Calculating Sample Size for Follmann’s Simple Multivariate Test for One-Sided Alternatives

Matthew J. McIntosh

The American Statistician, 2022, vol. 76, issue 1, 16-21

Abstract: Follmann developed a multivariate test, when X ∼ MVN(μ,Σ) , to test H0 versus H1 − H0 where H0: μ=0 and H1:μ≥0 . Follmann provided strict lower bounds on the power function when an orthogonal mapping requirement was satisfied, the use of which requires knowledge about the unknown population covariance matrix. In this article, we show that the orthogonal mapping requirement for his theorem is equivalent to and can be replaced with 1′μ≥0 , which does not require knowledge about the population covariance matrix. Using the lower bound on power, we are able to develop conservative sample sizes for this test. The conservative sample sizes are upper bounds on the actual sample size needed to achieve at least the desired power. Results from a simulation study are provided illustrating that the sample sizes are indeed upper bounds. Also, a simple R program to calculate sample size is provided.

Date: 2022
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DOI: 10.1080/00031305.2020.1787224

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