Open AccessComparison of tests on covariance structures of normal populations
Author(s) -
Isabella Marianne Costa Campos,
Denismar Alves Nogueira,
Eric Batista Ferreira,
Davi Butturi-Gomes
Publication year - 2020
Publication title -
acta scientiarum. technology/acta scientiarum. technology
Language(s) - English
Resource type - Journals
eISSN - 1807-8664
pISSN - 1806-2563
DOI - 10.4025/actascitechnol.v42i1.44456
Subject(s) - sphericity , covariance , statistics , type i and type ii errors , context (archaeology) , variance (accounting) , mathematics , multivariate statistics , identity (music) , econometrics , computer science , geography , physics , geometry , accounting , archaeology , acoustics , business
In some studies, there is interest in testing the variance structure, as in the context of multivariate or modelling techniques. Therefore, the importance of using hypothesis tests on covariance structures is emphasized. The purpose of this study was to perform a detailed performance study regarding the power and type I error rate of some existing identity and sphericity tests, considering the scenarios with different numbers of variables (2 to 64) and sample sizes (5 to 100). The proposal of Ledoit and Wolf (2002) is the most appropriate to test the identity structure. For the sphericity test, the version of John (1972), modified by Ledoit and Wolf (2002), followed by the proposal of Box (1949), were the ones with the best performance.