G03 Chapter Contents
G03 Chapter Introduction
NAG Library Manual

# NAG Library Routine DocumentG03DAF

Note:  before using this routine, please read the Users' Note for your implementation to check the interpretation of bold italicised terms and other implementation-dependent details.

## 1  Purpose

G03DAF computes a test statistic for the equality of within-group covariance matrices and also computes matrices for use in discriminant analysis.

## 2  Specification

 SUBROUTINE G03DAF ( WEIGHT, N, M, X, LDX, ISX, NVAR, ING, NG, WT, NIG, GMN, LDGMN, DET, GC, STAT, DF, SIG, WK, IWK, IFAIL)
 INTEGER N, M, LDX, ISX(M), NVAR, ING(N), NG, NIG(NG), LDGMN, IWK(NG), IFAIL REAL (KIND=nag_wp) X(LDX,M), WT(*), GMN(LDGMN,NVAR), DET(NG), GC((NG+1)*NVAR*(NVAR+1)/2), STAT, DF, SIG, WK(N*(NVAR+1)) CHARACTER(1) WEIGHT

## 3  Description

Let a sample of $n$ observations on $p$ variables come from ${n}_{g}$ groups with ${n}_{j}$ observations in the $j$th group and $\sum {n}_{j}=n$. If the data is assumed to follow a multivariate Normal distribution with the variance-covariance matrix of the $j$th group ${\Sigma }_{j}$, then to test for equality of the variance-covariance matrices between groups, that is, ${\Sigma }_{1}={\Sigma }_{2}=\cdots ={\Sigma }_{{n}_{g}}=\Sigma$, the following likelihood-ratio test statistic, $G$, can be used;
 $G=C n-nglogS-∑j=1ngnj-1logSj ,$
where
 $C= 1-2p2+3p- 1 6p+ 1ng- 1 ∑j= 1ng1 nj- 1 -1 n-ng ,$
and ${S}_{j}$ are the within-group variance-covariance matrices and $S$ is the pooled variance-covariance matrix given by
 $S=∑j=1ngnj-1Sj n-ng .$
For large $n$, $G$ is approximately distributed as a ${\chi }^{2}$ variable with $\frac{1}{2}p\left(p+1\right)\left({n}_{g}-1\right)$ degrees of freedom, see Morrison (1967) for further comments. If weights are used, then $S$ and ${S}_{j}$ are the weighted pooled and within-group variance-covariance matrices and $n$ is the effective number of observations, that is, the sum of the weights.
Instead of calculating the within-group variance-covariance matrices and then computing their determinants in order to calculate the test statistic, G03DAF uses a $QR$ decomposition. The group means are subtracted from the data and then for each group, a $QR$ decomposition is computed to give an upper triangular matrix ${R}_{j}^{*}$. This matrix can be scaled to give a matrix ${R}_{j}$ such that ${S}_{j}={R}_{j}^{\mathrm{T}}{R}_{j}$. The pooled $R$ matrix is then computed from the ${R}_{j}$ matrices. The values of $\left|S\right|$ and the $\left|{S}_{j}\right|$ can then be calculated from the diagonal elements of $R$ and the ${R}_{j}$.
This approach means that the Mahalanobis squared distances for a vector observation $x$ can be computed as ${z}^{\mathrm{T}}z$, where ${R}_{j}z=\left(x-{\stackrel{-}{x}}_{j}\right)$, ${\stackrel{-}{x}}_{j}$ being the vector of means of the $j$th group. These distances can be calculated by G03DBF. The distances are used in discriminant analysis and G03DCF uses the results of G03DAF to perform several different types of discriminant analysis. The differences between the discriminant methods are, in part, due to whether or not the within-group variance-covariance matrices are equal.

## 4  References

Aitchison J and Dunsmore I R (1975) Statistical Prediction Analysis Cambridge
Kendall M G and Stuart A (1976) The Advanced Theory of Statistics (Volume 3) (3rd Edition) Griffin
Krzanowski W J (1990) Principles of Multivariate Analysis Oxford University Press
Morrison D F (1967) Multivariate Statistical Methods McGraw–Hill

## 5  Parameters

1:     WEIGHT – CHARACTER(1)Input
On entry: indicates if weights are to be used.
${\mathbf{WEIGHT}}=\text{'U'}$
No weights are used.
${\mathbf{WEIGHT}}=\text{'W'}$
Weights are to be used and must be supplied in WT.
Constraint: ${\mathbf{WEIGHT}}=\text{'U'}$ or $\text{'W'}$.
2:     N – INTEGERInput
On entry: $n$, the number of observations.
Constraint: ${\mathbf{N}}\ge 1$.
3:     M – INTEGERInput
On entry: the number of variables in the data array X.
Constraint: ${\mathbf{M}}\ge {\mathbf{NVAR}}$.
4:     X(LDX,M) – REAL (KIND=nag_wp) arrayInput
On entry: ${\mathbf{X}}\left(\mathit{k},\mathit{l}\right)$ must contain the $\mathit{k}$th observation for the $\mathit{l}$th variable, for $\mathit{k}=1,2,\dots ,n$ and $\mathit{l}=1,2,\dots ,{\mathbf{M}}$.
5:     LDX – INTEGERInput
On entry: the first dimension of the array X as declared in the (sub)program from which G03DAF is called.
Constraint: ${\mathbf{LDX}}\ge {\mathbf{N}}$.
6:     ISX(M) – INTEGER arrayInput
On entry: ${\mathbf{ISX}}\left(l\right)$ indicates whether or not the $l$th variable in X is to be included in the variance-covariance matrices.
If ${\mathbf{ISX}}\left(\mathit{l}\right)>0$ the $\mathit{l}$th variable is included, for $\mathit{l}=1,2,\dots ,{\mathbf{M}}$; otherwise it is not referenced.
Constraint: ${\mathbf{ISX}}\left(l\right)>0$ for NVAR values of $l$.
7:     NVAR – INTEGERInput
On entry: $p$, the number of variables in the variance-covariance matrices.
Constraint: ${\mathbf{NVAR}}\ge 1$.
8:     ING(N) – INTEGER arrayInput
On entry: ${\mathbf{ING}}\left(\mathit{k}\right)$ indicates to which group the $\mathit{k}$th observation belongs, for $\mathit{k}=1,2,\dots ,n$.
Constraint: $1\le {\mathbf{ING}}\left(\mathit{k}\right)\le {\mathbf{NG}}$, for $\mathit{k}=1,2,\dots ,n$
The values of ING must be such that each group has at least NVAR members.
9:     NG – INTEGERInput
On entry: the number of groups, ${n}_{g}$.
Constraint: ${\mathbf{NG}}\ge 2$.
10:   WT($*$) – REAL (KIND=nag_wp) arrayInput
Note: the dimension of the array WT must be at least ${\mathbf{N}}$ if ${\mathbf{WEIGHT}}=\text{'W'}$, and at least $1$ otherwise.
On entry: if ${\mathbf{WEIGHT}}=\text{'W'}$ the first $n$ elements of WT must contain the weights to be used in the analysis and the effective number of observations for a group is the sum of the weights of the observations in that group. If ${\mathbf{WT}}\left(k\right)=0.0$ the $k$th observation is excluded from the calculations.
If ${\mathbf{WEIGHT}}=\text{'U'}$, WT is not referenced and the effective number of observations for a group is the number of observations in that group.
Constraint: if ${\mathbf{WEIGHT}}=\text{'W'}$, ${\mathbf{WT}}\left(\mathit{k}\right)\ge 0.0$, for $\mathit{k}=1,2,\dots ,n$.
11:   NIG(NG) – INTEGER arrayOutput
On exit: ${\mathbf{NIG}}\left(\mathit{j}\right)$ contains the number of observations in the $\mathit{j}$th group, for $\mathit{j}=1,2,\dots ,{n}_{g}$.
12:   GMN(LDGMN,NVAR) – REAL (KIND=nag_wp) arrayOutput
On exit: the $\mathit{j}$th row of GMN contains the means of the $p$ selected variables for the $\mathit{j}$th group, for $\mathit{j}=1,2,\dots ,{n}_{g}$.
13:   LDGMN – INTEGERInput
On entry: the first dimension of the array GMN as declared in the (sub)program from which G03DAF is called.
Constraint: ${\mathbf{LDGMN}}\ge {\mathbf{NG}}$.
14:   DET(NG) – REAL (KIND=nag_wp) arrayOutput
On exit: the logarithm of the determinants of the within-group variance-covariance matrices.
15:   GC($\left({\mathbf{NG}}+1\right)×{\mathbf{NVAR}}×\left({\mathbf{NVAR}}+1\right)/2$) – REAL (KIND=nag_wp) arrayOutput
On exit: the first $p\left(p+1\right)/2$ elements of GC contain $R$ and the remaining ${n}_{g}$ blocks of $p\left(p+1\right)/2$ elements contain the ${R}_{j}$ matrices. All are stored in packed form by columns.
16:   STAT – REAL (KIND=nag_wp)Output
On exit: the likelihood-ratio test statistic, $G$.
17:   DF – REAL (KIND=nag_wp)Output
On exit: the degrees of freedom for the distribution of $G$.
18:   SIG – REAL (KIND=nag_wp)Output
On exit: the significance level for $G$.
19:   WK(${\mathbf{N}}×\left({\mathbf{NVAR}}+1\right)$) – REAL (KIND=nag_wp) arrayWorkspace
20:   IWK(NG) – INTEGER arrayWorkspace
21:   IFAIL – INTEGERInput/Output
On entry: IFAIL must be set to $0$, $-1\text{​ or ​}1$. If you are unfamiliar with this parameter you should refer to Section 3.3 in the Essential Introduction for details.
For environments where it might be inappropriate to halt program execution when an error is detected, the value $-1\text{​ or ​}1$ is recommended. If the output of error messages is undesirable, then the value $1$ is recommended. Otherwise, if you are not familiar with this parameter, the recommended value is $0$. When the value $-\mathbf{1}\text{​ or ​}\mathbf{1}$ is used it is essential to test the value of IFAIL on exit.
On exit: ${\mathbf{IFAIL}}={\mathbf{0}}$ unless the routine detects an error or a warning has been flagged (see Section 6).

## 6  Error Indicators and Warnings

If on entry ${\mathbf{IFAIL}}={\mathbf{0}}$ or $-{\mathbf{1}}$, explanatory error messages are output on the current error message unit (as defined by X04AAF).
Errors or warnings detected by the routine:
${\mathbf{IFAIL}}=1$
 On entry, ${\mathbf{NVAR}}<1$, or ${\mathbf{N}}<1$, or ${\mathbf{NG}}<2$, or ${\mathbf{M}}<{\mathbf{NVAR}}$, or ${\mathbf{LDX}}<{\mathbf{N}}$, or ${\mathbf{LDGMN}}<{\mathbf{NG}}$, or ${\mathbf{WEIGHT}}\ne \text{'U'}$ or $\text{'W'}$.
${\mathbf{IFAIL}}=2$
 On entry, ${\mathbf{WEIGHT}}=\text{'W'}$ and a value of ${\mathbf{WT}}<0.0$.
${\mathbf{IFAIL}}=3$
 On entry, there are not exactly NVAR elements of ${\mathbf{ISX}}>0$, or a value of ING is not in the range $1$ to NG, or the effective number of observations for a group is less than $1$, or a group has less than NVAR members.
${\mathbf{IFAIL}}=4$
$R$ or one of the ${R}_{j}$ is not of full rank.

## 7  Accuracy

The accuracy is dependent on the accuracy of the computation of the $QR$ decomposition. See F08AEF (DGEQRF) for further details.

The time taken will be approximately proportional to $n{p}^{2}$.

## 9  Example

The data, taken from Aitchison and Dunsmore (1975), is concerned with the diagnosis of three ‘types’ of Cushing's syndrome. The variables are the logarithms of the urinary excretion rates (mg/24hr) of two steroid metabolites. Observations for a total of $21$ patients are input and the statistics computed by G03DAF. The printed results show that there is evidence that the within-group variance-covariance matrices are not equal.

### 9.1  Program Text

Program Text (g03dafe.f90)

### 9.2  Program Data

Program Data (g03dafe.d)

### 9.3  Program Results

Program Results (g03dafe.r)