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We were given an example the other day for Wilcoxon test with two samples with different populations ($No. untreated=n_1=4$ and $ No. treated=n_2=7$).

It was stated that:

$\mu_w=\frac{n_2(n_2+n_1+1)}{2} $

$\sigma_w^2=\frac{n_1n_2(n_2+n_1+1)}{12}$

I know that:

$\frac{W-\mu_2}{\sigma_w}\sim N(0,1)$

So two parts to this question:

How is $W$ calculated? I believe the 4 ranks (unsigned) were summed for the untreated sample.

-What is the justification for the mean and standard deviation formula? Why is $n_1$ and $n_2$ not the other way around?

Thanks.

Glen_b
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AER
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1 Answers1

2

There are several different forms of the Wilcoxon-Mann-Whitney.

Consider this definition: $W$ = "sum of ranks in sample 2".

Under the null hypothesis, the ranks in sample 2 will be $n_2$ random draws (without replacement) from the pool of ranks, which are the numbers from 1 to $n_1+n_2$.

So we get $n_2$ values with mean $(1+n_1+n_2)/2$. Hence (by linearity of expectation) $E(W) = \frac{n_2(n_1+n_2+1)}{2}$.

So the $W$ you were given the expectation of was "the sum of ranks in sample 2".

By the same argument, the mean for the sum of ranks in sample 1 is $\frac{n_1(n_1+n_2+1)}{2}$

The mean is perhaps more easily remembered as $\frac{n_W(n+1)}{2}$, where $n_W$ is the sample size for whichever group you summed the ranks in, and $n$ is the sum of the two sample sizes.

The formula for $\sigma$ is symmetric, so it doesn't matter how the labelling goes for it.


However, with $n$'s as small as 4 and 7 I wouldn't use the asymptotic approximation, because the accuracy isn't very good in the far tails.

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Good tables easily go up that far, for example*, and decent packages will compute the exact statistic.

For example, if you were doing a one-tailed test (with the alternative being that sample 1 was typically smaller) at no more than the 1% level and you got a sum of ranks in sample 1 of 11, the normal approximation would say 'reject', while the correct action would be to only reject when the sum of ranks was 10.

* If you don't have any, the probability for the end few values can be computed by hand readily enough, though, and then normal approximation should be adequate; for that sample size, the continuity correction dramatically improves the normal approximation to the cdf at W=16 and higher (it's worse for 15 and below though).

Glen_b
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  • I agree, not the best but that is what the subject is dictating. Thank you for your help. – AER Nov 12 '14 at 05:25