Testing the homogeneity of a set of correlated variances

Abstract

To test the equality of a set of p variancas when the p variates are correlated with common correlation coefficient, four test procedures are proposed in this paper, namely, the asymptotic test, the modified Bartlett test, the multiple correlation test and the F max test. Comparisons among these four tests were made. A Monte Carlo study showed that, when p = 3, the sample size needed is about 40 in order that the asymptotic theory holds, while for p = 4 it needs about 50.