Abstract
The F-ratio test for equality of dispersion in two samples is by no means robust, while non-parametric tests either assume a common median, or are not very powerful. Two new permutation tests are presented, which do not suffer from either of these problems. Algorithms for Monte Carlo calculation of P values and confidence intervals are given, and the performance of the tests are studied and compared using Monte Carlo simulations for a range of distributional types. The methods used to speed up Monte Carlo calculations, e.g. stratification, are of wider applicability.
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Baker, R.D. Two permutation tests of equality of variances. Stat Comput 5, 289–296 (1995). https://doi.org/10.1007/BF00162501
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DOI: https://doi.org/10.1007/BF00162501