Pearson's chi squared test

Definition

Pearson's chi-squared test is used to assess three types of comparison: goodness of fit, homogeneity, and independence.

A test of goodness of fit establishes whether an observed frequency distribution differs from a theoretical distribution.

A test of homogeneity compares the distribution of counts for two or more groups using the same categorical variable (e.g. choice of activity—college, military, employment, travel—of graduates of a high school reported a year after graduation, sorted by graduation year, to see if number of graduates choosing a given activity has changed from class to class, or from decade to decade).

A test of independence assesses whether unpaired observations on two variables, expressed in a contingency table, are independent of each other (e.g. polling responses from people of different nationalities to see if one's nationality is related to the response).

For all three tests, the computational procedure includes the following steps:

1. Calculate the chi-squared test statistic, χ 2 , which resembles a normalized sum of squared deviations between observed and theoretical frequencies (see below).
2. Determine the degrees of freedom, df, of that statistic. For a test of goodness-of-fit, this is essentially the number of categories reduced by the number of parameters of the fitted distribution. For test of homogeneity, df = (Rows - 1)*(Cols - 1), where Rows corresponds to the number of categories (i.e. rows in the associated contingency table), and Cols corresponds the number of independent groups (i.e. columns in the associated contingency table). For test of independence, df = (Rows - 1)*(Cols - 1), where in this case, Rows corresponds to number of categories in one variable, and Cols corresponds to number of categories in the second variable.
3. Select a desired level of confidence (significance level, p-value or alpha level) for the result of the test.
4. Compare χ 2 to the critical value from the chi-squared distribution with df degrees of freedom and the selected confidence level (one-sided since the test is only one direction, i.e. is the test value greater than the critical value?), which in many cases gives a good approximation of the distribution of χ 2 .
5. Accept or reject the null hypothesis that the observed frequency distribution is the same as the theoretical distribution based on whether the test statistic exceeds the critical value of χ 2 . If the test statistic exceeds the critical value of χ 2 , the null hypothesis ( H 0 = there is no difference between the distributions) can be rejected, and the alternative hypothesis ( H 1 = there is a difference between the distributions) can be accepted, both with the selected level of confidence.

Discrete uniform distribution

In this case N observations are divided among n cells. A simple application is to test the hypothesis that, in the general population, values would occur in each cell with equal frequency. The "theoretical frequency" for any cell (under the null hypothesis of a discrete uniform distribution) is thus calculated as

E i = N n ,

and the reduction in the degrees of freedom is p = 1 , notionally because the observed frequencies O i are constrained to sum to N .

Other distributions

When testing whether observations are random variables whose distribution belongs to a given family of distributions, the "theoretical frequencies" are calculated using a distribution from that family fitted in some standard way. The reduction in the degrees of freedom is calculated as p = s + 1 , where s is the number of co-variates used in fitting the distribution. For instance, when checking a three-co-variate Weibull distribution, p = 4 , and when checking a normal distribution (where the parameters are mean and standard deviation), p = 3 , and when checking a Poisson distribution (where the parameter is the expected value), p = 2 . Thus, there will be n − p degrees of freedom, where n is the number of categories.

It should be noted that the degrees of freedom are not based on the number of observations as with a Student's t or F-distribution. For example, if testing for a fair, six-sided die, there would be five degrees of freedom because there are six categories/parameters (each number). The number of times the die is rolled does not influence the number of degrees of freedom.

Calculating the test-statistic

The value of the test-statistic is

χ 2 = ∑ i = 1 n ( O i − E i ) 2 E i = N ∑ i = 1 n ( O i / N − p i ) 2 p i

where

χ 2 = Pearson's cumulative test statistic, which asymptotically approaches a χ 2 distribution. O i = the number of observations of type i. N = total number of observations E i = N p i = the expected (theoretical) frequency of type i, asserted by the null hypothesis that the fraction of type i in the population is p i n = the number of cells in the table.

The chi-squared statistic can then be used to calculate a p-value by comparing the value of the statistic to a chi-squared distribution. The number of degrees of freedom is equal to the number of cells n , minus the reduction in degrees of freedom, p .

The result about the numbers of degrees of freedom is valid when the original data are multinomial and hence the estimated parameters are efficient for minimizing the chi-squared statistic. More generally however, when maximum likelihood estimation does not coincide with minimum chi-squared estimation, the distribution will lie somewhere between a chi-squared distribution with n − 1 − p and n − 1 degrees of freedom (See for instance Chernoff and Lehmann, 1954).

Bayesian method

In Bayesian statistics, one would instead use a Dirichlet distribution as conjugate prior. If one took a uniform prior, then the maximum likelihood estimate for the population probability is the observed probability, and one may compute a credible region around this or another estimate.

Testing for statistical independence

In this case, an "observation" consists of the values of two outcomes and the null hypothesis is that the occurrence of these outcomes is statistically independent. Each observation is allocated to one cell of a two-dimensional array of cells (called a contingency table) according to the values of the two outcomes. If there are r rows and c columns in the table, the "theoretical frequency" for a cell, given the hypothesis of independence, is

E i , j = N p i ⋅ p ⋅ j ,

where N is the total sample size (the sum of all cells in the table), and

p i ⋅ = O i ⋅ N = ∑ j = 1 c O i , j N ,

is the fraction of observations of type i ignoring the column attribute (fraction of row totals), and

p ⋅ j = O ⋅ j N = ∑ i = 1 r O i , j N

is the fraction of observations of type j ignoring the row attribute (fraction of column totals). The term "frequencies" refers to absolute numbers rather than already normalised values.

The value of the test-statistic is

χ 2 = ∑ i = 1 r ∑ j = 1 c ( O i , j − E i , j ) 2 E i , j         = N ∑ i , j p i ⋅ p ⋅ j ( ( O i , j / N ) − p i ⋅ p ⋅ j p i ⋅ p ⋅ j ) 2

Note that χ 2 is 0 if and only if O i , j = E i , j ∀ i , j , i.e. only if the expected and true number of observations are equal in all cells.

Fitting the model of "independence" reduces the number of degrees of freedom by p = r + c − 1. The number of degrees of freedom is equal to the number of cells rc, minus the reduction in degrees of freedom, p, which reduces to (r − 1)(c − 1).

For the test of independence, also known as the test of homogeneity, a chi-squared probability of less than or equal to 0.05 (or the chi-squared statistic being at or larger than the 0.05 critical point) is commonly interpreted by applied workers as justification for rejecting the null hypothesis that the row variable is independent of the column variable. The alternative hypothesis corresponds to the variables having an association or relationship where the structure of this relationship is not specified.

Assumptions

The chi-squared test, when used with the standard approximation that a chi-squared distribution is applicable, has the following assumptions:

Simple random sample

The sample data is a random sampling from a fixed distribution or population where every collection of members of the population of the given sample size has an equal probability of selection. Variants of the test have been developed for complex samples, such as where the data is weighted. Other forms can be used such as purposive sampling.

Sample size (whole table)

A sample with a sufficiently large size is assumed. If a chi squared test is conducted on a sample with a smaller size, then the chi squared test will yield an inaccurate inference. The researcher, by using chi squared test on small samples, might end up committing a Type II error.

Expected cell count

Adequate expected cell counts. Some require 5 or more, and others require 10 or more. A common rule is 5 or more in all cells of a 2-by-2 table, and 5 or more in 80% of cells in larger tables, but no cells with zero expected count. When this assumption is not met, Yates's correction is applied.

Independence

The observations are always assumed to be independent of each other. This means chi-squared cannot be used to test correlated data (like matched pairs or panel data). In those cases you might want to turn to McNemar's test.

A test that relies on different assumptions is Fisher's exact test; if its assumption of fixed marginal distributions is met it is substantially more accurate in obtaining a significance level, especially with few observations. In the vast majority of applications this assumption will not be met, and Fisher's exact test will be over conservative and not have correct coverage.

Fairness of dice

A 6-sided die is thrown 60 times. The number of times it lands with 1, 2, 3, 4, 5 and 6 face up is 5, 8, 9, 8, 10 and 20, respectively. Is the die biased, according to the Pearson's chi-squared test at a significance level of 95% and/or 99%?

n = 6 as there are 6 possible outcomes, 1 to 6. The null hypothesis is that the die is unbiased, hence each number is expected to occur the same number of times, in this case, 60/n = 10. The outcomes can be tabulated as follows:

The number of degrees of freedom is n − 1 = 5. The Upper-tail critical values of chi-square distribution table gives a critical value of 11.070 at 95% significance level:

As the chi-squared statistic of 13.4 exceeds this critical value, we reject the null hypothesis and conclude that the die is biased at 95% significance level.

At 99% significance level, the critical value is 15.086. As the chi-squared statistic does not exceed it, we fail to reject the null hypothesis and thus conclude that there is insufficient evidence to show that the die is biased at 99% significance level.

Goodness of fit

In this context, the frequencies of both theoretical and empirical distributions are unnormalised counts, and for a chi-squared test the total sample sizes N of both these distributions (sums of all cells of the corresponding contingency tables) have to be the same.

For example, to test the hypothesis that a random sample of 100 people has been drawn from a population in which men and women are equal in frequency, the observed number of men and women would be compared to the theoretical frequencies of 50 men and 50 women. If there were 44 men in the sample and 56 women, then

χ 2 = ( 44 − 50 ) 2 50 + ( 56 − 50 ) 2 50 = 1.44.

If the null hypothesis is true (i.e., men and women are chosen with equal probability), the test statistic will be drawn from a chi-squared distribution with one degree of freedom (because if the male frequency is known, then the female frequency is determined).

Consultation of the chi-squared distribution for 1 degree of freedom shows that the probability of observing this difference (or a more extreme difference than this) if men and women are equally numerous in the population is approximately 0.23. This probability is higher than conventional criteria for statistical significance (0.01 or 0.05), so normally we would not reject the null hypothesis that the number of men in the population is the same as the number of women (i.e., we would consider our sample within the range of what we would expect for a 50/50 male/female ratio.)

Problems

The approximation to the chi-squared distribution breaks down if expected frequencies are too low. It will normally be acceptable so long as no more than 20% of the events have expected frequencies below 5. Where there is only 1 degree of freedom, the approximation is not reliable if expected frequencies are below 10. In this case, a better approximation can be obtained by reducing the absolute value of each difference between observed and expected frequencies by 0.5 before squaring; this is called Yates's correction for continuity.

In cases where the expected value, E, is found to be small (indicating a small underlying population probability, and/or a small number of observations), the normal approximation of the multinomial distribution can fail, and in such cases it is found to be more appropriate to use the G-test, a likelihood ratio-based test statistic. When the total sample size is small, it is necessary to use an appropriate exact test, typically either the binomial test or (for contingency tables) Fisher's exact test. This test uses the conditional distribution of the test statistic given the marginal totals; however, it does not assume that the data were generated from an experiment in which the marginal totals are fixed and is valid whether or not that is the case.

It can be shown that the χ 2 test is a low order approximation of the Ψ test. The above reasons for the above issues become apparent when the higher order terms are investigated.