Article (Scientific journals)
Robust asymptotic tests for the equality of multivariate coefficients of variation
Aerts, Stéphanie; Haesbroeck, Gentiane
2017In TEST, 26 (1), p. 163-187
Peer reviewed
 

Files


Full Text
TestsWald_R2.pdf
Author preprint (721.92 kB)
Download
Annexes
3. Tests.zip
Publisher postprint (18.07 kB)
R Code
Download

All documents in ORBi are protected by a user license.

Send to



Details



Keywords :
Multivariate Coefficient of Variation; Robust testing; Wald type test
Abstract :
[en] In order to easily compare several populations on the basis of more than one feature, multivariate coefficients of variation (MCV) may be used as they allow to summarize relative dispersion in a single index. However, up to date, no test of equality of one or more MCV's has been developed in the literature. In this paper, several classical and robust Wald type tests are proposed and studied. The asymptotic distributions of the test statistics are derived under elliptical symmetry, and the asymptotic efficiency of the robust versions is compared to the classical tests. Robustness of the proposed procedures is examined through partial influence functions of the test statistic, as well as by means of power and level influence functions. A simulation study compares the performance of the classical and robust tests under uncontaminated and contaminated schemes, and the difference with the usual covariance homogeneity test is highlighted. As a by-product, these tests may also be considered in the univariate context where they yield procedures that are both robust and easy-to-use. They provide an interesting alternative to the numerous parametric tests of comparison of univariate coefficients of variation existing in the literature, which are, in most cases, unreliable in presence of outliers. The methods are illustrated on a real data set.
Disciplines :
Mathematics
Author, co-author :
Aerts, Stéphanie ;  Université de Liège > HEC-Ecole de gestion : UER > UER Opérations : Informatique de gestion
Haesbroeck, Gentiane ;  Université de Liège > Département de mathématique > Statistique mathématique
Language :
English
Title :
Robust asymptotic tests for the equality of multivariate coefficients of variation
Publication date :
2017
Journal title :
TEST
ISSN :
1133-0686
eISSN :
1863-8260
Publisher :
Springer, Dordrecht, Netherlands
Volume :
26
Issue :
1
Pages :
163-187
Peer reviewed :
Peer reviewed
Available on ORBi :
since 07 June 2016

Statistics


Number of views
191 (27 by ULiège)
Number of downloads
299 (17 by ULiège)

Scopus citations®
 
7
Scopus citations®
without self-citations
7
OpenCitations
 
9

Bibliography


Similar publications



Contact ORBi