STAT504

AnalysisofDiscreteData

2.4GoodnessofFitTest
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Agoodnessoffittest,ingeneral,referstomeasuringhowwelldotheobserveddatacorrespondto
thefitted(assumed)model.Wewillusethisconceptthroughoutthecourseasawayofcheckingthe
modelfit.Likeinalinearregression,inessence,thegoodnessoffittestcomparestheobserved
valuestotheexpected(fittedorpredicted)values.
Agoodnessoffitstatisticteststhefollowinghypothesis:
H0:themodelM0fits
vs.
HA:themodelM0doesnotfit(or,someothermodelMAfits)
Mostoftentheobserveddatarepresentthefitofthesaturatedmodel,themostcomplexmodel
possiblewiththegivendata.Thus,mostoftenthealternativehypothesis(HA)willrepresentthe
saturatedmodelMAwhichfitsperfectlybecauseeachobservationhasaseparateparameter.Laterin
thecoursewewillseethatMAcouldbeamodelotherthanthesaturatedone.Letusnowconsider
thesimplestexampleofthegoodnessoffittestwithcategoricaldata.
Inthesettingforonewaytables,wemeasurehowwellanobservedvariableXcorrespondstoaMult
(n,)modelforsomevectorofcellprobabilities,.Wewillconsidertwocases:
1. whenvectorisknown,and
2. whenvectorisunknown.
Inotherwords,weassumethatunderthenullhypothesisdatacomefromaMult(n,)distribution,
andwetestwhetherthatmodelfitsagainstthefitofthesaturatedmodel.Therationalebehindany
modelfittingistheassumptionthatacomplexmechanismofdatagenerationmayberepresentedby
asimplermodel.Thegoodnessoffittestisappliedtocorroborateourassumption.
ConsiderourDiceExample(/stat504/sites/onlinecourses.science.psu.edu.stat504/files/lesson02/dice_example.png)from
theIntroduction.Wewanttotestthehypothesisthatthereisanequalprobabilityofsixsidesthatis
comparetheobservedfrequenciestotheassumedmodel:XMulti(n=30,0=(1/6,1/6,1/6,1/6,
1/6,1/6)).Youcanthinkofthisassimultaneouslytestingthattheprobabilityineachcellisbeing
equalornottoaspecifiedvalue,e.g.
H0:(1,2,3,4,5,6)=(1/6,1/6,1/6,1/6,1/6,1/6)

vs.
HA:(1,2,3,4,5,6)(1/6,1/6,1/6,1/6,1/6,1/6).
Mostsoftwarepackageswillalreadyhavebuiltinfunctionsthatwilldothisforyouseethenext
sectionforexamples(https://onlinecourses.science.psu.edu/stat504/node/61)inSASandR.Hereisastepbystep
proceduretohelpyouconceptuallyunderstandthistestbetterandwhatisgoingonbehindthese
functions.
Step1:Ifvectorisunknownweneedtoestimatetheseunknownparameters,andproceed
toStep2IfvectorisknownproceedtoStep2.
Step2:Calculatetheestimated(fitted)cellprobabilities^ s,andexpectedcellfrequencies,
Ej'sunderH0.
j

Step3:CalculatethePearsongoodnessoffitstatistic,X2and/orthedeviancestatistic,G2
andcomparethemtoappropriatechisquareddistributionstomakeadecision.
Step4:Ifthedecisionisborderlineorifthenullhypothesisisrejected,furtherinvestigate
whichobservationsmaybeinfluentialbylooking,forexample,atresiduals(../node/62).

Pearsonanddevianceteststatistics
ThePearsongoodnessoffitstatisticis
k

^j )
(X j n

=
^j
n

j=1

Aneasywaytorememberitis
2

(O j E j )
=
Ej

whereOj=Xjistheobservedcountincellj,andE

^j
= E(Xj ) = n

istheexpectedcountincellj

undertheassumptionthatnullhypothesisistrue,i.e.theassumedmodelisagoodone.Noticethat
^ istheestimated(fitted)cellproportion underH .

j
0
j

Thedeviancestatisticis
k
2

= 2 Xj log (
j=1

Xj
)
^j
n

where"log"meansnaturallogarithm.Aneasywaytorememberitis
2

Oj
= 2 Oj log (
j

)
Ej

Insometexts,G2isalsocalledthelikelihoodratioteststatistic,forcomparingthelikelihoods
(http://onlinecourses.science.psu.edu/stat504/node/27)(l0andl1)oftwomodels,thatiscomparingthe

loglikelihoodsunderH0(i.e.,loglikelihoodofthefittedmodel,L0)andloglikelihoodunderHA(i.e.,
loglikelihoodofthelarger,lessrestricted,orsaturatedmodelL1):G2=2log(l0/l1)=2(L0L1).A
commonmistakeincalculatingG2istoleaveoutthefactorof2atthefront.
NotethatX2andG2arebothfunctionsoftheobserveddataXandavectorofprobabilities.Forthis
reason,wewillsometimeswritethemasX2(x,)andG2(x,),respectivelywhenthereisno
ambiguity,however,wewillsimplyuseX2andG2.Wewillbedealingwiththesestatistics
throughoutthecourseintheanalysisof2wayandkwaytables,andwhenassessingthefitoflog
linearandlogisticregressionmodels.

TestingtheGoodnessofFit
X2andG2bothmeasurehowcloselythemodel,inthiscaseMult(n,)"fits"theobserveddata.
Ifthesampleproportionsp j=Xj/n(i.e.,saturatedmodel)areexactlyequaltothemodel'sjfor
cellsj=1,2,...,k,thenOj=Ejforallj,andbothX2andG2willbezero.Thatis,themodelfits
perfectly.
2
2
^ 'scomputedunderH ,thenX andG areboth
Ifthesampleproportionsp jdeviatefromthe
0

positive.LargevaluesofX2andG2meanthatthedatadonotagreewellwiththe
assumed/proposedmodelM0.

HowcanwejudgethesizesofX2andG2?
Theanswerisprovidedbythisresult:
IfxisarealizationofXMult(n,),thenasnbecomeslarge,thesamplingdistributionsofboth
X2(x,)andG2(x,)approachchisquareddistribution (http://onlinecourses.science.psu.edu/stat504/node/23#chi
squared)withdf=k1,wherek=numberofcells,2 k1.
ThismeansthatwecaneasilytestanullhypothesisH0:=0againstthealternativeH1:0for
someprespecifiedvector0.AnapproximateleveltestofH0versusH1is:
RejectH0ifcomputedX2(x,0)orG2(x,0)exceedsthetheoreticalvalue2k1(1).
Here,2k1(1)denotesthe(1)thquantileofthe2k1distribution,thevalueforwhichthe
probabilitythata2k1randomvariableislessthanorequaltoitis1.Thepvalueforthistestis
theareatotherightofthecomputedX2orG2underthe2k1densitycurve.Belowisasimplevisual
example.Considerachisquareddistributionwithdf=10.Let'sassumethatacomputedteststatisticis
X2=21.For=0.05,thetheoreticalvalueis18.31.

(/stat504/sites/onlinecourses.science.psu.edu.stat504/files/lesson02/chisqdistributions.R)

UsefulfunctionsinSASandRtorememberforcomputingthepvaluesfromthechisquare
distributionare:
InR,pvalue=1pchisq(teststatistic,df),e.g.,1pchisq(21,10)=0.021
InSAS,pvalue=1probchi(test statistic,df), e.g.,1probchi(21,10)=0.021
YoucanquicklyreviewthechisquareddistributioninLesson0
(https://onlinecourses.science.psu.edu/stat504/node/23),orcheckout
http://www.statsoft.com/textbook/stathome.html(http://www.statsoft.com/textbook/stathome.html)and
http://www.ruf.rice.edu/~lane/stat_sim/chisq_theor/index.html
(http://www.ruf.rice.edu/%7Elane/stat_sim/chisq_theor/index.html).TheSTATSOFTlinkalsohasbriefreviewsof
manyotherstatisticalconceptsandmethods.
Hereareafewmorecommentsonthistest.
Whennislargeandthemodelistrue,X2andG2tendtobeapproximatelyequal.Forlarge
samples,theresultsoftheX2andG2testswillbeessentiallythesame.
Anoldfashionedruleofthumbisthatthe2approximationforX2andG2workswellprovided
thatnislargeenoughtohaveEj=nj5foreveryj.Nowadays,mostagreethatwecanhave
Ej<5forsomeofthecells(say,20%ofthem).SomeoftheEj'scanbeassmallas2,butnoneof
themshouldfallbelow1.Ifthishappens,thenthe2approximationisn'tappropriate,andthe
testresultsarenotreliable.

Inpractice,it'sagoodideatocomputebothX2andG2toseeiftheyleadtosimilarresults.Ifthe
resultingpvaluesareclose,thenwecanbefairlyconfidentthatthelargesampleapproximation

isworkingwell.
IfitisapparentthatoneormoreoftheEj'saretoosmall,wecansometimesgetaroundthe
problembycollapsingorcombiningcellsuntilalltheEj'sarelargeenough.Butwecanalso
performasmallsampleinferenceorexactinference.WewillseemoreonthisinLesson3
(https://onlinecourses.science.psu.edu/stat504/node/89).Pleasenotethatthesmallsampleinferencecanbe
conservativefordiscretedistributions,thatismaygivealargerpvaluethanitreallyis(e.g.,for
moredetailsseeAgresti(2007),Sec.1.4.31.4.5,and2.6Agresti(2013),Sec.3.5,andfor
BayesianinferenceSec3.6.)

Inmostapplications,wewillrejectthenullhypothesisXMult(n,)forlargevaluesofX2or
G2.Onrareoccasions,however,wemaywanttorejectthenullhypothesisforunusuallysmall
valuesofX2orG2.Thatis,wemaywanttodefinethepvalueasP(2k1X2)orP(2k1
G2).VerysmallvaluesofX2orG2suggestthatthemodelfitsthedatatoowell,i.e.thedatamay
havebeenfabricatedoralteredinsomewaytofitthemodelclosely.ThisishowR.A.Fisher
figuredoutthatsomeofMendel'sexperimentaldatamusthavebeenfraudulent(e.g.,see
Agresti(2007),page327Agresti(2013),page19).
2.3.3MultinomialSampling
(/stat504/node/59)

up

2.5ExamplesinSAS/R:DiceRolls&
(/stat504/lesson2)
Tomato(/stat504/node/61)