Comparison of tests on covariance structures of normal populations

Isabella Marianne Costa Campos; Denismar Alves Nogueira; Eric Batista Ferreira; Davi Butturi-Gomes

doi:10.4025/actascitechnol.v42i1.44456

Comparison of tests on covariance structures of normal populations

Authors

Isabella Marianne Costa Campos Universidade Federal de Alfenas
Denismar Alves Nogueira Universidade Federal de Alfenas http://orcid.org/0000-0003-2285-8764
Eric Batista Ferreira Universidade Federal de Alfenas http://orcid.org/0000-0003-3361-0908
Davi Butturi-Gomes Universidade Federal de São João del-Rei http://orcid.org/0000-0002-8398-533X

DOI:

https://doi.org/10.4025/actascitechnol.v42i1.44456

Keywords:

Power, Type I Error rate, Likelihood Ratio, Monte Carlo Simulation

Abstract

In some studies, there is interest in testing the variance structure, as in the context of multivariate or modelling techniques. Therefore, the importance of using hypothesis tests on covariance structures is emphasized. The purpose of this study was to perform a detailed performance study regarding the power and type I error rate of some existing identity and sphericity tests, considering the scenarios with different numbers of variables (2 to 64) and sample sizes (5 to 100). The proposal of Ledoit and Wolf (2002) is the most appropriate to test the identity structure. For the sphericity test, the version of John (1972), modified by Ledoit and Wolf (2002), followed by the proposal of Box (1949), were the ones with the best performance.

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Published

2020-05-28

How to Cite

Campos, I. M. C., Nogueira, D. A., Ferreira, E. B., & Butturi-Gomes, D. (2020). Comparison of tests on covariance structures of normal populations. Acta Scientiarum. Technology, 42(1), e44456. https://doi.org/10.4025/actascitechnol.v42i1.44456

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Issue

Vol. 42 (2020): Publicação contínua

Section

Statistics

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0.8

2019CiteScore

36th percentile