Levene's test

In statistics, Levene's test is an inferential statistic used to assess the equality of variance in different samples. Some common statistical procedures assume that variances of the populations from which different samples are drawn are equal. Levene's test assesses this assumption. It tests the null hypothesis that the population variances are equal. If the resulting p-value of Levene's test is less than some critical value (typically .05), the obtained differences in sample variances are unlikely to have occurred based on random sampling. Thus, the null hypothesis of equal variances is rejected and it is concluded that there is a difference between the variances in the population.

Procedures which typically assume homogeneity of variance include analysis of variance and t-tests.

Levene's test is often used before a comparison of means. When Levene's test is significant, modified procedures are used that do not assume equality of variance.

: $W\; =\; frac\{(N-k)\}\{(k-1)\}\; frac\{sum\_\{i=1\}^\{k\}\; N\_i\; (Z\_\{icdot\}-Z\_\{cdotcdot\})^2\}\; \{sum\_\{i=1\}^\{k\}sum\_\{j=1\}^\{N\_i\}\; (Z\_\{ij\}-Z\_\{icdot\})^2\},$

where

* with the mean of group $i$,
* $Z\_\{cdotcdot\}\; =\; frac\{1\}\{N\}\; sum\_\{i=1\}^\{k\}\; sum\_\{j=1\}^\{N\_i\}\; Z\_\{ij\}$ is the mean of all $Z\_\{ij\}$,
* $Z\_\{icdot\}\; =\; frac\{1\}\{N\_i\}\; sum\_\{j=1\}^\{N\_i\}\; Z\_\{ij\}$ is the mean of the $Z\_\{ij\}$ for group $i$.

Levene's test may also test a meaningful question in its own right if a researcher is interested in knowing whether population group variances are different.

Comparison with the Brown-Forsythe test

The Brown-Forsythe test uses the median instead of the mean. Although the optimal choice depends on the underlying distribution, the definition based on the median is recommended as the choice that provides good robustness against many types of non-normal data while retaining good statistical power. If one has knowledge of the underlying distribution of the data, this may indicate using one of the other choices. Brown and Forsythe performed Monte Carlo studies that indicated that using the trimmed mean performed best when the underlying data followed a Cauchy distribution (a heavy-tailed distribution) and the median performed best when the underlying data followed a Chi-square distribution with four degrees of freedom (a heavily skewed distribution). Using the mean provided the best power for symmetric, moderate-tailed, distributions.

External resources

[http://www.owlnet.rice.edu/~jaycrow/StudyGuides/LeveneTest.pdf Lecture notes] . Detailed instructions for performing the Levene test by Jason Crowther