Welch's t-test

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In statistics, Welch's t-test, or unequal variances t-test, is a two-sample location test which is used to test the hypothesis that two populations have equal means. Welch's t-test is an adaptation of Student's t-test, that is more reliable when the two samples have unequal variances and unequal sample sizes. These tests are often referred to as "unpaired" or "independent samples" t-tests, as they are typically applied when the statistical units underlying the two samples being compared are non-overlapping. Given that Welch's t-test has been less popular than Student's t-test and may be less familiar to readers, a more informative name is "Welch's unequal variances t-test" or "unequal variances t-test" for brevity.

Video Welch's t-test

Assumptions

Student's t-test assumes that the two populations have normal distributions and with equal variances. Welch's t-test is designed for unequal variances, but the assumption of normality is maintained. Welch's t-test is an approximate solution to the Behrens-Fisher problem.

Maps Welch's t-test

Calculations

Welch's t-test defines the statistic t by the following formula:

${\displaystyle t\quad =\quad {\;{\overline {X}}_{1}-{\overline {X}}_{2}\; \over {\sqrt {\;{s_{1}^{2} \over N_{1}}\;+\;{s_{2}^{2} \over N_{2}}\quad }}}\,}$

where ${\displaystyle {\overline {X}}_{1}}$, ${\displaystyle s_{1}^{2}}$ and ${\displaystyle N_{1}}$ are the 1st sample mean, sample variance and sample size, respectively. Unlike in Student's t-test, the denominator is not based on a pooled variance estimate.

The degrees of freedom ${\displaystyle \nu }$  associated with this variance estimate is approximated using the Welch-Satterthwaite equation:

${\displaystyle \nu \quad \approx \quad {{\left(\;{s_{1}^{2} \over N_{1}}\;+\;{s_{2}^{2} \over N_{2}}\;\right)^{2}} \over {\quad {s_{1}^{4} \over N_{1}^{2}\nu _{1}}\;+\;{s_{2}^{4} \over N_{2}^{2}\nu _{2}}\quad }}}$

Here ${\displaystyle \nu _{1}=N_{1}-1}$, the degrees of freedom associated with the first variance estimate. ${\displaystyle \nu _{2}=N_{2}-1}$, the degrees of freedom associated with the 2nd variance estimate.

Welch's t-test can also be calculated for ranked data and might then be named Welch's U-test.

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Statistical test

Once t and ${\displaystyle \nu }$ have been computed, these statistics can be used with the t-distribution to test the null hypothesis that the two population means are equal (using a two-tailed test), or the alternative hypothesis that one of the population means is greater than or equal to the other (using a one-tailed test). The approximate degrees of freedom is rounded down to the nearest integer.

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Advantages and limitations

Welch's t-test is more robust than Student's t-test and maintains type I error rates close to nominal for unequal variances and for unequal sample sizes under normality. Furthermore, the power of Welch's t-test comes close to that of Student's t-test, even when the population variances are equal and sample sizes are balanced. Welch's t-test can be generalized to more than 2-samples, which is more robust than one-way analysis of variance (ANOVA).

It is not recommended to pre-test for equal variances and then choose between Student's t-test or Welch's t-test. Rather, Welch's t-test can be applied directly and without any substantial disadvantages to Student's t-test as noted above. Welch's t-test remains robust for skewed distributions and large sample sizes. Reliability decreases for skewed distributions and smaller samples, where one could possibly perform Welch's t-test on ranked data.

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Examples

The following three examples compare Welch's t-test and Student's t-test. Samples are from random normal distributions using the R programming language.

For all three examples, the population means were ${\displaystyle \mu _{1}=20}$ and ${\displaystyle \mu _{2}=22}$.

The first example is for equal variances (${\displaystyle \sigma _{1}^{2}=\sigma _{2}^{2}=4}$) and equal sample sizes (${\displaystyle N_{1}=N_{2}=15}$). Let A1 and A2 denote two random samples:

${\displaystyle A_{1}=\{27.5,21.0,19.0,23.6,17.0,17.9,16.9,20.1,21.9,22.6,23.1,19.6,19.0,21.7,21.4\}}$

${\displaystyle A_{2}=\{27.1,22.0,20.8,23.4,23.4,23.5,25.8,22.0,24.8,20.2,21.9,22.1,22.9,20.5,24.4\}}$

The second example is for unequal variances (${\displaystyle \sigma _{1}^{2}=16}$, ${\displaystyle \sigma _{2}^{2}=1}$) and unequal sample sizes (${\displaystyle N_{1}=10}$, ${\displaystyle N_{2}=20}$). The smaller sample has the larger variance:

${\displaystyle {\begin{aligned}A_{1}&=\{17.2,20.9,22.6,18.1,21.7,21.4,23.5,24.2,14.7,21.8\}\\A_{2}&=\{21.5,22.8,21.0,23.0,21.6,23.6,22.5,20.7,23.4,21.8,20.7,21.7,21.5,22.5,23.6,21.5,22.5,23.5,21.5,21.8\}\end{aligned}}}$

The third example is for unequal variances (${\displaystyle \sigma _{1}^{2}=1}$, ${\displaystyle \sigma _{2}^{2}=16}$) and unequal sample sizes (${\displaystyle N_{1}=10}$, ${\displaystyle N_{2}=20}$). The larger sample has the larger variance:

${\displaystyle {\begin{aligned}A_{1}&=\{19.8,20.4,19.6,17.8,18.5,18.9,18.3,18.9,19.5,22.0\}\\A_{2}&=\{28.2,26.6,20.1,23.3,25.2,22.1,17.7,27.6,20.6,13.7,23.2,17.5,20.6,18.0,23.9,21.6,24.3,20.4,24.0,13.2\}\end{aligned}}}$

Reference p-values were obtained by simulating the distributions of the t statistics for the null hypothesis of equal population means (${\displaystyle \mu _{1}-\mu _{2}=0}$). Results are summarised in the table below, with two-tailed p-values:

Welch's t-test and Student's t-test gave identical results when the two samples have identical variances and sample sizes (Example 1). But note that if you sample data from populations with identical variances, the sample variances will differ, as will the results of the two t-tests. So with actual data, the two tests will almost always give somewhat different results.

For unequal variances, Student's t-test gave a low p-value when the smaller sample had a larger variance (Example 2) and a high p-value when the larger sample had a larger variance (Example 3). For unequal variances, Welch's t-test gave p-values close to simulated p-values.

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Software implementations

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See also

• Student's t-test
• Z-test
• Factorial experiment
• One-way analysis of variance
• Hotelling's two-sample T-squared statistic, a multivariate extension of Welch's t-test

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References

Source of the article : Wikipedia