Ke-Hai Yuan

Three Likelihood‐Based Methods For Mean and Covariance Structure Analysis With Nonnormal Missing Data

Survey and longitudinal studies in the social and behavioral sciences generally contain missing data. Mean and covariance structure models play an important role in analyzing such data. Two promising methods for dealing with missing data are a direct maximum-likelihood and a two-stage approach based on the unstructured mean and covariance estimates obtained by the EM-algorithm. Typical assumptions under these two methods are ignorable nonresponse and normality of data. However, data sets in social and behavioral sciences are seldom normal, and experience with these procedures indicates that normal theory based methods for nonnormal data very often lead to incorrect model evaluations. By dropping the normal distribution assumption, we develop more accurate procedures for model inference. Based on the theory of generalized estimating equations, a way to obtain consistent standard errors of the two-stage estimates is given. The asymptotic efficiencies of different estimators are compared under various assumptions. We also propose a minimum chi-square approach and show that the estimator obtained by this approach is asymptotically at least as efficient as the two likelihood-based estimators for either normal or nonnormal data. The major contribution of this paper is that for each estimator, we give a test statistic whose asymptotic distribution is chisquare as long as the underlying sampling distribution enjoys finite fourth-order moments. We also give a characterization for each of the two likelihood ratio test statistics when the underlying distribution is nonnormal. Modifications to the likelihood ratio statistics are also given. Our working assumption is that the missing data mechanism is missing completely at random. Examples and Monte Carlo studies indicate that, for commonly encountered nonnormal distributions, the procedures developed in this paper are quite reliable even for samples with missing data that are missing at random.

Fit Indices Versus Test Statistics.

Model evaluation is one of the most important aspects of structural equation modeling (SEM). Many model fit indices have been developed. It is not an exaggeration to say that nearly every publication using the SEM methodology has reported at least one fit index. Most fit indices are defined through test statistics. Studies and interpretation of fit indices commonly assume that the test statistics follow either a central chi-square distribution or a noncentral chi-square distribution. Because few statistics in practice follow a chi-square distribution, we study properties of the commonly used fit indices when dropping the chi-square distribution assumptions. The study identifies two sensible statistics for evaluating fit indices involving degrees of freedom. We also propose linearly approximating the distribution of a fit index/statistic by a known distribution or the distribution of the same fit index/statistic under a set of different conditions. The conditions include the sample size, the distribution of the data as well as the base-statistic. Results indicate that, for commonly used fit indices evaluated at sensible statistics, both the slope and the intercept in the linear relationship change substantially when conditions change. A fit index that changes the least might be due to an artificial factor. Thus, the value of a fit index is not just a measure of model fit but also of other uncontrollable factors. A discussion with conclusions is given on how to properly use fit indices.

Mean and Covariance Structure Analysis: Theoretical and Practical Improvements

Abstract The most widely used multivariate statistical models in the social and behavioral sciences involve linear structural relations among observed and latent variables. In practice, these variables are generally nonnormally distributed; hence classical multivariate analysis, based on multinomial error-free variables having no simultaneous interrelations, is not adequate to deal with such data. A promising alternative, based on asymptotically distribution-free (ADF) covariance structure analysis, has been found to be virtually useless in practical model evaluation at finite sample sizes with nonnormal data. We take a new look at the basic statistical theory of structural models under arbitrary distributions, using the methodology of nonlinear regression and generalized least squares estimation. For example, we adopt the use of residual weight matrices from regression theory. We develop a series of estimators and tests based on arbitrary distribution theory. We obtain a type of probabilistic Bartlett co...

Structural Equation Modeling With Robust Covariances

Existing methods for structural equation modeling involve fitting the ordinary sample covariance matrix by a proposed structural model. Since a sample covariance is easily influenced by a few outlying cases, the standard practice of modeling sample covariances can lead to inefficient estimates as well as inflated fit indices. By giving a proper weight to each individual case, a robust covariance will have a bounded influence function as well as a nonzero breakdown point. These robust properties of the covariance estimators will be carried over to the parameter estimators in the structural model if a technically appropriate procedure is used. We study such a procedure in which robust covariances replace ordinary sample covariances in the context of the Wishart likelihood function. This procedure is easy to implement in practice. Statistical properties of this procedure are investigated. A fit index is given based on sampling from an elliptical distribution. An estimating equation approach is used to develop a variety of robust covariances, and consistent covariances of these robust estimators, needed for standard errors and test statistics, follow from this approach. Examples illustrate the inflated statistics and distorted parameter estimates obtained by using sample covariances when compared with those obtained by using robust covariances. The merits of each method and its relevance to specific types of data are discussed.

F Tests for Mean and Covariance Structure Analysis

Covariance structure analysis is used for inference and for dimension reduction with multivariate data. When data are not normally distributed, the asymptotic distribution free (ADF) method is often used to fit a proposed model. The ADF test statistic is asymptotically distributed as a chi-square variate. Experience with real data indicates that the ADF statistic tends to reject theoretically meaningful models. Empirical simulation shows that the ADF statistic rejects correct models too often for all but impractically large sample sizes. By comparing mean and covariance structure analysis with its analogue in the multivariate linear model, we propose some modified ADF test statistics whose distributions are approximated by F distributions. Empirical studies show that the distributions of the new statistics are more closely approximated by F distributions than are the original ADF statistics when referred to chi-square distributions. Detailed analysis indicates why the ADF statistic fails on large models and why F tests and corrections give better results. Implications for power analysis and model tests in other areas are discussed.

Robust transformation with applications to structural equation modelling.

Data sets in social and behavioural sciences are seldom normal. Influential cases or outliers can lead to inappropriate solutions and problematic conclusions in structural equation modelling. By giving a proper weight to each case, the influence of outliers on a robust procedure can be minimized. We propose using a robust procedure as a transformation technique, generating a new data matrix that can be analysed by a variety of multivariate methods. Mardias multivariate skewness and kurtosis statistics are used to measure the effect of the transformation in achieving approximate normality. Since the transformation makes the data approximately normal, applying a classical normal theory based procedure to the transformed data gives more efficient parameter estimates. Three procedures for parameter evaluation and model testing are discussed. Six examples illustrate the various aspects with the robust transformation.

Effect of outliers on estimators and tests in covariance structure analysis.

A small proportion of outliers can distort the results based on classical procedures in covariance structure analysis. We look at the quantitative effect of outliers on estimators and test statistics based on normal theory maximum likelihood and the asymptotically distribution-free procedures. Even if a proposed structure is correct for the majority of the data in a sample, a small proportion of outliers leads to biased estimators and significant test statistics. An especially unfortunate consequence is that the power to reject a model can be made arbitrarily--but misleadingly--large by inclusion of outliers in an analysis.

Robust mean and covariance structure analysis through iteratively reweighted least squares

Robust schemes in regression are adapted to mean and covariance structure analysis, providing an iteratively reweighted least squares approach to robust structural equation modeling. Each case is properly weighted according to its distance, based on first and second order moments, from the structural model. A simple weighting function is adopted because of its flexibility with changing dimensions. The weight matrix is obtained from an adaptive way of using residuals. Test statistic and standard error estimators are given, based on iteratively reweighted least squares. The method reduces to a standard distribution-free methodology if all cases are equally weighted. Examples demonstrate the value of the robust procedure.

On Adding a Mean Structure to a Covariance Structure Model.

The vast majority of structural equation models contains no mean structure, that is, the population means are estimated at the sample means and then eliminated from modeling consideration. Generalized least squares methods are proposed to estimate potential mean structure parameters and to evaluate whether the given model can be successfully augmented with a mean structure. A simulation evaluates the performance of some alternative tests. A method that takes variability due to the estimation of covariance structure parameters into account in the mean structure estimator, as well as in the weight matrix of the generalized least squares function, performs best. In small samples, the F test and Yuan-Bentler adjusted chi-square test perform best. For example, if there is interest in modeling whether arithmetic skills or vocabulary levels are increasing across time, as one would expect in school, an analysis of means is an essential modeling component.

Three Mahalanobis distances and their role in assessing unidimensionality.

Unidimensionality is the hallmark psychometric feature of a well-constructed measurement scale. However, in determining the degree to which a set of items form a unidimensional scale, aberrant item response patterns may distort our investigations. For example, aberrant response patterns may adversely impact interitem covariances which, in turn, can distort estimates of a scales dimensionality and reliability. In this study, we investigate and compare the utility of three Mahalanobis distance (M-distance) measures in identifying and downweighting aberrant item response patterns. Our findings indicated that a residual-based M-distance measure had the best properties. Specifically, response patterns having greater residual-based M-distances were responsible for observed violations of unidimensionality. When these response patterns were properly downweighted according to this M-distance, the data fitted a one-factor model better and scale reliability increased. The procedures are illustrated using three real data sets.