Comparing variances of correlated variables
type: Item
instance of: scholarly article
title: Comparing variances of correlated variables
zbMATH Open document ID: 0619.62050
DOI: 10.1007/BF02294062
author: Ayala Cohen
published in: Psychometrika
publication date: 1986-01-01T00:00:00Z
review text: A test is proposed for the equality of the variances of \(k\geq 2\) correlated variables. Pitman's test for \(k=2\) reduces the null hypothesis to zero correlation between their sum and their difference. Its extension, eliminating nuisance parameters by a bootstrap procedure, is valid for any correlation structure between the k normally distributed variables. A Monte Carlo study for several combinations of sample sizes and number of variables is presented, comparing the level and power of the new method with previously published tests. Some nonnormal data are included, for which the empirical level tends to be slightly higher than the nominal one. The results show that our method is close in power to the asymptotic tests which are extremely sensitive to nonnormality, yet it is robust and much more powerful than other robust tests.
Mathematics Subject Classification ID: 62H15
Mathematics Subject Classification ID: 62P15
Mathematics Subject Classification ID: 62F03
Mathematics Subject Classification ID: 62F35
zbMATH DE Number: 4005362
zbMATH Keywords: Fisher's z-transform
zbMATH Keywords: robustness
zbMATH Keywords: equality of the variances
zbMATH Keywords: correlated variables
zbMATH Keywords: Pitman's test
zbMATH Keywords: bootstrap procedure
zbMATH Keywords: correlation structure
zbMATH Keywords: normally distributed variables
zbMATH Keywords: combinations of sample sizes
zbMATH Keywords: level
zbMATH Keywords: power
zbMATH Keywords: nonnormal data
MaRDI profile type: Publication
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full work available at URL: https://doi.org/10.1007/bf02294062
OpenAlex ID: W2038300609
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description: scientific article; zbMATH DE number 4005362