Kruskal–Wallis one-way analysis of variance
The Kruskal–Wallis one-way analysis of variance by ranks (named after William Kruskal and W. Allen Wallis) is a non-parametric method for testing whether samples originate from the same distribution. It is used for comparing more than two samples that are independent, or not related. The parametric equivalent of the Kruskal-Wallis test is the one-way analysis of variance (ANOVA). When the Kruskal-Wallis test leads to significant results, then at least one of the samples is different from the other samples. The test does not identify where the differences occur or how many differences actually occur. It is an extension of the Mann–Whitney U test to 3 or more groups. The Mann-Whitney would help analyze the specific sample pairs for significant differences.
Since it is a non-parametric method, the Kruskal–Wallis test does not assume a normal distribution of the residuals, unlike the analogous one-way analysis of variance. However, the test does assume an identically shaped and scaled distribution for each group, except for any difference in medians.
Kruskal–Wallis is also used when the examined groups are of unequal size (different number of participants).
- Rank all data from all groups together; i.e., rank the data from 1 to N ignoring group membership. Assign any tied values the average of the ranks they would have received had they not been tied.
- The test statistic is given by:
- is the number of observations in group
- is the rank (among all observations) of observation from group
- is the total number of observations across all groups
- is the average of all the .
- If the data contain no ties the denominator of the expression for is exactly and . Thus
The last formula only contains the squares of the average ranks.
- A correction for ties if using the short-cut formula described in the previous point can be made by dividing by , where G is the number of groupings of different tied ranks, and ti is the number of tied values within group i that are tied at a particular value. This correction usually makes little difference in the value of K unless there are a large number of ties.
- Finally, the p-value is approximated by . If some values are small (i.e., less than 5) the probability distribution of K can be quite different from this chi-squared distribution. If a table of the chi-squared probability distribution is available, the critical value of chi-squared, , can be found by entering the table at g − 1 degrees of freedom and looking under the desired significance or alpha level. The null hypothesis of equal population medians would then be rejected if . Appropriate multiple comparisons would then be performed on the group medians.
- If the statistic is not significant, then there is no evidence of differences between the samples. However, if the test is significant then a difference exists between at least two of the samples. Therefore, a researcher might use sample contrasts between individual sample pairs, or post hoc tests, to determine which of the sample pairs are significantly different. When performing multiple sample contrasts, the Type I error rate tends to become inflated.
Exact probability tables
A large amount of computing resources is required to compute exact probabilities for the Kruskal-Wallis test. Existing software only provides exact probabilities for sample sizes less than about 30 participants. These software programs rely on asymptotic approximation for larger sample sizes. Exact probability values for larger sample sizes are available. Spurrier (2003) published exact probability tables for samples as large as 45 participants. Meyer and Seaman (2006) produced exact probability distributions for samples as large as 105 participants.
- Spurrier, J. D. (2003). "On the null distribution of the Kruskal–Wallis statistic". Journal of Nonparametric Statistics 15 (6): 685–691. doi:10.1080/10485250310001634719.
- Meyer; Seaman (April 2006). "Expanded tables of critical values for the KruskalWallis H statistic". Paper presented at the annual meeting of the American Educational Research Association, San Francisco. Critical value tables and exact probabilities from Meyer and Seaman are available for download at http://faculty.virginia.edu/kruskal-wallis/. A paper describing their work may also be found there.
- Corder, Gregory W.; Foreman, Dale I. (2009). Nonparametric Statistics for Non-Statisticians. Hoboken: John Wiley & Sons. pp. 99–105. ISBN 9780470454619.
- Kruskal; Wallis (1952). "Use of ranks in one-criterion variance analysis". Journal of the American Statistical Association 47 (260): 583–621. doi:10.1080/01621459.1952.10483441.
- Siegel; Castellan (1988). Nonparametric Statistics for the Behavioral Sciences (Second ed.). New York: McGraw–Hill. ISBN 0070573573.