Studentized range distribution

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Studentized range distribution
Probability density function
StudentizedRangePDF.svg
Cumulative distribution function
StudentizedRangeCDF.svg
Parametersk > 1 — the number of groups
ν > 0degrees of freedom
Supportq ∈ [0; +∞)
PDF
CDF

In probability and statistics, studentized range distribution is the continuous probability distribution of the studentized range of an i.i.d. sample from a normally distributed population.

Suppose that we take a sample of size n from each of k populations with the same normal distribution N(μσ2) and suppose that min is the smallest of these sample means and max is the largest of these sample means, and suppose S2 is the pooled sample variance from these samples. Then the following random variable has a Studentized range distribution.

Definition[edit]

Probability density function[edit]

Differentiating the cumulative distribution function with respect to q gives the probability density function.

Cumulative distribution function[edit]

The cumulative distribution function is given by [1]

Special cases[edit]

When the degrees of freedom approach infinity, the standard normal distribution can be used for the general equation above. If k is 2 or 3,[2] the studentized range probability distribution function can be directly evaluated, where is the standard normal probability density function.

When the degrees of freedom approaches infinity the studentized range cumulative distribution can be calculated at all k using the standard normal distribution.

How the studentized range distribution arises[edit]

For any probability density function f, the range probability density is:[2]

What this means is that we are adding up the probabilities that, given k draws from a distribution, two of them differ by r, and the remaining k − 2 draws all fall between the two extreme values. If we use u substitution where and define F as the cumulative distribution function of f, then the equation can be simplified.

In order to create the studentized range distribution, we first use the standard normal distribution for f and F, and change the variable r to q.

The chi distribution is:

If we apply a change of variables we see it can also be expressed as:

Multiplying the two and integrating over S gives:

Uses[edit]

Critical values of the studentized range distribution are used in Tukey's range test.

References[edit]

  1. ^ Lund, R. E.; Lund, J. R. (1983). "Algorithm AS 190: Probabilities and Upper Quantiles for the Studentized Range". Journal of the Royal Statistical Society. 32 (2): 204–10. JSTOR 2347300.
  2. ^ a b A. T. McKay (1933). "A Note on the Distribution of Range in Samples of n". Biometrika. 25 (3): 415–20. doi:10.2307/2332292. JSTOR 2332292.
  • Dunlap, W. P.; Powell, R. S.; Konnerth, T. K. (1977). "A FORTRAN IV function for calculating probabilities associated with the studentized range statistic". Behavior Research Methods & Instrumentation. 9 (4): 373–75. doi:10.3758/BF03202264.