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Tests for Equality of Variances #204

Merged
merged 9 commits into from
Sep 3, 2020
Merged

Tests for Equality of Variances #204

merged 9 commits into from
Sep 3, 2020

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wildart
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@wildart wildart commented May 23, 2020 •
edited

Implemented tests for equality of variances:

  • One-way ANOVA Test
  • Levene's Test
  • Brown-Forsythe Test
  • Fligner-Killeen Test

@wildart
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wildart commented May 24, 2020

Ready for review.

@ararslan ararslan requested a review from mschauer May 24, 2020 04:40
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It looks like Levene's test is just a form of one-way ANOVA with F-distributed test statistic. Is this somehow already covered elsewhere?

@wildart
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wildart commented May 24, 2020

Indeed, it is a variant of ANOVA.

Question is why there is no simple 1-way extendable ANOVA in this package that would allow to perform above tests?

I've seen this discourse thread ANOVA Tests in Julia?. I could try to spin this PR in a proper ANOVA interface.

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This looks like the right approach to me. Should the Levene, Brown-Forsythe, Fligner-Killeen return an ANOVA object or have their own objects inheriting from that?

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wildart commented May 26, 2020

I do not think it is necessary to create separate types for each test. I designed VarianceEqualityTest with enough flexibility to cover the above test, and any future implementations that fit the particular profile.

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Do these tests have any relation with the equality of variance tests we already support?

nalimilan
nalimilan reviewed Jun 7, 2020
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docs/src/parametric.md Outdated
```

Example:
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We don't show examples for other tests AFAIK. Can't you put it in the docstring instead?

src/var_equality.jl Outdated
length(t.description[3]) != 0 ? t.description[3] : (TD <: FDist ? "F" : "χ²")

StatsBase.nobs(t::VarianceEqualityTest) = t.Nᵢ
StatsBase.dof(t::VarianceEqualityTest{Chisq}) where T = t.DFt
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T doesn't exist. Is this method actually covered by tests?

src/var_equality.jl Outdated
StatsBase.dof(t::VarianceEqualityTest{FDist}) where T = (t.DFt, t.DFe)

teststatistic(t::VarianceEqualityTest{FDist}) = (t.DFe/t.DFt)*sum(t.SStᵢ)/sum(t.SSeᵢ)
teststatistic(t::VarianceEqualityTest{Chisq}) = let y=sum(t.SStᵢ)/sum(t.SSeᵢ); y*(t.DFe+t.DFt)/(1 + y) end # sum(t.SStᵢ)/t.s²
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Use the long function form?

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@mschauer, are there any updates on this? This is an ideal solution for a use-case that I'm currently running and I was wondering if there's a timeline on merging it. Thanks!

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wildart commented Aug 13, 2020

I'll try to find some time next week to finish it.

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wildart commented Aug 28, 2020

Do these tests have any relation with the equality of variance tests we already support?

They are related, https://en.wikipedia.org/wiki/F-test_of_equality_of_variances#Properties, but computationally more to the ANOVA.

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OK (the point of my question was to know whether they should use a common type).

Can you wrap all lines at 92 chars? Otherwise, looks good to me.

@mschauer mschauer merged commit aef116c into JuliaStats:master Sep 3, 2020
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@nalimilan nalimilan nalimilan approved these changes

@mschauer mschauer mschauer approved these changes

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@wildart @mschauer @nalimilan @katdeane