Solved – Why does repeated measures ANOVA assume sphericity

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Why does repeated measures ANOVA assume sphericity?

By sphericity I mean the assumption that the variance of all pairwise differences between groups should be the same.

In particular, I don't understand why this should be the assumption and not that the variances of the observed group scores themselves be the same.

Best Answer

Intuition behind sphericity assumption

One of the assumptions of common, non repeated measures, ANOVA is equal variance in all groups.

(We can understand it because equal variance, also known as homoscedasticity, is needed for the OLS estimator in linear regression to be BLUE and for the corresponding t-tests to be valid, see Gauss–Markov theorem. And ANOVA can be implemented as linear regression.)

So let's try to reduce the RM-ANOVA case to the non-RM case. For simplicity, I will be dealing with one-factor RM-ANOVA (without any between-subject effects) that has $n$ subjects recorded in $k$ RM conditions.

Each subject can have their own subject-specific offset, or intercept. If we subtract values in one group from values in all other groups, we will cancel these intercepts and arrive to the situation when we can use non-RM-ANOVA to test if these $k-1$ group differences are all zero. For this test to be valid, we need an assumption of equal variances of these $k-1$ differences.

Now we can subtract group #2 from all other groups, again arriving at $k-1$ differences that also should have equal variances. For each group out of $k$, the variances of the corresponding $k-1$ differences should be equal. It quickly follows that all $k(k-1)/2$ possible differences should be equal.

Which is precisely the sphericity assumption.

Why shouldn't group variances be equal themselves?

When we think of RM-ANOVA, we usually think of a simple additive mixed-model-style model of the form $$y_{ij}=\mu+\alpha_i + \beta_j + \epsilon_{ij},$$ where $\alpha_i$ are subject effects, $\beta_j$ are condition effects, and $\epsilon\sim\mathcal N(0,\sigma^2)$.

For this model, group differences will follow $\mathcal N(\beta_{j_1} - \beta_{j_2}, 2\sigma^2)$, i.e. will all have the same variance $2\sigma^2$, so sphericity holds. But each group will follow a mixture of $n$ Gaussians with means at $\alpha_i$ and variances $\sigma^2$, which is some complicated distribution with variance $V(\vec \alpha, \sigma^2)$ that is constant across groups.

So in this model, indeed, group variances are the same too. Group covariances are also the same, meaning that this model implies compound symmetry. This is a more stringent condition as compared to sphericity. As my intuitive argument above shows, RM-ANOVA can work fine in the more general situation, when the additive model written above does not hold.

Precise mathematical statement

I am going to add here something from the Huynh & Feldt, 1970, Conditions Under Which Mean Square Ratios in Repeated Measurements Designs Have Exact $F$-Distributions.

What happens when sphericity breaks?

When sphericity does not hold, we can probably expect RM-ANOVA to (i) have inflated size (more type I errors), (ii) have decreased power (more type II errors). One can explore this by simulations, but I am not going to do it here.

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