[R] seeking robust test for equality of variances w/ observation weights

From: Alexis Diamond <alexisjdiamond_at_gmail.com>
Date: Sat 22 Jul 2006 - 02:55:30 EST


Hello R community,

I am looking for a robust test for equality of variances that can take observation weights.
I realize I can do the F-test with weighted variances, but I've read that this test is not very robust.

So I thought about maybe adding a "weights" argument to John Fox's code for the Levene Test (in the "car" library, "levene.test"), substituting his "median" function for a " weighted.mean" and also including the observation weights in his "lm" run-- after all, Levene's original test used the mean, not the median.

I asked John about it and he doesn't know what the properties of this weighted Levene test would be.
Does anyone have any thoughts or suggestions, or know of a robust weighted hypothesis test for equality of variances?

Thank you in advance for any advice you can provide,

Alexis Diamond
adiamond@fas.harvard.edu

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