F-test

E212218

The F-test is a statistical hypothesis test used to compare variances and assess the overall significance of models, especially in analysis of variance (ANOVA) and regression.

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F-test canonical 1

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Predicate Object
instanceOf statistical hypothesis test
statistical procedure
appliesTo normally distributed data assumptions
assumes homoscedasticity
independent observations
linear model correctness in regression
normality of errors
basedOn F-distribution
canBe one-sided
two-sided
hasAlternativeHypothesis at least one variance differs
full model improves fit over reduced model
hasDecisionRule reject null hypothesis for large F values
hasLimitation sensitivity to heteroscedasticity
sensitivity to non-normality
sensitivity to outliers
hasNullHypothesis reduced model fits as well as full model
variances are equal
hasParameter denominator degrees of freedom
numerator degrees of freedom
hasTestStatistic ratio of mean square values
ratio of two scaled sample variances
hasVariant F-test for equality of two variances
overall F-test in regression
partial F-test
output p-value based on F-distribution
relatedTo Student's t-test
chi-squared test
likelihood ratio test
requires error sum of squares
estimate of error variance
model sum of squares
usedBy data analysts
scientific researchers
statisticians
usedFor analysis of variance
assessing overall significance of models
comparing nested models
comparing variances
regression model significance testing
testing equality of variances
testing multiple linear restrictions
usedIn econometrics
experimental design
general linear models
multiple linear regression
one-way ANOVA
two-way ANOVA
variance component analysis

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Ronald A. Fisher knownFor F-test