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Some Monte Carlo Studies on the Comparison of Several Means Under Heteroscedasticity and Robustness with Respect to Departure from Normality
Author(s) -
Tan W. Y.,
Tabatabai M. A.
Publication year - 1986
Publication title -
biometrical journal
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.108
H-Index - 63
eISSN - 1521-4036
pISSN - 0323-3847
DOI - 10.1002/bimj.4710280706
Subject(s) - heteroscedasticity , normality , monte carlo method , statistics , mathematics , normality test , robustness (evolution) , econometrics , test (biology) , statistical hypothesis testing , paleontology , biochemistry , chemistry , biology , gene
By using Monte Carlo studies, this paper compares the Welch test, the James test and the Brown‐Forsythe test for comparing several means under heteroscedasticity. It appears that all the tests are quite robust with respect to departure from normality. The Brown‐Forsythe test is at least as good as the James test and the Welch test; but the differences are so small that the choice is immaterial for practical purposes.