Performance of Monte Carlo permutation and approximate tests for multivariate means comparisons with small sample sizes when parametric assumptions are violated

W. Holmes Finch, Teresa Davenport

Research output: Contribution to journalArticlepeer-review

Abstract

Permutation testing has been suggested as an alternative to the standard F approximate tests used in multivariate analysis of variance (MANOVA). These approximate tests, such as Wilks' Lambda and Pillai's Trace, have been shown to perform poorly when assumptions of normally distributed dependent variables and homogeneity of group covariance matrices were violated. Because Monte Carlo permutation tests do not rely on distributional assumptions, they may be expected to work better than their approximate cousins when the data do not conform to the assumptions described above. The current simulation study compared the performance of four standard MANOVA test statistics with their Monte Carlo permutation-based counterparts under a variety of conditions with small samples, including conditions when the assumptions were met and when they were not. Results suggest that for sample sizes of 50 subjects, power is very low for all the statistics. In addition, Type I error rates for both the approximate F and Monte Carlo tests were inflated under the condition of nonnormal data and unequal covariance matrices. In general, the performance of the Monte Carlo permutation tests was slightly better in terms of Type I error rates and power when both assumptions of normality and homogeneous covariance matrices were not met. It should be noted that these simulations were based upon the case with three groups only, and as such results presented in this study can only be generalized to similar situations.

Original languageEnglish (US)
Pages (from-to)60-70
Number of pages11
JournalMethodology
Volume5
Issue number2
DOIs
StatePublished - 2009
Externally publishedYes

Keywords

  • Assumption violations
  • MANOVA
  • Permutation tests
  • Pillai's Trace
  • Roy's Greatest Root

ASJC Scopus subject areas

  • General Social Sciences
  • General Psychology

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