Hotelling’s T-square Test with Unequal Covariance Matrices

Univariate case

When the variances of the two populations are unequal (as indicated by notably unequal sample variances), we use a modified version of the t-test. In particular, we use the following t-statistic

image740

We now test the null hypothesis H0: μx = μy using the fact that tT(df) where m is defined as

df

(see Two Sample t Test with Unequal Variances). This is equivalent to

image9088

where t2 can be expressed as:

image9101

where =  – ȳ and µz = µx – µy.

Multivariate case

We now look at a multivariate version of the problem, namely to test whether the population means of the k × 1 random vectors X and Y are equal, i.e. the null hypothesis H0: μX = μY, under the assumption that the covariance matrices are not necessarily equal.

Definitions and Properties

Definition 1: The modified two-sample Hotelling’s T-square test statistic is

image9102

Observation: Note the similarity between the expression for T2 and the expression for t2 given above. Also note that if nX = nY, then this definition of T2 is equivalent to that in Definition 1 of Hotelling’s T-square for Independent Samples.

Property 1: For nX and nY sufficiently large, T2 ~ χ2(k).

For small nX and nY, T2 is not sufficiently accurate and a better estimate is achieved using the following theorem

Property 2: Under the null hypothesis,

image9103

where n = nX + nY   1 and m is defined as follows:

image9104

image9105

If F > Fcrit then we reject the null hypothesis.

Example

Example 1:  Repeat Example 1 of Hotelling’s T-square for Independent Samples using the data in Figure 1.

Hotellings T2 data 3

Figure 1 – Data for Example 1

Once again, we employ Box’s test, obtaining the results shown in Figure 2.

Box's test Hotelling Excel

Figure 2 – Box’s Test for Example 1

This time we see that p-value < α = .05, and so we conclude that there is evidence that the covariance matrices are unequal (or that the data is not multivariate normally distributed), although we have somewhat forced the issue since usually a significance level of α = .001 instead of α = .05 is used for Box’s Test.

As a result, we will use the T2 test with unequal covariance matrices. This analysis is shown in Figure 3.

Hotellings T2 unequal covariances

Figure 3 – Analysis for Example 1

We conclude there is a significant difference between the drug and the placebo in treating the symptoms.

Confidence intervals

The simultaneous 1 – α confidence interval for μi is given by the expression

image9106

For n sufficiently large, we could use the following expression instead

image9107

Once again we can use Bonferroni confidence intervals instead. See One-sample Hotelling’s T-square Test for details.

References

Penn State University (2013) Hotelling’s T-square. STAT 505: Applied multivariate statistical analysis (course notes)
https://online.stat.psu.edu/stat505/lesson/7/7.1/7.1.3

Rencher, A.C. (2002) Methods of multivariate analysis (2nd Ed). Wiley-Interscience, New York.
https://www.ipen.br/biblioteca/slr/cel/0241

Johnson, R. A. and Wichern, D. W. (2007) Applied multivariate statistical analysis. 6th Ed. Pearson.
https://www.webpages.uidaho.edu/~stevel/519/Applied%20Multivariate%20Statistical%20Analysis%20by%20Johnson%20and%20Wichern.pdf

14 thoughts on “Hotelling’s T-square Test with Unequal Covariance Matrices”

  1. Hi Charles !
    I am doing an analysis on the multivariate hotelling T square in which I am interested to study the variables ( science stream and arts stream) don’t differ significantly with semesters (I,II,III,IV,V&VI) , a graduate level exam . Is it an appropriate test for the analysis ? If yes , what type of hotelling T square should be done?

    Reply
  2. Please I’m working on multivariate analysis on the response of crop to soil type and fertilizer how do I use manova to do this

    Reply
  3. Dear Prof. Charles Zaiontz,
    I studied the Hotelling test in order to evaluate if a unique sample (I have just one value for each variable, so n_x=1) could belong to a population, whose I have n_y values of the different variables. In your opinion, is the Hotelling procedure with unequal covariance matrix adapt? How can I overcome to the problem of obtaining zero to the denominator (probably saying that I have 2 equal observations of the p variables)? If in your opinion this is not the right procedure, can you suggest me a more adapt one, please?

    Thanks for your attention.

    Best regards

    Reply
    • Ensia,
      Are you saying that your sample consists of just one element in each group? In this case, you should expect much no matter what statistical test you use.
      Charles

      Reply
  4. Dear Charles,
    Thank you very much for this website, it helps a ton in helping me understand Hotelling’s test.

    I was wondering whether you can explain to me why Hotelling’s test uses the F distribution? I cannot seem to connect the test with the F distribution.

    Thank you a lot for your help,
    Lakyn

    Reply
    • Lakyn,

      To give a precise answer to your question would require the proof of Theorem 2 on the referenced webpage, which is too technical for our purposes. One way to motivate why the F distribution might be involved:

      – the univariate version of the Hotelling’s test is the t-test, which uses the t distribution
      – the t distibution can be expressed via the F distribution since if t has distribution T(df), then t^2 has distribution F(1,df)

      Charles

      Reply
  5. Charles,

    I love this website. Thank you.

    I’m currently dealing with a zero inflated dataset. I’m applying the Hotelling’s T2 test to these data and was wondering if there are issues with having a lot of zeros in the data.

    I’m comparing two sites (control and experimental) using fish densities at 1 m depth increments (total of 15). The sample size for each 1 m depth increment is 50. So a matrix that is [50,15].

    Reply
    • Garrett,
      Thanks for letting me know that you love the website.
      Regarding your question, unfortunately I don’t have any experience with Hotelling’s T2 test with zero-inflated data, and so I am not able to answer your question.
      Charles

      Reply

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