## Introduction

Since it plays an important role in sample size estimation, it is helpful to examine the behavior of the F-distribution. In the following ndf = numerator degrees of freedom, ddf = denominator degrees of freedom and ncp = non-centrality parameter (i.e., the $$\Delta$$ appearing in Eqn. (11.6) of (Chakraborty 2017)).

The use of three R functions is demonstrated.

• qf(p,ndf,ddf) is the quantile function of the F-distribution for specified values of p, ndf and ddf, i.e., the value x such that fraction p of the area under the F-distribution lies to the right of x. Since ncp is not included as a parameter, the default value, i.e., zero, is used. This is called the central F-distribution.

• df(x,ndf,ddf,ncp) is the probability density function (pdf) of the F-distribution, as a function of x, for specified values of ndf, ddf and ncp.

• pf(x,ndf,ddf,ncp) is the probability (or cumulative) distribution function of the F-distribution for specified values of ndf, ddf and ncp.

## Effect of ncp for ndf = 2 and ddf = 10

• Four values of ncp are considered (0, 2, 5, 10) for ddf = 10.
• fCrit is the critical value of the F distribution, i.e., that value such that fraction $$\alpha$$ of the area is to the right of the critical value, i.e., fCrit is identical in statistical notation to $${{F}_{1-\alpha ,ndf,ddf}}$$.
ndf <- 2;ddf <- 10;ncp <- c(0,2,5,10)
alpha <- 0.05
fCrit <- qf(1-alpha, ndf,ddf)
x <- seq(1, 20, 0.1)
myLabel <- c("A", "B", "C", "D")
myLabelIndx <- 1
pFgtFCrit <- NULL
for (i in 1:length(ncp))
{
y <- df(x,ndf,ddf,ncp=ncp[i])
pFgtFCrit <- c(pFgtFCrit, 1-pf(fCrit, ndf, ddf, ncp = ncp[i]))
}
for (i in 1:length(ncp))
{
y <- df(x,ndf,ddf,ncp=ncp[i])
curveData <- data.frame(x = x, pdf = y)
curvePlot <- ggplot(data = curveData, mapping = aes(x = x, y = pdf)) +
geom_line() +
ggtitle(myLabel[myLabelIndx]);myLabelIndx <- myLabelIndx + 1
print(curvePlot)
}
fCrit_2_10 <- fCrit # convention fCrit_ndf_ddf    ndf ddf fCrit ncp pFgtFCrit
A 2 10 4.102821 0 0.0500000
B 2 10 4.102821 2 0.1775840
C 2 10 4.102821 5 0.3876841
D 2 10 4.102821 10 0.6769776

### Fig. A

• This corresponds to ncp = 0, i.e., the central F-distribution.
• The integral under this distribution is unity (this is also true for all plots in this vignette).
• The critical value, fCrit in the above code block, is the value of x such that the probability of exceeding x is $$\alpha$$. The corresponding parameter alpha is defined above as 0.05.
• In the current example fCrit = 4.102821. Notice the use of the quantile function qf() to determine this value, and the default value of ncp, namely zero, is used; specifically, one does not pass a 4th argument to qf().
• The decision rule for rejecting the NH uses the NH distribution of the F-statistic, i.e., reject the NH if F >= fCrit. As expected, prob > fCrit = 0.05 because this is how fCrit was defined.

### Fig. B

• This corresponds to ncp = 2, ndf = 2 and ddf = 10.
• The distribution is slightly shifted to the right as compared to Fig. A, thereby making it more likely that the observed value of the F-statistic will exceed the critical value determined for the NH distribution.
• In fact, prob > fCrit = 0.177584, i.e., the statistical power (compare this to Fig. A where prob > fCrit was 0.05).

### Fig. C

• This corresponds to ncp = 5, ndf = 2 and ddf = 10.
• Now prob > fCrit = 0.3876841.
• Power has increased compared to Fig. B.

### Fig. D

• This corresponds to ncp = 10, ndf = 2 and ddf = 10.
• Now prob > fCrit is 0.6769776.
• Power has increased compared to Fig. C.
• The effect of the shift is most obvious in Fig. C and Fig. D.
• Considering a vertical line at x = 4.102821, fraction 0.6769776 of the probability distribution in Fig. D lies to the right of this line
• Therefore the NH is likely to be rejected with probability 0.6769776.

### Summary

The larger that non-centrality parameter, the greater the shift to the right of the F-distribution, and the greater the statistical power.

## Effect of ncp for ndf = 2 and ddf = 100    ndf ddf fCrit ncp pFgtFCrit
A 2 10 4.102821 0 0.0500000
B 2 10 4.102821 2 0.1775840
C 2 10 4.102821 5 0.3876841
D 2 10 4.102821 10 0.6769776
E 2 100 3.087296 0 0.0500000
F 2 100 3.087296 2 0.2199264
G 2 100 3.087296 5 0.4910802
H 2 100 3.087296 10 0.8029764

• All comparisons in this sections are at the same values of ncp defined above.
• And between ddf = 100 and ddf = 10.

### Fig. E

• This corresponds to ncp = 0, ndf = 2 and ddf = 100.
• The critical value is fCrit_2_100 = 3.0872959. Notice the decrease compared to the previous value for ncp = 0, i.e., 4.102821, for ddf = 10.
• One expects that increasing ddf will make it more likely that the NH will be rejected, and this is confirmed below.
• All else equal, statistical power increases with increasing ddf.

### Fig. F

• This corresponds to ncp = 2, ndf = 2 and ddf = 100.
• The probability of exceeding the critical value is prob > fCrit_2_100 = 0.2199264, greater than the previous value, i.e., 0.177584 for ddf = 10.

### Fig. G

• This corresponds to ncp = 5, ndf = 2 and ddf = 100.
• The probability of exceeding the critical value is prob > fCrit_2_100 = 0.4910802.
• This is greater than the previous value, i.e., 0.3876841 for ddf = 10.

### Fig. H

• This corresponds to ncp = 10, ndf = 2 and ddf = 100.
• The probability of exceeding the critical value is prob > fCrit_2_100 is 0.8029764.
• This is greater than the previous value, i.e., 0.6769776 for ddf = 10.

## Effect of ncp for ndf = 1, ddf = 100    ndf ddf fCrit ncp pFgtFCrit
A 2 10 4.102821 0 0.0500000
B 2 10 4.102821 2 0.1775840
C 2 10 4.102821 5 0.3876841
D 2 10 4.102821 10 0.6769776
E 2 100 3.087296 0 0.0500000
F 2 100 3.087296 2 0.2199264
G 2 100 3.087296 5 0.4910802
H 2 100 3.087296 10 0.8029764
I 1 100 3.936143 0 0.0500000
J 1 100 3.936143 2 0.2883607
K 1 100 3.936143 5 0.6004962
L 1 100 3.936143 10 0.8793619

• All comparisons in this sections are at the same values of ncp defined above and at ddf = 100.
• And between ndf = 1 and ndf = 2.

### Fig. I

• This corresponds to ncp = 0, ndf = 1 and ddf = 100.
• The critical value is fCrit_1_100 = 3.936143.
• Notice the increase in the critical value as compared to the corresponding value for ndf = 2, i.e., 3.0872959.
• One might expect power to decrease, but see below.

### Fig. J

• This corresponds to ncp = 2, ndf = 1 and ddf = 100.
• Now prob > fCrit_1_100 = 0.2883607, larger than the previous value 0.2199264.
• The power has actually increased.

### Fig. K

• This corresponds to ncp = 5, ndf = 1 and ddf = 100’,
• Now prob > fCrit_1_100 = 0.6004962, larger than the previous value 0.4910802.
• Again, the power has actually increased.

### Fig. L

• This corresponds to ncp = 10, ndf = 1 and ddf = 100
• Now prob > fCrit_1_100 is 0.8793619, larger than the previous value 0.8029764.
• The power has actually increased.

## Summary

• Power increases with increasing ddf and ncp.
• The effect of increasing ncp is quite dramatic. This is because power depends on the square of ncp.
• Decreasing ndf also increases power. At first glance this may seem counterintuitive, as fCrit has gone up, but is explained by the differing shapes of the two distributions: the pdf is broader for ndf = 1 as compared to ndf` = 2 (compare Fig. L to H).