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Two permutation tests of equality of variances

✍ Scribed by Rose D. Baker

Book ID
104650024
Publisher
Springer US
Year
1995
Tongue
English
Weight
739 KB
Volume
5
Category
Article
ISSN
0960-3174

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✦ Synopsis

The F-ratio test for equality of dispersion in two samples is by no means robust, while nonparametric tests either assume a common median, or are not very powerful. Two new permutation tests are presented, which do not suffer from either of these problems. Algorithms for Monte Carlo calculation of P values and confidence intervals are given, and the performance of the tests are studied and compared using Monte Carlo simulations for a range of distributional types. The methods used to speed up Monte Carlo calculations, e.g. stratification, are of wider applicability.

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Since the two-sample t-test presupposes equality of variances, often a preliminary F-test is advised to check this assumption. However, very large sample sizes are necessary before this procedure behaves in a satisfactory manner. In the present note this phenomenon is explained using second-order as