XLSTAT - k sample comparison of variances

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Principles of the k-sample comparison of variances

Take k samples S1, S2, …, Sk, comprising n1, n2, …, nk observations with variances s1², s2², …, sk².
The k-sample comparison of variances will test if all the Si are equal or not.

k-sample comparison of variances in XLSTAT

XLSTAT offers two parametric tests for the comparison of the variances of k independent samples (k > 2).

Levene's test

Levene's test can be used to compare two or more variances. This is a two-tailed test for which the null and alternative hypotheses are:

  • H0: s1² = s2² = … = sk²
  • Ha: There is at least one pair (i, j) such that si² ≠ sj²

The statistic from this test involves absolute deviations at the mean or at the median. The use of the mean is recommended for symmetrical distributions with averagely thick tails. The use of the median is recommended for asymmetric distributions.

The Levene statistic follows a Fisher distribution with k-1 and n1+n2-2 degrees of freedom.

Bartlett’s homogeneity of variances test

Bartlett's test can be used to compare two or more variances. This test is sensitive to the normality of the data. In other words, if the hypothesis of normality of the data seems fragile, it is better to use Levene's or Fisher's test. On the other hand, Bartlett's test is more powerful if the samples follow a normal distribution.

This also is a two-tailed test which can be used with two or more variances. The hypothesis are similar to the ones in the Levene’s test.

Bartlett's statistic follows a Chi² distribution with k-1 degree of freedom.

XLSTAT

This analysis is available in the XLStat-Base addin for Microsoft Excel

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Kovach Computing Services (KCS) was founded in 1993 by Dr. Warren Kovach. The company specializes in the development and marketing of inexpensive and easy-to-use statistical software for scientists, as well as in data analysis consulting.

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