Stats
Sample size for the Mann-Whitney U test (September 28, 2000)
Category: Ask Professor Mean,
Category: Sample size
justification
Dear Professor Mean, I need to calculate the sample size for the
Mann-Whitney U test. How do I do this? -- Bewildered Bob
Dear Bewildered,
Just to clarify things, Professor Mean should note that the
Mann-Whitney U test is sometimes called the Wilcoxon rank sum test.
There are independent publications in the mid 1940's from Mann and Whitney
and from Wilcoxon that outline a nonparametric approach to comparing two
independent groups. The two tests have different forms but you can show that
the two forms are equivalent. Some statisticians in the art of compromise
have named the test after all three people, but there is still a dispute
about whether it should be called the Wilcoxon-Mann-Whitney test or the
Mann-Whitney-Wilcoxon test. After that explanation, you are probably more
bewildered than ever.
There are several approaches you can take for computing sample size.
A simple approximate approach uses information about the Pitman
Asymptotic Relative Efficiency (ARE) to estimate sample size. The
ARE compares the efficiency of two competing test statistics. It represents
the an asymptotic limit of the ratio of sample sizes needed to achieve equal
power. The limit is evaluated as the sample size increases without bound and
the alternative being considered shrinks towards the null value. To calculate
an ARE requires some heavy duty mathematics, but someone else has already
done that work for you.
So to estimate sample size, you compute the sample size needed for
a two-sample t-test, and then adjust the sample size based on the ARE of the
Mann-Whitney U relative to the t-test. The trick, though, is that
the ARE depends on the underlying distribution. That is a bit surprising, but
the Mann-Whitney U test statistic is distribution free only under the null
hypothesis. When the alternative hypothesis is true, the distribution of the
Mann-Whitney U depends quite a bit on the underlying distribution.
This leads you to a dilemma. You probably want to use the Mann-Whitney U
test because you can't assume with any confidence what the underlying
distribution is. There are several approaches you can take.
First, you can select a distibution that you believe is reasonable,
and estimate sample size using that distribution.
For example, you might assume a normal distribution. Under
the normal distribution the ARE of the Mann-Whitney U relative to the t-test
is 0.955. Estimate the sample size for a t-test and then divide that sample
size by 0.955. You will get a slightly larger sample size, but consider the
extra data points as insurance against a possible violation of the underlying
assumptions.
If you assume a logistic distribution, the ARE is 1.097.
The logistic distribution has a symmetric bell shaped curve like the normal
distribution but it has a slightly greater weight in the tails of the curve.
This means that the logistic distribution is slighlty more likely to produce
outliers than the normal distribution. If you believe that the logistic
distribution is a reasonable distribution for your data, then you could
compute the sample size for a t-test and divide it by 1.097. Interestingly,
this tells you that the Mann-Whitney U is slightly more efficient when your
data has a slightly greater tendency to produce outliers. One intuitive
explanation is that the use of ranking in the Mann-Whitney U test reduces the
influence of outliers.
You could examine a worst case scenario, since the A.R.E.
for the Mann-Whitney U is never less than 0.864. So estimate the sample size
for a t-test and divide by 0.864. This is a sample size that is big enough no
matter what the underlying distribution.
All of the calculations described above are approximate,
since they rely on asymptotic results (remmeber what the A in ARE stands
for!). You can also use this ARE approach to estimating sample size for other
nonparametric procedures, such as the sign test, the Wilcoxon signed rank
test (not be be confused with the Wilcoxon rank sum test), and the Spearman
correlation test.
Update from my weblog (March 8, 2005)
I received by email a link to
which offers the following advice:
If you plan to use a nonparametric test, compute the sample size
required for a t test and add 15%.
This assumes a reasonably high number of subjects (at least a few dozen)
and a distribution which is not really unusual. I had not heard this rule;
the author cites pages 76-81 of Lehmann, Nonparametrics: Statistical Methods
Based on Ranks
[BookFinder4U link]. I don't have this book, so I can only guess as to
the basis for this formula.
This rule could be based, I suppose, on the lower bound for the Asymptotic
Relative Efficiency (ARE) of the Mann Whitney U test versus the t-test, which
is 0.864. This says that no matter what the distribution, the ARE of the Mann
Whitney U test can never be worse than 0.864 for a reasonably broad class of
probability distributions. Inverting that gives you an increase in the sample
size by a factor of 1.157. The same statement would also apply for the
Wilcoxon Signed Ranks test, which can never have an ARE less than 0.864
compared to the paired t-test.
Summary
Bewildered Bob does not know how to estimate an appropriate sample
size for the Mann-Whitney U test, a nonparametric test for the
comparison of two independent groups. Professor Mean explains that
you can find an approximate size by estimating the sample size for a t-test
and then adjusting this size size based on the Asymptotic Relative Efficiency
of the Mann-Whitney U test.
Further reading
A technical description of ARE appears in chapter 5 of Randles and Wolfe.
An alternate formula for sample size for the Mann-Whitney U test appears on
page 120 of Hollander and Wolfe. There are other published approaches to
sample size, which Professor Mean will add to these pages when time permits.
- Nonparametric Statistical Methods, Second Edition.
Hollander M, Wolfe D.
New York NY: John Wiley and Sons, Inc (1999).
ISBN: 0-471-19045-4.
- Introduction to the Theory of Nonparametric Statistics.
Randles RH, Wolfe DA.
New York, John Wiley & Sons (1979).
ISBN: 0-471-04245-5.
This page was written and was last modified on
07/14/2008.
