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Robust multivariate analysis of variability

 

作者: Norma A. Nelson,   Patricia F. Moodie,  

 

期刊: Communications in Statistics - Simulation and Computation  (Taylor Available online 1988)
卷期: Volume 17, issue 4  

页码: 1409-1430

 

ISSN:0361-0918

 

年代: 1988

 

DOI:10.1080/03610918808812732

 

出版商: Marcel Dekker, Inc.

 

关键词: homoscedasticity;multivariate analysis of variance;simulation;power

 

数据来源: Taylor

 

摘要:

A general testing procedure is proposed to multivariately test for equality of p variances among k groups. The procedure applies a multivariate analysis of variance on an appropriate measure of spread for the uncensored original observations. Three such measures of spread are compared in a simulation experiment which considered two and three variables with equal and unequal sample sizes for the null and alternative hypotheses for Gaussian, Student's t (8, 12, and 20 degrees of freedom) and gamma (α=2,4,6 and 10) distributions . The likelihood ratio test (Box, 1949) was included in the above simulations. The results suggest that if one chooses a measure of spread appropriate for the distribution of the original observations, the proposed MANOVA-based testing procedure is robust and reasonably powerful. Using this procedure for the normal distribution, similar power was observed to that of the likelihood ratio test when the variables were uncorrelated or had little positive correlation.

 

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