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The F-test of homoscedasticity for correlated normal variables

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  • Cacoullos, Theophilos

Abstract

Using the F-representation of t, the Pitman-Morgan t-test for homoscedasticity under a bivariate normal setup is shown to be equivalent to an F-test on n-2 and n-2 degrees of freedom. This yields an F-test of independence under normality.

Suggested Citation

  • Cacoullos, Theophilos, 2001. "The F-test of homoscedasticity for correlated normal variables," Statistics & Probability Letters, Elsevier, vol. 54(1), pages 1-3, August.
    • Handle: RePEc:eee:stapro:v:54:y:2001:i:1:p:1-3
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    Cited by:

    1. Cacoullos, T., 2014. "Polar angle tangent vectors follow Cauchy distributions under spherical symmetry," Journal of Multivariate Analysis, Elsevier, vol. 128(C), pages 147-153.
    2. Fabio Caraffini & Giovanni Iacca, 2020. "The SOS Platform: Designing, Tuning and Statistically Benchmarking Optimisation Algorithms," Mathematics, MDPI, vol. 8(5), pages 1-31, May.

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