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Topic: Confidence interval calculation (for multcompare)
Replies: 5   Last Post: Jun 25, 2013 8:19 PM

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Tom Lane

Posts: 858
Registered: 12/7/04
Re: Confidence interval calculation (for multcompare)
Posted: Apr 19, 2013 9:59 AM
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> In statistics, usually confidence intervals are calculated by the standard
> deviation over the sample size. However, in the multiple comparison,
> regardless of what the standard deviation is for each of the individual
> groups, the confidence intervals are always the same.

> The confidence intervals displayed in this multcompare figure should be as
> a function of the standard deviation in each of the groups, but it appears
> that they follow the standard deviation of the whole.
> In other words the confidence intervals are not a reflection of these
> values for each of the groups

Russell, the calculations are based on the anova1 fit. This anova model
supposes that the variance is the same across groups, and tests whether the
means may differ. The variance is estimated by pooling the variances of the
different groups.

A reference for the plotted intervals is given inside the file. I'll try to
make sure it's featured more prominently in the future.

Reference: Y. Hochberg and A.C. Tamhane, "Multiple Comparison Procedures,"
Wiley, New York, 1987.
See 3.32, p. 98.

-- Tom

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