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The limiting distribution of the F-statistic from nonnormal universes 

Author: Bilgehan Guumlven - Email: guvenb@metu.edu.tra
Affiliation:   a Statistics Department, Middle East Technical University, Ankara, Turkey
DOI: 10.1080/02331880601012843
Publication Frequency: 6 issues per year
Published in: journal Statistics, Volume 40, Issue 6 December 2006 , pages 545 - 557
Formats available: HTML (English) : PDF (English)
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Abstract

We consider a linear regression model with an unbalanced 1-fold nested error structure, where group effect and error are from nonnormal universes. The limiting distribution of the F-statistic in this model is derived, as the sample size is large and group sizes take values from a finite set of distinct integers. The result is used to approximate the F-distribution quantile and to test the significance of the random effect variance component. Results are also applicable to the F-statistic in the one-way random-effects model. The effects of departure from normality on the F-statistic distribution are given.
Keywords: 1-fold nested-error model; Asymptotic normality; F-statistic; Idempotent matrix
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