Chapter 9 introduced the essential ideas of multivariate analysis in the context of a two-group design using Hotelling’s \(T^2\). Here, I extend this to the general Multivariate Linear Model (MLM). This can be understood as a simple extension of the univariate linear model, with the main difference being that there are multiple response variables considered together, instead of just one, analysed alone. These outcomes might reflect several different ways or scales for measuring an underlying theoretical construct, or they might represent different aspects of some phenomenon that are better understood when studied jointly.
For example, in the first case of different measures, there are numerous psychological scales used to assess depression or anxiety and it may be important to include more than one measure to ensure that the construct has been measured adequately. In the second case of various aspects, student “aptitude” or “achievement” reflects competency in different various subjects (reading, math, history, science, …) that are better studied together.
In this context, there are multiple techniques that can be applied depending on the structure of the variables at hand. For instance, with one or more continuous predictors and multiple response variables, one could use multivariate multiple regression (MMRA) to obtain estimates useful for prediction. Instead, if the predictors are categorical, multivariate analysis of variance (MANOVA) can be applied to test for differences between groups. Again, this is akin to multiple regression and ANOVA in the univariate context – the same underlying model is utilized, but the tests for terms in the model are multivariate ones for the collection of all response variables, rather than univariate ones for a single response.
Before considering the details and examples that apply to MANOVA and MMRA, it is useful to consider the features of the multivariate linear model of which these cases are examples.
Packages
In this chapter I use the following packages. Load them now:
10.1 Structure of the MLM
TODO Revise notation here
With \(p\) response variables, the multivariate linear model is most easily appreciated as the collection of \(p\) linear models, one for each response.
\[\begin{aligned} \mathbf{y}_1 =& \mathbf{X}\boldsymbol{\beta}_1 + \boldsymbol{\epsilon}_1 \\ \mathbf{y}_2 =& \mathbf{X}\boldsymbol{\beta}_2 + \boldsymbol{\epsilon}_2 \\ \vdots & \\ \mathbf{y}_p =& \mathbf{X}\boldsymbol{\beta}_p + \boldsymbol{\epsilon}_p \\ \end{aligned}\]
The model matrix \(\mathbf{X}\) is the same for all responses, but each one gets its own vector \(\boldsymbol{\beta}_j\) of coefficients for how the predictors in \(\mathbf{X}\) fit a given response \(\mathbf{y}_j\).
Among the beauties of multivariate thinking is that we can put these separate equations together in single equation by joining the responses \(\mathbf{y}_j\) as columns in a matrix \(\mathbf{Y}\) and similarly arranging the vectors of coefficients \(\boldsymbol{\beta}_j\) as columns in a matrix \(\mathbf{B}\). (A slight hiccup in notation is that the uppercase for the greek \(\boldsymbol{\beta}\) is the same as \(\mathbf{B}\), so I use \(\mathbf{b}_1 , \mathbf{b}_2 , \dots\) below to refer to its’ columns.)
The MLM then becomes:
\[ \mathord{\mathop{\mathbf{Y}}\limits_{n \times p}} = \mathord{\mathop{\mathbf{X}}\limits_{n \times (q+1)}} \, \mathord{\mathop{\mathbf{B}}\limits_{(q+1) \times p}} + \mathord{\mathop{\mathbf{\boldsymbol{\Large\varepsilon}}}\limits_{n \times p}} \:\: , \tag{10.1}\]
where
- \(\mathbf{Y} = (\mathbf{y}_1 , \mathbf{y}_2, \dots , \mathbf{y}_p )\) is the matrix of \(n\) observations on \(p\) responses, with typical column \(\mathbf{y}_j\);
- \(\mathbf{X}\) is the model matrix with columns \(\mathbf{x}_i\) for \(q\) regressors, which typically includes an initial column \(\mathbf{x}_0\) of 1s for the intercept;
- \(\mathbf{B} = ( \mathbf{b}_1 , \mathbf{b}_2 , \dots, \mathbf{b}_p )\) is a matrix of regression coefficients, one column \(\mathbf{b}_j\) for each response variable;
- \(\boldsymbol{\Large\varepsilon}\) is a matrix of errors in predicting \(\mathbf{Y}\).
Writing Equation 10.1 in terms of its elements, we have
\[ \begin{align*} \overset{\mathbf{Y}} {\begin{bmatrix} y_{11} & y_{12} & \cdots & y_{1p} \\ y_{21} & y_{22} & \cdots & y_{2p} \\ \vdots & \vdots & \ddots & \vdots \\ y_{n1} & y_{n2} & \cdots & y_{np} \end{bmatrix} } & = \overset{\mathbf{X}} {\begin{bmatrix} 1 & x_{11} & \cdots & x_{1q} \\ 1 & x_{21} & \cdots & x_{2q} \\ \vdots & \vdots & \ddots & \vdots \\ 1 & x_{n1} & \cdots & x_{nq} \end{bmatrix} } \overset{\mathbf{B}} {\begin{bmatrix} \beta_{01} & \beta_{02} & \cdots & \beta_{0p} \\ \beta_{11} & \beta_{12} & \cdots & \beta_{1p} \\ \vdots & \vdots & \ddots & \vdots \\ \beta_{q1} & \beta_{q2} & \cdots & \beta_{qp} \end{bmatrix} } \\ & + \quad\quad \overset{\mathcal{\boldsymbol{\Large\varepsilon}}} {\begin{bmatrix} \epsilon_{11} & \epsilon_{12} & \cdots & \epsilon_{1p} \\ \epsilon_{21} & \epsilon_{22} & \cdots & \epsilon_{2p} \\ \vdots & \vdots & \ddots & \vdots \\ \epsilon_{n1} & \epsilon_{n2} & \cdots & \epsilon_{np} \end{bmatrix} } \end{align*} \]
The structure of the model matrix \(\mathbf{X}\) is exactly the same as the univariate linear model, and may therefore contain,
-
quantitative predictors, such as
age,income, years ofeducation - transformed predictors like \(\sqrt{\text{age}}\) or \(\log{(\text{income})}\)
-
polynomial terms: \(\text{age}^2\), \(\text{age}^3, \dots\) (using
poly(age, k)in R) -
categorical predictors (“factors”), such as treatment (Control, Drug A, drug B), or sex; internally a factor with
klevels is transformed tok-1dummy (0, 1) variables, representing comparisons with a reference level, typically the first. -
interaction terms, involving either quantitative or categorical predictors, e.g.,
age * sex,treatment * sex.
10.1.1 Assumptions
Just as in univariate models, the assumptions of the multivariate linear model almost entirely concern the behavior of the errors (residuals). Let \(\mathbf{\epsilon}_{i}^{\prime}\) represent the \(i\)th row of \(\boldsymbol{\Large\varepsilon}\). Then it is assumed that:
-
Normality: The residuals, \(\mathbf{\epsilon}_{i}^{\prime}\) are distributed as multivariate normal, \(\mathcal{N}_{p}(\mathbf{0},\boldsymbol{\Sigma})\), where \(\mathbf{\Sigma}\) is a non-singular error-covariance matrix. Statistical tests of multivariate normality of the residuals include the Shapiro-Wilk (Shapiro & Wilk, 1965) and Mardia (Mardia, 1970) tests (in the MVN package); however this is often better assessed visually using a \(\chi^2\) QQ plot of Mahalanobis squared distance against their corresponding \(\chi^2_p\) values using
heplots::cqplot(). - Homoscedasticity: The error-covariance matrix \(\mathbf{\Sigma}\) is constant across all observations and grouping factors. Graphical methods to determine if this assumption is met are described in Chapter 12.
- Independence: \(\mathbf{\epsilon}_{i}^{\prime}\) and \(\mathbf{\epsilon}_{j}^{\prime}\) are independent for \(i\neq j\), so knowing the data for case \(i\) gives no information about case \(j\) (as would be true if the data consisted of pairs of husbands and wives);
- The predictors, \(\mathbf{X}\), are fixed and measured without error or at least they are independent of the errors, \(\boldsymbol{\Large\varepsilon}\).
These statements are simply the multivariate analogs of the assumptions of normality, constant variance and independence of the errors in univariate models. Note that it is unnecessary to assume that the predictors (regressors, columns of \(\mathbf{X}\)) are normally distributed.
Implicit in the above is perhaps the most important assumption—that the model has been correctly specified. This means:
Linearity: The form of the relations between each \(\mathbf{y}\) and the \(\mathbf{x}\)s is correct. Typically this means that the relations are linear, but if not, we have specified a correct transformation of \(\mathbf{y}\) and/or \(\mathbf{x}\).
Completeness: No relevant predictors have been omitted from the model.
Additive effects: The combined effect of different predictors is the sum of their individual effects.
10.2 Fitting the model
The least squares (and also maximum likelihood) solution for the coefficients \(\mathbf{B}\) is given by
\[ \widehat{\mathbf{B}} = (\mathbf{X}^\mathsf{T} \mathbf{X})^{-1} \mathbf{X}^\mathsf{T} \mathbf{Y} \:\: . \]
This is precisely the same as fitting the separate responses \(\mathbf{y}_1 , \mathbf{y}_2 , \dots , \mathbf{y}_p\), and placing the estimated coefficients \(\widehat{\mathbf{b}}_i\) as columns in \(\widehat{\mathbf{B}}\)
\[
\widehat{\mathbf{B}} = [ \widehat{\mathbf{b}}_1, \widehat{\mathbf{b}}_2, \dots , \widehat{\mathbf{b}}_p] \:\: .
\] In R, we fit the multivariate linear model with lm() simply by giving a collection of response variables y1, y2, ... on the left-hand side of the model formula, wrapped in cbind() which combines them to form a matrix response.
In the presence of possible outliers, robust methods are available for univariate linear models (e.g., MASS::rlm()). So too, heplots::robmlm() provides robust estimation in the multivariate case.
10.2.1 Example: Dog Food Data
As a toy example to make these ideas concrete, consider the dataset heplots::dogfood. Here, a dogfood manufacturer wanted to study preference for different dogfood formulas, two of their own (“Old”, “New”) and two from other manufacturers (“Major”, “Alps”). In a between-dog design, each of \(n=4\) dogs were presented with a bowl of one formula and the time to start eating and amount eaten were recorded. Greater preference would be seen in a shorter delay to start eating and a greater amount, so these responses are expected to be negatively correlated.
For this data, boxplots for the two responses provide an initial look, shown in Figure 10.1. Putting these side-by-side makes it easy to see the inverse relation between the medians on the two response variables.
Code
dog_long <- dogfood |>
pivot_longer(c(start, amount),
names_to = "variable")
ggplot(data = dog_long,
aes(x=formula, y = value, fill = formula)) +
geom_boxplot(alpha = 0.2) +
geom_point(size = 2.5) +
facet_wrap(~ variable, scales = "free") +
theme_bw(base_size = 14) +
theme(legend.position="none")
As suggested above, the multivariate model for testing mean differences due to the dogfood formula is fit using lm() on the matrix \(\mathbf{Y}\) constructed with cbind(start, amount).
By default, the factor formula is represented by three columns in the \(\mathbf{X}\) matrix that correspond to treatment contrasts, which are comparisons of the Old formula (a baseline level) with each of the others. The coefficients, for example formulaNEW, are the difference in means from those for Old.
Then, the overall multivariate test that means on both variables do not differ is carried out using car::Anova().
The details of these analysis steps are explained below.
10.2.2 Sums of squares
In univariate response models, statistical tests and model summaries (like \(R^2\)) are based on the familiar decomposition of the total sum of squares \(SS_T\) into regression or hypothesis (\(SS_H\)) and error (\(SS_E\)) sums of squares. In the multivariate linear model each of these becomes a \(p \times p\) matrix \(SSP\) containing sums of squares for the \(p\) responses on the diagonal and sums of cross products in the off-diagonal. elements. For the MLM this is expressed as:
\[\begin{aligned} \underset{(p\times p)}{\mathbf{SSP}_{T}} & = \mathbf{Y}^{\top} \mathbf{Y} - n \overline{\mathbf{y}}\,\overline{\mathbf{y}}^{\top} \\ & = \left(\widehat {\mathbf{Y}}^{\top}\widehat{\mathbf{Y}} - n\overline{\mathbf{y}}\,\overline{\mathbf{y}}^{\top} \right) + \widehat{\boldsymbol{\Large\varepsilon}}^{\top}\widehat{\boldsymbol{\Large\varepsilon}} \\ & = \mathbf{SSP}_{H} + \mathbf{SSP}_{E} \\ & \equiv \mathbf{H} + \mathbf{E} \:\: , \end{aligned} \tag{10.2}\]
where,
- \(\overline{\mathbf{y}}\) is the \((p\times 1)\) vector of means for the response variables;
- \(\widehat{\mathbf{Y}} = \mathbf{X}\widehat{\mathbf{B}}\) is the matrix of fitted values; and
- \(\widehat{\boldsymbol{\Large\varepsilon}} = \mathbf{Y} -\widehat{\mathbf{Y}}\) is the matrix of residuals.
This is the decomposition that we visualize in HE plots, where the size and direction of \(\mathbf{H}\) and \(\mathbf{E}\) can be represented as ellipsoids.
But first, let’s find these results for the example. The easy way is to get them from the result returned by car::Anova(), where the hypothesis \(\mathbf{SSP}_{H}\) for each term in the model is returned as an element in a named list SSP and the error \(\mathbf{SSP}_{E}\) is returned as the matrix SSPE.
You can calculate these directly as shown below. sweep() is used to subtract the colMeans() from \(\mathbf{Y}\) and \(\widehat{\mathbf{Y}}\) and crossprod() premultiplies a matrix by its’ transpose.
Y <- dogfood[, c("start", "amount")]
Ydev <- sweep(Y, 2, colMeans(Y)) |> as.matrix()
SSP_T <- crossprod(as.matrix(Ydev)) |> print()
#> start amount
#> start 35.4 -59.2
#> amount -59.2 975.9
fitted <- fitted(dogfood.mod)
Yfit <- sweep(fitted, 2, colMeans(fitted)) |> as.matrix()
SSP_H <- crossprod(Yfit) |> print()
#> start amount
#> start 9.69 -70.9
#> amount -70.94 585.7
residuals <- residuals(dogfood.mod)
SSP_E <- crossprod(residuals) |> print()
#> start amount
#> start 25.8 11.8
#> amount 11.8 390.3The decomposition of the total sum of squares and products in Equation 10.2 can be shown as:
\[ \overset{\mathbf{SSP}_T} {\begin{pmatrix} 35.4 & -59.2 \\ -59.2 & 975.9 \\ \end{pmatrix}} = \overset{\mathbf{SSP}_H} {\begin{pmatrix} 9.69 & -70.94 \\ -70.94 & 585.69 \\ \end{pmatrix}} + \overset{\mathbf{SSP}_E} {\begin{pmatrix} 25.8 & 11.8 \\ 11.8 & 390.3 \\ \end{pmatrix}} \]
10.2.3 How big is \(SS_H\) compared to \(SS_E\)?
In a univariate response model, \(SS_H\) and \(SS_E\) are both scalar numbers and the univariate \(F\) test statistic, \[F = \frac{\text{SS}_H/\text{df}_h}{\text{SS}_E/\text{df}_e} = \frac{\mathsf{Var}(H)}{\mathsf{Var}(E)} \:\: , \] assesses “how big” \(\text{SS}_H\) is, relative to \(\text{SS}_E\), the variance accounted for by a hypothesized model or model terms relative to error variance.
In the multivariate analog \(\mathbf{H}\) and \(\mathbf{E}\) are both \(p \times p\) matrices, and \(\mathbf{H}\) “divided by” \(\mathbf{E}\) becomes \(\mathbf{H}\mathbf{E}^{-1}\). The answer, “how big” is expressed in terms of the \(p\) eigenvalues \(\lambda_i, i = 1, 2, \dots p\) of \(\mathbf{H}\mathbf{E}^{-1}\). These are the values \(\lambda\) for which \[ \mathrm{det}(\mathbf{H}\mathbf{E}^{-1} - \lambda \mathbf{I}) = 0 \:\: . \] The solution gives the \(\lambda_i\) as the eigenvalues, with vectors \(\mathbf{v}_i\) as the corresponding eigenvectors, \[ \mathbf{H}\mathbf{E}^{-1} \; \lambda_i = \lambda_i \mathbf{v}_i \:\: . \tag{10.3}\]
However, when the hypothesized model terms have \(\text{df}_h\) degrees of freedom (columns of the \(\mathbf{X}\) matrix for that term), \(\mathbf{H}\) is of rank \(\text{df}_h\), so only \(s=\min(p, \text{df}_h)\) eigenvalues can be non-zero. For example, a test for a hypothesis about a single quantitative predictor \(\mathbf{x}\), has \(\text{df}_h = 1\) degree of freedom and \(\mathrm{rank} (\mathbf{H}) = 1\); for a factor with \(g\) groups, \(\text{df}_h = \mathrm{rank} (\mathbf{H}) = g-1\).
For the dogfood data, we get the following results:
The factor formula has four levels and therefore \(\text{df}_h = 3\) degrees of freedom. But there are only \(p = 2\) responses, so there are \(s=\min(p, \text{df}_h) = 2\) eigenvalues (and corresponding eigenvectors). The eigenvalues tell us that 98.5% of the hypothesis variance due to formula can be accounted for by a single dimension.
The overall multivariate test for the model in Equation 10.1 is essentially a test of the hypothesis \(\mathcal{H}_0: \mathbf{B} = 0\) (excluding the row for the intercept). Equivalently, this is a test based on the incremental \(\mathbf{SSP}_{H}\) for the hypothesized terms in the model—that is, the difference between the \(\mathbf{SSP}_{H}\) for the full model and the null, intercept-only model. The same idea can be applied to test the difference between any pair of nested models—the added contribution of terms in a larger model relative to a smaller model containing a subset of terms.
The eigenvectors \(\mathbf{v}_i\) in Equation 10.3 are also important. These are the weights for the variables in a linear combination \(v_{i1} \mathbf{y}_1 + v_{i2} \mathbf{y}_2 + \cdots + v_{ip} \mathbf{y}_p\) which produces the largest univariate \(F\) statistic for the \(i\)-th dimension. We exploit this in canonical discriminant analysis and the corresponding canonical HE plots (Section 11.2).
The eigenvectors of \(\mathbf{H}\mathbf{E}^{-1}\) for the dogfood model are shown below:
The first column corresponds to the weighted sum \(0.12 \times\text{start} - 0.99 \times \text{amount}\), which as we saw above accounts for 95.5% of the differences in the group means.
10.3 Multivariate test statistics
In the univariate case, the overall \(F\)-test of \(\mathcal{H}_0: \boldsymbol{\beta} = \mathbf{0}\) is the uniformly most powerful invariant test when the assumptions are met. There is nothing better. This is not the case in the MLM.
The reason is that when there are \(p > 1\) response variables, and we are testing a hypothesis comprising \(\text{df}_h >1\) coefficients or degrees of freedom, there are \(s > 1\) possible dimensions in which \(\mathbf{H}\) can be large relative to \(\mathbf{E}\), each measured by the eigenvalue \(\lambda_i\). There are several test statistics that combine these into a single measure, shown in Table 10.1.
| Criterion | Formula | Partial \(\eta^2\) | |
|---|---|---|---|
| Wilks’s \(\Lambda\) | \(\Lambda = \prod^s_i \frac{1}{1+\lambda_i}\) | \(\eta^2 = 1-\Lambda^{1/s}\) | |
| Pillai trace | \(V = \sum^s_i \frac{\lambda_i}{1+\lambda_i}\) | \(\eta^2 = \frac{V}{s}\) | |
| Hotelling-Lawley trace | \(H = \sum^s_i \lambda_i\) | \(\eta^2 = \frac{H}{H+s}\) | |
| Roy maximum root | \(R = \lambda_1\) | \(\eta^2 = \frac{\lambda_1}{1+\lambda_1}\) |
These correspond to different kinds of “means” of the \(\lambda_i\): arithmetic, geometric, harmonic and supremum. See Friendly et al. (2013) for the geometry behind these measures.
Each of these statistics have different sampling distributions under the null hypothesis, but they can all be converted to \(F\) statistics, which are exact when \(s \le 2\), and approximations otherwise. As well, each has an analog of the \(R^2\)-like partial \(\eta^2\) measure, giving the partial association accounted for by each term in the MLM.
10.3.1 Testing contrasts and linear hypotheses
Even more generally, these multivariate tests apply to every linear hypothesis concerning the coefficients in \(\mathbf{B}\). Suppose we want to test the hypothesis that a subset of rows (predictors) and/or columns (responses) simultaneously have null effects. This can be expressed in the general linear test, \[ \mathcal{H}_0 : \mathbf{C}_{h \times q} \, \mathbf{B}_{q \times p} = \mathbf{0}_{h \times p} \:\: , \] where \(\mathbf{C}\) is a full rank \(h \le q\) hypothesis matrix of constants, that selects subsets or linear combinations (contrasts) of the coefficients in \(\mathbf{B}\) to be tested in a \(h\) degree-of-freedom hypothesis.
In this case, the SSP matrix for the hypothesis has the form \[ \mathbf{H} = (\mathbf{C} \widehat{\mathbf{B}})^\mathsf{T}\, [\mathbf{C} (\mathbf{X}^\mathsf{T}\mathbf{X} )^{-1} \mathbf{C}^\mathsf{T}]^{-1} \, (\mathbf{C} \widehat{\mathbf{B}}) \tag{10.4}\]
where there are \(s = \min(h, p)\) non-zero eigenvalues of \(\mathbf{H}\mathbf{E}^{-1}\). In Equation 10.4, \(\mathbf{H}\) measures the (Mahalanobis) squared distances (and cross products) among the linear combinations \(\mathbf{C} \widehat{\mathbf{B}}\) from the origin under the null hypothesis.
For example, with three responses \(y_1, y_2, y_3\) and three predictors \(x_1, x_2, x_3\), we can test the hypothesis that neither \(x_2\) nor \(x_3\) contribute at all to the predicting the \(y\)s in terms of the hypothesis that the coefficients for the corresponding rows of \(\mathbf{B}\) are zero using a 1-row \(\mathbf{C}\) matrix that simply selects those rows:
\[\begin{aligned} \mathcal{H}_0 : \mathbf{C} \mathbf{B} & = \begin{bmatrix} 0 & 1 & 1 & 0 \end{bmatrix} \begin{pmatrix} \beta_{0,y_1} & \beta_{0,y_2} & \beta_{0,y_3} \\ \beta_{1,y_1} & \beta_{1,y_2} & \beta_{1,y_3} \\ \beta_{2,y_1} & \beta_{2,y_2} & \beta_{2,y_3} \\ \beta_{3,y_1} & \beta_{3,y_2} & \beta_{3,y_3} \end{pmatrix} \\ \\ & = \begin{bmatrix} \beta_{1,y_1} & \beta_{1,y_2} & \beta_{1,y_3} \\ \beta_{2,y_1} & \beta_{2,y_2} & \beta_{2,y_3} \\ \end{bmatrix} = \mathbf{0}_{(2 \times 3)} \end{aligned}\]
In MANOVA designs, it is often desirable to follow up a significant effect for a factor with subsequent tests to determine which groups differ. While you can simply test for all pairwise differences among groups (using Bonferonni or other corrections for multiplicity), a more substantively-driven approach uses planned comparisons or contrasts among the factor levels.
For a factor with \(g\) groups, a contrast is simply a comparison of the mean of one subset of groups against the mean of another subset. This is specified as a weighted sum, \(L\) of the means with weights \(\mathbf{c}\) that sum to zero,
\[ L = \mathbf{c}^\mathsf{T} \boldsymbol{\mu} = \sum_i c_i \mu_i \quad\text{such that}\quad \Sigma c_i = 0 \] Two contrasts, \(\mathbf{c}_1\) and \(\mathbf{c}_2\) are orthogonal if the sum of products of their weights is zero, i.e., \(\mathbf{c}_1^\mathsf{T} \mathbf{c}_2 = \Sigma c_{1i} \times c_{2i} = 0\). When contrasts are placed as columns of a matrix \(\mathbf{C}\), they are all mutually orthogonal if each pair is orthogonal, which means \(\mathbf{C}^\top \mathbf{C}\) is a diagonal matrix. Orthogonal contrasts correspond to statistically independent tests.
TODO: Should use \(\frac12\) here so contrast L_1 is mean diff
For example, with the \(g=4\) groups for the dogfood data, the company might want to test the following comparisons among the formulas Old, New, Major and Alps: (a) Ours vs. Theirs: The average of (Old, New) compared to (Major, Alps); (b) Old vs. New; (c) Major vs. Alps. The contrasts that do this are:
\[\begin{aligned} L_1 & = \textstyle{\frac12} (\mu_O + \mu_N) - \textstyle{\frac12} (\mu_M + \mu_A) & \rightarrow\: & \mathbf{c}_1 = \textstyle{\frac12} \begin{pmatrix} 1 & 1 & -1 & -1 \end{pmatrix} \\ L_2 & = \mu_O - \mu_N & \rightarrow\: & \mathbf{c}_2 = \begin{pmatrix} 1 & -1 & 0 & 0 \end{pmatrix} \\ L_3 & = \mu_M - \mu_A & \rightarrow\: & \mathbf{c}_3 = \begin{pmatrix} 0 & 0 & 1 & -1 \end{pmatrix} \end{aligned}\]
Note that these correspond to nested dichotomies among the four groups: first we compare groups (Old and New) against groups (Major and Alps), then subsequently within each of these sets. Such contrasts are always orthogonal, and therefore correspond to statistically independent tests.
In R, contrasts for a factor are specified as columns of matrix, each of which sums to zero. For this example, we can set this up by creating each as a vector and joining them as columns using cbind():
c1 <- c(1, 1, -1, -1)/2 # Old,New vs. Major,Alps
c2 <- c(1, -1, 0, 0) # Old vs. New
c3 <- c(0, 0, 1, -1) # Major vs. Alps
C <- cbind(c1,c2,c3)
rownames(C) <- levels(dogfood$formula)
C
#> c1 c2 c3
#> Old 0.5 1 0
#> New 0.5 -1 0
#> Major -0.5 0 1
#> Alps -0.5 0 -1
# show they are mutually orthogonal
t(C) %*% C
#> c1 c2 c3
#> c1 1 0 0
#> c2 0 2 0
#> c3 0 0 2For the dogfood data, with formula as the group factor, you can set up the analyses to use these contrasts by assigning the matrix C to contrasts() for that factor in the dataset itself. When the contrasts are changed, it is necessary to refit the model. The estimated coefficients then become the estimated mean differences for the contrasts.
For example, Ours vs. Theirs estimated by formulac1 takes 0.69 less time to start eating and eats 5.44 more on average.
For multivariate tests, when all contrasts are pairwise orthogonal, the overall test of a factor with \(\text{df}_h = g-1\) degrees of freedom can be broken down into \(g-1\) separate 1 df tests. This gives rise to a set of \(\text{df}_h\) rank 1 \(\mathbf{H}\) matrices that additively decompose the overall hypothesis SSCP matrix,
\[ \mathbf{H} = \mathbf{H}_1 + \mathbf{H}_2 + \cdots + \mathbf{H}_{\text{df}_h} \:\: , \tag{10.5}\]
exactly as the univariate \(\text{SS}_H\) can be decomposed using orthogonal contrasts in an ANOVA.
You can test such contrasts or any other hypotheses involving linear combinations of the coefficients using car::linearHypothesis. Here, "formulac1" refers to the contrast c1 for the difference between Ours and Theirs. Note that because this is a 1 df test, all four test statistics yield the same \(F\) values.
hyp <- rownames(coef(dogfood.mod))[-1] |> print()
#> [1] "formulac1" "formulac2" "formulac3"
H1 <- linearHypothesis(dogfood.mod, hyp[1], title="Ours vs. Theirs") |>
print()
#>
#> Sum of squares and products for the hypothesis:
#> start amount
#> start 7.56 -59.8
#> amount -59.81 473.1
#>
#> Sum of squares and products for error:
#> start amount
#> start 25.8 11.7
#> amount 11.7 390.3
#>
#> Multivariate Tests: Ours vs. Theirs
#> Df test stat approx F num Df den Df Pr(>F)
#> Pillai 1 0.625 9.18 2 11 0.0045 **
#> Wilks 1 0.375 9.18 2 11 0.0045 **
#> Hotelling-Lawley 1 1.669 9.18 2 11 0.0045 **
#> Roy 1 1.669 9.18 2 11 0.0045 **
#> ---
#> Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1Similarly for the other two contrasts within these each of these two subsets, but I don’t print the results
H2 <- linearHypothesis(dogfood.mod, hyp[2], title="Old vs. New")
H3 <- linearHypothesis(dogfood.mod, hyp[3], title="Alps vs. Major")Then, we can illustrate Equation 10.5 by extracting the 1 df \(\mathbf{H}\) matrices (SSPH) from the results of linearHypothesis.
\[ \overset{\mathbf{H}} {\begin{pmatrix} 9.7 & -70.9 \\ -70.9 & 585.7 \\ \end{pmatrix}} = \overset{\mathbf{H}_1} {\begin{pmatrix} 7.6 & -59.8 \\ -59.8 & 473.1 \\ \end{pmatrix}} + \overset{\mathbf{H}_2} {\begin{pmatrix} 0.13 & 1.88 \\ 1.88 & 28.12 \\ \end{pmatrix}} + \overset{\mathbf{H}_3} {\begin{pmatrix} 2 & -13 \\ -13 & 84 \\ \end{pmatrix}} \]
10.4 ANOVA \(\rightarrow\) MANOVA
Multivariate analysis of variance (MANOVA) generalizes the familiar ANOVA model to situations where there are two or more response variables. Unlike ANOVA, which focuses on discerning statistical differences in one continuous dependent variable influenced by an independent variable (or grouping variable), MANOVA considers several dependent variables at once. It integrates these variables into a single, composite variable through a weighted linear combination, allowing for a comprehensive analysis of how these dependent variables collectively vary with respect to the levels of the independent variable. Essentially, MANOVA investigates whether the grouping variable explains significant variations in the combined dependent variables.
The situation is illustrated in Figure 10.2 where there are two response measures, \(Y_1\) and \(Y_2\) with data collected for three groups. For concreteness, \(Y_1\) might be a score on a math test and \(Y_2\) might be a reading score. Let’s also say that group 1 has been studying Shakespeare, while group 2 has concentrated on physics, but group 3 has done nothing beyond the normal curriculum.
As shown in the figure, the centroids, \((\mu_{1g}, \mu_{2g})\), clearly differ—the data ellipses barely overlap. A multivariate analysis would show a highly difference among groups. From a rough visual inspection, it seems that means differ on the math test \(Y_1\), with the physics group out-performing the other two. On the reading test \(Y_2\) however it might turn out that the three group means don’t differ significantly in an ANOVA, although the Shakespeare group comes out best by a small amount. Doing separate ANOVAs on these variables would miss what is so obvious from Figure 10.2.
Figure 10.3 illustrates a second important advantage of performing a multivariate analysis over separate ANOVAS: that of determining the number of dimensions or aspects along which groups differ. In the panel on the left, the means of the three groups increase nearly linearly on the combination of \(Y_1\) and \(Y_2\), to their differences can be ascribed to a single dimension. For example, the groups here might be patients diagnosed as normal, mild schizophrenia and profound schizophrenia, and the measures could be tests of memory and attention. The obvious multivariate interpretation from the figure is that of increasing impairment of cognitive functioning across the groups. Note also the positive association within each group: those who perform better on the memory task also do better on attention.
In contrast, the right panel of Figure 10.3 shows a situation where the group means have a low correlation. Data like this might arise in a study of parental competency, where there are are measure of the degree of caring (\(Y_1\)) and time spent in play (\(Y_2\)) by fathers and groups consisting of fathers of children with no disability, or a physical disability or a mental ability. As can be seen in Figure 10.3 fathers of the disabled children differ from those of the not disabled group in two different directions corresponding to being higher on either \(Y_1\) or \(Y_2\). The red arrows suggest that the differences among groups could be interpreted in terms of two uncorrelated dimensions, perhaps labeled overall competency and emphasis on physical activity. (The pattern in Figure 10.3 (right) is contrived for the sake of illustration; it does not reflect the data analyzed in the example below.)
10.4.1 Example: Father parenting data
I use a simple example of a three-group multivariate design to illustrate the basic ideas of fitting MLMs in R and testing hypotheses. Visualization methods using HE plots are discussed in Chapter 11.
The dataset heplots::Parenting come from an exercise (10B) in Meyers et al. (2006) and are probably contrived, but are modeled on a real study in which fathers were assessed on three subscales of a Perceived Parenting Competence Scale,
-
caring, caretaking responsibilities; -
emotion, emotional support provided to the child; and -
play, recreational time spent with the child.
The dataset Parenting comprises 60 fathers selected from three groups of \(n = 20\) each: (a) fathers of a child with no disabilities ("Normal"); (b) fathers with a physically disabled child; (c) fathers with a mentally disabled child. The design is thus a three-group MANOVA, with three response variables.
The main questions concern whether the group means differ on these scales, and the nature of these differences. That is, do the means differ significantly on all three measures? Is there a consistent order of groups across these three aspects of parenting?
More specific questions are: (a) Do the fathers of typical children differ from the other two groups on average? (b) Do the physical and mental groups differ? These questions can be tested using contrasts, and are specified by assigning a matrix to contrasts(Parenting$group); each column is a contrast whose values sum to zero. They are given labels "group1" (normal vs. other) and "group2" (physical vs. mental) in some output.
Exploratory plots
Before setting up a model and testing, it is well-advised to examine the data graphically. The simplest plots are side-by-side boxplots (or violin plots) for the three responses. With ggplot2, this is easily done by reshaping the data to long format and using faceting. In Figure 10.4, I’ve also plotted the group means with white dots.
See the ggplot code
parenting_long <- Parenting |>
tidyr::pivot_longer(cols=caring:play,
names_to = "variable")
ggplot(parenting_long,
aes(x=group, y=value, fill=group)) +
geom_boxplot(outlier.size=2.5,
alpha=.5,
outlier.alpha = 0.9) +
stat_summary(fun=mean,
color="white",
geom="point",
size=2) +
scale_fill_hue(direction = -1) + # reverse default colors
labs(y = "Scale value", x = "Group") +
facet_wrap(~ variable) +
theme_bw(base_size = 14) +
theme(legend.position="top") +
theme(axis.text.x = element_text(angle = 15,
hjust = 1)) 
In this figure, differences among the groups on play are most apparent, with fathers of non-disabled children scoring highest. Differences among the groups on emotion are very small, but one high outlier for the fathers of mentally disabled children is apparent. On caring, fathers of children with a physical disability stand out as highest.
For exploratory purposes, you might also make a scatterplot matrix. Here, because the MLM assumes homogeneity of the variances and covariance matrices \(\mathbf{S}_i\), I show only the data ellipses in scatterplot matrix format, using heplots:covEllipses() (with 50% coverage, for clarity):
colors <- scales::hue_pal()(3) |> rev() # match color use in ggplot
covEllipses(cbind(caring, play, emotion) ~ group, data=Parenting,
variables = 1:3,
fill = TRUE, fill.alpha = 0.2,
pooled = FALSE,
level = 0.50,
col = colors)
If the covariance matrices were all the same, the data ellipses would have roughly the same size and orientation, but that is not the case in Figure 10.5. The normal group shows greater variability overall and the correlations among the measures differ somewhat from group to group. We’ll assess later whether this makes a difference in the conclusions that can be drawn (Chapter 12). The group centroids also differ, but the pattern is not particularly clear. We’ll see an easier to understand view in HE plots and their canonical discriminant cousins.
10.4.1.1 Testing the model
Let’s proceed to fit the multivariate model predicting all three scales from the group factor. lm() for a multivariate response returns an object of class "mlm", for which there are many methods (use methods(class="mlm") to find them).
parenting.mlm <- lm(cbind(caring, play, emotion) ~ group,
data=Parenting) |> print()
#>
#> Call:
#> lm(formula = cbind(caring, play, emotion) ~ group, data = Parenting)
#>
#> Coefficients:
#> caring play emotion
#> (Intercept) 5.8833 4.6333 5.9167
#> group1 -0.3833 2.4167 -0.0667
#> group2 1.7750 -0.2250 -0.6000The coefficients in this model are the values of the contrasts set up above. group1 is the mean of the typical group minus the average of the other two, which is negative on caring and emotion but positive for play. group2 is the difference in means for the physical vs. mental groups.
Before doing multivariate tests, it is useful to see what would happen if we ran univariate ANOVAs on each of the responses. These can be extracted from an MLM using stats::summary.aov():
summary.aov(parenting.mlm)
#> Response caring :
#> Df Sum Sq Mean Sq F value Pr(>F)
#> group 2 130 65.2 18.6 6e-07 ***
#> Residuals 57 200 3.5
#> ---
#> Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
#>
#> Response play :
#> Df Sum Sq Mean Sq F value Pr(>F)
#> group 2 177 88.6 27.6 4e-09 ***
#> Residuals 57 183 3.2
#> ---
#> Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
#>
#> Response emotion :
#> Df Sum Sq Mean Sq F value Pr(>F)
#> group 2 15 7.27 1.02 0.37
#> Residuals 57 408 7.16If you like, you can also extract the univariate model fit statistics from the "mlm" using thebroom::glance()` method for a multivariate model object.
From this, one might conclude that there are differences only in caring and play and therefore ignore emotion, but this would be short-sighted. car::Anova() gives the overall multivariate test \(\mathcal{H}_0: \mathbf{B} = 0\) of the group effect. Note that this has a much smaller \(p\)-value than any of the univariate \(F\) tests.
Anova(parenting.mlm)
#>
#> Type II MANOVA Tests: Pillai test statistic
#> Df test stat approx F num Df den Df Pr(>F)
#> group 2 0.948 16.8 6 112 9e-14 ***
#> ---
#> Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1Anova() returns an object of class "Anova.mlm" which has various methods. The summary() method for this gives more details, including all four test statistics. These tests have \(s = \min(p, \text{df}_h) = \min(3,2) = 2\) dimensions and the \(F\) approximations are not equivalent here. All four tests are highly significant
parenting.summary <- Anova(parenting.mlm) |> summary()
print(parenting.summary, SSP=FALSE)
#>
#> Type II MANOVA Tests:
#>
#> ------------------------------------------
#>
#> Term: group
#>
#> Multivariate Tests: group
#> Df test stat approx F num Df den Df Pr(>F)
#> Pillai 2 0.948 16.8 6 112 9.0e-14 ***
#> Wilks 2 0.274 16.7 6 110 1.3e-13 ***
#> Hotelling-Lawley 2 1.840 16.6 6 108 1.8e-13 ***
#> Roy 2 1.108 20.7 3 56 3.8e-09 ***
#> ---
#> Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1The summary() method by default prints the SSH = \(\mathbf{H}\) and SSE = \(\mathbf{E}\) matrices, but I suppressed them above. They can be extracted from the object using purrr::pluck():
H <- parenting.summary |>
purrr::pluck("multivariate.tests", "group", "SSPH") |>
print()
#> caring play emotion
#> caring 130.4 -43.767 -41.833
#> play -43.8 177.233 0.567
#> emotion -41.8 0.567 14.533
E <- parenting.summary |>
purrr::pluck("multivariate.tests", "group", "SSPE") |>
print()
#> caring play emotion
#> caring 199.8 -45.8 35.2
#> play -45.8 182.7 80.6
#> emotion 35.2 80.6 408.0Linear hypotheses & contrasts
With three or more groups or with a more complex MANOVA design, contrasts provide a way of testing questions of substantive interest regarding differences among group means.
The test of the contrast comparing the typical group to the average of the others is the test using the contrast \(c_1 = (1, -\frac12, -\frac12)\) which produces the coefficients labeled "group1". The function car::linearHypothesis() carries out the multivariate test that these are all zero. This is a 1 df test, so all four test statistics produce the same \(F\) and \(p\)-values.
coef(parenting.mlm)["group1",]
#> caring play emotion
#> -0.3833 2.4167 -0.0667
linearHypothesis(parenting.mlm, "group1") |>
print(SSP=FALSE)
#>
#> Multivariate Tests:
#> Df test stat approx F num Df den Df Pr(>F)
#> Pillai 1 0.521 19.9 3 55 7.1e-09 ***
#> Wilks 1 0.479 19.9 3 55 7.1e-09 ***
#> Hotelling-Lawley 1 1.088 19.9 3 55 7.1e-09 ***
#> Roy 1 1.088 19.9 3 55 7.1e-09 ***
#> ---
#> Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1Similarly, the difference between the physical and mental groups uses the contrast \(c_2 = (0, 1, -1)\) and the test that these means are equal is given by linearHypothesis() applied to group2.
coef(parenting.mlm)["group2",]
#> caring play emotion
#> 1.775 -0.225 -0.600
linearHypothesis(parenting.mlm, "group2") |>
print(SSP=FALSE)
#>
#> Multivariate Tests:
#> Df test stat approx F num Df den Df Pr(>F)
#> Pillai 1 0.429 13.8 3 55 8e-07 ***
#> Wilks 1 0.571 13.8 3 55 8e-07 ***
#> Hotelling-Lawley 1 0.752 13.8 3 55 8e-07 ***
#> Roy 1 0.752 13.8 3 55 8e-07 ***
#> ---
#> Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1linearHypothesis() is very general. The second argument (hypothesis.matrix) corresponds to \(\mathbf{C}\), and can be specified as numeric matrix giving the linear combinations of coefficients by rows to be tested, or a character vector giving the hypothesis in symbolic form; "group1" is equivalent to "group1 = 0".
Because the contrasts used here are orthogonal, they comprise the overall test of \(\mathbf{B} = \mathbf{0}\) which implies that the means of the three groups are all equal. The test below gives the same results as Anova(parenting.mlm).
linearHypothesis(parenting.mlm, c("group1", "group2")) |>
print(SSP=FALSE)
#>
#> Multivariate Tests:
#> Df test stat approx F num Df den Df Pr(>F)
#> Pillai 2 0.948 16.8 6 112 9.0e-14 ***
#> Wilks 2 0.274 16.7 6 110 1.3e-13 ***
#> Hotelling-Lawley 2 1.840 16.6 6 108 1.8e-13 ***
#> Roy 2 1.108 20.7 3 56 3.8e-09 ***
#> ---
#> Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 110.4.2 Ordered factors
When groups are defined by an ordered factor, such as level of physical fitness (rated 1–5) or grade in school, it is tempting to treat that as a numeric variable and use a multivariate regression model. This would assume that the effect of that factor is linear and if not, we might consider adding polynomial terms. A different strategy, often preferable, is to make the group variable an ordered factor, for which R assigns polynomial contrasts. This gives separate tests of the linear, quadratic, cubic, … trends of the response, without the need to specify them separately in the model
10.4.3 Example: Adolescent mental health
The dataset heplots::AddHealth contains a large cross-sectional sample of participants from grades 7–12 from the National Longitudinal Study of Adolescent Health, described by Warne (2014). It contains responses to two Likert-scale (1–5) items, anxiety and depression. grade is an ordered factor, which means that the default contrasts are taken as orthogonal polynomials with linear (grade.L), quadratic (grade.Q), up to 5th degree (grade^5) trends, which decompose the total effect of grade.
The research questions are:
- How do the means for anxiety and depression vary separately with grade? Is there evidence for linear and nonlinear trends?
- How do anxiety and depression vary jointly with grade?
- How does the _association* of anxiety and depression vary with age?
The first question can be answered by fitting separate linear models for each response (e.g., lm(anxiety ~ grade))). However the second question is more interesting because it considers the two responses together and takes their correlation into account. This would be fit as the MLM:
\[ \mathbf{y} = \boldsymbol{\beta}_0 + \boldsymbol{\beta}_1 x + \boldsymbol{\beta}_2 x^2 + \cdots \boldsymbol{\beta}_5 x^5 \tag{10.6}\]
or, expressed in terms of the variables,
\[\begin{aligned} \begin{bmatrix} y_{\text{anx}} \\y_{\text{dep}} \end{bmatrix} & = & \begin{bmatrix} \beta_{0,\text{anx}} \\ \beta_{0,\text{dep}} \end{bmatrix} + \begin{bmatrix} \beta_{1,\text{anx}} \\ \beta_{1,\text{dep}} \end{bmatrix} \text{grade} + \begin{bmatrix} \beta_{2,\text{anx}} \\ \beta_{2,\text{dep}} \end{bmatrix} \text{grade}^2 + \cdots \begin{bmatrix} \beta_{5,\text{anx}} \\ \beta_{5,\text{dep}} \end{bmatrix} \text{grade}^5 \end{aligned} \tag{10.7}\]
Withgrade represented as an ordered factor, the values of \(x\) in Equation 10.6 are those of the orthogonal polynomials given by poly(grade,5).
Exploratory plots
Some exploratory analysis is useful before fitting and visualizing models. As a first step, we find the means, standard deviations, and standard errors of the means.
Show the code
library(ggplot2)
library(dplyr)
means <- AddHealth |>
group_by(grade) |>
summarise(
n = n(),
dep_sd = sd(depression, na.rm = TRUE),
anx_sd = sd(anxiety, na.rm = TRUE),
dep_se = dep_sd / sqrt(n),
anx_se = anx_sd / sqrt(n),
depression = mean(depression),
anxiety = mean(anxiety) ) |>
relocate(depression, anxiety, .after = grade) |>
print()
#> # A tibble: 6 × 8
#> grade depression anxiety n dep_sd anx_sd dep_se anx_se
#> <ord> <dbl> <dbl> <int> <dbl> <dbl> <dbl> <dbl>
#> 1 7 0.881 0.751 622 1.11 1.05 0.0447 0.0420
#> 2 8 1.08 0.804 664 1.19 1.06 0.0461 0.0411
#> 3 9 1.17 0.934 778 1.19 1.08 0.0426 0.0387
#> 4 10 1.27 0.956 817 1.23 1.11 0.0431 0.0388
#> 5 11 1.37 1.12 790 1.20 1.16 0.0428 0.0411
#> 6 12 1.34 1.10 673 1.14 1.11 0.0439 0.0426Now, plot the means with \(\pm 1\) error bars. It appears that average level of both depression and anxiety increase steadily with grade, except for grades 11 and 12 which don’t differ much. Alternatively, we could describe this as relationships that seem largely linear, with a hint of curvature at the upper end.
p1 <-ggplot(data = means, aes(x = grade, y = anxiety)) +
geom_point(size = 4) +
geom_line(aes(group = 1), linewidth = 1.2) +
geom_errorbar(aes(ymin = anxiety - anx_se,
ymax = anxiety + anx_se),
width = .2)
p2 <-ggplot(data = means, aes(x = grade, y = depression)) +
geom_point(size = 4) +
geom_line(aes(group = 1), linewidth = 1.2) +
geom_errorbar(aes(ymin = depression - dep_se,
ymax = depression + dep_se),
width = .2)
p1 + p2
It is also useful to within-group correlations using covEllipses(), as shown in Figure 10.7. This also plots the bivariate means showing the form of the association , treating anxiety and depression as multivariate outcomes. (Because the variability of the scores within groups is so large compared to the range of the means, I show the data ellipses with coverage of only 10%.)
covEllipses(AddHealth[, 3:2], group = AddHealth$grade,
pooled = FALSE, level = 0.1,
center.cex = 2.5, cex = 1.5, cex.lab = 1.5,
fill = TRUE, fill.alpha = 0.05)
grade groups.
Fit the MLM
Now, let’s fit the MLM for both responses jointly in relation to grade. The null hypothesis is that the means for anxiety and depression are the same at all six grades, \[
\mathcal{H}_0: \mathbf{\mu}_7 = \mathbf{\mu}_8 = \cdots = \mathbf{\mu}_{12} \; ,
\] or equivalently, that all coefficients except the intercept in the model @ref(eq:AH-mod) are zero, \[
\mathcal{H}_0: \boldsymbol{\beta}_1 = \boldsymbol{\beta}_2 = \cdots = \boldsymbol{\beta}_5 = \boldsymbol{0} \; .
\] We fit the MANOVA model, and test the grade effect using car::Anova(). The effect of grade is highly significant, as we could tell from Figure 10.6.
AH.mlm <- lm(cbind(anxiety, depression) ~ grade, data = AddHealth)
# overall test of `grade`
Anova(AH.mlm)
#>
#> Type II MANOVA Tests: Pillai test statistic
#> Df test stat approx F num Df den Df Pr(>F)
#> grade 5 0.0224 9.83 10 8676 <2e-16 ***
#> ---
#> Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1However, the overall test, with 5 degrees of freedom is diffuse, in that it can be rejected if any pair of means differ. Given that grade is an ordered factor, it makes sense to examine narrower hypotheses of linear and nonlinear trends, car::linearHypothesis() on the coefficients of model AH.mlm.
The joint test of the linear coefficients \(\boldsymbol{\beta}_1 = (\beta_{1,\text{anx}}, \beta_{1,\text{dep}})^\mathsf{T}\) for anxiety and depression, \(H_0 : \boldsymbol{\beta}_1 = \boldsymbol{0}\) is highly significant,
## linear effect
linearHypothesis(AH.mlm, "grade.L") |> print(SSP = FALSE)
#>
#> Multivariate Tests:
#> Df test stat approx F num Df den Df Pr(>F)
#> Pillai 1 0.019 42.5 2 4337 <2e-16 ***
#> Wilks 1 0.981 42.5 2 4337 <2e-16 ***
#> Hotelling-Lawley 1 0.020 42.5 2 4337 <2e-16 ***
#> Roy 1 0.020 42.5 2 4337 <2e-16 ***
#> ---
#> Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1The test of the quadratic coefficients \(H_0 : \boldsymbol{\beta}_2 = \boldsymbol{0}\) indicates significant curvature in trends across grade, as we saw in the plots of their means in Figure 10.6. One interpretation might be that depression and anxiety after increasing steadily up to grade eleven could level off thereafter.
## quadratic effect
linearHypothesis(AH.mlm, "grade.Q") |> print(SSP = FALSE)
#>
#> Multivariate Tests:
#> Df test stat approx F num Df den Df Pr(>F)
#> Pillai 1 0.002 4.24 2 4337 0.014 *
#> Wilks 1 0.998 4.24 2 4337 0.014 *
#> Hotelling-Lawley 1 0.002 4.24 2 4337 0.014 *
#> Roy 1 0.002 4.24 2 4337 0.014 *
#> ---
#> Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1An advantage of linear hypotheses is that we can test several terms jointly. Of interest here is the hypothesis that all higher order terms beyond the quadratic are zero, \(H_0 : \boldsymbol{\beta}_3 = \boldsymbol{\beta}_4 = \boldsymbol{\beta}_5 = \boldsymbol{0}\). Using linearHypothesis you can supply a vector of coefficient names to be tested for their joint effect when dropped from the model.
rownames(coef(AH.mlm))
#> [1] "(Intercept)" "grade.L" "grade.Q" "grade.C"
#> [5] "grade^4" "grade^5"
## joint test of all higher terms
linearHypothesis(AH.mlm, rownames(coef(AH.mlm))[3:5]) |> print(SSP = FALSE)
#>
#> Multivariate Tests:
#> Df test stat approx F num Df den Df Pr(>F)
#> Pillai 3 0.002 1.70 6 8676 0.12
#> Wilks 3 0.998 1.70 6 8674 0.12
#> Hotelling-Lawley 3 0.002 1.70 6 8672 0.12
#> Roy 3 0.002 2.98 3 4338 0.03 *
#> ---
#> Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 110.4.4 Factorial MANOVA
When there are two or more categorical factors, the general linear model provides a way to investigate the effects (differences in means) of each simultaneously. More importantly, this allows you to determine if factors interact, so the effect of one factor varies with the levels of another factor …
Example: Penguins data
In Chapter 3 we examined the Palmer penguins data graphically, using a mosaic plot (Figure 3.30) of the frequencies of the three factors, species, island and sex and then ggpairs() scatterplot matrix (Figure 3.31).
10.5 MRA \(\rightarrow\) MMRA
10.6 ANCOVA \(\rightarrow\) MANCOVA
10.7 Repeated measures designs
Package summary
Packages used here:
10 packages used here: broom, car, carData, dplyr, ggplot2, heplots, knitr, matlib, patchwork, tidyr