F-distribution

E212217

The F-distribution is a continuous probability distribution widely used in statistics, especially for comparing variances and conducting analysis of variance (ANOVA) tests.

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F-distribution canonical 2

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Predicate Object
instanceOf continuous probability distribution
probability distribution
ratio distribution
univariate distribution
application construction of confidence intervals for variance ratios
experimental design analysis
model comparison in econometrics
assumes homoscedasticity under null hypothesis in ANOVA
independent observations in classical ANOVA
normally distributed errors in classical ANOVA
cdfExpression F(x; d1, d2) = I_{d1 x / (d1 x + d2)}(d1/2, d2/2)
definedAs (U1/df1) / (U2/df2) where U1 and U2 are independent chi-squared variables
distribution of ratio of two scaled chi-squared variables
hasProperty as degrees of freedom increase, approaches normality after transformation
non-negative
right-skewed
kurtosisExcess 12 (d1 (5 d2 - 22) (d1 + d2 - 2) + (d2 - 4)^2 (d2 - 2)) / ( d1 (d2 - 6) (d2 - 8) (d1 + d2 - 2) ) for d2 > 8
limitingBehavior as both degrees of freedom go to infinity, distribution becomes concentrated near 1
as d2 -> infinity, d2 X / d1 converges to chi-squared(d1)
mean d2 / (d2 - 2) for d2 > 2
mode (d1 - 2) d2 / (d1 (d2 + 2)) for d1 > 2
namedAfter Ronald A. Fisher
surface form: Ronald Fisher
parameter denominator degrees of freedom
numerator degrees of freedom
pdfExpression f(x; d1, d2) = sqrt(((d1 x)^{d1} d2^{d2}) / ((d1 x + d2)^{d1 + d2})) / (x B(d1/2, d2/2)) for x > 0
relatedDistribution Student’s t-distribution
surface form: Student's t-distribution

beta distribution
chi-square distribution
surface form: chi-squared distribution

normal distribution
skewness ( (2 d1 + d2 - 2) sqrt(8 (d2 - 4)) ) / ( (d2 - 6) sqrt(d1 (d1 + d2 - 2)) ) for d2 > 6
specialCaseOf beta prime distribution
support x > 0
x in (0, infinity)
symbol F
transformationRelation if T ~ t(d2) then T^2 ~ F(1, d2)
if X ~ F(d1, d2) then d1 X / (d1 X + d2) ~ Beta(d1/2, d2/2)
usedFor ANOVA
analysis of variance
comparing variances of two normal populations
overall F-test in linear regression
regression model significance testing
testing equality of variances
testing multiple linear restrictions
testing nested linear models
variance ratio tests
usedIn MANOVA via related statistics
general linear models
one-way ANOVA
random effects models
two-way ANOVA
variance components analysis
variance 2 d2^2 (d1 + d2 - 2) / (d1 (d2 - 2)^2 (d2 - 4)) for d2 > 4

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Full triples — surface form annotated when it differs from this entity's canonical label.

Ronald A. Fisher knownFor F-distribution