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 Fmax 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.