−1,a(b−1) = F0.05,2,31 = 3.305

5. p-value: P (F ≥ Fobs ) = P (F ≥ 0.0556) = .9460

We fail to reject H0 , and we conclude that there is no treatment effect. Long–term use of sulfacytine
does not appear to have any effect on renal function (as measured by creatinine clearance).

6.4 Exercises
33. A study to determine whether of not patients who had suffered from clozapine–induced agranulo-
cytosis had abnormal free radical scavenging enzyme activity (FRESA), compared k = 4 groups:
post–clozapine agranulocytosis (PCA), clozapine no agranulocytosis (CNA), West Coast controls
(WCC), and Long Island Jewish Medical Center controls (LIJC) (Linday, et al.,1995). One measure
FRESA was the glutathione peroxidase level in Plasma. Table 6.28 gives the summary statistics for
each group, Table 6.29 has the corresponding Analysis of Variance, and Table 6.30 has Bonferroni’s
and Tukey’s simultaneous 95% confidence intervals comparing each pair of groups.

(a) Test H0 : µ1 = µ2 = µ3 = µ4 = 0 vs HA : Not all µi are equal.

(b) Assuming you reject H0 in part a), which groups are significantly different? In particular,
does the PCA group appear to differ from the others?
(c) Which method, Bonferroni’s or Tukey’s, gives the most precise confidence intervals?

Group 1 (PCA) Group 2 (CNA) Group 3 (WCC) Group 4 (LIJC)

Mean y 1 = 34.3 y 2 = 44.5 y 3 = 45.3 y 4 = 46.4
Std Dev s1 = 6.9 s2 = 7.4 s3 = 4.6 s4 = 8.7
Sample Size n1 = 9 n2 = 12 n3 = 14 n4 = 12

Table 6.28: Sample statistics for glutathione peroxidase levels in four patient groups

ANOVA
Source of Sum of Degrees of Mean
Variation Squares Freedom Square F
TREATMENTS 917.6 3 305.9
ERROR 2091.0 43 48.6
TOTAL 3008.6 46

Table 6.29: The Analysis of Variance table for glutathione peroxidase levels in four patient groups

34. A study was conducted to compare the sexual side effects among four antidepressants: bupropion,
fluoxetine, paroxetine, and sertraline (Modell, et al., 1997). Psychiatric outpatients were asked to
anonymously complete a questionaire regarding changes in the patients’ sexual functioning relative
to that before the onset of the patients’ psychiatric illnesses.
One of the questions asked was: “Compared with your previously normal state, please rate how
your libido (sex drive) has changed since you began taking this mediation. The range of outcomes
ranged from −2 (very much decreased) to +2 (very much increased). Although the scale was
technically ordinal, the authors treated it as interval scale (as is commonly done).
124 CHAPTER 6. EXPERIMENTAL DESIGN AND THE ANALYSIS OF VARIANCE

Simultaneous 95% CI’s

Comparison yi − yj Bonferroni Tukey
PCA vs CNA 34.3 − 44.5 = −10.2 (−18.7, −1.7) (−17.7, −2.7)
PCA vs WCC 34.3 − 45.3 = −11.0 (−19.3, −2.7) (−18.3, −3.7)
PCA vs LIJC 34.3 − 46.4 = −12.1 (−20.6, −3.6) (−19.6, −4.6)
CNA vs WCC 44.5 − 45.3 = −0.8 (−8.4, 6.8) (−7.5, 5.9)
CNA vs LIJC 44.5 − 46.4 = −1.9 (−9.8, 6.0) (−8.8, 5.0)
WCC vs LIJC 45.3 − 46.4 = −1.1 (−8.7, 6.5) (−7.8, 5.6)

Table 6.30: Bonferroni and Tukey multiple comparisons for the glutathione peroxidase levels in
four patient groups

The overall mean score was y = −0.38. The group means and standard deviations are given below
in Table 6.31.

Drug (i) ni yi si ni (y i − y)2 (ni − 1)s2i

Buproprion (1) 22 0.46 0.80 22(0.46 − (−0.38))2 = 15.52 (22 − 1)(0.80)2 = 13.44
Fluoxetine (2) 37 −0.49 0.97
Paroxetine (3) 21 −0.90 0.73
Sertraline (4) 27 −0.49 1.25

Table 6.31: Summary statistics and sums of squares calculations for sexual side effects of antide-
pressant data.

(a) Complete Table 6.31.

(b) Set up the Analysis of Variance table.
(c) Denoting the population mean change for drug i as µi , test H0 : µ1 = µ2 = µ3 = µ4 vs
HA : Not all µi are equal at the α = 0.05 significance level.
(d) Use Table 6.32 to make all pairwise comparisons among treatment means at the α = 0.06
significance level (this strange level allows us to make each comparison at the α = 0.01 level).
Use Bonferroni’s procedure.
q
Trts (i, j) yi − yj t.01,103 M SE(1/ni + 1/nj ) Conclude
(1,2) 0.46 − (−0.49) = 0.95 0.624 µ1 > µ2
(1,3) 0.708
(1,4) 0.666
(2,3) 0.634
(2,4) 0.587
(3,4) 0.675

Table 6.32: Pairwise comparison of antidepressant formulations on sexual side effects.

(e) Does any formulation appear to be better than all the others? If so, which is it.
 6.4. EXERCISES 125

(f) The F –test is derived from the assumption that all populations being compared are approx-
imately normal with common variance σ 2 , which is estimated by σ̂ 2 = M SE. Based on this
estimate of the variance, as well as the estimates of the individual means, sketch the prob-
ability distributions of the individual measurements (assuming individuals scores actuall fall
along a continuous axis, not just at the discrete points −2, −1, . . . , 2.

35. A Phase III clinical trial compared the efficacy of fluoxetine with that of imipramine in patients
with major depressive disorder (Stark and Hardison, 1985). The mean change from baseline for
each group, as well as the standard deviations are given in Table 6.33. Obtain the analysis of
variance, test for treatment effects, and use Bonferroni’s procedure to obtain 95% simultaneous
confidence intervals for the differences among all pairs of means.

Group 1 (Fluoxetine) Group 2 (Imipramine) Group 3 (Placebo)

Mean y 1 = 11.0 y 2 = 12.0 y 3 = 8.2
Std Dev s1 = 10.1 s2 = 10.1 s3 = 9.0
Sample Size n1 = 185 n2 = 185 n3 = 169

Table 6.33: Sample statistics for change in Hamilton depression scores in three treatment groups

36. An intranasal monoclonal antibody (HNK20) was tested against respiratory syncytial virus (RSV)
in rhesus monkeys (Weltsin, et al.,1996). A sample of n = 24 monkeys were given RSV, and
randomly assigned to receive one of k = 4 treatments: placebo, 0.2 mg/day, 0.5 mg/day, or 2.5
mg/day HNK20. The monkeys, free of RSV, received the treatment intranasally once daily for two
days, then given RSV and given treament daily for four more days. Nasal swabs were collected daily
to measure the amount of RSV for 14 days. Table 6.34 gives the peak RSV titer (log10 /mL) for
the 24 monkeys by treatment, and their corresponding ranks. Note that low RSV titers correspond
to more effective treatment. Table 6.35 gives the Wilcoxon rank sums for each pair of treatments.

(a) Use the Kruskal–Wallis test to determine whether or not treatment differences exist.
(b) Assuming treatment differences exist, use the Wilcoxon Rank Sum test to compare each pair
of treatments. Note that 6 comparisons are being made, so that if each is conducted at α = .01
the overall error rate will be no higher than 6(.01)=.06, which is close to the .05 level. For
each comparison, conclude µ1 6= µ2 if T = min(T1 , T2 ) ≤ 23, this gives an overall error rate of
α = .06.

37. Pharmacokinetics of k = 5 formulations of flurbiprofen were compared in a crossover study (For-

land, et al.,1996). Flurbiprofen is commercially available as a racemic mixture, with its pharma-
cologic effect being attributed to the S isomer. The drug was delivered in toothpaste in k = 5
concentration/R:S ratio combinations. These were:

1. 1% 50:50 (commercially available formulation)

2. 1% 14:86
3. 1% 5:95
4. 0.5% 5:95
5. 0.25% 5:95
 126 CHAPTER 6. EXPERIMENTAL DESIGN AND THE ANALYSIS OF VARIANCE

Treatment
Placebo HNK20 (0.2mg/day) HNK20 (0.5mg/day) HNK20 (2.5mg/day)
(i = 1) (i = 2) (i = 3) (i = 4)
5.5 (19) 3.5 (9) 4.0 (11.5) 2.5 (6)
6.0 (22.5) 5.5 (19) 3.0 (7.5) ≤ 0.5 (2.5)
4.5 (14.5) 6.0 (22.5) 4.0 (11.5) ≤ 0.5 (2.5)
5.5 (19) 4.0 (11.5) 3.0 (7.5) 1.5 (5)
5.0 (16.5) 6.0 (22.5) 4.5 (14.5) ≤ 0.5 (2.5)
6.0 (22.5) 5.0 (16.5) 4.0 (11.5) ≤ 0.5 (2.5)
T1 = 114.0 T2 = 101.0 T3 = 64.0 T4 = 21.0
T12 /n1 = 2166.0 T22 /n2 = 1700.2 T32 /n3 = 682.7 T42 /n4 = 73.5

Table 6.34: Peak RSV titer in HNK20 monoclonal antibody study in n = 24 rhesus monkeys

Trt Pairs T1 T2
Placebo/0.2 mg/day 42.5 35.5
Placebo/0.5 mg/day 56.5 21.5
Placebo/2.5 mg/day 57.0 21.0
0.2/0.5 50.5 27.5
0.2/2.5 57.0 21.0
0.5/2.5 57.0 21.0

Table 6.35: Wilcoxon Rank Sums for each pair of treatment in HNK20 monoclonal antibody study

Data for mean residence time (ng · hr2 /mL) for S–flurbiprofen are given in Table 6.36, as well
as the block means and treatment means. The Analysis of Variance is given in Table 6.37. Test
whether or not the treatment means differ in terms of the variable mean residence time (α = 0.05).
Does there appear to be a formulation effect in terms of the length of time the drug is determined
to be in the body? Which seems to vary more, the treatments or the subjects?

38. In the previously described study (Forland, et al.,1996), the authors also reported the S isomer
area under the concentration–time curve (AU C, ng · hr/mL). These data have various outlying
observations, thus normality assumptions won’t hold. Data and some ranks are given in Table 6.38.
Complete the rankings and test whether or not differences exist among the formulations with
Friedman’s test (α = 0.05).
Assuming you determine treatment effects exist, we would like to compare all 10 pairs of treatments,
simultaneously. We will make each comparison at the α = 0.01 significance levels, so that the overall
significance level will be no higher than 10(0.01)=0.10. For the Wilcoxon Signed–Rank test, with
n = 8 pairs, we conclude that µ1 6= µ2 if T = min(T + , T − ) ≤ 2 when we conduct a 2–sided test
at α = 0.01. Which pairs of treatments differ significantly, based on this criteria? Within each
significantly different pair, which treatment has a higher mean AU C? For each comparison, T +
and T − are given in Table 6.39.

39. The effects of long–term zidovudine use in patients with HIV–1 was studied in terms of neurocog-
nitive functions (Baldeweg, et al.,1995). Patients were classified by zidovudine status (long–term
user or non–user), and by their disease state (asymtomatic, symptomatic (non–AIDS), or AIDS).
We would like to determine if there is a drug effect, a disease state effect, and/or an interaction
6.4. EXERCISES 127

Formulation
Subject 1 2 3 4 5 Mean
1 13.3 8.0 8.2 10.2 9.3 9.80
2 10.8 13.7 9.5 8.9 10.5 10.68
3 3.0 5.9 6.9 10.3 3.3 5.88
4 2.9 5.7 7.2 6.3 7.8 5.98
5 0.7 4.7 8.0 4.8 8.2 5.28
6 3.4 4.3 7.4 4.0 4.1 4.64
7 16.1 11.9 7.6 8.4 8.5 10.50
8 9.8 7.2 8.5 8.3 3.7 7.50
Mean 7.5 7.7 7.9 7.7 6.9 7.5

Table 6.36: S–flurbiprofen mean residence times

ANOVA
Source of Sum of Degrees of Mean
Variation Squares Freedom Square F
TREATMENTS 4.39 4 1.10
BLOCKS 212.18 7 30.31
ERROR 196.84 28 7.03
TOTAL 413.41 39

Table 6.37: Analysis of Variance table for flurbiprofen mean residence time data (RBD)

Formulation
Subject 1 2 3 4 5
1 2249 (2) 3897 (4) 3938 (5) 3601 (3) 2118 (1)
2 1339 (4) 2122 (5) 649 (1) 834 (3) 815 (2)
3 282 (2) 694 (4) 1200 (5) 583 (3) 228 (1)
4 319 (1) 1617 (5) 982 (3) 1154 (4) 419 (2)
5 10 (1) 192 (3) 263 (4) 487 (5) 165 (2)
6 417 (3) 536 (4) 685 (5) 285 (2) 257 (1)
7 1063 ( ) 1879 ( ) 1404 ( ) 1302 ( ) 642 ( )
8 881 ( ) 1433 ( ) 1795 ( ) 2171 ( ) 619 ( )

Table 6.38: AU C and (ranks) for flurbiprofen crossover study

 128 CHAPTER 6. EXPERIMENTAL DESIGN AND THE ANALYSIS OF VARIANCE

Comparison T+ T−
1 vs 2 0 36
1 vs 3 5 31
1 vs 4 6 30
1 vs 5 30 6
2 vs 3 20 16
2 vs 4 26 10
2 vs 5 36 0
3 vs 4 21 15
3 vs 5 34 2
4 vs 5 36 0

Table 6.39: Wilcoxon signed–rank statistics for each pair of formulations for flurbiprofen crossover
study

between drug and disease state for the response Hospital Anxiety Scale scores. Note that this
experiment is unbalanced, in the sense that the sample sizes for each of the six groups vary. The
mean, standard deviation, and sample size for each drug/disease state group is given in Table 6.40,
and the Analysis of Variance (based on partial, or Type III sums of squares) is given in Table 6.41.

(a) Is the interaction between drug and disease state significant at α = 0.05?
(b) Assuming the interaction is not significant, test for drug effects and disease state effects at
α = 0.05. Does long–term use of zidovudine significantly reduce anxiety scores?

ZDV Group Asymptomatic Symptomatic (non–AIDS) AIDS

y = 6.6 y = 10.7 y = 9.6
Off ZDV s = 4.3 s = 4.7 s = 5.1
n = 35 n = 21 n=5
y = 6.2 y = 5.9 y = 8.3
Off ZDV s = 3.2 s = 3.4 s = 2.4
n = 19 n = 11 n=7

Table 6.40: Summary statistics for anxiety scale scores for each drug/disease state combination for
long–term zidovudine study

40. Two oral formulations of loperamide (Diarex Lactab and Imodium capsules) were compared in a
two–period crossover study in 24 healthy male volunteers (Doser, et al.,1995). Each subject received
each formulation, with half the subjects taking each formulation in each study period. The raw
data for log(AU C)(ng · hr/ml) is given in Table 6.42. Note that sequence A means the subject
received Diarex Lactab in the first time period and the Imodium capsule in the second time period.
Sequence B means the drugs were given in opposite order. The Analysis of Variance is given
in Table 6.43. Test whether or not the mean log(AU C) values differ for the two formulations at
α = 0.05 significance level. (Note that sequence A and B means are 4.0003 and 4.2002, respectively;
and period 1 and 2 means are 4.0645 and 4.1360, respectively; if you wish to reproduce the Analysis
of Variance table).

41. The effects of a hepatotropic agent, malotilate, were observed in rats (Akahane, et al.,1987). In the
experiment, it was found that high doses of malotilate were associated with anemia, and reduced
6.4. EXERCISES 129

ANOVA
Source of Sum of Degrees of Mean
Variation Squares Freedom Square F
Zidovudine (A) 77.71 1 77.71
Disease State (B) 105.51 2 52.76
ZDV×Disease (AB) 89.39 2 44.70
ERROR 1508.98 92 16.40
TOTAL — 97

Table 6.41: The Analysis of Variance table for the zidovudine anxiety data (Partial or Type III
sums of squares)

Subject Sequence Diarex Imodium Mean

1 A 3.6881 3.7842 3.7362
2 B 4.0234 3.8883 3.9559
3 B 3.7460 4.0932 3.9196
4 A 3.7593 3.6981 3.7287
5 B 4.3720 4.0042 4.1881
6 B 4.2772 4.1279 4.2026
7 B 4.1382 4.6751 4.4066
8 A 4.1171 4.3944 4.2558
9 A 3.9806 3.8567 3.9187
10 A 3.8040 4.1528 3.9784
11 A 4.2466 4.5474 4.3970
12 B 3.7858 3.8910 3.8384
13 A 4.0193 3.9202 3.9697
14 A 3.7381 3.8073 3.7727
15 A 4.4042 4.5736 4.4889
16 A 3.5888 3.9705 3.7796
17 B 4.6881 4.2060 4.4471
18 B 5.0342 4.7617 4.8980
19 A 4.2502 4.4703 4.3602
20 B 4.0596 4.5567 4.3081
21 B 3.6633 3.7537 3.7085
22 B 4.1735 3.9967 4.0851
23 B 4.3594 4.5285 4.4440
24 A 3.4689 3.7672 3.6180
Mean — 4.0577 4.1427 4.1002

Table 6.42: Log(AU C0−∞ ) for Diarex Lactab and Imodium Capsules from bioequivalence study
130 CHAPTER 6. EXPERIMENTAL DESIGN AND THE ANALYSIS OF VARIANCE

ANOVA
Source of Sum of Degrees of Mean
Variation Squares Freedom Square
Formulations 0.0867 1 0.0867
Periods 0.0613 1 0.0613
Sequences 0.4792 1 0.4792
Subjects(Sequences) 4.3503 22 0.1977
Error 0.7826 22 0.0356
TOTAL 5.7602 47

Table 6.43: The Analysis of Variance table for 2–period crossover loperamide bioequivalence study

red blood cell counts. A sample of 30 rats were taken, and assigned at random to receive either:
control, 62.5, 125, 250, 500, or 1000 mg/kg malotilate. Five rats were assigned to each of the
k = 6 treatments. Measurements of anemic response were based on, among others, red blood
cell count RBC(×104 /mm3 ), which was measured once a week for 6 weeks. Mean RBC is given
in Table 6.44 for each treatment group at each time period. The repeated–measures Analysis of
Variance is given in Table 6.45. Test whether or not differences in mean RBC exist among the
k = 6 treatment groups at α = 0.05.

Dose Week 1 Week 2 Week 3 Week 4 Week 5

Control 636 699 716 732 744
62.5 647 708 753 762 748
125 674 722 790 844 760
250 678 694 724 739 704
500 617 668 662 722 645
1000 501 607 613 705 626

Table 6.44: Mean RBC(×104 /mm3 ) counts for each treatment group at each time period
6.4. EXERCISES 131

ANOVA
Source of Sum of Degrees of Mean
Variation Squares Freedom Square F
Treatments 324360.5 5 64872.1
Subjects(Trts) 68643.12 24 2680.1
Time 244388.2 4 61097.1
Trt * Time 67827.8 20 3391.4
Error 155676.48 96 1621.63
TOTAL 860896.1 149

Table 6.45: The Analysis of Variance table for malotilate example

132 CHAPTER 6. EXPERIMENTAL DESIGN AND THE ANALYSIS OF VARIANCE
Chapter 7

Linear Regression and Correlation

In many situations, both the explanatory and response variables are numeric. We often are inter-
ested in determining whether or not the variables are linearly associated. That is, do subjects who
have high measurements on one variable tend to have high (or possibly low) measurements on the
other variable? In many instances, researchers will fit a linear equation relating the response vari-
able as a function of the explanatory variable, while still allowing random variation in the response.
That is, we may believe that the response variable Y can be written as:

Y = β0 + β1 x + ε,

where x is the level of the explanatory variable, β0 + β1 x defines the deterministic part of the
response Y , and ε is a random error term that is generally assumed to be normally distributed with
mean 0, and standard deviation σ. In this setting, β0 , β1 , and σ are population parameters to be
estimated based on sample data. Thus, our model is that Y |x ∼ N (β0 + β1 x, σ).
More often, instead of reporting the estimated regression equation, investigators will report the
correlation. The correlation is a measure of the strength of association between the explanatory
and response variables. The correlation measures we will cover fall between −1 and 1, where values
close to 1 (or −1) imply strong positive (or negative) association between the explanatory and
response variables. Values close to 0 imply little or no association between the two variables.
In this chapter, we will cover estimation and inference for the simple regression model, measures
of correlation, the analysis of variance table, an overview of multiple regression (when there is more
than one explanatory variable). First, we give a motivating example of simple regression (models
with one numeric explanatory variable), which we will build on throughout this chapter.

Example 7.1 A study was conducted to determine the effect of impaired renal function on the
pharmacokinetics of gemfibrozil (Evans, et al.,1987). The primary goal was to determine whether
modified dosing schedules are needed for patients with poor renal function. The explanatory
variable of interest was serum creatinine clearance (CLCR (mg/dL)), which serves as a measure
of glomerular filtration rate. Patients with end stage renal disease were arbitrarily given a CLCR
of 5.0. Four pharmacokinetic parameters were endpoints (response variables) of interest. These
were terminal elimination half–life at single and multiple doses (ts1/2 and tm
1/2 in hr), and apparent
s m
gemfibrozil clearance at single and multiple dose (CLg and CLg in mL/min). We will focus on
the clearance variables.
Of concern to physicians prescribing this drug is whether people with lower creatinine clearances
have lower gemfibrozil clearances. That is, does the drug tend to remain in the body longer in
patients with poor renal function. As has been done with many drugs (see Gibaldi (1984) for many

133
134 CHAPTER 7. LINEAR REGRESSION AND CORRELATION

examples), it is of interest to determine whether or not there is an association between CLCR and
CLg , either at single dose or multiple dose (steady state). The data are given in Table 7.1. Plots
of the data and estimated regression equations are given in Figure 7.1 and Figure 7.2 for single
and multiple dose cases, respectively. We will use the multiple dose data as the ongoing example
throughout this chapter.

Subject CLCR CLsg CLmg

1 5 122 278
2 5 270 654
3 5 50 355
4 5 103 581
5 21 806 484
6 23 183 204
7 28 124 255
8 31 452 415
9 40 61 352
10 44 459 338
11 51 272 278
12 58 273 260
13 67 248 383
14 68 114 376
15 69 264 141
16 70 136 236
17 70 461 122
Mean 38.8 258.7 336.0
Std Dev 25.5 194.3 142.3

Table 7.1: Clearance data for patients with impaired renal function for gemfibrozil study

7.1 Least Squares Estimation of β0 and β1

We now have the problem of using sample data to compute estimates of the parameters β0 and
β1 . First, we take a sample of n subjects, observing values y of the response variable and x of the
explanatory variable. We would like to choose as estimates for β0 and β1 , the values β̂0 and β̂1 that
‘best fit’ the sample data. If we define the fitted equation to be an equation:

ŷ = β̂0 + β̂1 x,

we can choose the estimates β̂0 and β̂1 to be the values that minimize the distances of the data
points to the fitted line. Now, for each observed response yi , with a corresponding predictor variable
xi , we obtain a fitted value ŷi = β̂0 + β̂1 xi . So, we would like to minimize the sum of the squared
distances of each observed response to its fitted value. That is, we want to minimize the error
sum of squares, SSE, where:
n
X n
X
2
SSE = (yi − ŷi ) = (yi − (β̂0 + β̂1 xi ))2 .
i=1 i=1
7.1. LEAST SQUARES ESTIMATION OF β0 AND β1 135

CL_G_S
900
800
700
600
500
400
300
200
100
0
0 10 20 30 40 50 60 70
CL_CR
Figure 7.1: Plot of gemfibrozil vs creatininine clearance at single dose, and estimated regression
line (ŷ = 231.31 + 0.71x)
136 CHAPTER 7. LINEAR REGRESSION AND CORRELATION

CL_G_M
700

600

500

400

300

200

100
0 10 20 30 40 50 60 70
CL_CR
Figure 7.2: Plot of gemfibrozil vs creatininine clearance at multiple dose, and estimated regression
line (ŷ = 460.83 − 3.22x)
7.1. LEAST SQUARES ESTIMATION OF β0 AND β1 137

Three summary statistics are useful in computing regression estimates. They are:
x)2
P
X X (
Sxx = (x − x)2 = x2 −
n
P P
X x)(X ( y
Sxy = (x − x)(y − y) = xy −
n
P 2
X X ( y)
Syy = (y − y)2 = y2 −
n
A little bit of calculus can be used to obtain the estimates:
Pn
i=1 (xi − x)(yi − y) Sxy
β̂1 = Pn 2
= ,
i=1 (xi − x) Sxx
and Pn Pn
i=1 yi i=1 xi
β̂0 = y − β̂1 x = . − β̂1
n n
We have seen now, how to estimate β0 and β1 . Now we can obtain an estimate of the variance
of the responses at a given value of x. Recall from Chapter 1, we estimated the variance by taking
the ‘average’ squaredPdeviation of each measurement from the sample (estimated) mean. That is,
n
(yi −y)2
we calculated s2 = i=1n−1 . Now that we fit the regression model, we know longer use Y to
estimate the mean for each yi , but rather ŷi = β̂0 + β̂1 xi to estimate the mean. The estimate we
use now looks similar to the previous estimate except we replace Y with ŷi and we replace n − 1
with n − 2 since we have estimated 2 parameters, β0 and β1 . The new estimate is:
(S )2
Syy − Sxy
Pn
2 SSE − ŷi )
i=1 (yi xx
s = M SE = = = .
n−2 n−2 n−2
This estimated variance s2 can be thought of as the ‘average’ squared distance from each observed
response to the fitted line.. The word average is in quotes since we divide by n − 2 and not n. The
closer the observed responses fall to the line, the smaller s2 is and the better our predicted values
will be.

Example 7.2 For the gemfibrozil example, we will estimate the regression equation and variance
for the multiple dose data. In this example, our response)variable is multiple dose gemfibrozil
clearance (y), and the explanatory variable is creatinine clearance (x). Based on data in Table 7.1,
we get the following summary statistics:
X X X X X
n = 17 x = 660.0 x2 = 35990.0 y = 5712.0 y 2 = 2243266.0 xy = 188429.0

From this, we get:

(660.0)2
Sxx = 35990.0 −
= 10366.5
17
(660.0)(5712.0)
Sxy = 188429.0 − = −33331.0
17
(5712.0)2
Syy = 2243266.0 − = 324034.0
17
From these computations, we get the following estimates:
Sxy −33331.0
β̂1 = = = −3.22
Sxx 10366.5
138 CHAPTER 7. LINEAR REGRESSION AND CORRELATION
P P 
y x 5712.0 660.0
 
β̂0 = − β̂1 = − (−3.22) = 461.01
n n 17 17
(S )2 2
2
Syy − Sxyxx
324034.0 − (−33331.0)
10366.5
s = = = 14457.7
n−2 17 − 2
So, we get the fitted regression equation ŷ = 461.01 − 3.22x. Patients with higher creatinine
clearances tend to have lower multiple dose gemfibrozil clearance, based on the sample data. We
will test whether the population parameter √ β1 differs from 0 in the next section. Also, the standard
deviation (from the fitted equation) is s = 14457.7 = 120.2.
Note that the estimated y–intercept (β̂0 ) is slightly different than that given in Figure 7.2.
That is due to round–off error in my hand calculations, compared to the computer values that
carry many decimals throughout calculations. In most instances (except when data are very small
– like decimals), these differences are trivial. The plot of the fitted equation is given in Figure 7.2.

7.1.1 Inferences Concerning β1

Recall that in our regression model, we are stating that E(Y |x) = β0 + β1 x. In this model, β1
represents the change in the mean of our response variable Y , as the predictor variable x increases
by 1 unit. Note that if β1 = 0, we have that E(Y |x) = β0 + β1 x = β0 + 0x = β0 , which implies the
mean of our response variable is the same at all values of x. This implies that knowledge of the
level of the predictor variable does not help predict the response variable.
Under the assumptions stated previously, namely that Y ∼ N (β0 + β1 x, σ 2 ), our estimator β̂1
has a sampling distribution that is normal with mean β1 (the true value of the parameter), and
2 2
variance Pn σ(x −x)2 . That is β̂1 ∼ N (β1 , Pn σ(x −x)2 ). We can now make inferences concerning
i=1 i i=1 i
β1 , just as we did for µ, p, µ1 − µ2 , and p1 − p2 previously.

A Confidence Interval for β1

Recall the general form of a (1−α)100% confidence interval for a parameter θ (based on an estimator
that is approximately normal). The interval is of the form:

θ̂ ± zα/2 σ̂θ̂

for large samples, or

θ̂ ± tα/2 σ̂θ̂
for small samples where the random error terms are approximately normal.
This leads us to the general form of a (1 − α)100% confidence interval for β1 . The interval can
be written:
s
β̂1 ± tα/2,n−2 σ̂β̂1 ≡ β̂1 ± tα/2,n−2 √ .
Sxx
√
Note that √Ss is the estimated standard error of β̂1 since we use s = M SE to estimate σ. Also,
xx
we have n − 2 degrees of freedom instead of n − 1, since the estimate s2 has 2 estimated paramters
used in it (refer back to how we calculate it above).

Example 7.3 For the data in Example 7.2, we can compute a 95% confidence interval for the
population parameter β1 , which measures the change in mean multiple dose gemfibrozil clearance,
for unit changes in creatinine clearance. Note that if β1 > 0, then multiple dose gemfibrozil
clearance is higher among patients with high creatinine clearance (lower in patients with impaired
7.1. LEAST SQUARES ESTIMATION OF β0 AND β1 139

renal function). Conversely, if β1 < 0, the reverse is true, and patients with impaired renal function
tend to have higher clearances. Finally if β1 = 0, there is no evidence of any association between
creatinine clearance and multiple dose creatinine clearance. In this example, we have n = 17
patients, so t.05/2,n−2 = t.025,15 = 2.131. The 95% CI for β1 is:

s 120.2
β̂1 ± tα/2,n−2 σ̂β̂1 ≡ β̂1 ± tα/2,n−2 √ ≡ −3.32 ± 2.131 √ ≡ −3.32 ± 2.52 ≡ (−5.84, −0.80).
Sxx 10366.5

Thus, we can conclude that multiple dose gemfibrozil clearance decreases as creatinine clearance
increases. That is, the drug is removed quicker in patients with impaired renal function. Since
the authors were concerned that the clearance would be lower in these patients, they stated that
dosing schedules does not need to be altered for patients with renal insufficiency.

Hypothesis Tests Concerning β1

Similar to the idea of the confidence interval, we can set up a test of hypothesis concerning β1 .
Since the confidence interval gives us the range of ‘believable’ values for β1 , it is more useful than
a test of hypothesis. However, here is the procedure to test if β1 is equal to some value, say β10 .
In virtually all real–life cases, β10 = 0.

1. H0 : β1 = β10

2. HA : β1 6= β10 or HA : β1 > β10 or HA : β1 < β10 (which alternative is appropriate should be

clear from the setting).
 
3. T.S.: tobs = (β̂1 − β10 )/ √s
Sxx

4. R.R.: |tobs | ≥ tα/2,n−2 or tobs ≥ tα,n−2 or tobs ≤ −tα,n−2 (which R.R. depends on which
alternative hypothesis you are using).

5. p-value: 2P (T > |tobs |) or P (T > tobs ) or P (T < tobs ) (again, depending on which alternative
you are using).

Example 7.4 Although we’ve already determined that β1 6= 0 in Example 7.3, we will conduct
the test (α = 0.05) for completeness.

1. H0 : β1 = 0

2. HA : β1 6= 0
   
3. T.S.: tobs = (β̂1 − 0)/ √s = −3.32/ √ 120.2 = −2.81
Sxx 10366.5

4. R.R.: |tobs | ≥ t.05/2,17−2 = t.025,15 = 2.131

5. p-value: 2P (T ≥ |tobs |) = 2P (T ≥ 2.81) = 2(.0066) = .0132

Again, we reject H0 , and conclude that β1 6= 0. Also, since our test statistic is negative, and we
conclude that β1 < 0, just as we did based on the confidence interval in Example 7.3.
140 CHAPTER 7. LINEAR REGRESSION AND CORRELATION

7.2 Correlation Coefficient

In many situations, we would like to obtain a measure of the strength of the linear association
between the variables y and x. One measure of this association that is often reported in research
journals from many fields is the Pearson product moment coefficient of correlation. This
measure, denoted by r, is a number that can range from -1 to +1. A value of r close to 0 implies
that there is very little association between the two variables (y tends to neither increase or decrease
as x increases). A positive value of r means there is a positive association between y and x (y tends
to increase as x increases). Similarly, a negative value means there is a negative association (y
tends to decrease as x increases). If r is either +1 or -1, it means the data fall on a straight line
(SSE = 0) that has either a positive or negative slope, depending on the sign of r. The formula
for calculating r is:
Sxy
r=p .
Sxx Syy

Note that the sign of r is always the same as the sign of β̂1 . Also a test that the population corre-
lation coefficient is 0 (no linear association between y and x) can be conducted, and is algebraically
equivalent to the test H0 : β1 = 0. Often, the correlation coefficient, and its p–value for that test
is reported.
Another measure of association that has a clearer physical interpretation than r is r2 , the
coefficient of determination. This measure is always between 0 and 1, so it does not reflect whether
y and x are positively or negatively associated, and it represents the proportion of the total variation
in the response variable that is ‘accounted’ for by fitting the regression on x. The formula for r2 is:

Syy − SSE
r2 = (r)2 = .
Syy

Note that Syy = ni=1 (yi − y)2 represents the total variation in the response variable, while SSE =
P
Pn 2
i=1 (yi − ŷi ) represents the variation in the observed responses about the fitted equation (after
taking into account x). This is why we sometimes say that r2 is “proportion of the variation in y
that is ‘explained’ by x.”
When the data (or errors) are clearly not normally distributed (large outliers generally show up
on plots), a nonparametric correlation measure Spearman’s coefficient of correlation can be
computed. Spearman’s measure involves ranking the x values from 1 to n, and the y values from
1 to n, then computing r as in Pearson’s measure, but replacing the raw data with the ranks.

Example 7.5 For the multiple dose gemfibrozil clearance data, we compute the following values
for r and r2 :

Sxy −33331.0
r=p =p = −.575 r2 = (−.575)2 = .331
Sxx Syy (10366.5)(324034.0)

Note that r is negative. It will always be the same sign as β̂1 . There is a moderate, negative
correlation between multiple dose gemfibrozil clearance and creatinine clearance. Further, r2 can be
interpreted as the proportion of variation in multiple dose gemfibrozil clearance that is “explained”
by the regression on creatinine clearance. Approximately one–third (33.1%) of the variance in
gemfibrozil clearance is reduced when we use the fitted value (based on the subject’s creatinine
clearance) in place of the sample mean (ignoring the patient’s creatinine clearance) to predict it.
7.3. THE ANALYSIS OF VARIANCE APPROACH TO REGRESSION 141

7.3 The Analysis of Variance Approach to Regression

Consider the deviations of the individual responses, yi , from their overall mean y. We would like
to break these deviations into two parts, the deviation of the observed value from its fitted value,
ŷi = β̂0 + β̂1 xi , and the deviation of the fitted value from the overall mean. This is similar in nature
to the way we partitioned the total variation in the completely randomized design. We can write:

yi − y = (yi − ŷi ) + (ŷi − y).

Note that all we are doing is adding and subtracting the fitted value. It so happens that algebraically
we can show the same equality holds once we’ve squared each side of the equation and summed it
over the n observed and fitted values. That is,
n
X n
X n
X
(yi − y)2 = (yi − ŷi )2 + (ŷi − y)2 .
i=1 i=1 i=1

These three pieces are called the total, error, and model sums of squares, respectively. We
denote them as Syy , SSE, and SSR, respectively. We have already seen that Syy represents the
total variation in the observed responses, and that SSE represents the variation in the observed
responses around the fitted regression equation. That leaves SSR as the amount of the total
variation that is ‘accounted for’ by taking into account the predictor variable x. We can use
this decomposition to test the hypothesis H0 : β1 = 0 vs HA : β1 6= 0. We will also find this
decomposition useful in subsequent sections when we have more than one predictor variable. We
first set up the Analysis of Variance (ANOVA) Table in Table 7.2. Note that we will have
to make minimal calculations to set this up since we have already computed Syy and SSE in the
regression analysis.

ANOVA
Source of Sum of Degrees of Mean
Variation Squares Freedom Square F
SSR = ni=1 (ŷi − y)2 M SR = SSR M SR
P
MODEL 1 1 F =M SE
Pn SSE
ERROR SSE = i=1 (yi − ŷi )2 n−2 M SE = n−2
Pn
TOTAL Syy = i=1 (yi − y)2 n−1

Table 7.2: The Analysis of Variance table for simple regression

The testing procedure is as follows:

1. H0 : β1 = 0 HA : β1 6= 0 (This will always be a 2–sided test)

M SR
2. T.S.: Fobs = M SE

3. R.R.: Fobs ≥ Fα,1,n−2

4. p-value: P (F ≥ Fobs )

Note that we already have a procedure for testing this hypothesis (see the section on Inferences
Concerning β1 ), but this is an important lead–in to multiple regression.
142 CHAPTER 7. LINEAR REGRESSION AND CORRELATION

Example 7.6 For the multiple dose gemfibrozil clearance data, we give the Analysis of Variance
table, as well as the F –test for testing for an association between the two clearance measures. The
Analysis of Variance is given in Table 7.3. The testing procedure (α = 0.05) is as follows:

ANOVA
Source of Sum of Degrees of Mean
Variation Squares Freedom Square F
107167.9
MODEL 107167.9 1 107167.9 F = 14457.7 = 7.41
ERROR 216866.1 15 14457.7
TOTAL 324034.0 16

Table 7.3: The Analysis of Variance Table for multiple dose gemfibrozil clearance data

1. H0 : β1 = 0 HA : β1 6= 0

M SR
2. T.S.: Fobs = M SE = 7.41

3. R.R.: Fobs ≥ Fα,1,n−2 = F.05,1,15 = 4.54

4. p-value: P (F ≥ Fobs ) = P (F ≥ 7.41) = .0132

The conclusion reached is identical to that given in Example 7.4.

7.4 Multiple Regression

In most situations, we have more than one explanatory variable. While the amount of math
can become overwhelming and involves matrix algebra, many computer packages exist that will
provide the analysis for you. In this section, we will analyze the data by interpreting the results
of a computer program. It should be noted that simple regression is a special case of multiple
regression, so most concepts we have already seen apply here.
In general, if we have p explanatory variables, we can write our response variable as:

Y = β0 + β1 x1 + · · · + βp xp + ε.

Again, we are writing the random measurement Y in terms of its deterministic relationship to a set
of p explanatory variables and a random error term, ε. We make the same assumptions as before in
terms of ε, specifically that it is normally distributed with mean 0 and variance σ 2 . Just as before,
β0 , β1 , . . . , βp , and σ 2 are unknown parameters that must be estimated from the sample data. The
parameters βi represent the change in the mean response when the ith explanatory variable changes
by 1 unit and all other explanatory variables are held constant.
The Analysis of Variance table will be very similar to what we used previously, with the only
adjustments being in the degrees of freedom. Table 7.4 shows the values for the general case when
there are p explanatory variables. We will rely on computer outputs to obtain the Analysis of
Variance and the estimates β̂0 , β̂1 , . . . , β̂p and their standard errors.
7.4. MULTIPLE REGRESSION 143

ANOVA
Source of Sum of Degrees of Mean
Variation Squares Freedom Square F
SSR = ni=1 (ŷi − y)2 M SR = SSR M SR
P
MODEL p p F =M SE
Pn SSE
ERROR SSE = i=1 (yi − ŷi )2 n−p−1 M SE = n−p−1
Pn
TOTAL Syy = i=1 (yi − y)2 n−1

Table 7.4: The Analysis of Variance table for multiple regression

7.4.1 Testing for Association Between the Response and the Full Set of Ex-
planatory Variables
To see if the set of predictor variables is useful in predicting the response variable, we will test
H0 : β1 = β2 = . . . = βp = 0. Note that if H0 is true, then the mean response does not depend
on the levels of the explanatory variables. We interpret this to mean that there is no association
between the response variable and the set of explanatory variables. To test this hypothesis, we use
the following procedure:

1. H0 : β1 = β2 = · · · = βp = 0 HA : Not every βi = 0
M SR
2. T.S.: Fobs = M SE

3. R.R.: Fobs ≥ Fα,p,n−p−1

4. p-value: P (F ≥ Fobs )

Statistical computer packages automatically perform this test and provide you with the p-value of
the test, so you really don’t need to obtain the rejection region explicitly to make the appropriate
conclusion. Recall that we reject the null hypothesis if the p-value is less than α.

7.4.2 Testing for Association Between the Response and an Individual Explana-
tory Variable
If we reject the previous null hypothesis and conclude that not all of the βi are zero, we may wish
to test whether individual βi are zero. Note that if we fail to reject the null hypothesis that βi
is zero, we can drop the predictor xi from our model, thus simplifying the model. Note that this
test is testing whether xi is useful given that we are already fitting a model containing the
remaining p − 1 explanatory variables. That is, does this variable contribute anything once
we’ve taken into account the other explanatory variables. These tests are t-tests, where we compute
t = σ̂β̂i just as we did in the section on making inferences concerning β1 in simple regression. The
β̂i

procedure for testing whether βi = 0 (the ith explanatory variable does not contribute to predicting
the response given the other p − 1 explanatory variables are in the model) is as follows:

1. H0 : βi = 0

2. HA : βi 6= 0 or HA : βi > 0 or HA : βi < 0 (which alternative is appropriate should be clear

from the setting).
144 CHAPTER 7. LINEAR REGRESSION AND CORRELATION

β̂i
3. T.S.: tobs = σ̂β̂
i

4. R.R.: |tobs | ≥ tα/2,n−p−1 or tobs ≥ tα,n−p−1 or tobs ≤ −tα,n−p−1 (which R.R. depends on which
alternative hypothesis you are using).

5. p-value: 2P (T ≥ |tobs |) or P (T ≥ tobs ) or P (T ≤ tobs ) (again, depending on which alternative

you are using).

Computer packages print the test statistic and the p-value based on the two-sided test, so to
conduct this test is simply a matter of interpreting the results of the computer output.

Testing Whether a Subset of Independent Variables Can Be Removed From the Model
The F -test is used to test whether none of the independent variables are associated with the
response variable. The t-test is used to test whether a single independent variable is associated
with the response after controlling for all other variables. A third test (also an F -test) is used to
test whether any of one group of the independent variables is associated with the response, after
controlling for the remaining group. The test is conducted as follows, and can be generalized to
many types of restrictions on model parameters:

• Identify two groups of predictor variables: Those we wish to control for (Group 1) and those
which we wish to test whether they can all be dropped from the model (Group 2)

• Fit the Full Model with all variables from Groups 1 and 2. Obtain the error sum of squares
(SSE(F ull)).

• Fit the Reduced Model with only the variables we are controlling for (Group 1). Obtain
the error sum of squares (SSE(Reduced)).

• Construct the F -statistic from error sums of squares from the two models, as well as the
degrees of freedom.

Suppose there are g independent variables in the control group (group 1) and p − g in the test
group (Group 2). Then the test is conducted as follows (where x1 , . . . , xg are the variables in the
Control Group and xg+1 , . . . , xp are the variables in the test group):

1. H0 : βg+1 = . . . βp = 0

2. HA : βg+1 6= 0 and/or . . . and/or βp 6= 0

 SSE(Reduced)−SSE(F ull) 
p−g
3. T.S.: Fobs =  SSE(F ull)

n−p−1

4. R.R. Fobs ≥ Fα,p−g,n−p−1

5. P -value: P (F ≥ Fobs )

Example 7.7 A sample survey was conducted to investigate college students’ perceptions of
information source characteristics for OTC drug products (Portner and Smith,1994). Students
at a wide range of colleges and universities were asked to assess five sources of OTC drug infor-
mation (pharmacists, physicians, family, friends, and TV ads) on four characteristics (accuracy,
7.4. MULTIPLE REGRESSION 145

convenience, expense, and time consumption). Each of these characteristics was rated from 1 (low
(poor) rating) to 10 (high (good) rating) for each information source. Further, each student was
given 18 minor health problem scenarios, and asked to rate the likelihood they would go to each
source (pharmacist, physician, family, friends, TV ads) for information on an OTC drug. These
likelihoods were given on a scale of 0 (would not go to source) to 100 (would definitely go to source),
and averaged over the 18 scenarios for each source.
The authors treated the mean likelihood of going to the source as the response variable (one for
each source for each student). The explanatory variables were the students’ attitudinal scores on the
four characteristics (accuracy, convenience, expense, and time consumption) for the corresponding
source of information.
One of the regression models reported was the model fit for pharmacists. The goal is to predict
the likelihood a student would use a pharmacist as a source for OTC drug information (this response,
y, was the mean for the 18 scenarios), based on knowledge of the student’s attitude toward the
accuracy (x1 ), convenience (x2 ), expense (x3 ), and time consumption (x4 ) of obtaining OTC drug
information from a pharmacist. The goal is to determine which, if any, of these attitudinal scores
is related to the likelihood of using the pharmacist for OTC drug information.
The fitted equation is:
ŷ = β̂0 + β̂1 x1 + β̂2 x2 + β̂3 x3 + β̂4 x4 = 58.50 + .1494x1 + .2339x2 + .0196x3 − .0337x4
The Analysis of Variance for testing whether the likelihood of use is related to any of the attitudinal
scores is given in Table 7.5. There were n = 769 subjects and p = 4 explanatory variables.
Individual tests for the coefficients of each attitudinal variable are given in Table 7.6.

ANOVA
Source of Sum of Degrees of Mean
Variation Squares Freedom Square F
10625.9
MODEL 42503.4 4 10625.9 F = 513.8 = 20.68
ERROR 392536.9 764 513.8
TOTAL 435040.3 768

Table 7.5: The Analysis of Variance Table for OTC drug information data

1. H0 : β1 = β2 = β3 = β4 = 0 HA : Not every βi = 0
M SR
2. T.S.: Fobs = M SE = 20.68
3. R.R.: Fobs > Fα,p,n−p−1 = F.05,4,764 = 2.38
4. p-value: P (F ≥ Fobs ) = P (F ≥ 20.68) < .0001

For the overall test, we reject H0 and conclude that at least one of the attitudinal variables
is related to likelihood of using pharmacists for OTC drug information. Based on the individual
variables’ tests, we determine that accuracy and convenience are related to the likelihood (after
controlling all other independent variables), but that expense and time are not. Thus, pharmacists
should focus on informing the public of the accuracy and convenience of their information, to help
increase people’s likelihood of using them for information on the widely expanding numbers of
over–the–counter drugs.
146 CHAPTER 7. LINEAR REGRESSION AND CORRELATION

Variable (xi ) β̂i σ̂β̂i t = β̂i /σ̂β̂i p–value

Accuracy (x1 ) .1494 .0359 4.162 < .0001
Convenience (x2 ) .2339 .0363 6.450 < .0001
Expense (x3 ) .0196 .0391 0.501 .6165
Time (x4 ) −.0337 .0393 −0.857 .3951

Table 7.6: Tests for individual regression coefficients (H0 : βi = 0 vs HA : βi 6= 0) for OTC drug
information data

Regression Models With Dummy Variables

All of the explanatory variables we have used so far were numeric variables. Other variables can
also be used to handle categorical variables. There are two ways to look at this problem:

• We wish to fit separate linear regressions for seperate levels of the categorical explanatory
variable (e.g. possibly different linear regressions of y on x for males and females).

• We wish to compare the means of the levels of the categorical explanatory variable after
controlling for a numeric explanatory variable that differs among individuals (e.g. comparing
treatments after adjusting for baseline scores of subjects).

The second situation is probably the most common in drug trials and is referred to as the
Analysis of Covariance.
If a categorical variable has k levels, we create k − 1 indicator or dummy variables as in the
following example.

Example 7.8 A study was conducted in patients with HIV–1 to study the efficacy of thalido-
mide (Klausner, et al.,1996). Recall that this study was described in Example 6.2, as well. There
were 16 patients who also had tuberculosis (T B + ), and 16 who did not have tuberculosis (T B − ).
Among the measures reported was plasma HIV–1 RNA at day 0 (prior to drug therapy) and at
day 21 (after three weeks of drug therapy). For this analysis, we work with the natural logarithm
of the values reported. This is often done to produce error terms that are approximately normally
distributed when the original data are skewed. The model we will fit is:

y = β0 + β1 x1 + β2 x2 + β3 x3 + ε.

Here, y is the log plasma HIV–1 RNA level at day 21, x1 is the subject’s baseline (day 0) log plasma
HIV–1 RNA level, (
1 if subject received thalidomide
x2 =
0 if subject received placebo
(
1 if subject was T B +
x3 =
0 If subject was T B −
We can write the deterministic portion (ignoring the random error terms) of the model for each
treatment group as follows:

Placebo/T B − y = β0 + β1 x1 + β2 (0) + β3 (0) = β0 + β1 x1

Thalidomide/T B − y = β0 + β1 x1 + β2 (1) + β3 (0) = β0 + β1 x1 + β2

 7.5. EXERCISES 147

Placebo/T B + y = β0 + β1 x1 + β2 (0) + β3 (1) = β0 + β1 x1 + β3

Thalidomide/T B + y = β0 + β1 x1 + β2 (1) + β3 (1) = β0 + β1 x1 + β2 + β3

Note that we now have a natural way to compare the efficacy of thalidomide and the effect of
tuberculosis after controlling for differences in the subjects’ levels of plasma HIV–1 RNA before
the study (x1 ). For instance:

• β2 = 0 =⇒ No thalidomide effect

• β3 = 0 =⇒ No tuberculosis effect

Estimates of the parameters of this regression function, their standard errors and tests are given in
Table 7.7. Note that patients with higher day 0 scores tend to have higher day 21 scores (β1 > 0),

Variable (xi ) β̂i σ̂β̂i t = β̂i /σ̂β̂i p–value

Intercept 2.662 0.635 4.19 0.0003
Day 0 RNA (x1 ) 0.597 0.116 5.16 < .0001
Drug (x2 ) –0.330 0.258 –1.28 .2115
Tuberculosis (x3 ) –0.571 0.262 –2.18 .0379

Table 7.7: Tests for individual regression coefficients (H0 : βi = 0 vs HA : βi 6= 0) thalidomide

study in HIV–1 patients

which is not surprising. Our goal is to compare the drug after adjusting for these baseline scores.
We fail to reject H0 : β2 = 0, so after controlling for baseline score and tuberculosis state, we cannot
conclude the drug significantly lowers plasma HIV–1 RNA. Finally, we do conclude that β3 < 0,
which means that after controlling for baseline and drug group, T B + patients tend to have lower
HIV–1 RNA levels than T B − patients.

7.5 Exercises
42. The kinetics of zidovudine in pregnant baboons was investigated in an effort to determine dosing
regimens in pregnant women, with the goal to maintain AZT levels in the therapeutic range to
prevent HIV infection in children (Garland, et al.,1996). As part of the study, n = 25 measurements
of AZT concentration (y) were made at various doses (x). The values of AZT concentration (µg/ml)
and dose (mg/kg/hr) are given in Table 7.8. Their appears to be a linear association between
concentration and dose, as seen in Figure 7.3. For this data,

x)2 (41.27)2
P
X
2
X
2 (
Sxx = (x − x) = x − = 76.7613 − = 8.63
n 25
P P
X X ( x)( y) (41.27)(14.682)
Sxy = (x − x)(y − y) = xy − = 27.02793 − = 2.79
n 25
y)2 (14.682)2
P
X
2
X
2 (
Syy = (y − y) = y − = 9.945754 − = 1.32
n 25

(a) Computed the estimated regression equation, ŷ and the estimated standard deviation.
148 CHAPTER 7. LINEAR REGRESSION AND CORRELATION

AZT_CONC
1.0
0.9
0.8
0.7
0.6
0.5
0.4
0.3
0.2
0.1
0.5 1.0 1.5 2.0 2.5
DOSE
Figure 7.3: Plot of AZT concentration vs dose, and estimated regression equation for baboon study
 7.5. EXERCISES 149

AZT Conc. Dose

0.169 0.67
0.178 0.86
0.206 0.96
0.391 0.6
0.387 0.94
0.333 1.12
0.349 1.4
0.437 1.17
0.428 1.35
0.597 1.76
0.587 1.92
0.653 1.43
0.66 1.77
0.688 1.55
0.704 1.51
0.746 1.82
0.797 1.91
0.875 1.89
0.549 2.5
0.666 2.5
0.759 2.02
0.806 2.12
0.83 2.5
0.897 2.5
0.99 2.5

Table 7.8: AZT concentration (y) and dose (x) in pregnant and nonpregnant baboons

(b) Compute a 95% CI for β1 . Can we conclude there is an association between dose and AZT
concentration?
(c) Set up the Analysis of Variance table.
(d) Compute the coefficients of correlation (r) and determination (r2 ).

43. A study reported the effects LSD on performance scores on a math test consisting of basic problems
(Wagner, at al, 1968). The authors studied the correlation between tissue concentration of LSD (x)
and performance score on arithmetic score as a percent of control (y). All measurements repesent
the mean scores at seven time points among five males volunteers. A plot of the performance
scores versus the tissue concentrations show a strong linear association between concentration at
a non–plasma sight and pharmacological effect (Figure 7.4). The data are given in Table 7.9. For
this data,
( x)2 (30.33)2
P
X X
Sxx = (x − x)2 = x2 − = 153.89 − = 22.47
n 7
P P
X X ( x)( y) (30.33)(350.61)
Sxy = (x − x)(y − y) = xy − = 1316.66 − = −202.48
n 7
( y)2 (350.61)2
P
X X
Syy = (y − y)2 = y2 − = 19639.24 − = 2078.19
n 7

(a) Compute the correlation coefficient between performance score and tissue concentration.
(b) What is the estimate for the change in mean performance score associated with a unit increase
in tissue concentration?
150 CHAPTER 7. LINEAR REGRESSION AND CORRELATION

Score Concentration
(y) (x)
78.93 1.17
58.20 2.97
67.47 3.26
37.47 4.69
45.65 5.83
32.92 6.00
29.97 6.41

Table 7.9: Performance scores (y) and Tissue LSD concentration (x) in LSD PK/PD study

SCORE
80

70

60

50

40

30

20
1 2 3 4 5 6 7
TISSUE
Figure 7.4: Plot of perrformance score vs tissue concentration, and estimated regression equation
for LSD PK/PD study
 7.5. EXERCISES 151

(c) Do you feel the authors have demonstrated an association between performance score and
tissue concntration?
(d) On the plot, identify the tissue concentration that is associated with a performance score of
50%.

44. An association between body temperature and stroke severity was observed in the Copenhagen
Stroke Study (Reith, et al.,1996). In the study, the severity of the stroke (y) was measured using
the Scandinavian Stroke Scale (low values correspond to higher severity) at admission. Predictor
variables that were hypothesized to be associated with severity include:
• Body temperature (x1 =temp (celsius))
• Sex (x2 =1 if male, 0 if female)
• Previous stroke (x3 = 1 if yes, 0 if no)
• Atrial fibrillation (x4 = 1 if present on admission EKG, 0 if absent)
• Leukocytosis (x5 =1 if count at admission ≥ 9 × 109 /L, 0 otherwise)
• Infections (x6 = 1 if present at admission, 0 if not)
The regression coefficients and their corresponding standard errors are given in Table 7.10. The
study was made of n = 390 stroke victims. Test whether or not each of these predictors is associated
with stroke severity (α = 0.05). Interpret each coefficient in terms of the direction of the association
with severity (e.g. Males tend to have less severe (higher severity score) strokes than women).

Variable (xi ) β̂i σ̂β̂i

Intercept 171.95
Body temp (x1 ) −3.70 1.40
Sex (x2 ) 4.68 1.66
Previous stroke (x3 ) −4.56 1.91
Atrial fibrillation (x4 ) −5.07 2.05
Leucocytosis (x5 ) −1.21 0.28
Infections (x6 ) −10.74 2.43

Table 7.10: Regression coefficients and standard errors for body temperature in stroke patients
data

45. Factors that may predict first–year academic success of pharmacy students at the University of
Georgia were studied (Chisolm, et al,1995). The authors found that after controlling for the stu-
dent’s prepharmacy math/science GPA (x1 ) and an indicator of whether or not the student had
an undergraduate degree (x2 = 1 if yes, 0 if no), the first–year pharmacy GPA (y) was not asso-
ciated with any other predictor variables (which included PCAT scores). The fitted equation and
coefficient of multiple determination are given below:
ŷ = 1.2619 + 0.5623x1 + 0.3896x2 R2 = 0.2804
(a) Obtain the predicted first–year pharmacy GPA for a student with a prepharmacy math/science
GPA of 3.25 who has an undergraduate degree.
(b) By how much does predicted first–year pharmacy GPA for a student with an undergraduate de-
gree excced that of a student without a degree, after controlling for prepharmacy math/science
GPA?
152 CHAPTER 7. LINEAR REGRESSION AND CORRELATION

(c) What proportion of the variation in first–year pharmacy GPAs is “explained” by the model
using prepharmacy math/science GPA and undergraduate degree status as predictors?
(d) Complete the analysis of variance in Table 7.11 for this data.

ANOVA
Source of Sum of Degrees of Mean
Variation Squares Freedom Square F
MODEL
ERROR
TOTAL 12.4146 114

Table 7.11: The Analysis of Variance Table for the first–year pharmacy GPA study
Chapter 8

Logistic, Poisson, and Nonlinear

Regression

In this chapter we introduce three commonly used types of regression analysis. These methods are
logistic, poisson, and nonlinear regression.
Logistic regression is a method that is useful when the response variable is dichotomous (has
two levels) and at least one of the the explanatory variable(s) is (are) continuous. In this situation,
we are modeling the probability that the response variable takes on the level of interest (Success)
as a function of the explanatory variable(s).
Poisson Regression is a method that is useful when the response variable is count data and
we have predictor variable(s) that can be interval scale or categorical. These models can also be fit
when the response variable is a rate (number of occurrences divided by total exposure).
Nonlinear Regression is a method of analysis that involves fitting a nonlinear function be-
tween a numeric response variable and one or more numeric explanatory variables. In many biologic
(and economic) situations, models between a response and explanatory variable(s) is nonlinear, and
in fact has a functional form that is based on some theoretical model.

8.1 Logistic Regression

In many experiments, the endpoint, or outcome measurement, is dicotomous with levels being
the presence or absence of a characteristic (e.g. cure, death, myocardial infarction). We have
seen methods in a previous chapter to analyze such data when the explanatory variable was also
dichotomous (2 × 2 contingency tables). We can also fit a regression model, when the explanatory
variable is continuous. Actually, we can fit models with more that one explanatory variable, as we
did in Chapter 7 with multiple regression. One key difference here is that probabilities must lie
between 0 and 1, so we can’t fit a straight line function as we did with linear regression. We will
fit “S–curves” that are constrained to lie between 0 and 1.
For the case where we have one independent variable, we will fit the following model:

eα+βx
π(x) =
1 + eα+βx
Here π(x) is the probability that the response variable takes on the characteristic of interest (suc-
cess), and x is the level of the numeric explanatory variable. Of interest is whether or not β = 0. If
β = 0, then the probability of success is independent of the level of x. If β > 0, then the probability
of success increases as x increases, conversely, if β < 0, then the probability of success decreases

153
154 CHAPTER 8. LOGISTIC, POISSON, AND NONLINEAR REGRESSION

as x increases. To test this hypothesis, we conduct the following test, based on estimates obtained
from a statistical computer package:

1. H0 : β = 0

2. HA : β 6= 0
 2
2 β̂
3. T.S.: Xobs = σ̂β̂

2 ≥ χ2
4. R.R.: Xobs α,1

5. p-value: P (χ21 ≥ Xobs

2 )

In logistic regression, eβ̂ is the change in the odds ratio of a success at levels of the explanatory
variable one unit apart. Recall that the odds of an event occurring is:

π π(x)
o= =⇒ o(x) = .
1−π 1 − π(x)

Then the ratio of the odds at x + 1 to the odds at x (the odds ratio) can be written (independent
of x) as:
o(x + 1) eα+β(x+1)
OR(x + 1, x) = = = eβ
o(x) eα+βx
An odds ratio greater than 1 implies that the probability of success is increasing as x increases,
and an odds ratio less than 1 implies that the probability of success is decreasing as x increases.
Frequently, the odds ratio, rather than β̂ is reported in studies.

Example 8.1 A nonclinical study was conducted to study the therapeutic effects of individual
and combined use of vinorelbine tartrate (Navelbine) and paclitaxel (Taxol) in mice given one
million P 388 murine leukemia cells (Knick, et al.,1995). One part of this study was to determine
toxicity of the drugs individually and in combination. In this example, we will look at toxicity in
mice given only Navelbine. Mice were given varying doses in a parallel groups fashion, and one
primary outcome was whether or not the mouse died from toxic causes during the 60 day study.
The observed numbers and proportions of toxic deaths are given in Table 8.1 by dose, as well as
the fitted values from fitting the logistic regression model:

eα+βx
π(x) =
1 + eα+βx
where π(x) is the probability a mouse that received a dose of x dies from toxicity. Based on a
computer analysis of the data, we get the fitted equation:

e−6.381+0.488x
π̂(x) =
1 + e−6.381+0.488x
To test whether or not P (Toxic Death) is associated with dose, we will test H0 : β = 0 vs
HA : β 6= 0. Based on computer analysis, we have:

β̂ = 0.488 σ̂β̂ = 0.0519

Now, we can conduct the test for association (at α = 0.05 significance level):
8.1. LOGISTIC REGRESSION 155

Navelbine Observed Fitted

Dose (mg/kg) Total Mice Toxic Deaths P (Toxic Death) π̂(x)
8 87 1 1/87=.012 .077
12 77 38 38/77=.494 .372
16 69 54 54/69=.783 .806
20 49 45 45/49=.918 .967
24 41 41 41/41=1.000 .995

Table 8.1: Observed and fitted (based on logistic regression model) probability of toxic death by
Navelbine dose (individual drug trial)

1. H0 : β = 0 (No association between dose and P (Toxic Death))

2. HA : β 6= 0 (Association Exists)
2 = (β̂/σ̂ )2 = (0.488/0.052)2 = 88.071
3. T.S.: Xobs β̂

2 ≥ χ2
4. R.R.: Xobs 0.05,1 = 3.84

5. p-value: P (χ21 ≥ 88.071) < .0001

A plot of the logistic regression and the observed proportions of toxic deaths is given in Figure 8.1.
The plot also depicts the dose at which the probability of death is 0.5 (50% of mice would die of
toxicity at this dose). This is often referred to as LD50 , and is 13.087 mg/kg based on this fitted
equation.
Finally, the estimated odds ratio, the change in the odds of death for unit increase in dose is
OR = eβ̂ = e0.488 = 1.629. The odds of death increase by approximately 63% for each unit increase
in dose.
Multiple logistic regression can be conducted by fitting a model with more than one explanatory
variable. It is similar to multiple linear regression in the sense that we can test whether or not one
explanatory variable is associated with the dichotomous response variable after controlling for all
other explanatory variables, as well as testing for the overall set of predictors, or for a subset of
predictors.
The test for the overall model and subset models makes use of the log of the likelihood function
which is used to estimate the model parameters. The test for the full model is as follows:

1. H0 : β1 = . . . = βp = 0

2. HA : Not all βi = 0

3. T.S.: X 2 = −2(L0 − LA )
2 ≥ χ2
4. R.R.: Xobs α,p

5. p-value: P (χ2p ≥ Xobs

2 )

Where L0 is the maximized log likelihood under the null hypothesis (intercept only model)
and LA is the maximized log likelihood for the model containing all p predictors. These can be
obtained from many standard statistical software packages. Further, this same method can be used
to test whether a subset of predictors can simultaneously dropped from a model. As in the previous
156 CHAPTER 8. LOGISTIC, POISSON, AND NONLINEAR REGRESSION

1.00
P
r
o
b 0.75
(
T
o
x
i 0.50
c
D
e
a 0.25
t
h
)
0.00
0 8 16 24
DOSE
Figure 8.1: Plot of proportion of toxic deaths, estimated logistic regression curve (π̂(x) =
e−6.381+.488x
1+e−6.381+.488x
), and LD50 (13.087)
8.1. LOGISTIC REGRESSION 157

chapter, suppose our control group has the first g predictors, and our test group has the last p − g
predictors:

1. H0 : βg+1 = . . . = βp = 0

2. HA : βg + 1 6= 0 and/or . . . and/or βp 6= 0

3. T.S.: X 2 = −2(L0 − LA )
2 ≥ χ2
4. R.R.: Xobs α,p−g

5. p-value: P (χ2p−g ≥ Xobs

2 )

where now L0 is the maximized log likelihood for the model with x1 , . . . , xg and LA is the
maximized log likelihood for the model with all g predictors.

Example 8.2 A study reported the relationship between risk of coronary heart disease and
two variables: serum cholesterol level and systolic blood pressure (Cornfield, 1962). Subjects in
a long–term follow–up study (prospective) in Framingham, Massachusetts were classified by their
baseline serum cholesterol and systolic blood pressure. The endpoint of interest was whether or
not the subject developed coronary heart disease (myocardial infarction or angina pectoris).
Serum cholesterol levels were classified as < 200, 200 − 209, 210 − 219, 220 − 244, 245 − 259, 260 −
284, > 285. For each range, the midpoint was used as the cholesterol level for that group, and 175
and 310 were used for the lower and higher groups, respectively.
Systolic blood pressure levels were classified as < 117, 117 − 126, 127 − 136, 137 − 146, 147 −
156, 157 − 166, 167 − 186, > 186. For each range, the midpoint was used as the blood pressure level
for that group, and 111.5 and 191.5 were used for the lower and higher groups, respectively.
The numbers of subjects and deaths for each combination of cholesterol and blood pressure are
given in Table 8.2.

Blood Serum Cholesterol

Pressure < 200 200 − 209 210 − 219 220 − 244 245 − 259 260 − 284 > 285
< 117 2/53 0/21 0/15 0/20 0/14 1/22 0/11
117 − 126 0/66 2/27 1/25 8/69 0/24 5/22 1/19
127 − 136 2/59 0/34 2/21 2/83 0/33 2/26 4/28
137 − 146 1/65 0/19 0/26 6/81 3/23 2/34 4/23
147 − 156 2/37 0/16 0/6 3/29 2/19 4/16 1/16
157 − 166 1/13 0/10 0/11 1/15 0/11 2/13 4/16
167 − 186 3/21 0/5 0/11 2/27 2/5 6/16 3/14
> 186 1/5 0/1 3/6 1/10 1/7 1/7 1/7

Table 8.2: Observed CHD events/number of subjects for each serum cholesterol/systolic blood
pressure group

The fitted equation is:

e−24.50+6.57X1 +3.50X2
π̂ = σ̂β̂1 = 1.48 σ̂β̂2 = 0.84
1 + e−24.50+6.57X1 +3.50X2
where:
X1 = log10 (serum cholesterol) X2 = log10 (blood pressure − 75)
158 CHAPTER 8. LOGISTIC, POISSON, AND NONLINEAR REGRESSION

These transformations were chosen for theoretical considerations.

First note that we find that both serum cholesterol and systolic blood pressure levels are asso-
ciated with probability of CHD (after controlling for the other variable):

1. H0 : β1 = 0 (No association between cholesterol and P (CHD))

2. HA : β1 6= 0 (Association Exists)
2 = (β̂ /σ̂ )2 = (6.57/1.48)2 = 19.71
3. T.S.: Xobs 1 β̂1

2 ≥ χ2
4. R.R.: Xobs 0.05,1 = 3.84

5. p-value: P (χ21 ≥ 19.71) < .0001

1. H0 : β2 = 0 (No association between blood pressure and P (CHD))

2. HA : β2 6= 0 (Association Exists)
2 = (β̂ /σ̂ )2 = (3.50/0.84)2 = 17.36
3. T.S.: Xobs 2 β̂2

2 ≥ χ2
4. R.R.: Xobs 0.05,1 = 3.84

5. p-value: P (χ21 ≥ 17.36) < .0001

Plots of the probability of suffering from CHD as a function of cholesterol level are plotted at
low, middle, and high levels of blood pressure in Figure 8.2.

8.2 Poisson Regression

In many settings, the response variable is a frequency count that can be modelled by the Poisson
Distribution. This is a discrete distribution where the random variable can take on 0,1,2,. . . .
One particular limitation of this distribution is that its mean and variance are equal.
When we have a set of explanatory variables (say X1 , . . . , Xk ) we often model the logarithm of
the mean resonse as a linear function of the predictors:

ln [µ (X1 , . . . , Xk )] = β0 + β1 X1 + . . . + βk Xk

This can be back-transfomed as:

µ (X1 , . . . , Xk ) = eβ0 +β1 X1 +...+βk Xk

Note that Poisson Regression and Logistic Regression are special cases of Generalized Linear
Models. All of the Chi-Square tests described with respect to Logistic Regression models can be
applied to Poisson Regression models.
When data are observed as rates (occurrences divided by total exposure), statistical software
packages allow for the exposure variable to be entered as an offset variable, which enters the
logarithm of exposure on the “right-hand side” of the equation with a coefficient of 1. This comes
from writing the equation as:

E(Y )
 
ln = ln [µ] − ln(n) = β0 + β1 X1 + . . . + βk Xk
n
8.2. POISSON REGRESSION 159

PHAT1
0.32
0.30
0.28 BP=111.5
0.26 BP=151.5
0.24 BP=191.5
0.22
0.20
0.18
0.16
0.14
0.12
0.10
0.08
0.06
0.04
0.02
0.00
160 180 200 220 240 260 280 300 320
CHOLEST
Figure 8.2: Plot of probability of CHD, as a function of cholesterol level
160 CHAPTER 8. LOGISTIC, POISSON, AND NONLINEAR REGRESSION

⇒ ln[µ] = β0 + β1 X1 + . . . + βk Xk + ln(n)

where Y is the count of interest and n is the exposure.

In many practical settings we find that the data exhibit overdispersion, in that the variance
is larger than the mean. In these cases, adjustments can be made to the test statistics, or a more
flexible Negative Binomial model can be fit (see e.g. Agresti (2002)).

8.3 Nonlinear Regression

In many biologic situations, the relationship between a numeric response and numeric explanatory
variables is clearly nonlinear. In many cases, a theory has been developed that describes the
relationship in terms of a mathematical model. Examples of primary interest in pharmaceutics
arise in the areas of pharmacokinetics anc pharmacodynamics.
In pharmacokinetics, compartmental models are theorized to describe the fate of a drug in the
human body. Based on how many compartments are assumed (one or more), a mathematical model
can be fit to describe the absorption and elimination of a drug. For instance, for a one–compartment
model, with first–order absorption and elimination, the plasma concentration at time t (Cp (t)) at
single dose can be written (Gibaldi (1984), p.7):

ka F D
Cp (t) = [e−ke t − e−ka t ]
V (ka − ke )

where ka is the absorption rate constant, F is the fraction of the dose (D) that is absorbed and
reaches the bloodstream, V is the volume of distribution, and ke is the elimination rate constant.
Further, ke can be written as the ratio of clearance (Cl) to volume of distribution (V ), that is
ke = Cl/V . In this situation, experimenters often wish to estimate an individual’s pharmacokinetic
parameters: ka , V , and Cl, based on observed plasma concentration measurements at various points
in time.
In pharmacodynamics, it is of interest to estimate the dose–response relationship between the
dose of the drug, and its therapeutic effect. It is well-known in this area of work that the relationship
between dose and effect is often a “S–shape” function that is approximatley flat at low doses (no
response), then takes a linear trend from a dose that corresponds to approximately 20% of maximum
effect to a dose that yields 80% of maximum effect, then flattens out at higher doses (maximum
effect). One such function is referred to as the sigmoid–Emax relationship (Holford and Sheiner,
1981):
Emax · C N
E= N + CN
EC50
where E is the effect, Emax is the maximum effect attributable to the drug, C is the drug concen-
tration (typically in plasma, not at the effect site), EC50 is the concentration producing an effect
50% of Emax , and N is a parameter that controls the shape of the response function.

Example 8.3 A study was conducted in five AIDS patients to study pharmacokinetics, safety,
and efficacy of an orally delivered protease inhibitor MK–639 (Stein, et al.,1996). In this phase
I/II trial, one goal was to assess the relationship between effectiveness (as measured by changes in
log10 HIV RNA copies/ml from baseline (y)) and drug concentration (as measured by AU C0−6h (x)).
8.3. NONLINEAR REGRESSION 161

High values of y correspond to high inhibition of HIV RNA generation. The sigmoid–Emax function
can be written as:
β0 xβ2
y=
xβ2 + β1β2
Parameters of interest are: β0 which is Emax (maximum effect), and β1 which is the value of x that
produces a 50% effect (ED50 ). Note that this is a very small study, so that the estimates of these
parameters will be very imprecise (large confidence intervals). The data (or at least a very close
approximation) are given in Table 8.3.

Subject log10 RNA change (y) AU C0−6h (nM · h) (x)

1 0.000 10576.9
2 0.167 13942.3
3 1.524 18235.3
4 3.205 19607.8
5 3.518 22317.1

Table 8.3: Log10 HIV RNA change and drug concentrations (AU C0−6 ) for MK639 efficacy trial

A computer fit of the sigmoid–Emax function produces the following estimated equation:

3.47x35.23
ŷ =
x35.23 + 18270.035.23
So, our estimate of the maximum effect is 3.47, and the estimate of the AU C0−6 value producing
50% effect is 18270.0. A plot of the data and the fitted curve are given in Figure 8.3.

4
L
O
G
3
H
I
V
R 2
N
A
C 1
H
N
G
0
0 5000 10000 15000 20000 25000
X

Figure 8.3: Plot of log10 HIV RNA change vs AU C0−6 , and estimated nonlinear regression equation
35.23
ŷ = x35.233.47x
+18270.035.23
 162 CHAPTER 8. LOGISTIC, POISSON, AND NONLINEAR REGRESSION

8.4 Exercises
46. Several drugs were studied in terms of their effects in inhibiting audiogenic seizures in rats (Corn,
et al.,1955). Rats that were susceptible to audiogenic seizures were given several drugs at various
dosage levels in an attempt to determine whether or not the drug inhibited seizure when audio
stimulus was given. Rats were tested again off drug, to make certain that the rat had not become
‘immune’ to audiogenic seizures throughout the study. One drug studied was sedamyl, at doses
25,50,67 80, and 100 mg/kg. Table 8.4 gives the number of rats tested in each dosage group (after
removing ‘immunized’ rats), the numbers that have no seizure (display drug inhibition), the sample
proportion inhibited, and the fitted value from the logistic regression model. Figure 8.4 plots the
sample proportion, the fitted equation and ED50 values. The estimated logistic regression equation
is:
e−4.0733+0.0694x
π̂(x) =
1 + e−4.0733+0.0694x
(a) Test H0 : β = 0 vs HA : β 6= 0 at α = 0.05. (σ̂β̂ = 0.0178)
(b) By how much does the (estimated) odds of no seizure for unit increase in dose?
(c) Compute the (estimated) dose that will provide inhibition in 50% of rats (ED50 ). Hint: when
α̂ + β̂x = 0, π̂(x) = 0.5.

Sedamyl Observed Fitted

Dose (mg/kg) Total Rats # without seizure P (No seizure) π̂(x)
25 11 0 0/11=0.000 .088
50 25 11 11/25=.440 .354
67 5 3 3/5=.600 .640
80 14 10 10/14=.714 .814
100 8 8 8/8=1.000 .946

Table 8.4: Observed and fitted (based on logistic regression model) probability of no audiogenic
seizure by sedamyl dose

47. A bioequivalence study of two enalapril maleate tablet formulations investigated the pharmaco-
dynamics of enalaprilat on angiotensin converting enzyme (ACE) activity (Ribeiro, et al.,1996).
Two formulations of enalapril maleate (a pro–drug of enalaprilat) were given to 18 subjects in a
two period crossover design (Eupressin tablets 10 mg, Biosentica (test) vs Renitec tablets 10 mg,
Merck (reference)). In the pharmacodynamic part of the study, mean enalaprilat concentration
(ng · ml−1 ) and mean % ACE inhibition were measured across patients at each of 13 time points
where concentration measurements were made, for each drug. Thus, each mean is the average
among subjects, and there are 13(2)=26 means.
A nonlinear model based on a single binding site Michaelis–Mentin relation of the following form
was fit, where y is the mean % ACE inhibition, and x is the mean enalaprilat concentration.

β1 x
y=
β2 + x

In this model, β1 is the maximum effect (maximum attainable ACE inhibition) and β2 is the EC50 ,
the concentration that produces 50% of the maximum effect. A plot of the data and estimated
8.4. EXERCISES 163

1.00
P
r
o
b 0.75
(
N
o
0.50
S
e
i
z
u 0.25
r
e
)
0.00
0 25 50 75 100
DOSE
Figure 8.4: Plot of proportion of inhibited audiogenic seizures, estimated logistic regression curve
e−4.0733+.0694x
(π̂(x) = 1+e−4.0733+.0694x ), and ED50
 164 CHAPTER 8. LOGISTIC, POISSON, AND NONLINEAR REGRESSION

regression equation are given in Figure 8.5. The estimated equation is:

β̂1 x 93.9809x
ŷ = =
β̂2 + x 3.8307 + x

(a) Obtain the fitted % ACE mean inhibitions for mean concentrations of 3.8307, 10.0, 50.0, 100.0.
(b) The estimated standard error of β̂2 is σ̂β̂2 =.2038. Compute a large–sample 95% CI for EC50 .
(c) Why might measurement of ACE activity be a good measurement for comparing bioavailability
of drugs in this example?

100
%
A 80
C
E
I 60
n
h
i 40
b
i
t
i 20
o
n
0
0 10 20 30 40 50 60 70 80 90
Enalaprilat Conc

Figure 8.5: Plot of proportion of inhibited audiogenic seizures, estimated logistic regression curve
93.9809x
(ŷ = 3.8307+x ).

48. A study combined results of Phase I clinical trials of orlistat, and inhibitor of gastric and pancreatic
lipases (Zhi, et al.,1994). One measure of efficacy reported was fecal fat excretion (orlistat’s purpose
is to inhibit dietary fat absorption, so high fecal fat exretion is consistent with efficacy). The authors
fit a simple maximum–effect (Emax ) model, relating excretion, E, to dose, D, in the following
formulation:
Emax · D β1 x
E = E0 + = β0 +
ED50 + D β2 + x
where E is the intensity of the treatment effect, E0 is the intensity of a placebo effect, Emax is the
maximum attainable intensity of effect from orlistat, and ED50 is the dose that produces 50% of
the maximal effect. The fitted equation (based on my attempt to read the data from their plot) is:

27.620 · D
Ê = 6.115 +
124.656 + D

Note that all terms are significant. The data and the fitted equation are displayed in Figure 8.6.
8.4. EXERCISES 165

(a) Obtain the fitted value for subjects receiving D = 50, 100, 200, and 400 mg/day of orlistat.
Would you suspect that the effect will be higher at higher levels of D?
(b) How would you describe the variation among subjects? Focus on a given dose, do subjects at
that dose tend to give similar responses?

60
F
e
c 50
a
l
F 40
a
t
30
E
x
c 20
r
e
t
i 10
o
n
0
(
% 0 200 400 600 800 1000 1200
)
Orlistat Daily Dose (mg)

Figure 8.6: Plot of percent fecal fat excretion, estimated maximum effect (Emax ) regression curve
27.620·D
(Ê = 6.115 + 124.656+D )
166 CHAPTER 8. LOGISTIC, POISSON, AND NONLINEAR REGRESSION
Chapter 9

Survival Analysis

In many experimental settings, the endpoint of interest is the time until an event occurs. Often,
the event of interest is death (thus the name survival analysis), however it can be any event that
can be observed. One problem that distinguishes survival analysis from other statistical methods
is censored data. In these studies, people may not have the event of interest occur during the study
period. However, we do have information from these subjects, so we don’t simply discard their
information. That is, if we have followed a subject for 3.0 years at the time the study ends, and
he/she has not died, we know that the subject’s survival time is greater than 3.0 years.
Their are several useful functions that describe populations of survival times. The first is the
survival function (S(t)). In this chapter, we will call our random variable T , which is a randomly
selected subject’s survival time. The survival function can be written as:
# of subjects in population with T > t
S(t) = P (T > t) =
# of subjects in population

This function is assumed to be continuous, with S(0) = 1 and S(∞) = 0. A second function that
defines a survival distribution is the hazard function (λ(t)). The hazard function can be thought
of as the instantaneous failure rate at time t, among subjects who have survived to that point, and
can be written as:
lim∆t→0 P {T ∈ (t, t + ∆t]|T > t}
λ(t) =
∆t
This function is very important in modelling survival times, as we will see in the section on pro-
portional hazards models.

9.1 Estimating a Survival Function — Kaplan–Meier Estimates

A widely used method in the description of survival among individuals is to estimate and plot the
survival distribution as a function of time. The most common estimation method is the product
limit method (Kaplan and Meier,1958). Using notation given elsewhere (Kalbfleisch and Street
(1990), pp.322–323), we define the following terms:

• Data: (t1 , δ1 ), . . . , (tn , δn ), where ti is the ith subject’s observed time to failure (death) or
censoring, and δi is an indicator (1=censored, 0=not censored (actual failure)).

• Observed Failure Times: t(1) < · · · < t(k) , each failure time t(i) having associated with it di
failures. Subjects who are censored at t(i) are treated as if they had been censored between
t(i) and t(i+1)

167
168 CHAPTER 9. SURVIVAL ANALYSIS

• Number of Items Censored in Time Interval: mi , the number of censored subjects in the time
interval [t(i) , t(i+1) ). These subjects are all “at risk of failure” at time t(i) , but not at t(i+1) .
Pk
• Number of Subjects at Risk Prior to t(i) : ni = j=i (dj + mj ), the number of subjects with
failure times or censored times of t(i) or greater.
di
• Estimated Hazard at Time t(i) : λ̂i = ni , the proportion of those at risk just prior to t(i) who
fail at time t(i) .

• Estimated Survival Function at Time t: Ŝ(t) =

Q
i|t(i) ≤t (1− λ̂i ), the probability that a subject
survives beyond time t.

Statistical computer packages can compute this estimate (Ŝ(t)), as well as provide a graph of the
estimated survival function as a function of time, even for large sample sizes.

Example 9.1 A nonclinical trial was conducted in mice who had received one million P 388
murine leukemia cells (Knick, et al.,1995). The researchers discovered that by giving the mice
a combination therapy of vinorelbine tartrate (Navelbine) and paclitaxel (Taxol), they increased
survival and eliminated toxicity, which was high for each of the individual drug therapies (see
Example 8.1).
Once this combination was found to be successful, a problem arises in determining the dosing
regimen (doses and timing of delivery). Two of the more successful regimens were:

Regimen A 20 mg/kg Navelbine plus 36 mg/kg Taxol, concurrently.

Regimen B 20 mg/kg Navelbine plus 36 mg/kg Taxol, 1–hour later.

In regimen A, there were nA = 49 mice, of which 9 died, on days 6,8,22,32,32,35,41,46,and 54,

respectively. The other 40 mice from regimen A survived the entire 60 days and were ‘censored’.
In regimen B, there were nB = 15 mice, of which 9 died, on days 8,10,27,31,34,35,39,47, and
57, respectively. The other 6 mice from regimen B survived the entire 60 days and were ‘censored’.
We will now construct the Kaplan–Meier estimates for each of the the drug delivery regimens,
and plot the curves. We will follow the descriptions given above in completing Table 9.1. Note
that t(i) is the ith failure time, di is the number of failures at t(i) , n(i) is the number of subjects at
risk (with failure or censor times greater than t(i) ) at t(i) , λ̂i = di /ni is the proportion dying at t(i)
among those at risk, and Ŝ(t(i) ) is the probability of surviving past time t(i) .

Regimen A Regimen B
i t(i) ni d i λ̂i Ŝ(t(i) ) i t(i) ni d i λ̂i Ŝ(t(i) )
1 6 49 1 .020 .980 1 8 15 1 .067 .933
2 8 48 1 .021 .959 2 10 14 1 .071 .867
3 22 47 1 .021 .939 3 27 13 1 .077 .800
4 32 46 2 .043 .899 4 31 12 1 .083 .733
5 35 44 1 .023 .878 5 34 11 1 .091 .667
6 41 43 1 .023 .858 6 35 10 1 .100 .600
7 46 42 1 .024 .837 7 39 9 1 .111 .533
8 54 41 1 .024 .817 8 47 8 1 .125 .467
– – – – – – 9 57 7 1 .143 .400

Table 9.1: Kaplan–Meier estimates of survival distribution functions for two dosing regimens
9.2. LOG–RANK TEST TO COMPARE 2 POPULATION SURVIVAL FUNCTIONS 169

A plot of these functions is given in Figure 9.1. Note that the curve for regimen A is ‘higher’ than
that for regimen B. It appears that by delivering the Navelbine and Taxol concurrently, we improve
survival as opposed to waiting 1–hour to deliver Taxol, when using these doses. We will conduct a
test for equivalent survival distributions in the next section. For an interesting comparison, refer
back to Example 8.1, to see the probability of suffering death from toxicity at the 20 mg/kg dose
of Navelbine. Clearly, taking the two drugs in combination is improving survival.

1.0
Survival Distribution Function

0.9
0.8
0.7
0.6
0.5
0.4
0.3
0.2
0.1
0.0
0 5 10 15 20 25 30 35 40 45 50 55 60
TIME
STRATA: REGIMEN=A REGIMEN=B

Figure 9.1: Kaplan–Meier estimates of survival functions for regimen A (concurrent) and regimen
B (1–hour delay)

9.2 Log–Rank Test to Compare 2 Population Survival Functions

Generally, we would like to compare 2 (or more) survival functions. That is, we may like to
compare the distribution of survival times among subjects receiving an active drug to that of
subjects receiving a placebo. Note that this situation is very much like the comparisons we made
between two groups in Chapter 3 (and comparing k > 2 groups in Chapter 6. Again, we will use
the notation given elsewhere (Kalbfleisch and Street (1990), pp. 327–328). We will consider only
the case where we have two groups (treatment and control). Extensions can easily be made to more
than 2 groups.
We set up k 2 × 2 contingency tables, one at each failure time t(i) as described in the previous
170 CHAPTER 9. SURVIVAL ANALYSIS

section. We will also use the same notation for subjects at risk (within each group) and subjects
failing at the current time (again, for each group). At each failure time, we obtain a table like that
given in Table 9.2.

Failures Survivals At Risk

Treatment d1i n1i − d1i n1i
Control d2i n2i − d2i n2i
Total di ni − d i ni

Table 9.2: 2 × 2 table of Failures and Survivals at Failure Time t(i)

We can then test whether or not the two survival functions differ by computing the following
statistics, and conducting the log–rank test, described below:

k k
n1i di n1i n2i di (ni − di ) X X
e1i = v1i = O1 − E1 = (d1i − e1i ) V1 = v1i
ni n2i (ni − 1) i=1 i=1

1. H0 : Treatment and Control Survival Functions are Identical (No treatment effect)

2. HA : Treatment and Control Survival Functions Differ (Treatment effects)

01√−E1
3. T.S.: TM H = V1

4. R.R.: |TM H | ≥ zα/2

5. p–value: 2P (Z ≥ |TM H |)

6. Conclusions: Significant positive test statistics imply that subjects receiving treatment fail
quicker than controls, negative test statistics imply that controls fail quicker than those
receiving treatment (treatment prolongs life in the case where failure is death).

Example 9.2 For the survival data in Example 9.1, we would like to formally test for differences
in the survival distributions for the two dosing regimens. In this case, there are 15 distinct failure
times (days 6,8,10,22,27,31,32,34,35,39,41,46,47,54,57). We will denote regimen A as treatment 1.
All relevant quantities and computations are given in Table 9.3.
We now test to determine whether or not the two (population) survival functions differ (α =
0.05):

1. H0 : Regimen A and Regimen B Survival Functions are Identical (No treatment effect)

2. HA : Regimen A and Regimen B Survival Functions Differ (Treatment effects)

01√−E1 9−14.512
3. T.S.: TM H = V1
= √
2.7786
= −3.307

4. R.R.: |TM H | ≥ zα/2 = z.025 = 1.96

5. p–value: 2P (z ≥ 3.307) = .0009

9.3. RELATIVE RISK REGRESSION (PROPORTIONAL HAZARDS MODEL) 171

Failure Regimen A Regimen B

Time (i) d1i n1i d2i n2i e1i v1i
6 (1) 1 49 0 15 0.766 .1794
8 (2) 1 48 1 15 1.524 .3570
10 (3) 0 47 1 14 0.770 .1768
22 (4) 1 47 0 13 0.783 .1697
27 (5) 0 46 1 13 0.780 .1718
31 (6) 0 46 1 12 0.793 .1641
32 (7) 2 46 0 11 1.614 .3059
34 (8) 0 44 1 11 0.800 .1600
35 (9) 1 44 1 10 1.630 .2961
39 (10) 0 43 1 9 0.827 .1431
41 (11) 1 43 0 8 0.843 .1323
46 (12) 1 42 0 8 0.840 .1344
47 (13) 0 41 1 8 0.837 .1366
54 (14) 1 41 0 7 0.854 .1246
57 (15) 0 40 1 7 0.851 .1268
Sum 9 – 9 – 14.512 2.7786

Table 9.3: Computation of observed and expected values for log–rank test to compare survival
functions of two dosing regimens

We reject H0 , and since the test statistic is negative for regimen A, there were fewer combined
deaths than expected for that treatment. Regimen A provides higher survival rates (at least up to
60 days) than regimen B.
It should be noted that some computer packages report a chi–squared statistic, this is simply
the square of the z-statistic above. Another statistic that is sometimes computed is as follows:

X (O1 − E1 )2 (O2 − E2 )2
O2 = d2i E2 = O1 + O2 − E1 X2 = +
E1 E2

Then X 2 is compared with χ2α,1 . This test can also be extended to compare k > 2 populations (see
Kalbfleish and Street (1990)).

9.3 Relative Risk Regression (Proportional Hazards Model)

In many situations, we have additional information on individual subjects that we believe may be
associated with risk of the event of interest occuring. For instance, age, weight, and sex may be
associated with death, as well as which treatment a patient receives. As with multiple regression,
the goal is to test whether a certain factor (in this case, treatment) is related to survival, after
controlling for other factors such as age, weight, sex, etc.
For this model, we have p explanatory variables (as we did in multiple regression), and we will
write the relative risk of a subject who has observed levels x1 , . . . , xp (relative to a subject with
each explanatory variable equal to 0) as:

λ(t; x1 , . . . , xp ) λ(t; x1 , . . . , xp )
RR(t; x1 , . . . , xp ) = =
λ(t; 0, . . . , 0) λ0 (t)
172 CHAPTER 9. SURVIVAL ANALYSIS

Recall that the relative risk is the ratio of the probability of event for one group relative to another
(see Chapter 5), and that the hazard is a probability of failure (as a function of time). One common
model for the relative risk is to assume that it is constant over time, which is referred to as the
proportional hazards model. A common model (log–linear model) is:

RR(t; x1 , . . . , xp ) = eβ1 x1 +···+βp xp

Consider this situation. A drug is to be studied for efficacy at prolonging the life of patients with a
terminal disease. Patients are classified based on a scale of 1–5 in terms of the stage of the disease
(x1 ) (1–lowest, 5–highest), age (x2 ), weight (x3 ), and a dummy variable (x4 ) indicating whether
or not the patient received active drug (x4 = 1) or placebo (x4 = 0). We fit the following relative
regression model:
RR(t; x1 , . . . , xp ) = eβ1 x1 +β2 x2 +β3 x3 +β4 x4
The implications of the following concusions (based on tests involving estimates and their estimated
standard errors obtained from computer output) are:

β1 = 0 After controlling for age, weight, and treatment group, risk of death is not associated with
disease stage. Otherwise, they are associated.

β2 = 0 After controlling for disease stage, weight, and treatment group, risk of death is not asso-
ciated with age. Otherwise, they are associated.

β3 = 0 After controlling for disease stage, age, and treatment group, risk of death is not associated
with weight. Otherwise, they are associated.

β4 = 0 After controlling for disease stage, age, and weight, risk of death is not associated with
treatment group. Otherwise, they are associated.

Of particular interest in drug trials is the last test (H0 : β4 = 0 vs HA : β4 6= 0). In particular, to
show that the active drug is effective, you would want to show that β4 < 0, since the relative risk
(after controlling for the other three variables) of death for active drug group, relative to controls
is eβ4 .

Example 9.3 In his landmark paper on the proportional hazards model, Professor D.R. Cox,
analyzed remission data from the work of Freireich, et al,(1963) to demonstrate his newly developed
model (Cox, 1972). The response of interest was the remission times of patients with acute leukemia
who were given a placebo (x = 1) or 6–MP (x = 0). This data is given in Table 9.4.
The model fit and estimates were:

RR(t; x) = eβx β̂ = 1.60 σ̂β̂ = 0.42

These numbers differ slightly from the values he report due to statistical software differences. Note
that the risk of failure is estimated to be e1.6 = 5.0 times higher for those on placebo (x = 1)
than those on 6–MP. An approximate 95% confidence interval for β and the relative risk of failure
(placebo relative to 6–MP) are:

β̂ ± 1.96σ̂β̂ ≡ 1.60 ± 0.82 ≡ (0.78, 2.42) (e0.78 , e2.42 ) ≡ (2.18, 11.25)

Thus, we can be 95% confident that the risk of failure is between 2.18 and 11.25 times higher
for patients on placebo than patients on 6–MP. This can be used to confirm the effectiveness of
9.3. RELATIVE RISK REGRESSION (PROPORTIONAL HAZARDS MODEL) 173

1.0
Survival Distribution Function

0.9
0.8
0.7
0.6
0.5
0.4
0.3
0.2
0.1
0.0
0.0 2.5 5.0 7.5 10.0 12.5 15.0 17.5 20.0 22.5 25.0 27.5 30.0 32.5 35.0

REMISS
STRATA: GROUP=0 GROUP=1

Figure 9.2: Kaplan–Meier estimates of survival functions for acute leukemia patients receiving
6–MP and placebo
174 CHAPTER 9. SURVIVAL ANALYSIS

Remission Remission Length (wks) 6–mp pref –

Pair Status Placebo 6–mp Preference placebo pref
1 Partial 1 10 6–mp 1
2 Complete 22 7 placebo 0
3 Complete 3 32+ 6–mp 1
4 Complete 12 23 6–mp 2
5 Complete 8 22 6–mp 3
6 Partial 17 6 placebo 2
7 Complete 2 16 6–mp 3
8 Complete 11 34+ 6–mp 4
9 Complete 8 32+ 6–mp 5
10 Complete 12 25+ 6–mp 6
11 Complete 2 11+ 6–mp 7
12 Partial 5 20+ 6–mp 8
13 Complete 4 19+ 6–mp 9
14 Complete 15 6 placebo 8
15 Complete 8 17+ 6–mp 9
16 Partial 23 35+ 6–mp 10
17 Partial 5 6 6–mp 11
18 Complete 11 13 6–mp 12
19 Complete 4 9+ 6–mp 13
20 Complete 1 6+ 6–mp 14
21 Complete 8 10+ 6–mp 15

Table 9.4: Results of remission in pairs of leukemia subjects, where one subject in each pair received
placebo, the other 6–mp – sequential design

6–MP in prolonging remission among patients with leukemia. A plot of the Kaplan–Meier survival
functions if given in Figure 9.2. In honor of his work in this area, the Proportional Hazards model
is often referred to as the Cox regression model.

Example 9.4 A cohort study was conducted to quantify the long–term incidence of AIDS based
on early levels of HIV–1 RNA levels, and the age at HIV–1 serioconversion (O’Brien, et al.,1996).
Patients were classified based on their early levels of HIV–1 RNA (< 1000, 1000 − 9999, ≥ 10000
copies/mL), and age at HIV–1 serioconversion (1–17,18–34,35–66). Dummy variables were created
to represent these categories.
(
1 if early HIV–1 RNA is 1000–9999
x1 =
0 otherwise
(
1 if early HIV–1 RNA is ≥ 10000
x2 =
0 otherwise
(
1 if age at serioconversion is 18–34
x3 =
0 otherwise
(
1 if age at serioconversion is 35–66
x4 =
0 otherwise

The model for the relative risk of developing AIDS (relative to baseline group – early HIV–1 RNA
 9.4. EXERCISES 175

< 1000, age at serioconversion 1–17) is:

RR(t; x1 , x2 , x3 , x4 ) = eβ1 x1 +β2 x2 +β3 x3 +β4 x4
Note that the relative risk is assumed to be constant across time in this model. Parameter estimates
and their corresponding standard errors are given in Table 9.5. Also, we give the adjusted relative
risk (also referred to as relative hazard), and a 95% CI for the population relative risk. Recall that

Variable (xi ) Estimate (β̂i ) Std. Error (σ̂β̂ ) Rel. Risk (eβ̂i ) 95% CI
HIV–1 RNA 1000–9999 (x1 ) 1.61 1.02 5.0 (0.7,36.9)
HIV–1 RNA ≥ 10000 (x2 ) 2.66 1.02 14.3 (1.9,105.6)
Age 18–34 (x3 ) 0.79 0.31 2.2 (1.2,4.0)
Age 35–66 (x4 ) 1.03 0.31 2.8 (1.5,5.3)

Table 9.5: Parameter estimates for proportional hazards model relating survival to developing AIDS
to early HIV–1 RNA levels and age at serioconversion

a relative risk of 1.0 can be interpreted as ‘no association’ between that variable and the event of
interest. In this situation, we get the following interpretations:
β1 The CI contains 1. We cannot conclude that risk of developing AIDS is higher for subjects with
HIV–1 RNA 1000–9999 than for subjects with HIV–1 RNA < 1000, after controlling for age.
β2 The CI is entirely above 1. We can conclude that risk of developing AIDS is higher for subjects
with HIV–1 RNA ≥ 10000 than for subjects with HIV–1 RNA < 1000, after controlling for
age.
β3 The CI is entirely above 1. We can conclude that patients whose age at serioconversion is 18–34
have higher risk of developing AIDS than patients whose age is 1–17 at serioconversion.
β4 The CI is entirely above 1. We can conclude that patients whose age at serioconversion is 35–66
have higher risk of developing AIDS than patients whose age is 1–17 at serioconversion.
Finally, patients can be classified into one of 9 HIV–1 RNA level and age combinations. We give the
estimated relative risk for each group, based on the fitted model in Table 9.6. Recall the baseline
group is the lowest HIV–1 RNA level and lowest age group. The authors conclude that these two
factors are strong predictors of long–term AIDS–free survival. In particular, they have shown that
early levels of HIV–1 RNA is good predictor (independent of age) of AIDS development.

9.4 Exercises
49. A study of survival times of mice with induced subcutaneous sarcomas compared two carcinogens
– methylcholanthrene and dibenzanthracene (Shimkin, 1941). Mice were assigned to receive either
of the carcinogens at one of seveal doses, further, mice were eliminated from data analysis if they
died from extraneous cause. This problem deals with the survival times of the 0.1 mg dose groups
for methylcholanthrene (M ) and dibenzanthracene (D). Mice were followed for 38 weeks, if they
survived past 38 weeks, their survival time would be considered censored at time 38. The M group
consisted of 46 mice, the D group had 26. Survival times for each group (where 39∗ implies censored
after week 38, and 16(5) implies five died at week 16) were:
M : 14(1), 15(2), 16(6), 17(4), 18(5), 19(10), 20(3), 21(6), 22(1), 23(1), 28(1), 31(1), 39∗ (5)
 176 CHAPTER 9. SURVIVAL ANALYSIS

HIV–1 RNA Age RR = e1.61x1 +2.66x2 +0.79x3 +1.03x4

< 1000 (x1 = 0, x2 = 0) 1–17 (x3 = 0, x4 = 0) e0 = 1.0
< 1000 (x1 = 0, x2 = 0) 18–34 (x3 = 1, x4 = 0) e0.79 = 2.2
< 1000 (x1 = 0, x2 = 0) 35–66 (x3 = 0, x4 = 1) e1.03 = 2.8
1000–9999 (x1 = 1, x2 = 0) 1–17 (x3 = 0, x4 = 0) e1.61 = 5.0
1000–9999 (x1 = 1, x2 = 0) 18–34 (x3 = 1, x4 = 0) e 1.61+0.79 = 11.0
1000–9999 (x1 = 1, x2 = 0) 35–66 (x3 = 0, x4 = 1) e1.61+1.03 = 14.0
≥ 10000 (x1 = 0, x2 = 1) 1–17 (x3 = 0, x4 = 0) e2.66 = 14.3
≥ 10000 (x1 = 0, x2 = 1) 18–34 (x3 = 1, x4 = 0) e 2.66+0.79 = 31.5
≥ 10000 (x1 = 0, x2 = 1) 35–66 (x3 = 0, x4 = 1) e 2.66+1.03 = 40.0

Table 9.6: Relative risks (hazards) of developing AIDS for each HIV–1 RNA level and age at
serioconversion combination

D : 21(1), 23(3), 24(2), 25(2), 26(1), 28(1), 29(1), 31(4), 32(2), 33(1), 38(4), 39∗ (4)

Table 9.7 sets up the calculations needed to obtain the Kaplan–Meier estimates of the survival
ˆ
function S(t).

Methylcholanthrene Dibenzanthracene
i t(i) ni di λ̂i Ŝ(t(i) ) i t(i) ni di λ̂i Ŝ(t(i) )
1 14 46 1 .022 .978 1 21 26 1 .038 .962
2 15 45 2 .044 .935 2 23 25 3 .120 .847
3 16 43 6 .140 .800 3 24 22 2 .091 .770
4 17 37 4 .108 .714 4 25 20 2 .100 .693
5 18 33 5 .152 .605 5 26 18 1 .056 .654
6 19 28 10 .357 .389 6 28 17 1 .059 .615
7 20 18 3 .167 .324 7 29 16 1 .063 .576
8 21 15 6 .400 .194 8 31 15 4 .267 .422
9 22 9 1 .111 .172 9 32 11 2 .182 .345
10 23 8 1 10 33 9 1
11 28 7 1 11 38 8 4
12 31 6 1 – – – – – –

Table 9.7: Kaplan–Meier estimates of survival distribution functions for two carcinogens

Figure 9.3 gives the estimated survival functions for the two drugs. Table 9.8 sets up the calculations
needed to perform the log–rank test, comparing the survival functions. Complete the table and
test whether or not the survival functions differ. If they differ, which carcinogen causes the quickest
deaths?

(a) Complete Table 9.7 for each drug group.

(b) On Figure 9.3, identify which curve belongs to which drug.
(c) Complete Table 9.8 and test whether or not the survival functions differ. If they differ, which
carcinogen causes the quickest deaths?

50. A randomized, controlled clinical trial was conducted to compare the effects of two treatment
regimens on survival in patients with acute leukemia (Frei, et al,1958). A total of 65 patients were
9.4. EXERCISES 177

Failure Carcinogen M Carcinogen D

Time (i) d1i n1i d2i n2i e1i v1i
14 (1) 1 46 0 26 0.639 0.231
15 (2) 2 45 0 26 1.268 0.458
16 (3) 6 43 0 26 3.739 1.305
17 (4) 4 37 0 26 2.349 0.923
18 (5) 5 33 0 26 2.797 1.147
19 (6) 10 28 0 26 5.185 2.073
20 (7) 3 18 0 26 1.227 0.691
21 (8) 6 15 1 26 2.561 1.380
22 (9) 1 9 0 25 0.265 0.195
23 (10) 1 8 3 25 0.967 0.666
24 (11) 0 7 2 22 0.483 0.353
25 (12) 0 7 2 20 0.519 0.369
26 (13) 0 7 1 18 0.280 0.202
28 (14) 1 7 1 17 0.583 0.395
29 (15) 0 6 1 16 0.273 0.198
31 (16) 1 6 4 15 1.429 0.816
32 (17) 0 5 2 11 0.401
33 (18) 0 5 1 9 0.230
38 (19) 0 5 4 8
Sum 41 – 22 –

Table 9.8: Computation of observed and expected values for log–rank test to compare survival
functions of two carcinogens
178 CHAPTER 9. SURVIVAL ANALYSIS

1.0
Survival Distribution Function

0.9
0.8
0.7
0.6
0.5
0.4
0.3
0.2
0.1
0.0
0 5 10 15 20 25 30 35 40
TIME
STRATA: DRUG= DRUG=

Figure 9.3: Kaplan–Meier estimates of survival functions for methylcholanthrene and dibenzan-
thracene
 9.4. EXERCISES 179

randomized to receive one of two regimens of combination chemotherapy, involving methotrexate

and 6–mercaptopurine. The first regimen involved receiving each drug daily (continuous), while
the second regimen received 6–mercaptopurine daily, but methotrexate only once every 3 days
(intermittent). The total doses were the same however (the continuous group received 2.5 mg/day
of methotrexate, the intermittent group received 7.5 mg every third day). The survival (and death)
information are given in Table 9.9. The survival curves are displayed in Figure 9.4.
Intermittent Continuous
Month (i) ni di λ̂i Ŝ(t(i) ) ni di λ̂i Ŝ(t(i) )
1 32 5 .1563 .8437 33 7 .2121 .7879
2 27 4 .1481 .7187 26 2 .0769 .7273
3 23 1 .0435 .6875 24 3 .1250 .6364
4 22 3 .1364 .5938 21 2 .0952 .5758
5 19 4 .2105 .4688 19 4 .2105 .4530
6 15 1 .0667 .4375 15 2 .1333 .3926
7 14 4 .2857 .3125 13 1 .0769 .3624
8 10 1 .1000 .2813 12 0 .0000 .3624
9 9 3 .3333 .1877 12 0 .0000 .3624
10 6 4 .6667 .0625 12 1 .0833 .3322
11 2 0 .0000 .0625 11 3 .2727 .2416
12 2 2 1.000 .0000 8 1 .1250 .2114
13 — — — .0000 7 2
14 — — — .0000 5 0
15 — — — .0000 5 3
16 — — — .0000 2 0

Table 9.9: Kaplan–Meier estimates of survival distribution functions for two combination
chemotherapy regimens

(a) Complete the table, computing the survival function over the last months for the continuous
group.
(b) Based on the graph, identify the curves representing the intermittent and continuous groups.
(c) Over the first half of the study, do the survival curves appear to differ significantly? What
about over the second half of the study period?

51. After a waterborne outbreak of cryptosporidiosis in 1993 in Milwaukee, a group of n = 81 HIV–

infected patients were classified by several factors, and were followed for one year (Vakil, et al.,1996).
All of these subjects developed cryptosporidiosis during the outbreak, and were classified by:
• Age (x1 )
• Nausia/vomiting (x2 = 1 if present, 0 if absent)
• Biliary disease from cryptosporidiosis (x3 = 1 if present, 0 if absent)
• CD4 count (x4 = 1 if ≤ 50/mm3 , 0 if > 50/mm3 )
The response was the survival time of the patient (47 died during the year, the remaining 31
survived, and were censored at one year). The proportional hazards regression model was fit:
RR(t; x1 , x2 , x3 , x4 ) = eβ1 x1 +β2 x2 +β3 x3 +β4 x4 ,
where x1 , . . . , x4 are described above. The estimated regression coefficients and their corresponding
estimated standard errors are given in Table 9.10.
180 CHAPTER 9. SURVIVAL ANALYSIS

1.0
Survival Distribution Function

0.9
0.8
0.7
0.6
0.5
0.4
0.3
0.2
0.1
0.0
0 2 4 6 8 10 12 14 16
TIME
STRATA: REGIMEN=A REGIMEN=B

Figure 9.4: Kaplan–Meier estimates of survival functions for intermittent and continuous combina-
tion chemotherapy treatments in patients with acute leukemia

Variable (xi ) Estimate (β̂i ) Std. Error (σ̂β̂ ) Rel. Risk (eβ̂i ) 95% CI
Age (x1 ) 0.044 0.017 1.04 (1.01,1.08)
Naus/Vom (x2 ) 0.624 0.304 1.87 (1.03,3.38)
Biliary (x3 ) 0.358 0.311 1.43 (0.78,2.64)
CD4 (x4 ) 1.430 0.719 4.10 (1.72,9.76)

Table 9.10: Parameter estimates for proportional hazards model relating death to age, nau-
sia/vomiting status, biliary disease, and CD4 counts in HIV–infected patients with cryptosporidiosis
 9.4. EXERCISES 181

(a) Interpret each of the coefficients.

(b) Holding all other variables constant, how much higher is the risk (hazard) of death in patients
with CD4 counts below 50/mm3 (x4 = 1) than patients with higher CD4 counts (x4 = 0).
(c) Is presence of biliary disease associated with poorer survival after controlling for the other
three explanatory variables?

52. Survival data were reported on a cohort of 1205 AIDS patients in Milan, Italy (Monforte, et
al.,1996). The authors fit a proportional hazards regression model relating risk of death to such
factors as age, sex, behavioral risk factor, infection date, opportunistic infection, CD4+ count,
use of ZDV prior to AIDS, and PCP prophylaxis prior to AIDS. Within each factor, the first level
acted as the baseline for comparisons. Estimated regression coefficients, standard errors and hazard
ratios are given in Table 9.11.

Variable Level Cases Estimate (β̂) Std. Error (σ̂β̂ ) Rel. Risk (eβ̂ ) 95% CI
Age ≤ 35 907 — — 1 —
> 35 298 0.231 .086 1.26 (1.06,1.49)
Sex Male 949 — — 1 —
Female 256 −0.083 .086 0.92 (0.77,1.09)
Behavior IDU 508 — — 1 —
Ex–IDU 267 −0.151 .082 0.86 (0.72,1.01)
Homosexual 247 −0.073 .113 0.93 (0.74,1.16)
Heterosexual 162 −0.128 .132 0.88 (0.68,1.14)
Transfused 21 −0.030 .315 0.97 (0.52,1.80)
Date 1984–1987 185 — — 1 —
1988–1990 404 −0.223 .103 0.8 (0.69,0.98)
1991–1994 616 −0.105 .116 0.9 (0.75,1.13)
Infection PCP 292 — — 1 —
Candidiasis 202 0.039 .110 1.04 (0.84,1.29)
TE 134 0.262 .119 1.3 (1.00,1.64)
CMV 114 0.531 .115 1.7 (1.58,2.13)
KS 109 −0.139 .147 0.87 (0.65,1.16)
ADC 102 0.336 .156 1.4 (1.08,1.90)
Other 375 0.470 .124 1.6 (1.31,2.04)
Multiple 123 0.262 .109 1.3 (1.05,1.61)
CD4 + i(×106 /l) ≤ 50 645 — — 1 —
50–100 182 −0.223 .123 0.8 (0.70,1.01)
> 100 285 −0.693 .084 0.5 (0.41,0.59)
ZDV No 762 — — 1 —
Yes 443 0.030 .086 1.03 (0.87,1.22)
PCP prophylaxis No 931 — — 1 —
Yes 274 0.058 .100 1.06 (0.80,1.29)

Table 9.11: Parameter estimates for proportional hazards model relating risk of death to age, sex,
risk behavior, year of infection, oppotunistic infection, CD4 counts, ZDV use prior to AIDS, and
PCP prophylaxis use prior to AIDS in Italian AIDS patients
182 CHAPTER 9. SURVIVAL ANALYSIS

(a) Describe the baseline group.

(b) Describe the group that has the highest estimated risk of death.
(c) Describe the group that has the lowest estimated risk of death.
(d) Does ZDV use prior AIDS appear to increase or decrease risk of AIDS after controlling all
other variables? Test at α = 0.05 significance level. (Hint: This can be done by a formal test
or simply interpreting the confidence interval for the hazard ratio).
(e) Repeat part d) in terms of PCP prophylaxis before AIDS.
(f) Computed the estimated relative risks for the groups in parts b) and c), relative to the group
in part a).
Appendix A

Statistical Tables

z .00 .01 .02 .03 .04 .05 .06 .07 .08 .09
0.0 .5000 .4960 .4920 .4880 .4840 .4801 .4761 .4721 .4681 .4641
0.1 .4602 .4562 .4522 .4483 .4443 .4404 .4364 .4325 .4286 .4247
0.2 .4207 .4168 .4129 .4090 .4052 .4013 .3974 .3936 .3897 .3859
0.3 .3821 .3783 .3745 .3707 .3669 .3632 .3594 .3557 .3520 .3483
0.4 .3446 .3409 .3372 .3336 .3300 .3264 .3228 .3192 .3156 .3121
0.5 .3085 .3050 .3015 .2981 .2946 .2912 .2877 .2843 .2810 .2776
0.6 .2743 .2709 .2676 .2643 .2611 .2578 .2546 .2514 .2483 .2451
0.7 .2420 .2389 .2358 .2327 .2296 .2266 .2236 .2206 .2177 .2148
0.8 .2119 .2090 .2061 .2033 .2005 .1977 .1949 .1922 .1894 .1867
0.9 .1841 .1814 .1788 .1762 .1736 .1711 .1685 .1660 .1635 .1611
1.0 .1587 .1562 .1539 .1515 .1492 .1469 .1446 .1423 .1401 .1379
1.1 .1357 .1335 .1314 .1292 .1271 .1251 .1230 .1210 .1190 .1170
1.2 .1151 .1131 .1112 .1093 .1075 .1056 .1038 .1020 .1003 .0985
1.3 .0968 .0951 .0934 .0918 .0901 .0885 .0869 .0853 .0838 .0823
1.4 .0808 .0793 .0778 .0764 .0749 .0735 .0721 .0708 .0694 .0681
1.5 .0668 .0655 .0643 .0630 .0618 .0606 .0594 .0582 .0571 .0559
1.6 .0548 .0537 .0526 .0516 .0505 .0495 .0485 .0475 .0465 .0455
1.7 .0446 .0436 .0427 .0418 .0409 .0401 .0392 .0384 .0375 .0367
1.8 .0359 .0351 .0344 .0336 .0329 .0322 .0314 .0307 .0301 .0294
1.9 .0287 .0281 .0274 .0268 .0262 .0256 .0250 .0244 .0239 .0233
2.0 .0228 .0222 .0217 .0212 .0207 .0202 .0197 .0192 .0188 .0183
2.1 .0179 .0174 .0170 .0166 .0162 .0158 .0154 .0150 .0146 .0143
2.2 .0139 .0136 .0132 .0129 .0125 .0122 .0119 .0116 .0113 .0110
2.3 .0107 .0104 .0102 .0099 .0096 .0094 .0091 .0089 .0087 .0084
2.4 .0082 .0080 .0078 .0075 .0073 .0071 .0069 .0068 .0066 .0064
2.5 .0062 .0060 .0059 .0057 .0055 .0054 .0052 .0051 .0049 .0048
2.6 .0047 .0045 .0044 .0043 .0041 .0040 .0039 .0038 .0037 .0036
2.7 .0035 .0034 .0033 .0032 .0031 .0030 .0029 .0028 .0027 .0026
2.8 .0026 .0025 .0024 .0023 .0023 .0022 .0021 .0021 .0020 .0019
2.9 .0019 .0018 .0018 .0017 .0016 .0016 .0015 .0015 .0014 .0014
3.0 .0013 .0013 .0013 .0012 .0012 .0011 .0011 .0011 .0010 .0010

Table A.1: Right–hand tail area for the standard normal (z) distribution. Values within the body
of the table are the areas in the tail above the value of z corresponding to the row and column.
For instance, P (Z ≥ 1.96) = .0250

183
184 APPENDIX A. STATISTICAL TABLES

ν t.100,ν t.050,ν t.025,ν t.010,ν t.005,ν

1 3.078 6.314 12.706 31.821 63.657
2 1.886 2.920 4.303 6.965 9.925
3 1.638 2.353 3.182 4.541 5.841
4 1.533 2.132 2.776 3.747 4.604
5 1.476 2.015 2.571 3.365 4.032
6 1.440 1.943 2.447 3.143 3.707
7 1.415 1.895 2.365 2.998 3.499
8 1.397 1.860 2.306 2.896 3.355
9 1.383 1.833 2.262 2.821 3.250
10 1.372 1.812 2.228 2.764 3.169
11 1.363 1.796 2.201 2.718 3.106
12 1.356 1.782 2.179 2.681 3.055
13 1.350 1.771 2.160 2.650 3.012
14 1.345 1.761 2.145 2.624 2.977
15 1.341 1.753 2.131 2.602 2.947
16 1.337 1.746 2.120 2.583 2.921
17 1.333 1.740 2.110 2.567 2.898
18 1.330 1.734 2.101 2.552 2.878
19 1.328 1.729 2.093 2.539 2.861
20 1.325 1.725 2.086 2.528 2.845
21 1.323 1.721 2.080 2.518 2.831
22 1.321 1.717 2.074 2.508 2.819
23 1.319 1.714 2.069 2.500 2.807
24 1.318 1.711 2.064 2.492 2.797
25 1.316 1.708 2.060 2.485 2.787
26 1.315 1.706 2.056 2.479 2.779
27 1.314 1.703 2.052 2.473 2.771
28 1.313 1.701 2.048 2.467 2.763
29 1.311 1.699 2.045 2.462 2.756
30 1.310 1.697 2.042 2.457 2.750
40 1.303 1.684 2.021 2.423 2.704
50 1.299 1.676 2.009 2.403 2.678
60 1.296 1.671 2.000 2.390 2.660
70 1.294 1.667 1.994 2.381 2.648
80 1.292 1.664 1.990 2.374 2.639
90 1.291 1.662 1.987 2.368 2.632
100 1.290 1.660 1.984 2.364 2.626
110 1.289 1.659 1.982 2.361 2.621
120 1.289 1.658 1.980 2.358 2.617
∞ 1.282 1.645 1.960 2.326 2.576

Table A.2: Critical values of the t–distribution for various degrees of freedom (ν). P (T ≥ tα ) =
α. Values on the bottom line (df=∞) correspond to the cut–offs of the standard normal (Z)
distribution
 185

ν χ2.100,ν χ2.050,ν χ2.010,ν χ2.001,ν

1 2.706 3.841 6.635 10.828
2 4.605 5.991 9.210 13.816
3 6.251 7.815 11.345 16.266
4 7.779 9.488 13.277 18.467
5 9.236 11.070 15.086 20.515
6 10.645 12.592 16.812 22.458
7 12.017 14.067 18.475 24.322
8 13.362 15.507 20.090 26.124
9 14.684 16.919 21.666 27.877
10 15.987 18.307 23.209 29.588
11 17.275 19.675 24.725 31.264
12 18.549 21.026 26.217 32.909
13 19.812 22.362 27.688 34.528
14 21.064 23.685 29.141 36.123
15 22.307 24.996 30.578 37.697

Table A.3: Critical values of the χ2 –distribution for various degrees of freedom (ν).
186 APPENDIX A. STATISTICAL TABLES

ν2 F.05,1,ν2 F.05,2,ν2 F.05,3,ν2 F.05,4,ν2 F.05,5,ν2 F.05,6,ν2 F.05,7,ν2 F.05,8,ν2 F.05,9,ν2

1 161.45 199.50 215.71 224.58 230.16 233.99 236.77 238.88 240.54
2 18.51 19.00 19.16 19.25 19.30 19.33 19.35 19.37 19.38
3 10.13 9.55 9.28 9.12 9.01 8.94 8.89 8.85 8.81
4 7.71 6.94 6.59 6.39 6.26 6.16 6.09 6.04 6.00
5 6.61 5.79 5.41 5.19 5.05 4.95 4.88 4.82 4.77
6 5.99 5.14 4.76 4.53 4.39 4.28 4.21 4.15 4.10
7 5.59 4.74 4.35 4.12 3.97 3.87 3.79 3.73 3.68
8 5.32 4.46 4.07 3.84 3.69 3.58 3.50 3.44 3.39
9 5.12 4.26 3.86 3.63 3.48 3.37 3.29 3.23 3.18
10 4.96 4.10 3.71 3.48 3.33 3.22 3.14 3.07 3.02
11 4.84 3.98 3.59 3.36 3.20 3.09 3.01 2.95 2.90
12 4.75 3.89 3.49 3.26 3.11 3.00 2.91 2.85 2.80
13 4.67 3.81 3.41 3.18 3.03 2.92 2.83 2.77 2.71
14 4.60 3.74 3.34 3.11 2.96 2.85 2.76 2.70 2.65
15 4.54 3.68 3.29 3.06 2.90 2.79 2.71 2.64 2.59
16 4.49 3.63 3.24 3.01 2.85 2.74 2.66 2.59 2.54
17 4.45 3.59 3.20 2.96 2.81 2.70 2.61 2.55 2.49
18 4.41 3.55 3.16 2.93 2.77 2.66 2.58 2.51 2.46
19 4.38 3.52 3.13 2.90 2.74 2.63 2.54 2.48 2.42
20 4.35 3.49 3.10 2.87 2.71 2.60 2.51 2.45 2.39
21 4.32 3.47 3.07 2.84 2.68 2.57 2.49 2.42 2.37
22 4.30 3.44 3.05 2.82 2.66 2.55 2.46 2.40 2.34
23 4.28 3.42 3.03 2.80 2.64 2.53 2.44 2.37 2.32
24 4.26 3.40 3.01 2.78 2.62 2.51 2.42 2.36 2.30
25 4.24 3.39 2.99 2.76 2.60 2.49 2.40 2.34 2.28
26 4.23 3.37 2.98 2.74 2.59 2.47 2.39 2.32 2.27
27 4.21 3.35 2.96 2.73 2.57 2.46 2.37 2.31 2.25
28 4.20 3.34 2.95 2.71 2.56 2.45 2.36 2.29 2.24
29 4.18 3.33 2.93 2.70 2.55 2.43 2.35 2.28 2.22
30 4.17 3.32 2.92 2.69 2.53 2.42 2.33 2.27 2.21
50 4.03 3.18 2.79 2.56 2.40 2.29 2.20 2.13 2.07
70 3.98 3.13 2.74 2.50 2.35 2.23 2.14 2.07 2.02
90 3.95 3.10 2.71 2.47 2.32 2.20 2.11 2.04 1.99
110 3.93 3.08 2.69 2.45 2.30 2.18 2.09 2.02 1.97
130 3.91 3.07 2.67 2.44 2.28 2.17 2.08 2.01 1.95
150 3.90 3.06 2.66 2.43 2.27 2.16 2.07 2.00 1.94
170 3.90 3.05 2.66 2.42 2.27 2.15 2.06 1.99 1.94
190 3.89 3.04 2.65 2.42 2.26 2.15 2.06 1.99 1.93
210 3.89 3.04 2.65 2.41 2.26 2.14 2.05 1.98 1.92
230 3.88 3.04 2.64 2.41 2.25 2.14 2.05 1.98 1.92
250 3.88 3.03 2.64 2.41 2.25 2.13 2.05 1.98 1.92

Table A.4: Critical values (α = 0.05) of the F –distribution for various numerator and denominator
degrees of freedom (ν1 , ν2 ).
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