10( Analysis of covariance, ANCOVA)

(TG)
TG<150 (mg/dl)TG150
(mg/dl)

(1) (covariate)

(2) H
0 1 = 2 = ... = a -1 = 0
H
a i 0

i i=1,, a1a
(3) = 0.05
(4)
(SSR full SSR reduced ) /(df full df reduced )
F =
SSE full / df full
df= dffull - dfreduced ; df = dffull

(A)Y
YXA
X() XYA
Y

(1)(Y)
XYX
()
X(A)Y
(2)YX

90

()Y

ID

1
2
3

X1
X2
X3

Y1
Y2
Y3

1
1
1

Xi

Yi

Xn

Yn

Y = 0 + 1X + 2 A +E i
Y
X(covariate)
A(factor)
A2
E
012
E
= + X + A
Y
0

AaA?
(dummy variables)3
Aaa1
01A1
0
A(reference
group)

91

 A=1, 2, 3, , aA= 1 :
A

A1

A2

Aa-1

1
2
3

0
1
0

0
0
1

0
0
0

01 (1-1 )

A
10A=2A1=10A=3A2=1
0

= + A + A ++ A + X
Y
0
1 1
2 2
a -1 a -1
a
= + X
Y
1
0
a

Y2 = 0 + 1 + a X
= + + X
Y

X= xA=1A1 = A2 = ... = Aa-1 = 0

X= xA=2A1=1A2 = ... = Aa-1 = 0
X= xA=3A2=1A1=A3= ... = Aa-1 = 0

Y2 - Y1 = 1
-Y
=
Y
3

A=1A=2X Y
1

A=lA=3X Y
2

A Y

= + A + A ++ A + X
Y
0

A = 1A1 = A2 = ... = Aa-1 = 0

A = 2A1 = 1A2 = ... = Aa-1 = 0
A = 3A2= 1A1 = A3 = Aa-1 = 0

a -1

a -1

= + X
Y
A=1
0
a

Y
A = 2 = 0 + 1 + a X = ( 0 + 1 ) + a X

Y
A = 3 = 0 + 2 + a X = ( 0 + 2 ) + a X

A= 1XY a 0
A=2XY a 0 + 1
A=3XY a 0 + 2
92


XY()A(
(interaction)XA

A=1 Y
a -1
1
2
A
YYX
XA()XY
AY
1 2 a -1 ( 0 )

Y
A =3 = ( 0 + 2 ) + a X

Y
A = 2 = ( 0 + 1 ) + a X
2

= + X
Y
A=1
0
a
1
0
X

A3

1.
XY

2.
XYAXY( a )
AXA

= + A + A ++ A + X
Y
0
1 1
2 2
a -1 a -1
a
= X
Y
( )
= (X' X) -1 X' Y

93


1. 0

= + 0
Y
0
a

0 A=1YX=0 Y
0

X=0A=1A1 = A2 =... Aa-1= 0

2. a
X=xA=1A1=A2 = ... =Aa-1=0
X=x +1A=1A1=A2 = ...=Aa-1=0

= + x
Y
1
0
a
= + ( x + 1)
Y
2

= 0 + a x + a
-Y
=
Y
2
1
a

XY
A=lX1 Y
a
= + + x
X= xA= 2A1 =1A2 = ... = Aa-1 = 0
Y
1

= + ( x + 1) +
Y
2
0
a
1

X= x+1A= 2A1 =1A2 = ... = Aa-1= 0

= 0 + a x + a + 1

-Y
=
Y
2
1
a

A = 2X1 Y
a

AX1 Y
a
a A()
Y

A=3

A=2
A=1
X
0

x+1

a A
3. 1 , 2 , ..., a -1 ()
X= xA=1A1 = A2 = ... = Aa-1 = 0
X= xA=2A1 = 1A2 = ... = Aa-1 = 0

= + x
Y
1
0
a

Y = + x+
2

= ( 0 + 1 ) + a x
94

 -Y
=
Y
2
1
1

XA = 1A = 2 Y
1
1

( adjusted) XA=lA=2 Y
X=xA=3A2=1A1=A3=...=Aa-1=0

= + + x
Y
3
0
2
a

= ( 0 + 2 ) + a x
-Y
=
Y
3
1
2

XA=1A=3 Y
2
2

(adjusted) XA= 1A=3 Y

1 , 2 , , a -1 X(

X)A= 1 Y
Y

2
1

A=3
A=2
A=1

X
0

xA = 1A=2 Y
1

A= 1A=3 Y
2

XXA Y
X

: t
1. 0 t
A= 1 0 XY 0 0
A= 1XY (00)
H 0 : 0 = 0 H1 : 0 0
b 0
t= 0
df=n1
Sb0
2. a t
XYA

95

Y a 0XY
XY
H 0 : a = 0 H1 : a 0
b 0
t= a
df=n1
S ba
3. 1 , 2 , , a -1 t

1 , 2 , , a -1 XA=2, 3, , aA=1 Y
1 , 2 , , a -1 0

H 0 : i = 0 H1 : i 0 i=1, 2, , a-1
b 0
t= i
df=n1
S bi
A
A=2, 3, aA= 1 Y
t
H 0 : 1 - 2 = 0
b b2
t= 1
S b1 b2 S b21 + S b22 + 2 cov(b1 , b 2 )
S b1 b2
A=2A=3t

t(b0b1b2 )

1 , 2 , , a -1 XAY
(adjusted mean)XA

Y
:
1. X
2. A = 1, 2, , a (A1, A2,, Aa-1)

3. X = X A Y

X = X A= 1 A1=A2=...=Aa-1=0 YA =1 = 0 + a X

X = X A= 2 A1=1A2=...=Aa-1=0 YA = 2 = 0 + a X + 1

96

Y
YA = 3 (adj)

YA = 2 (adj)
YA =1 (adj)

FF
3
n

SST = (Yi - Y) 2 ; dfSST=n1

i =1
n

) 2 ; dfSSE=n1
SSE = (Yi - Y
i
i =1

- Y) 2 ; dfSSR=
SSR X, A = (Y
i
i =1

:
SST = SSE + SSR
n

i =1

i =1

i =1

(Yi - Y) 2 = (Yi - Yi ) 2 + (Yi - Y) 2

dfSST= dfSSE + dfSSR
nl=n1+
1.F( overall F test)
F( 1 , 2 , , a )?

H 0 : 1 = 2 = ... = a -1 = a = 0 H1 : i 0 i= 1, 2,..., a ( i
0 )
SSR, SSE, SSTF
SSR/df SSR
F=
SSE/dfSSEMSE
SSE/df SSE
2.F ( partial F test)
Y
( i )F
(full model)(reduced model)

97

= + X + X + ...... + X
Y
0
1 1
2 2
k k
X1, , XkSSTfullSSRfullSSEfull
XkSSR reduced
H 0 : 1 = 2 = ... = k -1 = 0 H1 : i 0 i= 1, 2,..., k-1
(SSR full SSR reduced ) /(df full df reduced )
F=
SSE full / df full
df= dffull - dfreduced ; df= dffull
(R2 )
SSRX, ASSRXSSRASSRX|ASSRA|XR2
1.R2 (total R2) R2 (multiple R2 )
R2R2 :
R 2X, A = SSRX, A/ SST
YSST(XA)
2.R2 (individual R2 )

XY R 2X =SSRX / SST
AY R 2A = SSRA / SST
3.R2 (partial R2 )
AXY
SSRX|A = SSRX, ASSRA
R 2X|A = SSRX|A / SST
XAY
RA|X= SSRX, ASSRX
SSR 2A|X = SSRA|X / SST
4.R2 (cumulative R2 )
XAR2
(5) SAS 15
15

98

 15: 10 SAS
DATA F; SET LIB.CLASS1;
IF 0<TG<150 THEN C_TG=0;
ELSE IF TG>=150 THEN C_TG=1;
IF C_TG=. THEN DELETE;
RUN;
PROC GPLOT;
PLOT HBA1C1*AGE =C_TG;
SYMBOL3 I=R C=R W=5 V=CIRCLE;
SYMBOL4 I=R C=B W=5 V=DOT;
RUN;
PROC TTEST;
CLASS C_TG;
VAR AGE;
RUN;
PROC GLM;
CLASS C_TG;
MODEL HBA1C1=AGE C_TG C_TG*AGE;
RUN;
PROC GLM;
CLASS C_TG;
MODEL HBA1C1=AGE C_TG/SOLUTION;
LSMEANS C_TG/STDERR;
RUN;
(6) SAS
5: 10 SAS 15
HBA1C1
16
15
14
13
12
11
10
9
8
7
6
5
4
0

10

20

30

40

50

60

AGE
C_TG

99

70

80

90

100

 16: 10 SAS 15

Variable
AGE
AGE
AGE

C_TG
0
1
Diff(1-2)
Variable

Lower CL
Mean
61.803
60.72
0.5717

N
5162
4035

Method

AGE

Pooled

AGE

Satterthwaite

Variable
AGE

Method
Folded F

The TTEST Procedure

Upper CL Lower CL
Mean
Mean Std Dev Std Dev
62.111
62.42
11.079
11.293
61.072
61.425
11.171 11.415
1.039
1.5064
11.185
11.346
T-Tests
Variances
DF
t Value
Pr > |t|

Upper CL
Std Dev Std Err
11.515 0.1572
11.669 0.1797
11.513 0.2384

Equal

9195

4.36

<.0001

Unequal

8623

4.35

<.0001

Equality of Variances
Num DF
Den DF
4034
5161

F Value
1.02

Pr > F
0.4688

The GLM Procedure

Dependent Variable: HBA1C1
Source
Model

DF
3
Error

Source
AGE
C_TG
AGE*C_TG
Source
AGE
C_TG
AGE*C_TG

Corrected Total
R-Square
0.025285
DF
1
1
1
DF
1
1
1

Sum of
Squares
Mean Square
F Value
819.25707
273.08569
78.80
9113
31582.24244
3.46563
9116
32401.49951
Coeff Var
Root MSE
HBA1C1 Mean
22.94442
1.861619
8.113601
Type I SS
Mean Square
F Value
469.7645943
469.7645943
135.55
348.7567361
348.7567361
100.63
0.7357417
0.7357417
0.21
Type III SS
Mean Square
F Value
429.5558865
429.5558865
123.95
17.9459491
17.9459491
5.18
0.7357417
0.7357417
0.21

Pr > F
<.0001

Pr > F
<.0001
<.0001
0.6450
Pr > F
<.0001
0.0229
0.6450

The GLM Procedure

Dependent Variable: HBA1C1
Source
Model

DF
2
Error

Source
AGE
C_TG
Source
AGE

Corrected Total
R-Square
0.025262
DF
1
1
DF
1

C_TG

Parameter

Sum of
Squares
Mean Square
F Value
818.52133
409.26067
118.10
9114
31582.97818
3.46533
9116
32401.49951
Coeff Var
Root MSE
HBA1C1 Mean
22.94343
1.861539
8.113601
Type I SS
Mean Square
F Value
469.7645943
469.7645943
135.56
348.7567361
348.7567361
100.64
Type III SS
Mean Square
F Value
430.9775055
430.9775055
124.37
348.7567361

348.7567361
Standard
Error

Estimate

t Value

100.64

Pr > F
<.0001

Pr > F
<.0001
<.0001
Pr > F
<.0001
<.0001

Pr > |t|

Intercept
9.517360636 B
0.10900602
87.31
<.0001
AGE
-0.019169238
0.00171890
-11.15
<.0001
C_TG
0
-0.394608528 B
0.03933482
-10.03
<.0001
C_TG
1
0.000000000 B
.
.
.
NOTE: The X'X matrix has been found to be singular, and a generalized inverse was used to solve the normal
equations. Terms whose estimates are followed by the letter 'B' are not uniquely estimable.
Least Squares Means
HBA1C1
Standard
C_TG
0
1

LSMEAN
7.94055655
8.33516508

100

Error
0.02603130
0.02945966

Pr > |t|
<.0001
<.0001

F P
F P

16

(TG)

()

7.94 (0.03)

8.34 (0.03)

F
100.64***

F 0.21***:p<0.0001,

(7)

(p<0.0001)

101