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Testing the Equality of Dependent Variances
Author(s) -
Modarres Reza
Publication year - 1993
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.4710350704
Subject(s) - mathematics , likelihood ratio test , bivariate analysis , statistics , test statistic , score test , statistic , restricted maximum likelihood , likelihood function , monte carlo method , likelihood principle
The likelihood ratio test for testing equality of v gE;2 correlated variables is developed. In general, evaluation of the test statistic involves the iterative optimization of a likelihood function with 1 + v ( v – 1)/2 parameters. The explicit form of the test statistic is derived in the bivariate case, and an iterative algorithm for determining the maximum likelihood estimates is suggested. A limited Monte Carlo study determines the behavior of the proposed procedure under the null hypothesis and variety of parameter values.