Advances and Applications in Statistics
Volume 4, Issue 3, Pages 303 - 326
(December 2004)
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ON TESTING FOR A CHANGE IN VARIANCE: NEW TESTS AND A MONTE CARLO STUDY
Mohamed G. Habib (Kuwait), Adel I. Bargal (Kuwait) and Emad-Eldin A. A. Aly (Kuwait)
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Abstract: Let
be independent random variables
with respective distribution functions
We are interested in the problem
of testing the null hypothesis of no change,
against the alternative of exactly one change point,
with
and
where and
are
unknown and is
the integer part of t. Three 2-sample tests are generalized to the
change-point setup. The generalized tests are based on the Bartlett test, the
Box-Anderson test and the test of Taha [Publ. Inst. Statist., Univ. Paris 13
(1964), 169-179]. The proposed tests and other competing tests are compared in
terms of power in a Monte Carlo simulation experiment with small-to-moderate
sample sizes. |
Keywords and phrases: homogeneity of variances, L-statistics, Bartlett test, Box-Anderson test, power of the test, change-point and hypothesis testing. |
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