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COMMUNICATIONS IN STATISTICS
Theory and Methods
Vol. 32, No. 1, pp. 91101, 2003
ABSTRACT
Bartletts test for homogeneity of variances is rather nonrobust.
However, when it is applicable, it is more powerful than various
other tests. Dyer and Keating (1980) tabulate the exact critical
values for Bartletts test based on equal sample sizes from several
normal populations. Moreover, they use these values to obtain highly
accurate approximations to the critical values for unequal sample
sizes. In this note, a simple and accurate method is proposed to
obtain the p-value for Bartletts test. Theoretically, the proposed
method has third order accuracy. Numerical examples illustrate
that it is extremely accurate even for very small sample sizes and a
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Wu and Wong
1. INTRODUCTION
Testing for homogeneity of variances in normal populations is
frequently of interest in many statistical analyses. For example, in
experimental design, it is important to test the validity of the assumption
that the within-group variances in a one-factor analysis of variance model
is homogeneous.
More specically, consider the model
i 1, . . . , k,
yij i ij
j 1, . . . , ni
where yij is the jth response from the ith treatment, i is the ith treatment
mean, and ij are independent random errors from N0, i2 . To test for
homogeneity of variances, the null hypothesis is H0 : 12 k2
whereas the alternative hypothesis is H1 : s2 6 t2 for some s 6 t.
Bartlett (1937) proposed a modied likelihood ratio test and showed
that the test statistic, Q=c, is asymptotically distributed as 2 with k 1
degrees of freedom, 2k1 , where
Q log Sp2
k
X
i log Si2 ,
i1
k
X
1
1 1
c1
3k 1 i1 i
and
i ni 1,
k
X
i1
k
i
1X
1X
yij y i 2 , Sp2
S2 :
i j1
i1 i i
n
i ,
Si2
Let q be the observed value of Q calculated from the observed data. Then
the p-value for Bartletts test can be approximated by
PrQ > q PrQ=c > q=c Pr2k1 > q=c:
The accuracy of this approximation is somewhat dicult to assess;
however, in certain situations: very small sample sizes and/or large
93
0<u<1
where
"
K 2
k1=2
k 1=2
Y
i i
i1
Eu
1
X
#
k
Y
1
i1
i
2
wr log ur
i0
wr
r 0
P
with indicating summation over all distinct sequences t1 , t3 , t5 , . . .
of nonnegative integers
satisfying t1 3t3 5t5 r; and xr
P
1r1 rr 11 ki1 i =r 1Br1 , r
1, and B1 , B2 , . . . are the
Bernoulli numbers.
For equal sample sizes, the size exact critical values bk ; n1 , . . . , nk
for Bartletts test are tabulated by Dyer and Keating (1980) and
determined by the nonlinear equation
K=2k1=2
1
X
r0
wr r=2r r k 1=2,
log bk ; n1 , . . . , nk r=2 1
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Wu and Wong
where a, b is the incomplete gamma function. Highly accurate approximations to the critical values for unequal sample sizes are also obtained
by Dyer and Keating (1980). Madansky (1988) referred this approximation as the Dyer-Keating approximation.
The aim of this note is to provide a simple approximation for
PrQ > q PrL 1 < expfq=g. This approximation is extremely
accurate even for small sample sizes or large numbers of populations.
Numerical examples illustrate that the results are comparable to those
obtained by the Dyer-Keating approximation. The main advantage of the
proposed method is the simplicity in implementation with standard
statistical softwares such as Splus and R.
The proposed approximation is derived in Sec. 2. Numerical examples are examined in Sec. 3. Some concluding remarks are given in Sec. 4.
2. MAIN RESULT
Consider rst the classical problem involving random variables
X1 , . . . , Xn that are identically and independently distributed from a distribution whose cumulant generating function
t is nite throughout an
interval for t which includes 0 in its interior. Then the saddlepoint
approximation due to Lugannani
and Rice (1980) for the tail probability
P
PrX > x , where X ni1 Xi =n is the sample mean, is
1 fw w1=w 1=ug;
In both cases,
h n
oi1=2
w sgn^ 2n ^x
^
and
n
o1=2
u ^ n
00 ^
and
0 and
00 are the rst and second derivatives of
with respect
to . Other related tail area approximations are given in Daniels (1987).
95
6
12
k2
Si2
Assume that
, then
is distributed as =i 2i ,
and the moment generating function for log Si2 is
!
h i
2
2
mlog Si2 E exp log Si
E 2i
i
!
2 2
i 1 i :
i
2
2
Hence, the cumulant generating function for log Si2 is
!
2 2
log i log i :
log
i
2
2
P
Note that Sp2 is distributed as 2 =2 . Let W1 ki1 i log Si2 and
W2 log Sp2 . Hence the moment generating functions for W1 and W2 are
!i
k
Y
2 2
mlog Si2 i
i i 1 i
mW1
i
2
2
i1
i1
!
2 2
1
mW2
2
2
k
Y
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Wu and Wong
k n
o
X
i log i log i i log i
2
2
i1
n
o
log log log
:
2
2
Hence
K 0
k n
X
2i
i1
K 00
o
i
i log
2
2
i
0
i 2 0
2
2
i log i i
3. NUMERICAL STUDIES
Example 1. (comparing with Dyer and Keatings results)
To illustrate the accuracy of the saddlepoint approximation, suppose
k 5 and n1 8, n2 10, n3 5, n4 12, n5 13, the approximate 25th
percentile b4 0:25; 8, 10, 5, 12, 13 of the Bartlett distribution is 0.8762
(Dyer and Keating, 1980). In other words PrL 1 < 0:8762 0:25. Since
expfq=g 0:8762, q 43 log0:8762 5:6829. By solving Eq. (6),
we have ^ 0:1231. Thus from Eqs. (1) and (2), PrQ > 5:6829
PrL 1 < 0:8762 is 0.2498 and 0.2505 respectively.
Consider the small sample size case: k 5, and n1 5, n2 4, n3 6,
n4 4, n5 5, Dyer and Keating (1980) gives PrL 1 < 0:5782 0:05.
In this case, q 19 log0:5782 10:4089. By solving Eq. (6), we
have ^ 0:2673. Thus from Eqs. (1) and (2), PrQ > 10:4089
PrL 1 < 0:5782 is 0.0511 and 0.0513 respectively.
Table 1.
Group
Group
Group
Group
1
2
3
4
1
12
12
13
97
9
13
11
14
9
13
7
17
4
12
8
11
0
10
10
14
1
12
13
5
14
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Wu and Wong
Table 2.
i
ni
y i
Si2
Summary statistics for the log (bids of ith leases from jth company).
1
8
14.859
0.842
10
14.306
1.282
5
12.726
0.859
12
15.237
1.883
13
14.663
2.635
variances, the p-value PrQ > 3:9642 PrL 1 < 0:9141 is approximately 0.4535 (if using (Eq. 1)) and 0.4544 (if using (Eq. 2)). This
agrees with the result of Dyer and Keating.
4. DISCUSSION
In this note, we have proposed a simple and accurate approximation
to the p-value of Bartletts test of homogeneity of variances. Numerical
examples illustrated that the proposed method is extremely accurate even
for small sample sizes or large numbers of populations. An advantage of
the proposed method is the ability to compute p-values with standard
statistical softwares. To illustrate the last point, an R source code for
Example 2 is given in Appendix.
APPENDIX
(R Source Code for Example 2)
#
Input data
y1
y2
y3
y4
<<<<-
c(1, 8, 9, 9, 4, 0, 1)
c(12, 10, 13, 13, 12, 10)
c(12, 4, 11, 7, 8, 10, 12, 5)
c(13, 14, 14, 17, 11, 14, 13, 14)
length(y3)-1,
99
u <- xihat*sqrt(d2K(xihat))
w <- sign(xihat)*sqrt(2*(xihat*q-K(xihat)))
#
lr <- 1-pnorm(w)-dnorm(w)*(1/w-1/u)
bn <- 1-pnorm(wlog(u/w)/w)
ACKNOWLEDGMENTS
The rst authors research was supported in part by Cancer Center
Support Grant CA 21765 and American Lebanese Syrian Associated
Charities (ALSAC).The second authors reasearch was supported in
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Wu and Wong
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