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A new exact p-value approach for testing variance homogeneity

Author

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  • Juan Wang
  • Xinmin Li
  • Hua Liang

Abstract

To test variance homogeneity, various likelihood-ratio based tests such as the Bartlett's test have been proposed. The null distributions of these tests were generally derived asymptotically or approximately. We re-examine the restrictive maximum likelihood ratio (RELR) statistic, and suggest a Monte Carlo algorithm to compute its exact null distribution, and so its p-value. It is much easier to implement than most existing methods. Simulation studies indicate that the proposed procedure is also superior to its competitors in terms of type I error and powers. We analyse an environmental dataset for an illustration.

Suggested Citation

  • Juan Wang & Xinmin Li & Hua Liang, 2022. "A new exact p-value approach for testing variance homogeneity," Statistical Theory and Related Fields, Taylor & Francis Journals, vol. 6(1), pages 81-86, January.
    • Handle: RePEc:taf:tstfxx:v:6:y:2022:i:1:p:81-86
    DOI: 10.1080/24754269.2021.1907519
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