The Behrens–Fisher problem with covariates and baseline adjustments

Cong Cao (), Markus Pauly and Frank Konietschke ()
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Cong Cao: The University of Texas at Dallas
Markus Pauly: Technical University Dortmund
Frank Konietschke: Charité—Universitätsmedizin Berlin, Corporate Member of Freie Universität Berlin, Humboldt-Universität zu Berlin

Metrika: International Journal for Theoretical and Applied Statistics, 2020, vol. 83, issue 2, No 3, 197-215

Abstract: Abstract The Welch–Satterthwaite t test is one of the most prominent and often used statistical inference methods in applications. The approach is, however, not flexible with respect to adjustments for baseline values or other covariates, which may impact the response variable. Existing analysis of covariance models are typically based on the assumption of equal variances across the groups. This assumption is hard to justify in real data applications and the methods tend not to control the type-1 error rate satisfactorily under variance heteroscedasticity. In the present paper, we tackle this problem and develop unbiased variance estimators of group specific variances, and especially of the variance of the estimated adjusted treatment effect in a general analysis of covariance model. These results are used to generalize the Welch–Satterthwaite t test to covariates adjustments. Extensive simulation studies show that the method accurately controls the nominal type-1 error rate, even for very small sample sizes, moderately skewed distributions and under variance heteroscedasticity. A real data set motivates and illustrates the application of the proposed methods.

Keywords: ANCOVA designs; Heteroscedasticity; Non-normality; Semiparametric methods (search for similar items in EconPapers)
Date: 2020
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DOI: 10.1007/s00184-019-00729-2

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