Simultaneous decomposition of the variance by sources and subgroups – new insights

Y. Parmet and E. Schechtman

Communications in Statistics - Theory and Methods, 2017, vol. 46, issue 15, 7479-7494

Abstract: There are two types of decompositions: of linear combinations of random variables into contributions of individual variables (sources) and associations between them, and of populations into contributions of their subpopulations. Simultaneous treatment of the two types is called for, which takes into account the correlations between sources within subpopulations and between subpopulation means. The expected values of the subcomponents are derived and their sensitivity to correlations among sources within groups and among source group means is conducted. An example is provided, in which the correlations contribute 20--25% to total variability. This additional information is hidden when decompositions are not simultaneous.

Date: 2017
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DOI: 10.1080/03610926.2016.1152489

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