Robust asymptotic tests for the equality of multivariate coefficients of variation

Stephanie Aerts () and Gentiane Haesbroeck
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Stephanie Aerts: HEC-ULg, University of Liege (ULg, N1)
Gentiane Haesbroeck: University of Liege (ULg, Polytech 1)

TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, 2017, vol. 26, issue 1, No 8, 163-187

Abstract: Abstract 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 MCVs 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 and joint 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 existing in the literature, which are, in most cases, unreliable in presence of outliers. The methods are illustrated on a real data set.

Keywords: Multivariate coefficient of variation; Robust testing; Wald-type test; External quality assessment; 62H15; 62F05; 62F35 (search for similar items in EconPapers)
Date: 2017
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Citations: View citations in EconPapers (4)

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DOI: 10.1007/s11749-016-0504-4

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