Solved – Comparing standard deviations of two dependent samples

hypothesis testingstandard deviation

As far as I know you can do a F-test ($F = s_1^2/s_2^2$) or a chi-squared test ($\chi^2 = (n-1)(s_1^2/s_2^2$) for testing if the standard deviations of two independent samples are different. But does this also hold for dependent samples?

Best Answer

The Morgan-Pitman test is the clasisical way of testing for equal variance of two dependent groups.

For $n$ pairs of randomly sampled observations

$(X_{11}, X_{12}),...,(X_{n1},X_{n2})$

define

$U_i = X_{i1}-X_{i2}$

and

$V_i = X_{i1}+X_{i2}$

for $(i=1,...,n)$.

Then under

$H_0: \sigma_1^2=\sigma_2^2$

the correlation of $U$ and $V$ is zero.

If the distributions of the two variables differ in shape then you should use a robust method of testing the hypothesis of $\rho_{uv}=0$.

A good description is in Wilcox's Modern Statistics for the Social and Behavioral Sciences (Chapman & Hall 2012), including alternative ways of comparing robust measures of scale rather than just comparing the variance.