Solved – Comparison of p values for Levene mean test and Levene median test

heteroscedasticitylevenes-testrobust

I am doing Levene's mean test and Levene's median test (Brown-Forsythe).
I want to compare the p-values of these two tests to see which is better.
I get large p-values for both tests which are 0.562 (Levene mean) and 0.611 (Levene median) for normal distribution.

  • Which test shows the better type I error rate?
  • does Levene's mean test perform best when the data follows a normal distribution?

Best Answer

NIST & Wikipedia both cite Brown & Forsythe's 1974 paper in saying that the version of Levene's test using the median performs better for skewed distributions.

You can't infer that the test performed well or badly from the p-value you get unless you know whether the samples did in fact come from populations with unequal variances, & then you'd have to repeat many times to find the distribution of the p-value. Which is just what Brown & Forsythe did to justify their claim.