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Nonparametric Methods in Longitudinal Studies

a b b
Malay Ghosh , James E. Grizzle & Pranab Kumar Sen
a
Department of Statistics, Indian Statistical Institute, Calcutta, India
b
Department of Biostatistics, University of North Carolina, Chapel Hill, N.C., 27514, USA
Published online: 05 Apr 2012.

To cite this article: Malay Ghosh , James E. Grizzle & Pranab Kumar Sen (1973): Nonparametric Methods in Longitudinal Studies,
Journal of the American Statistical Association, 68:341, 29-36

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 Journal of the American Statistical Association
March 1973, Volume 68, Number 341
Applications Section

Nonparametric Methods in Longitudinal Studies

MALAY GHOSH, JAMES E. GRIZZLE and PRANAB KUMAR SEN*

Inference procedures based on some simple rank statistics are pro-
posed and studied for the statistical analysis of longitudinal data.
These robust and asymptotically efficient procedures do not require
the basic assumption of multivariate normality of the underlying dis-
tributions. The theory is illustrated with two examples.
1. INTRODUCTION
The analysis of data collected in longitudinal studies
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At the end of the period of treatment, the rats were
sacrificed, and all the soft tissue was removed from the
leg except the joint capsule and collateral ligaments. The
femur was mounted on the movable arm of a goniometer,
and the tibia was maintained in a horizontal position so
that the force produced by adding weights to the distal
end of the tibia would always be perpendicular to the

presents problems due to dependence among succes-
sive observations made on the same individual. Although
some problems remain, good statistical methods for the
analysis of continuous variables collected in longitudinal
studies have been developed recently (cf. [12, 4J). How-
ever, the assumption of multivariate normality made
invariably is not always tenable since a continuous
variable (vector) may not have the hypothesized mul-
tivariate normal distribution, or a variable may take on
discrete values based on some nominal scale such as a
subjective clinical score. The object of the present article
is to present generally applicable rank based statistical
methods appropriate when either of these two situations
prevails.
We shall start with two practical examples in Section 2
for the motivation of the problems, and then develop
statistical methods in Section 3.
horizontal plane. Half gram weights were added every
ten seconds, and the angle (j between the tibia and the
femur was recorded after the addition of each weight.
In most cases, a point was reached at which the joint
continued to extend without the addition of more weight.
After the voluntary extension had stopped, addition of
weights was resumed until an angle of 135 0 was reached.
A plot of the results for a typical group is shown in
Figures A and B. Each line depicts the results for a dif-
ferent animal in the group.
A. GROUP /I BEFORE TRANSFORM ATlON OF DATA
e

2. SOME EXAMPLES
The first example is based on an experiment the purpose
of which was to investigate the potentialities of Beta-
amino propionitrile (BAPN) as a preventive of joint
stiffness.' The right knee joints of 250 gram female 100
Sprague-Dawley rats were immobilized in 40 0 flexion
with an internal extra-articular split for two or three
weeks. Five groups of rats were treated as follows:
Group 1: Knees immobilized three weeks-no drug given.
Group 2: Knees immobilized three weeks-drug given all
three weeks.
Group 3: Knees immobilized three weeks-drug given the
first week.
Group 4: Knees immobilized three weeks-drug given the
third week.
Group 5: Knees immobilized two weeks-no drug given. 40
* Malay Ghosh is associate professor, Department of Statistics, Indian Statistical

r----L-------I...-~
Institute, Calcutta, India. Both James E. Grizzle and Pranab Kumar Sen are
professors, Department of Biostatistics, University of North Carolina, Chapel Hill,
N.C. 27514. This work was done while Professor Ghosh was also at Chapel Hill and
was supported by the National Institutes of Health, Grant GM-12868. The authors
are grateful to the referees for their useful comments on the article.
I MANOVA for the same data under the classical normal theory model is con-
o 5 10 15 20
sidered in Grizzle, J. E., Essays in Probability Statistitics, R. C. Bose, et al., ed.
University of North Carolina Press, 1966. pp. 311-26. WEIGHT IN GRAMS
29
 30 Journal of the American Statistical Association, March 1973

B. GROUP II AFTER TRANSFORMA TION OF DATA Two straight lines were fitted to the response curves
for each rat. These curves fit exceedingly well; the per-
SIN~
2
cent of the total sum- of squares accounted for by re-
gression was always over 95 percent and usually ex-
!
! ceeded 98 percent. The estimated regression coefficients
have a physical interpretation. They are the rate of in-
1.0 ! crease of the distance between the point of attachment

.9 p.~_. of the leg to the apparatus and the point of addition of

weight per half gram of weight.

.8
.. .- For an adequate summary of the original data for
each animal, we propose the vector
.7 !I / '
!
r I,
I
where -91 and !Xl are the estimated intercept and the
6 a / ~
! I slope of the first component of the response line, while
.5~7 12 and !X2 are those for the second. The statistic s~ax/S~in
(where s~ax and S~in are, respectively, the largest and
.4 smallest estimated variances) showed that the within
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group variances of the !Xl are not homogeneous even

.3 after making a logarithmic transformation. The esti-
.2 mated parameters of the individual lines are shown in
Table 1. We shall use these datato illustrate the use of
.1
1. SUMMARY OF DATA OBTA/NED FROM THE
REGRESS/ON LINES

5 10 15 20 Group
A

Y1
A

(Xl
A

Y2
A

(X2
WEIGHT IN GRAMS
0.3113 0.0332 0.7777 0.0092
0.3202 0.0287 0.7438 0.0140
0.3786 0.0219 0.7675 0.0094
1
The figures show that the first portion of the response 0.3921 0.0270 0.5520 0.0236
curve for each animal was approximately linear while 0.3836 0.0402 0.7800 0.0196
the second portion was often definitely nonlinear. One 0.3869 0.0383 0.7092 0.0174
form of Hooke's law is that the extension of a spring is
proportional to the weight attached to it. The joint and 0.4524 0.1372 0.7487 0.0255
capsule do not behave like a spring since the femur does 0.3634 0.1013 0.8189 0.0162
not resume its original position after the weight is re- 2 0.3734 0.0569 0.7619 0.0165
0.3756 0.0495 0.7598 0.0136
moved, but plastic substances often obey Hooke's law
0.4361 0.0568 0.8174 0.0192
with the exception in behavior noted. The quantity
y = sin 0/2 is proportional to the distance from the point
0.3596 0.0604 0.8521 0.0103
at which the leg is suspended to the point the weight is 0.4001 0.0468 0.8139 0.0106
applied, and thus provides the transformation for chang- 3 0.3861 0.0374 0.6014 0.0229
ing the angular measurement to a linear measurement. 0.3968 0.0412 0.7283 0.0226
Since the points of suspension and the points of addition 0.3963 0.0286 0.7662 0.01l0
of the one-half gram weights were constant among
animals, apart from experimental error in setting up the 0.3603 0.0470 0.6917 0.0437
apparatus, the fact that we do not know the constant of 0.3452 0.0381 0.7473 0.0172
proportionality is no handicap. Plotting the new variable 4 0.3962 0.0407 0.7848 0.0165
y = sin 0/2 against weight resulted in two approxi- 0.3763 0.0434 0.8062 0.0184
mately straight lines for each animal j the first being the 0.3910 0.0406 0.7334 0.0293
response line before the spontaneous movement without
additional weights and the second being the response 0.5005 0.0725 0.7767 0.0355
after the spontaneous movement had taken place and
0.5699 0.0699 0.7391 0.0269
5 0.6ll4 0.0670 0.8009 0.0176
the addition of weights had been resumed. The dis-
0.3803 0.0417 0.7540 0.0270
continuity between the two lines is the point at which the
0.3951 0.9765 0.8518 0.0137
spontaneous movement took place.
 Nonparametric Longitudinal Studies 31

nonparametric multivariate procedures for testing ho- by an arbitrary function g('), involving a set of unknown
mogeneity of the five groups. parameters and a set of known factors, such as time and
In the second example, the data were collected in a other accountable variables.
study of two treatments of duodenal ulcer. Each patient's For simplicity of presentation, we shall consider the
clinical status was evaluated and arbitrarily scored as particular model (3.1). LetX i j k = (X i j k(t1), " ' , Xijk(tl'
worse (0), unchanged (1), slightly improved (2), moder- be the observation (vector) for the kth individual in the
ately improved (3) or markedly improved (4) when com- ith block receiving the jth treatment, for k = 1, "', nih
pared to his pretreatment status, or the patient could 1 < i < h, 1 <
j ~ c. Based on X ij k, we estimate
be symptom-free (5) .These patients were evaluated at 'YiJT(1 ~ r ~ d), cr.g) (1 ~ s ~ p) in some convenient way
1, I!, 3, 6, 18 and 24 months after treatment. A cursory and denote these estimates by 'YiJT,k, ag~k(1 ~ i ~ h,
examination of data such as that shown in Table 2 makes 1 ~ j ~ c, 1 ~ s ~ p, k = 1, "', nij). For brevity, let
it clear that the patients are relapsing. We shall be inter- us confine ourselves to the model connected with the
ested in whether one treatment group is relapsing at a second example. Let
faster rate than the other. (1) (p) ,
Patients were randomly assigned to one of the two OI.ijk = (aijk, " ' , aijk) , k = 1, ... ,nij;
treatments within hospital. Thus the design is a ran- j = 1, .. " c; ~ = 1; "', h, (3.2)
domized block design with unequal replication. In this
case also, we have reduced the original data to their where the a's are the coefficients of a p - 1 degree
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intercept and trend components by fitting orthogonal
polynomials to the arbitrary scores. The coefficients
necessary are easily derived even though the spacing is
unequal. Graphical examination of each patient's re-
gression coefficients suggest that, contrary to what one
might expect, their distributions are nonnormal in spite
of each regression coefficient being a linear combination
of random variables. The problem is to test for treatment
differences without assuming multivariate normality.
3. STATISTICAL METHODS
3.1 The Model
Consider a set of q( ~2) distinct time points t 1 , " ' , t q
(where 0 ~ t1 < iz: .. < t q ) , and let at the time-point
tl, Xijk(tl) be the response on theleth individual receiving
the J'th treatment from the ith block for k = 1, .. " nih
polynomial. The procedure for estimating OI.ijk'S may be
quite arbitrary. For example, we may fit a polynomial of
degree p - 1 by the usual least squares principle, or we
may use some other robust procedure, such as the one
in Sen [14J and Sen and Puri [16J when p = 2, etc.
Since we apply the same method of estimation of OI.ij
for all the nij vectors X i j k, k = 1, "', nih the estimates
aijk, k = 1, "', nih are all defined by the same func-
tion of the vector F.ijk, k = 1, "', nij. which are in-
dependent and identically distributed random vectors.
Hence, aijk, k = 1, "', nih are nij independent and
identically distributed random vectors, having a p-variate
continuous distribution Gi j (X1, .. " x p ) , for j = 1, .. " c,
i = 1, .. " h. We adopt the model
Gij(x) = Gi(x - :l..j),
(1) (p) ,

i = 1, "', h( ~ 2), j = 1, "', c( ~ 2). Consider the :l..j = (X, , .. " Xj ); j = 1, ... , c; (3.3)
model where G 1, " ' , G h are arbitrary, and :I../s account for the
w
Xijk(tt) =
d
LT=l 'YijTgijT + L.=l cr.ij m.(tt)
p
treatment-effects, i.e., the differences in the true values of
cr.g) - afJ~, 1 ~ j ,e l' ~ c, s = 1, "', p.
+ Eijk(tt),f = 1, "', q, k = 1, "', nih (3.1)

p + d ~ q, where 'YijT( ~ r < d), cr.iS') (1 < s ~ p) are un- 2. CLINICAL EVALUA TlONS (TYPICAL DATA)
known real constants, gijT(1 ~ r ~ d) are known con-
stants, m.(tl) are known functions of tl(l~s~p, l~l~q). Hospital 1 Hospital 2

In the first example, h = 1, d = 2, P = 2, glj1(glj2) = 1, Months after treatment Months after treatment
Patient Patient
if the observation corresponding to the jth treatment is 1'> 3 12 18 24 1'> 12 18 24
associated with the first (second) portion of the curve, Treatment 1
= 0, otherwise; m(l)(tl) (m(2)(tl = time in the first 1 3 5 3 5 0 0 5 0
(second) portion of the curve, = 0, otherwise. In the 2 0 0 0 0 0 0 4 0 0
second example, h = 2, gijT = 0 (identically) for all
r = 1, 2, d, h.(tl) = ti- 1 (1 < s ~ p, 1 s: ~ q).
<:>,

We propose to consider the MAN 0 VA tests (as regards 27 o 18 000

the effects of treatments) on 'YijT and cr.g). We assume that
Treatment 2
the error vector F.ijk = (Eijk(t1), " ' , Eijk(t q' has a joint 28 5 5 19
(q-variate) distribution function (d.f.) which is con- 29 o 0 0 o 20
tinuous everywhere. The procedures developed here are
not necessarily restricted to the linear models in (3.1)
but can as well be applied to general models where the
57 o 35 o
first two terms on the right side of (3.1) can be replaced
 32 Journal of the American Statistical Association, March 1973

Our first problem is to test the null hypothesis Then, on denoting by

Ho
(1) .
:1.1 = ... = :I.e = 0, (3.4) m, = HNi + 1)(1, ",,1)'; 1, = 1, "', h, (3.12)

without assuming the additivity of the block effects. and following the Chatterjee-Sen [2, 3J rank permuta-
Second, we want to study whether the assumption of tion principle, our statistic i is proposed as
additivity of the block effects can be utilized to provide c - * -
any improvement in the tests for (3.4). Finally, we want .e, = [(N i - l)/NiJ Lj=l ni;(Rij - mi)'Vi(R ij - m.),
to test for no interaction between blocks and treatments. i = 1, .. " h. (3.13)
We define
The permutation distribution theory of i has been
studied in detail by Chatterjee and Sen [3J, and Puri
(3.5)
i = 1, "', h, j = 1, "', c, and Sen [8]. It follows from their results that under
Hbl}, i is asymptotically distributed as a central X2 with
and state the hypotheses of no interaction as p(e - 1) degrees of freedom for each i = 1, 2, "', h.
(2)
Since 1, " ' , h are stochastically independent, the
Ho : "(11 = ... = "(he = O. (3.6) distribution of
The tests we develop are based on suitable rank tests
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for MANOVA considered by Chatterjee and Sen [3J, has asymptotically the chi-square distribution with
Puri and Sen [8J, Sen [13J and others. ph(c - 1) degrees of freedom. Thus, for large samples,
we may proceed as follows:
3.2 Test of Homogeneity of Treatment Effects Without
the Assumption of Additivity of Block Effects 2 . H0
(1
)
~ XphCc-l).a, reject ,
'" Cs) " ' , UilniIl
",Cs} .<'ICs) ACS}' di if 2 (1)
R an k Uilb " ' , Uiel, " ' , aien" In ascen mg {
< XphCc-l).a, accept H; ,
order of magnitude and let R~jl be the rank of a~jl in this
set; by virtue of the continuity of the joint distribution where x;'a is the upper 100 percent point of the chi-square
of the G:iik'S, the possibility of ties may be neglected, in distribution with t d.f., and o (O < a < 1) is the desired
probability. Note that the ranking is done separately level of significance of the test.
for each block and, also within each block, separately
for each s( = 1, "', p). Thus, corresponding to the 3.3 Test of Homogeneity Under the Assumption of No
vector G:ijk we have a p-vector Block vs Treatment Interaction

(3.7) The method just presented will not be the most efficient
(powerful) that could be used when there is no inter-
whose elements are numbers from 1 to N, = Lf=lnij. action. One can reason heuristically as follows: If there
Hence, the N i observations aijk in the ith block yield the is no interaction, one should be able to devise a test
rank collection matrix statistic based on (c - l)p deprees of freedom by averag-
ing over the h blocks which would have very nearly the
same numerical value. Instead of being compared to the
tabular value of X2 with hp(c - 1) degrees of freedom to
determine its significance level, it would be compared
to the smaller tabular value with p (e - 1) degrees of
(Each row of R i N i consists of a permutation of the num- freedom.
bers 1, 2, .. " N i . ) The classical weighted least squares analysis based on
Our proposed test is based on a statistic = LZ=li, the centered mean rank scores can be used in the present
where i is the multivariate multisample rank sum case. The method proposed can, under the assumption of
statistic for the ith set, considered in detail in [2, 3]. For additivity of block effects, give the best asymptotic
this we consider the average ranks normal estimates of the treatment effects averaged over
_ -1 nij Ck) the blocks when the treatment effects under the alterna-
n., = nij Lk=l R ij for 1 :-s; J :-s; c, 1:-S; i :-s; h, (3.9) tives are "close" (e.g., in the Pitman sense) to the null
and the Spearman rank covariance matrices hypothesis. We want to test the null hypothesis Hb 1}
given in (3.4) against the alternatives
Vi = ((Vi ... ' ...'=l ..... p; i = 1, "', h (3.10)
Gij(X) = Gi(x - 6j ) , Gi(x) = G(x - ~i),
where (3.15)
-1 c nij {e ) c.') i = 1, "', h,
Vi...' = Ni Lj=l Lk=l RijkRijk
where ~l, " ' , ~h are the block effects (nuisance parame-
-t(N i + 1)2; s, s' = 1, "', p; (3.11)
ters), and the treatment effects 6j = (O}l) , "', O}p})' ,
and let V: be a generalized inverse of Vi, i = 1, "', h. (j = 1, "', e), are assumed to have elements "close to
 Nonparametric Longitudinal Studies 33

zero." [More precisely, we write OJ = N-l'),.j, j = 1, "', Finally, on defining

C1 where N = ts..
and the x, contain finite elements.] h
V = h- 1 Li=l (N, + 1)-2Vi , (3.28)
Since the R ij - m, defined by (3.9) and (3.12) are
unaffected by the variation of the nuisance parameters where the Vi are defined by (3.10) and (3.11), we have
~1, .. " ~h, we like to consider a linear compound of the h from Chatterjee and Sen [3J that
sets of vectors {R t1
- m J' J' = 1' ...
"
c } i = 1 , ... 'J
h
having some desirable properties. For this, we write ;, ~ v, in probability. (3.29)
1 = (1, .. " 1)', and let If we now express Z as a column vector
Zi = ((N i + 1)-lR i1 - !l, (N i + 1)-lRie - !l),
(zi ll , .. " Z{P), .. " Z;l), ... , Z;pY = U', (3.30)
'/, = 1, "', h, (3.16)
r = Be = B(Ol, "', 6e) , say, we can propose our test statistic as
B = Diag(B 1, . ", B p ) ; (3.17)
.c* = U'(;,-l A*)U, (3.31)

B. = L~ g~(x)dx, s = 1, "', p, (3.18) and from the results of Chatterjee and Sen [3J, and Puri
and Sen [8J, it follows that under Hb2 ) : 6 = 0, .c* has
where g.(x) is the marginal density of the sth variate for approximately the chi-square distribution with p(c - 1)
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the cdf G(x), defined in (3.15). Then, by the same tech- degrees of freedom. The reduction in the degrees of
nique as in [3J and [8J, it follows that when the O~) are freedom, made at the cost of the assumption of additivity
small and the nij are not small, of block effects, usually improves the efficiency of .c*
as compared to that of .c.
E(Zi) ~ rn., = 1, .. ',h,
i We can also take
(3.19)
V (Zi) "-' v Ai, i = 1, "', h,
where Ai = Diag(ni1, .. " nie), '/, = 1, .. " h, (3.32)

D, = ((Oii' - nijN i)) , Ai = ((n:;10ii , - Ni-))' so that on letting nOj = L~=lnij, we have by (3.24),
i = 1, .. " h, (3.21) A* = Diag(nol. "', noe) . (3.33)

Ojj' is the usual Kroneckerdelta, and v is the p X p matrix Consequently, we have

of the grade covariances for the cdf G, i.e., -1
A = ((no; 0"., - N-1)). (3.34)

Vssr = L~ L~ [G[.](x) - n Hence, we may simplify (3.31) as

. [GC"l(Y) - !JdG[, .'J(x, y), (3.22) (3.35)

where G [oj is the marginal cdf of the sth variate and
Gro,o'] is the bivariate joint cdf of the (s, s'Ith variate;
note that for s = e', v.. = l2.
If the design is balanced, i.e., nijN j does not depend
on i and i. an optimal linear compound of the adjusted
rank averages is
and one can then construct a suitable quadratic form in
the elements of Z as a test statistic. In the unbalanced
case, the picture is a bit more complicated and is pre-
sented below.
We denote by A:, a generalized inverse of Ai, i = 1,
.. " h, and let
Then, we take,
- h
Z = (Li~l ZiAi)A.
Then, by (3.19), (3.20), (3.24), and (3.25), we have
where e- = ;'-1.
The test for Hb 1) is based on .c*, using the same rule
as in (3.14), with the degrees of freedom adjusted as
p(c - 1).
For certain asymptotic properties of the tests based
on .c* and .c, we may refer to Sen [13J, who considered
the special case of c = 2.
(3.23)
3.4 Test for Interaction
Under the hypothesis of no interaction, for the ith
replicate am, Qi21 - ..i l2 , " aiel - ..i 1e (i = 1,2, .. " h)
are all identically distributed random variables, where
..i 1j = '),.j - '),.1 (j = 2,3, .. " c). In other words, ..i l2 , "
..i 1e are the alignments needed for the observations cor-
responding to different samples (treatments) to have
(3.24)
identical distributions. Let ..i \t "', ..ii~) denote two-
sample Wilcoxon scores estimators of A l2 , " ' , Ale, re-
spectively, based on the data relating to the ith replicate,
(3.25)
for i = 1, .. " h. Then

EZ- ~
h
r(Li=l
DiAi)A( =0 when 6 = 0), (3.26)
Var(Z) ~ v A. (3.27) j = 2, .. " c, s = 1, .. " p, '/, = 1, .. " h. (3.36)
 34 Journal of the American Statistical Association, March 1973

3. RANKS AND ADJUSTED RANKS OF DATA estimator of the true ~Oh the difference between the
FOR EXAMPLE 1 aligned Spearman rank correlation matrix and the true
Spearman rank correlation matrix converges in prob-
Yl "'1 Y2 "'2 ability to a null matrix. On the other hand, for linear
Group
Rank
Adj.
Rank
Adj.
Rank
Adj.
Rank
Adj. rank statistics, such as the rank averages, using the
rank rank rank rank
recent results of Sen [15J, Koul [6J and Jureckova [5J
1.0 -12.5 5.0 -8.5 17.0 3.5 1.0 -12.5 on the asymptotic linearity in translation parameters, it
2.0 -11.5 4.0 -9.5 8.0 -5.5 8.0 -5.5
10.0 -3.5 1.0 -12.5 15.0 1.5 2.0 -11.5 follows that the rank averages of the aligned observations
-11.5 6.5
&~l in (3.41) can be expressed as a linear function of the
16.0 2.5 2.0 1.0 -12.5 20.0
12.0 -1.5 9.0 -4.5 18.0 4.5 17.0 3.5
14.0 .5 8.0 -5.5 4.0 -9.5 13.0 -.5
rank averages of the af;l - .16j), a linear combination of
Mean 9.17 -4.33 4.83 -8.67 10.50 -3.00 9.17 -3.33
the .16'/ and a residual term which becomes negligible
23.0 9.5 26.0 12.5 10.0 -3.5 21.0 7.5
6.0 -7.5 25.0 11.5 24.0 10.5 9.0 -4.5 (in probability) for large nij. Thus, it follows that . can
7.0 -6.5 19.0 5.5 13.0 -.5 10.5 -3.0
8.0 -5.5 17.0 3.5 12.0 -1.5 6.0 -7.5
be expressed for large sample sizes as a quadratic form
22.0 8.5 18.0 4.5 23.0 9.5 16.0 2.5 in the np (e - 1) estimates Aff), j = 2, "', e, S = 1,
13.20 -.30 21.00 7.50 16.40 2.90 11.5 -1.00
Mean
.. " p and i = 1, .. " h. Hence, using the multinormality
4.0 -9.5 20.0 6.5 26.0 12.5 3;0 -10.5
21.0 7.5 15.0 1.5 22.0 8.5 4.0 -9.5 of these estimates, studied by Puri and Sen [9J, it
13.0 -.5 6.0 -7.5 2.0 -11. 5 19.0 5.5 follows that under the hypothesis of no interaction,
20.0 6.5 12.0 -1.5 5.0 -8.5 18.0 4.5
19.0 5.5 3.0 -10.5 14.0 .5 5.0 -8.5 . has approximately the chi-square distribution with
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Mean 15.40 1.90 11.20 -2.30 13.80 .30 8.80 -3.70 p(e - l)(h - 1) degrees of freedom. Thus, we have a
5.0
3.0
-8.5
-10.5
16.0
7.0
2.5
-6.5
3.0
9.0
-10.5
-4.5
26.0
12.0
12.5
-1.5
test for H62 ) , based on ., where we use the same rule as
4 18.0 4.5 11.0 -2.5 19.0 5.5 10.5 -3.0 in (3.14) with the degrees of freedom adjusted as
9.0 -4.5 14.0 .5 21.0 7.5 15.0 1.5
15.0 1.5 10.0 -3.5 6.0 -7.5 24.0 10.5 p(e - l)(h - 1).
Mean 10.00 -3.50 11.60 -1.90 11.60 -1.90 16.5 4.00
24.0 10.5 23.0 9.5 16.0 2.5 25.0 11.5 3.5 Use of General Rank Statistics
25.0 11.5 22.0 8.5 7.0 -6.5 22.0 8.5
7.5 20.0 .5
26.0
11.0
12.5
-2.5
21.0
13.0 -.5 11.0
6.5
-2.5
14.0
23.0 9.5
In the same way as Puri and Sen [8J extend the rank
17.0 3.5 24.0 10.5 25.0 11.5 7.0 -6.5 sum test of Chatterjee and Sen [3J to a general class of
Mean 20.60 7.10 20.60 7.10 15.80 2.30 18.2 4.70 rank order tests, we can also extend the statistics , *
and . to a general class of rank order statistics. This ex-
We denote by tension is based on a replacement of the ranks 1, .. " N i

~.
1.
=
((A~~l)
...
Ai~P))

'.': J z = 1, "', h; (3.37)
by rank scores E N; . lI " ' , EN;,Ni/ where EN;,; = EN.(j),
j = 1, "', N i are explicitly known functions of the
Al.}) Al~') ranks 1, .. " N. For example, if
j ~ [tN;J
Di = ((n~l + ~:::)), i, j' = 2, . ", e; j < [tN;J'
(3.43)
i = 1, <:>, h; (3.38)
we are led to the multivariate median tests, considered
where Ojj' is the usual Kronecker delta, and let earlier by Chatterjee and Sen [2]. Similarly, if EN, (J) is
the expected value of the jth smallest observation of a
(3.39) sample of size N; from the standard normal distribution,
A h -1. j = 1, "', N, we have the so called normal scores, and
~O = Do(L;~l D; .1;) the tests based on these were studied earlier by Puri and
Sen [8].
= ((.1.(.) ) .
0j ) J = 2, .. " e; s = 1, "', p, (340)
.
We need to replace them in (3.9) and (3.10), the ranks
and conventionally, we let ~. = .16~ = 0 for s = 1, .. " by the rank scores, so that mf') = Ni-1L:~lEN~'~, S = 1,
p. Finally, let
4. RANK COVARIANCE MATRIX AND SPEARMAN
(e ) (a) (.)
a;jk = a;jk - .1OJ , k = 1, .. " nih CORRELATIONS FOR EXAMPLE ,.
j = 1, ... I e, S = 1, .. " p, z = 1, ... ,h. (3.41) ~ ~

Coefficient Yl Cl. Y2 Cl.

1 2
We consider these aligned observations, and then pro-
ceeding as in (3.7) through (3.12), but replacing every- Y1 56.25 18.98 1. 75 21.11
where a~jk by &~jL we define .i, i = 1, "', h, and finally, ~

Cl. .34 11. 87

let 1
(3.42) ~

Y2 .03 -29.87

The statistics ;, i = 1, "', h, are based on average Cl.

2
.38 56.25
ranks of the aligned observations and their Spearman
rank correlation matrix. Since the ..iOj is a consistent Correlations show below the diagonal.
 Nonparametric Longitudinal Studies
.. " p. The construction of .i and .i remains the same.
The estimates of .1f;), based on general rank scores, are
more complicated, see Puri and Sen [9]. However the
A '
construction of . rests on the same alignment procedure.
3.6 Asymptotic Relative Efficency (ARE) Results
For testing H6 1) (when h = 1), the classical parametric
test based on the (normal theory) likelihood ratio
criterion is asymptotically equivalent to the alternative
criterion based on the Hotelling-Lawley trace. Either of
these statistics has asymptotically a chi-square distribu-
tion with p(c - 1) degrees of freedom when H6 1) holds,
and has a non-central chi-square distribution for local
translation alternatives. Chatterjee and Sen [3J and
Puri and Sen [8J have compared the relative perform-
ances of the proposed rank test and the likelihood ratio
test when the underlying distribution is not necessarily
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normal. Since both the statistics have, asymptotically,
(for local alternatives) noncentral chi-square distribu-
tions with the same degrees of freedom but differing
only in the noncentrality parameters, the ratio of the
non-centrality parameters provide a measure of the
ARE. Unlike the univariate case, this ratio depends on
the actual shift under the alternative hypotheses; how-
ever, certain useful lower and upper bounds are avilable
in Puri and Sen [10, Chapter 5]. The proposed tests can
be justified for their robustness for gross errors or out-
liers, and high ARE for distributions with heavy tails.
The bounds for the ARE for h = 1 remain good for
both H6 1) and H6 2) when h ~ 2, but the study of the exact
ARE becomes more difficult. We may conclude this
section by saying that the use of the normal scores leads
us to asymptotically most efficient procedures when the
underlying distribution is also multivariate normal. Com-
putationally, the rank sum statistic appears to be more
simple, and in many cases, reasonably efficient too.
4. APPLICATIONS
The data used in the first example (Table 1), consist
of the intercepts and slopes of the two portions of the
individual response lines described in the first part of
Section 2. The design used in this study is completely
randomized without blocking. The matrix of ranks R,
and its corresponding adjusted rank W, and the means
of the adjusted and unadjusted ranks are shown in
Table 3. The rank covariance matrix and the Spearman
rank-correlations are computed by (3.10) and (3.11)
and are shown in Table 4. The test statistic . = Li~l.i
5. MEAN RANKS AND ADJUSTED MEAN RANKS
FOR EXAMPLE 2
Mean rank
Hospital Treatment
Intercept
Linear
term
Quadratic
Intercept
term
27.85 25.39 25.39
30.03 30.80 32.25
16.89 14.50 18.94
19.18 21.11 11.00
35
6. RANK COVARIANCE AND CORRELATION
MATRICES FOR EXAMPLE 20.
Hospital 1 Hospital 2
Term
Linear Quadratic Linear Quadra tic
Intercept Intercept
term term term term
Intercept 269.15 -0.08 -65.04 101. 61 32.47 -33.74
Linear term
Quadratic term
The Spearman rank correlations shown below the diagonal are calculated by
Pi = 12/(N: - nVi.
= 29.77, where .i is computed by (3.13). Its value
should be compared to the percentage points of the
central x 2 with 16 degrees of freedom. The observed
value of the test statistic is well beyond the five percent
critical value.
The basic statistics Wand V can be used to calculate a
univariate Kruskal-Wallis test for each of the four
variables, and a bivariate test can be made for the
homogeneity of parameters for the five treatments in
each segment of the response curve. These tests yield
freedom for the four univariate K - W tests, and 22.20
and 12.65, each with eight degrees of freedom, for the
bivariate tests of homogeneity within each segment of
the response line.
The two bivariate tests show that the most important
differences occur within the first segment of the response
line and that within this segment differences among the
slopes are the most important. Inspection of the mean
ranks shows that animals kept on BAPN three weeks
(Group 3) had the largest slopes, i.e., had the greatest
linear extension with the addition of each weight, or to
put it more directly had the least stiffness in their joints.
However, one should note that Group 5 which received
no BAPN and spent only two weeks in the cast did as
well. All treatments produced a more flexible joint than
those kept for three weeks without treatment.
All the intercepts should have been the same. How-
ever, the test statistics suggest that this may not be so.
Probably this can be ascribed to those having less joint
stiffness, having a spontaneous extension due to the
weight of the extended limb in the measuring apparatus.
This is further supported by the positive correlations be-
tween the slopes and intercepts of the first portion of the
response line (Spearman correlation = .34).
In the second example, the estimated parameters ob-
tained by fitting a second degree polynomial were ranked
across treatments within each hospital. Table 2 shows
typical data used in the second example, and the relevant
summary statistics are displayed in Tables 5 and 6. The
test statistic (based on a pooled estimate of the covariance
matrix) has a x 2 distribution with six degrees of freedom
Adjusted mean rank under H6 1 ) . The observed value of this statistic is 9.26
Linear Quadratic which does not attain the .05 critical value of 12.59. The
te re term
-1.15
computation is straightforward except for the block by
-2.00 -3.61
1.03 1.80 3.25 treatment interaction, which is accomplished as follows.
-1.11 -3.58 0.94 Compute all possible nilni2 differences among treat-
1.18 3.71 -1.00 ments for each group (block) and each variable. Then
 36
find the median of the differences for each variable. This
yields a 1 X 2 vector since c = 2, p = 2. The matrix D,
defined in (3.38) becomes the scalar (llni1) +
(1Ini2),
A 5 -1 A -1 5 -1
~o = D o(Li=l D, ~i), Do = Li~l D, .
Now, b.~~ is subtracted from each &gl (k = 1, 2,
.. " ni2), s = 1, 2 to adjust the effects of blocks and treat-
ments leaving interaction effects only. The resulting
observationsaredenotedby&ij1(k = 1, "',nij;j = 1,2;
i = 1, ",,5; s = 1,2). Note that t:,,~ = 0, s = 1, 2.
Hence&NI = &Nl,k = 1, "',nil;s = 1,2,i = 1, ",,5.
Once the &~jl are calculated, the remainder of the test
procedure is the same as before, except that the degrees
of freedom are altered to p (c - 1) (h - 1) and the rank
correlation matrix is pooled across all blocks. The re-
sulting test statistic is x 2 = 0.850 which is not significant
at the five percent level of significance, since the upper
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five percent point of a x! statistic with eight degrees of
freedom is 15.507.
Since there is no evidence of interaction, the weighted
regression principle can be used. This leads to a x 2
statistic with two degrees of freedom. The observed
value of the statistic is 16.523. Although, the observed
value' of x 2 is smaller compared to the one obtained by
the unweighted least squares principle, the degrees of
freedom in this case are two as compared to ten in the
preceeding case, so that the value of the chi-square
statistic per degree of freedom is much higher.
The test statistic used for testing the presence of
interaction has a x 2-distribution with three degrees of
freedom, and yields an observed value of 3.13. Obviously
there is no evidence for interaction and the weighted
least square principle can be used to obtain a more
powerful test. The calculations result in x 2 = 6.62 with
three degrees of freedom, which has a significance level
of slightly less than .10 level.
Although the evidence is not as strong as one would
like, it is in favor of Treatment 2. In this case the inter-
cept is simply the mean over the entire period of treat-
ment. Notice that the adjusted rank score of the inter-
cept of Treatment 2 is larger than for Treatment 1 in
both hospitals. Also, in both hospitals, the linear regres-
sion coefficients were smaller (larger negative) for
Treatment 1, indicating that there was a faster relapse
on this treatment. However, keep in mind that the
overall significance level was only .10.
Obviously the analysis could present more details of
the findings for both Examples 1 and 2. We have pointed
Journal of the American Statistical Association, March 1973
out a few facets of the data to emphasize that the physical
interpretation of the analysis based on multivariate non-
parametric methods is not particularly difficult.
[Received April 1970. Revised September 1972.J
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Association Bulletin, 13 (April 1964), 18-58.
[3J - - - and Sen, P.K., "Nonparametric Tests for the Multi-
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[4J Grizzle, J.E. and Allen, David M., "Analysis of Growth and
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[9J - - and Sen, P.K., "On a Class of Rank Order Estimators
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[14J - - , "Estimates of the Regression Coefficient Based on
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