Methods to test for equality of two normal distributions

Abstract

Statistical tests for two independent samples under the assumption of normality are applied routinely by most practitioners of statistics. Likewise, presumably each introductory course in statistics treats some statistical procedures for two independent normal samples. Often, the classical two-sample model with equal variances is introduced, emphasizing that a test for equality of the expected values is a test for equality of both distributions as well, which is the actual goal. In a second step, usually the assumption of equal variances is discarded. The two-sample t test with Welch correction and the F test for equality of variances are introduced. The first test is solely treated as a test for the equality of central location, as well as the second as a test for the equality of scatter. Typically, there is no discussion if and to which extent testing for equality of the underlying normal distributions is possible, which is quite unsatisfactorily regarding the motivation and treatment of the situation with equal variances. It is the aim of this article to investigate the problem of testing for equality of two normal distributions, and to do so using knowledge and methods adequate to statistical practitioners as well as to students in an introductory statistics course. The power of the different tests discussed in the article is examined empirically. Finally, we apply the tests to several real data sets to illustrate their performance. In particular, we consider several data sets arising from intelligence tests since there is a large body of research supporting the existence of sex differences in mean scores or in variability in specific cognitive abilities.