12.6 – ANOVA posthoc tests

Introduction
Performing multiple comparisons and the one-way ANOVA
Questions
Data set
Chapter 12 contents

Introduction

Tests of the null hypothesis in a one-way ANOVA yields one answer: either you reject the null, or you do not reject the null hypothesis — with the usual caveats about “provisionally reject,” etc (Ch8.2 and Ch8.3). But while there was only one factor (population, drug treatment, etc) in a one-way ANOVA, there are usually many treatments (e.g., multiple levels, four different populations, three doses of a drug plus a placebo).

ANOVA plus posthoc tests solves the multiple comparison problem we discussed: you still get your tests of all group differences, but with adjustments to the procedures so that these tests are conducted without suffering the increase in Type I error = the multiple comparison problem. If the null hypothesis is rejected, you may then proceed to posthoc tests among the groups to identify differences.

Consider the following example of four populations scored for some outcome, sim.ch12 (scroll down the page, or click here to get the R code).

Bring the data frame, sim.ch12, into current memory in Rcmdr by selecting the data set. Next, run the one-way ANOVA.

Rcmdr: Statistics → Means → One-way ANOVA…

which brings up the following menu (Fig. 1)

Figure 1. One-way ANOVA menu in R Commander

Figure 1. One-way ANOVA menu in R Commander

Note: If you look carefully in Figure 1, you can see model name was AnovaModel.8. There’s nothing significant about that name, it just means this was the 8^th model I had run up to that point. As a reminder, Rcmdr will provide names for models for you; it is better practice to provide model names yourself.

Notice that Rcmdr menu correctly identifies the Factor variable, which contains text labels for each group, and the Response variable, which contains the numerical observations.

Note: If your factor is numeric, you’ll first have to tell R that the variable is a factor and hence nominal. this can be accomplished within Rcmdr via the Data → Manage variables… options, or simply submit the command

newName <- as.factor(oldVariable)

If your data set contains more variables, then you would need to sort through these and select the correct model (Fig. 1).

To get the default Tukey posthoc tests simply check the Pairwise comparisons box and then click OK.

For a test of the null that four groups have the same mean, a publishable ANOVA table would look like Table 1.

Note: the ANOVA table is something you put together from the output of R (or other statistical programs). After running one-way ANOVA in Rcmdr, go to Models → Hypothesis tests → ANOVA table…, accept the defaults (marginality, sandwich estimators and are explained in the next chapter 12.7).

Table 1. The ANOVA table

	Df	Mean Square	F	P†
Label	3	389627	76.44	< 0.0001
Error	36	61167

† DrD edited the R output for one-tailed p-value from 1.108357e-15 to a threshold < 0.0001.

Note: To automatically replace a small p-value with a threshold cutoff requires conditional formatting, to highlight results by their content. This is a great ability of spreadsheet apps, and, unsurprisingly, R can do this too. For example, the pvalue() function in scales package, which can report p-values rounded to a threshold value.

R code

pvalue(1.108357e-15, accuracy=0.0001, decimal.mark = ".", add_p=TRUE)

Output

[1] "p<0.0001"

h/t norbert at Scripts & Statistics

Here’s the R output for ANOVA

AnovaModel.8 <- aov(Values ~ Label, data = sim.Ch12)
summary(AnovaModel.8)
          Df  Sum Sq Mean Sq  F value     Pr(>F) 
Label      3  389627  129876    76.44   1.11e-15 ***
Residuals 36   61167    1699 
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

with(sim.Ch12, numSummary(Values, groups = Label, statistics = c("mean", "sd")))
      mean       sd data:n
Pop1 150.3 35.66838 10
Pop2  99.0 43.25634 10
Pop3 130.9 42.36469 10
Pop4 350.7 43.10723 10

End of R output.

Recall that all we can say is that a difference has been found and we reject the null hypothesis. However, we do not know if group 1 = group 2, but both are different from group 3, or some other combination. So we need additional tools. We can conduct posthoc tests (also called multiple comparisons tests).

Once a difference has been detected (F test statistic > F critical value, therefore P < 0.05), then posteriori tests, also called unplanned comparisons, can be used to tell which means differ.

There are also cases for which some comparisons were planned ahead of time and these are called a priori or planned comparisons; even though you conduct the tests after the ANOVA, you were always interested in particular comparisons. This is an important distinction: planned comparisons are more powerful, more aligned with what we understand to be the scientific method.

Let’s take a look at these procedures. Collectively, they are often referred to as posthoc tests (Ruxton and Beauchamp 2008). There are many different flavors of these tests, and R offers several, but I will hold you responsible only for three such comparisons: Tukey’s, Dunnett’s, and Bonferroni (Dunn). These named tests are among the common ones, but you should be aware that the problem of multiple comparisons and inflated error rates has received quite a lot of recent attention because the size of data sets has increased in many fields, e.g., genome wide-association studies in genetics or data mining in economics or business analytics. A related topic then is the issue of “false positives.” New approaches include Holm-Bonferroni. There are others — it is a regular “cottage industry” in applied statistics to a problem that, while recognized, has not achieved a universal agreed solution. Best we can do is be aware and deal with it and know that the problem is one mostly of big data (e.g., microarray and other high-through put approaches).

Important R Note: In order to do most of the posthoc tests you will need to install the multcomp package; after installing the package, load the library(multcomp). Just using the default option from the one-way ANOVA command yields the Tukey’s HSD test.

Performing multiple comparisons and the one-way ANOVA

a. Tukey’s: “honestly (wholly) significant difference test”

Tests $H_{0}:\ \bar{X}_{B}=\bar{X}_{A}$ versus $H_{A}:\ \bar{X}_{B}\neq \bar{X}_{A}$ where A and B can be any pairwise combination of two means you wish to compare. Thus, this is likely a case of unplanned comparisons. There are $\frac{k\left ( k-1 \right )}{2}$ comparisons.

$\begin{align*} q = \frac{\bar{X}_{B}-\bar{X}_{A}}{SE} \end{align*}$

where

$\begin{align*} SE=\sqrt{\frac{MS_{error}}{n}} \end{align*}$

and n is the harmonic mean of the sample sizes of the two groups being compared. If the sample sizes are equal, then the simple arithmetic mean is the same as the harmonic mean.

Note that q is like t for when we are testing means from two samples.

The significance level is the probability of encountering at least one Type I error (probability of rejecting H_o when it is true). This is called the experimentwise (familywise) error rate whereas before we talked about the comparisonwise (individual) error rate.

Two options to get the posthoc test Tukey — use a function called mcp or in Rcmdr, Tukey is the default option in the one-way ANOVA command. The function mcp is part of the multcomp package, which is included in the Rcmdr package.

Rcmdr: Statistics → Means → One-way ANOVA
Check “Pairwise comparisons of means” to get the Tukey’a HSD test (Fig. 2)

Rcmdr Tukey test

Figure 2. Select Tukey posthoc tests with the one-way ANOVA

R output follows. There’s a lot, but much of it is repeat information. Take your time, here we go.

.Pairs <- glht(AnovaModel.4, linfct = mcp(Label = "Tukey"))
summary(.Pairs) # pairwise tests
     Simultaneous Tests for General Linear Hypotheses
Multiple Comparisons of Means: Tukey Contrasts
 Fit: aov(formula = Values ~ Label, data = sim.Ch12) 

 Linear Hypotheses: 
                  Estimate Std. Error t value Pr(>|t|)     
 Pop2 - Pop1 == 0   -51.30      18.43  -2.783   0.0405 *   
 Pop3 - Pop1 == 0   -19.40      18.43  -1.052   0.7201     
 Pop4 - Pop1 == 0   200.40      18.43  10.871   <0.001 *** 
 Pop3 - Pop2 == 0    31.90      18.43   1.730   0.3233     
 Pop4 - Pop2 == 0   251.70      18.43  13.654   <0.001 *** 
 Pop4 - Pop3 == 0   219.80      18.43  11.924   <0.001 *** 
 --- 
 Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1 
 (Adjusted p values reported -- single-step method) 

 confint(.Pairs) # confidence intervals 
      Simultaneous Confidence Intervals 

 Multiple Comparisons of Means: Tukey Contrasts 

 Fit: aov(formula = Values ~ Label, data = sim.Ch12) 

 Quantile = 2.6927 
 95% family-wise confidence level 
   
 Linear Hypotheses: 
                  Estimate  lwr       upr       
 Pop2 - Pop1 == 0  -51.3000 -100.9382   -1.6618 
 Pop3 - Pop1 == 0  -19.4000  -69.0382   30.2382 
 Pop4 - Pop1 == 0  200.4000  150.7618  250.0382 
 Pop3 - Pop2 == 0   31.9000  -17.7382   81.5382 
 Pop4 - Pop2 == 0  251.7000  202.0618  301.3382 
 Pop4 - Pop3 == 0  219.8000  170.1618  269.4382

Confidence interval plots, Tukey posthoc

Figure 3. Plot of confidence intervals of Tukey HSD

R Commander includes a default 95% CI plot (Fig. 3). From this graph, you can quickly identify the pairwise comparisons for which 0 (zero, dotted vertical line) is included in the interval, i.e., there is no difference between the means (e.g., Pop1 is different from Pop4, but Pop1 is not different from Pop3).

b. Dunnett’s Test for comparisons against a control group

There are situations where we might want to compare our experimental Populations to one control Population or group. Thus, this is likely a case of planned comparisons.
This is common in medical research where there is a placebo (control pill with no drug) or sham operations (operations where every thing but the critical operation is done).
This is also a common research design in ecological or agricultural research where some animal or plant populations are exposed to an environmental factor (e.g. fertilizer, pesticide, pollutant, competitors, herbivores) and other animal or plant populations are not exposed to these environmental factor.
The difference in the statistical procedure for analyzing this type of research design is that the experimental groups may only be compared to the control group.
This results in fewer comparisons.
The formula is the same as for the Tukey’s Multiple Comparison test, except for the calculation of the SE.

Standard Error is changed by multiplying the MS_Error by 2.

And n is the harmonic mean of the sample sizes of the two groups being compared.

$\begin{align*} q = \frac{\bar{X}_{control}-\bar{X}_{A}}{SE} \end{align*}$

where

$\begin{align*} SE=\sqrt{\frac{2/ MS_{error}}{n}} \end{align*}$

R Commander doesn’t provide a simple way to get Dunnett, but we can get it simply enough if we are willing to write some script. Fortunately (OK, by design!), Rcmdr prints commands.

Look at the Output window from the one-way ANOVA with pairwise comparisons: it provides clues as to how we can modify the mcp command (mcp stands for multiple comparisons).

First, I had run the one-way ANOVA command and noted the model (AnovaModel.3). Second, I wrote the following script, modified from above.

Pairs <- glht(AnovaModel.1, linfct = mcp(Label = c("Pop2 - Pop1 = 0", "Pop3 - Pop1 = 0", "Pop4 - Pop1 = 0")))

where Label is my name for the Factor variable. Note that I specified the comparisons I wanted R to make. When I submit the script, nothing shows up in the Output window because the results are stored in my “Pairs.”

I then need to ask R to provide confidence intervals

confint(Pairs)

R output window

Pairs <- glht(AnovaModel.1, linfct = mcp(Label = c("Pop2 - Pop1 = 0", "Pop3 - Pop1 = 0", "Pop4 - Pop1 = 0"))) 
confint(Pairs) 

Simultaneous Confidence Intervals 

 Multiple Comparisons of Means: User-defined Contrasts 

 Fit: aov(formula = Values ~ Label, data = sim.Ch12) 

 Estimated Quantile = 2.4524 
 95% family-wise confidence level 

 Linear Hypotheses: 
  ...... lwr ....... upr 
 Pop2 - Pop1 == 0  .. -51.3000  . -96.5080  ... -6.0920 
 Pop3 - Pop1 == 0  .. -19.4000  . -64.6080  ... 25.8080 
 Pop4 - Pop1 == 0  .. 200.4000  . 155.1920  .. 245.6080

Look for intervals that include zero, therefore, the group does not differ from the Control group (Pop1). How many groups differed from the Control group?

Alternatively, I may write

Tryme <- glht(AnovaModel.1, linfct = mcp(Label = "Dunnett"))
confint(Tryme)

It’s the same (in fact, the default mcp test is the Dunnett).

Tryme <- glht(AnovaModel.1, linfct = mcp(Label = "Dunnett")) 
confint(Tryme) 

Simultaneous Confidence Intervals 

Multiple Comparisons of Means: Dunnett Contrasts 

Fit: aov(formula = Values ~ Label, data = sim.Ch12) 

Estimated Quantile = 2.4514 
95% family-wise confidence level 

Linear Hypotheses: 
Estimate lwr upr 
Pop2 - Pop1 == 0 -51.3000 -96.4895 -6.1105 
Pop3 - Pop1 == 0 -19.4000 -64.5895 25.7895 
Pop4 - Pop1 == 0 200.4000 155.2105 245.5895

Note: Use relevel() command* to set the order of levels in the data set. By default Dunnett procedure in mcp assumes the first level of the factor is the control or reference level. R sorts levels alphabetically, so clearly one option is to always provide a sort-friendly name for the reference level. Naturally, R has you covered if you need to specify a different level as the reference, the relevel() command. For example, instead of Pop1, set reference to Pop2 as follows:

Level 
[1] Pop1 Pop2 Pop3 Pop4
Levels: Pop1 Pop2 Pop3 Pop4

Set new order

Level <- relevel(Level, ref = "Pop2"); Level
[1] Pop1 Pop2 Pop3 Pop4
Levels: Pop2 Pop1 Pop3 Pop4

relevel() works only on unordered factors; if you get this error message it just means you need to specify your character variable as a factor. As you may recall, to confirm a character variable is factor

is.factor(Level)
[1] TRUE

If FALSE, then set character variable to factor.

Level <- as.factor(Level)

* Yes, you could change the order any way you want with level(). For example,

Level <- factor(Level, levels = c("Pop2", "Pop4", "Pop1", "Pop3")); Level

returns

[1] Pop1 Pop2 Pop3 Pop4
Levels: Pop2 Pop4 Pop1 Pop3

c. Bonferroni t

The Bonferroni t test is a popular tool for conducting multiple comparisons. This, too, is consistent with an unplanned comparisons approach. The rationale for this particular test is that the MS_error is a good estimate of the pooled variances for all groups in the ANOVA.

$\begin{align*} Bonferroni = \frac{\bar{X}_{B}-\bar{X}_{A}}{\sqrt{MS_{error}\left ( \frac{1}{n_{B}}+\frac{1}{n_{A}} \right )}} \end{align*}$

and DF = N – k.

Note that in order to achieve a Type I error rate of 5% for all tests, you must divide the 0.05 by the number of comparisons conducted.

Thus, for k = 4 groups,

$\binom{4}{2} = \frac{4!}{2!\left ( k-2 \right )!}$

Here’s a simplified version if you prefer to get all pairwise tests

$\binom{4}{2} = \frac{4!}{2!\left ( k-2 \right )!}$

Use this information then to determine how many total comparisons will be made, then if necessary, use to adjust Type I error rate for one test (the exerimentwise error rate).

For our example, is 0.05/6 = 0.00833. Thus, for a difference between two means to be statistically significant, the P-value must be less than 0.00833.

For Bonferroni, we will use the following script.

Set up one-way ANOVA model (ours has been saved as AnovaModel.1),
Collect all pairwise comparisons with the mcp(~"Tukey") stored in a vector (I called mine Whynot),
and finally, get the Bonferroni adjusted test of the comparisons with the summary command, but addtest = adjusted("bonferroni").

It’s a bit much, but we end up with a very nice output to work with.

Whynot <- glht(AnovaModel.3, linfct = mcp(Label = "Tukey")) 
summary(Whynot, test = adjusted("bonferroni")) 

 Simultaneous Tests for General Linear Hypotheses

Multiple Comparisons of Means: Tukey Contrasts

Fit: aov(formula = Values ~ Label, data = sim.Ch12)

Linear Hypotheses:
Estimate Std. Error t value Pr(>|t|) 
Pop2 - Pop1 == 0 -51.30 18.43 -2.783 0.0512 . 
Pop3 - Pop1 == 0 -19.40 18.43 -1.052 1.0000 
Pop4 - Pop1 == 0 200.40 18.43 10.871 3.82e-12 ***
Pop3 - Pop2 == 0 31.90 18.43 1.730 0.5527 
Pop4 - Pop2 == 0 251.70 18.43 13.654 5.33e-15 ***
Pop4 - Pop3 == 0 219.80 18.43 11.924 2.77e-13 ***
  --- 
 Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1 
 (Adjusted p values reported -- bonferroni method)

Questions

Be able to define and contrast experiment-wise and family-wise error rates.
Read and interpret R output
1. Refer back to the Tukey HSD output. Among the four populations, which pairwise groups were considered “statistically significant” following use of the Tukey HSD?
2. Refer back to the Dunnett’s output. Among the four populations, which population was taken as the control group for comparison?
3. Refer back to the Dunnett’s output. Which pairwise groups were considered “statistically significant” from the control group?
4. Refer back to the Bonferroni output. Among the four populations, which pairwise groups were considered “statistically significant” following use of the Bonferroni correction?
5. Compare and contrast interpretation of results for posthoc comparisons among the four populations based on the three different posthoc methods
Be able to distinguish when Tukey HSD and Dunnet’s post hoc tests are appropriate.
Some microarray researchers object to use of Bonferroni correction because it is too “conservative.” In the context of statistical testing, what errors are the researchers talking about when they say the correction is “conservative.”

Data set used in this page

Label	Value
Pop1	105
Pop1	132
Pop1	156
Pop1	198
Pop1	120
Pop1	196
Pop1	175
Pop1	180
Pop1	136
Pop1	105
Pop2	100
Pop2	65
Pop2	60
Pop2	125
Pop2	80
Pop2	140
Pop2	50
Pop2	180
Pop2	60
Pop2	130
Pop3	130
Pop3	95
Pop3	100
Pop3	124
Pop3	120
Pop3	180
Pop3	80
Pop3	210
Pop3	100
Pop3	170
Pop4	310
Pop4	302
Pop4	406
Pop4	325
Pop4	298
Pop4	412
Pop4	385
Pop4	329
Pop4	375
Pop4	365

R code # copy the data from the full table to clipboard and paste between the double quotes in text=””)

sim.ch12 <- read.table(header=TRUE, sep=",",text="")

#check the dataframe
head(sim.ch12)