
COEFFICIENT OF VARIATION TESTName:
where σ and μ denote the population standard deviation and population mean, respectively. The sample coefficient of variation is defined as
where s and \( \bar{x} \) denote the sample standard deviation and sample mean respectively. The coefficient of variation should typically only be used for ratio data. That is, the data should be continuous and have a meaningful zero. Although the coefficient of variation statistic can be computed for data that is not on a ratio scale, the interpretation of the coeffcient of variation may not be meaningful. Currently, this command is only supported for nonnegative data. If the response variable contains one or more negative numbers, an error message will be returned. The one sample coefficient of variation tests whether the coefficient of variation is equal to a given value. Note that this can be for either a single sample or for the common coefficient for multile groups of data (it is assummed the groups have equal population coefficient of variation values).
The test statistic is
where
where γ is the common coefficient of variation and γ_{0} is the hypothesized value. This statistic is compared to a chisquare with \( \sum_{i}^{k}{n_{i}  1} \) degrees of freedom. The most common usage is the case for a single group (i.e., k = 1). The two sample coefficient of variation tests whether two distinct samples have equal, but unspecified, coefficients of variations. As with the single sample case, each of the two samples can consist of either a single group or multiple groups of data.
The test statistic is
where
\( \mbox{DENOM} = \frac {\sum_{i}^{k}{(n_{2i}  1) u_{2i}}} {\sum_{i}^{k}{n_{2i}  1}} \) where
when k_{1} = k_{2} = 1, the test simplifies to
This statistic is compared to the F distribution with \( \sum_{i=1}^{k_{1}}{n_{1i} 1} \) and \( \sum_{i=1}^{k_{2}}{n_{2i} 1} \) degrees of freedom. The test implemented here was proposed by Forkman (see the References below). There are a number of alternative tests (see the paper by Krishnamooorthy and Lee in the References section). Simulations by Forkman and also by Krishnamoorthy and Lee indicate that the Forkman test has good nominal coverage and reasonable power.
<SUBSET/EXCEPT/FOR qualification> where <y> is the response variable; <x> is the optional groupid variable; <gamma0> is a parameter that specifies the hypothesized value; and where the <SUBSET/EXCEPT/FOR qualification> is optional. This syntax performs a twotailed test. If there are no groups in the data, the groupid variable can be omitted. The <gamma0> can either be given on this command or specified before entering this command by entering
If the <x> variable is given, it should have the same number of rows as the <y> variable.
TEST <y> <x> <gamma0> <SUBSET/EXCEPT/FOR qualification> where <y> is the response variable; <x> is the optional groupid variable; <gamma0> is a parameter that specifies the hypothesized value; and where the <SUBSET/EXCEPT/FOR qualification> is optional. This syntax performs a onetailed test. If LOWER is entered, then the alternate hypothesis is
If UPPER is entered, then the alternative hypothesis is
If there are no groups in the data, the groupid variable can be omitted. The <gamma0> can either be given on this command or specified before entering this command by entering
If the <x> variable is given, it should have the same number of rows as the <y> variable.
<SUBSET/EXCEPT/FOR qualification> where <y1> is the first response variable; <x1> is the optional first groupid variable; <y2> is the second response variable; <x2> is the optional second groupid variable; and where the <SUBSET/EXCEPT/FOR qualification> is optional. This syntax performs a twotailed test. If there are no groups in the data, the groupid variables can be omitted. However, if a groupid variable is specified for one response variable, it should also be specified for the second response variable. If one of the response variables has groups but the other response variable does not, then a groupid variable can be created that has all values equal to 1.
The <y1> and <x1> variables should have the same number of
rows. Likewise the <y2> and <x2> variables should have
the same number of rows. However, <y1> and
TEST <y1> <x1> <y2> <x2> <SUBSET/EXCEPT/FOR qualification> where <y1> is the first response variable; <x1> is the optional first groupid variable; <y2> is the second response variable; <x2> is the optional second groupid variable; and where the <SUBSET/EXCEPT/FOR qualification> is optional. This syntax performs a onetailed test. If LOWER is entered, then the alternate hypothesis is
If UPPER is entered, then the alternative hypothesis is
If there are no groups in the data, the groupid variable can be omitted. If there are no groups in the data, the groupid variables can be omitted. However, if a groupid variable is specifiend for one response variable, it should also be specified for the second response variable. If one of the response variables has groups but the other response variable does not, then a groupid variable can be created that has all values equal to 1. The <y1> and <x1> variables should have the same number of rows. Likewise the <y2> and <x2> variables should have the same number of rows. However, <y1> and <y2> need not have the same number of rows.
ONE SAMPLE COEFFICIENT OF VARIATION TEST Y GAMMA0 ONE SAMPLE COEFFICIENT OF VARIATION TEST Y X GAMMA0 ONE SAMPLE COEFFICIENT OF VARIATION UPPER TAILED TEST ... Y X GAMMA0 ONE SAMPLE COEFFICIENT OF VARIATION TEST Y X GAMMA0 ... SUBSET X > 2
TWO SAMPLE COEFFICIENT OF VARIATION TEST Y1 Y2
Y X LET A = ONE SAMPLE COEFFICIENT OF VARIATION TEST ... CDF Y X LET A = ONE SAMPLE COEFFICIENT OF VARIATION TEST ... PVALUE Y X LET A = ONE SAMPLE COEFFICIENT OF VARIATION LOWER ... PVALUE Y X LET A = ONE SAMPLE COEFFICIENT OF VARIATION UPPER ... PVALUE Y X
LET A = TWO SAMPLE COEFFICIENT OF VARIATION TEST ... The LOWER PVALUE and UPPER PVALUE refer to the pvalues based on lower tailed and upper tailed tests, respectively. For the one sample test, these statistics can be computed from summary data as well
TEST YMEAN YSD YN LET A = SUMMARY ONE SAMPLE COEFFICIENT OF VARIATION ... CDF YMEAN YSD YN LET A = SUMMARY ONE SAMPLE COEFFICIENT OF VARIATION ... PVALUE where YMEAN, YSD, and YN are arrays that contain the sample means, sample standard deviations, and sample sizes, respectively. In addition to the above LET commands, builtin statistics are supported for 20+ different commands (enter HELP STATISTICS for details).
where
To use the Miller test, enter the command (before the TWO SAMPLE COEFFICENT OF VARIATION TEST command)
To reset the default Forkman test, enter
Miller (1991), "Asymptotic Test Statistics for Coefficient of Variation", Communications in Statistics  Theory and Methods, Vol. 20, pp. 33513363. McKay (1932), "Distributions of the Coefficient of Variation and the Extended 't' Distribution", Journal of the Royal Statistical Society, Vol. 95, pp. 695698. Krishnamoorthy and Lee (2014), "Improved Tests for the Equality of Normal Coefficients of Variation", Computational Statistics, Vol. 29, pp. 215232.
. Step 1: Read the data . skip 25 read gear.dat y x skip 0 set write decimals 6 . . Step 2: Define plot control . title case asis title offset 2 label case asis . y1label Coefficient of Variation x1label Group title Coefficient of Variation for GEAR.DAT let ngroup = unique x xlimits 1 ngroup major x1tic mark number ngroup minor x1tic mark number 0 tic mark offset units data x1tic mark offset 0.5 0.5 y1tic mark label decimals 3 . character X line blank . . . Step 3: Plot the coefficient of variation over the batches . set statistic plot reference line average coefficient of variation plot y x . . Step 4: Demonstrate the LET commands for the test statistics . using raw data . let gamma0 = 0.005 let statval = one sample coef of variation test y x let statcdf = one sample coef of variation test cdf y x let pvalue = one sample coef of variation test pvalue y x let pvall = one sample coef of variation lower pvalue y x let pvalu = one sample coef of variation upper pvalue y x print statval statcdf pvalue pvall pvalu . . Step 4: Demonstrate the LET commands for the test statistics . using summary data . set let cross tabulate collapse let ymean = cross tabulate mean y x let ysd = cross tabulate sd y x let yn = cross tabulate size x . let statval2 = summary one sample coef of variation test ymean ysd yn let statcdf2 = summary one sample coef of variation cdf ymean ysd yn let pvalue2 = summary one sample coef of variation pvalue ymean ysd yn print statval2 statcdf2 pvalue2 . . Step 5: Hypothesis test for common coefficient of variation . let gamma0 = 0.005 one sample coefficient of variation test y x one sample coefficient of variation upper tail test y x one sample coefficient of variation lower tail test y x The following output is generated. PARAMETERS AND CONSTANTS STATVAL  127.554980 STATCDF  0.994327 PVALUE  0.011346 PVALL  0.994327 PVALU  0.005673 PARAMETERS AND CONSTANTS STATVAL2 127.554980 STATCDF2 0.994327 PVALUE2  0.011346 Forkman One Sample Coefficient of Variation Test Response Variable: Y GroupID Variable: X H0: Coefficient of Variation Equal 0.005000 Ha: Coefficient of Variation Not Equal 0.005000 Summary Statistics: Total Number of Observations: 100 Number of Groups: 10 Number of Groups Included in Test: 10 Sample Common Coefficient of Variation: 0.005953 Test: Gamma0: 0.005000 Test Statistic Value: 127.554980 Degrees of Freedom: 90 CDF Value: 0.994327 PValue (2tailed test): 0.011346 PValue (lowertailed test): 0.994327 PValue (uppertailed test): 0.005673 TwoTailed Test H0: Gamma = Gamma0; Ha: Gamma <> Gamma0  Lower Upper Null Significance Test Critical Critical Hypothesis Level Statistic Value Value Conclusion  50.0% 127.554980 80.624665 98.649932 REJECT 80.0% 127.554980 73.291090 107.565009 REJECT 90.0% 127.554980 69.126030 113.145270 REJECT 95.0% 127.554980 65.646618 118.135893 REJECT 99.0% 127.554980 59.196304 128.298944 ACCEPT 99.9% 127.554980 52.275778 140.782281 ACCEPT Forkman One Sample Coefficient of Variation Test Response Variable: Y GroupID Variable: X H0: Coefficient of Variation Equal 0.005000 Ha: Coefficient of Variation > 0.005000 Summary Statistics: Total Number of Observations: 100 Number of Groups: 10 Number of Groups Included in Test: 10 Sample Common Coefficient of Variation: 0.005953 Test: Gamma0: 0.005000 Test Statistic Value: 127.554980 Degrees of Freedom: 90 CDF Value: 0.994327 PValue (2tailed test): 0.011346 PValue (lowertailed test): 0.994327 PValue (uppertailed test): 0.005673 Upper OneTailed Test H0: Gamma = Gamma0; Ha: Gamma > Gamma0  Null Significance Test Critical Hypothesis Level Statistic Value (>) Conclusion  50.0% 127.554980 89.334218 REJECT 80.0% 127.554980 101.053723 REJECT 90.0% 127.554980 107.565009 REJECT 95.0% 127.554980 113.145270 REJECT 99.0% 127.554980 124.116319 REJECT 99.9% 127.554980 137.208354 ACCEPT Forkman One Sample Coefficient of Variation Test Response Variable: Y GroupID Variable: X H0: Coefficient of Variation Equal 0.005000 Ha: Coefficient of Variation < 0.005000 Summary Statistics: Total Number of Observations: 100 Number of Groups: 10 Number of Groups Included in Test: 10 Sample Common Coefficient of Variation: 0.005953 Test: Gamma0: 0.005000 Test Statistic Value: 127.554980 Degrees of Freedom: 90 CDF Value: 0.994327 PValue (2tailed test): 0.011346 PValue (lowertailed test): 0.994327 PValue (uppertailed test): 0.005673 Lower OneTailed Test H0: Gamma = Gamma0; Ha: Gamma < Gamma0  Null Significance Test Critical Hypothesis Level Statistic Value (<) Conclusion  50.0% 127.554980 89.334218 ACCEPT 80.0% 127.554980 78.558432 ACCEPT 90.0% 127.554980 73.291090 ACCEPT 95.0% 127.554980 69.126030 ACCEPT 99.0% 127.554980 61.754079 ACCEPT 99.9% 127.554980 54.155244 ACCEPTProgram 2: . Step 1: Read the data . skip 25 read auto83b.dat y1 y2 skip 0 set write decimals 6 retain y2 subset y2 > 0 . . Test for equal coefficient of variation . let statval = two sample coef of variation test y1 y2 let statcdf = two sample coef of variation test cdf y1 y2 let pvalue = two sample coef of variation test pvalue y1 y2 let pvall = two sample coef of variation lower pvalue y1 y2 let pvalu = two sample coef of variation upper pvalue y1 y2 print statval statcdf pvalue pvall pvalu . . Test for equal coefficient of variation . two sample coefficient of variation test y1 y2 two sample coefficient of variation lower tail test y1 y2 two sample coefficient of variation upper tail test y1 y2 set two sample coefficient of variation test miller two sample coefficient of variation test y1 y2 two sample coefficient of variation lower tail test y1 y2 two sample coefficient of variation upper tail test y1 y2The following output is generated. PARAMETERS AND CONSTANTS STATVAL  2.384724 STATCDF  0.999992 PVALUE  0.000015 PVALL  0.999992 PVALU  0.000008 Forkman Two Sample Test for Equal Coefficient of Variations First Response Variable: Y1 Second Response Variable: Y2 H0: Population Coefficients of Variation Are Equal (gamma1 = gamma2) Ha: gamma1 <> gamma2 Sample One Summary Statistics: Total Number of Observations: 249 Number of Groups Included: 1 Sample Mean: 20.144578 Sample Standard Deviation: 6.414699 Sample Coefficient of Variation: 0.318433 Sample Two Summary Statistics: Total Number of Observations: 79 Number of Included Groups: 1 Sample Mean: 30.481013 Sample Standard Deviation: 6.107710 Sample Coefficient of Variation: 0.200378 Forkman Test Statistic Value: 2.384724 Degrees of Freedom 248 Degrees of Freedom 78 CDF Value: 0.999992 PValue (2tailed test): 0.000015 PValue (lowertailed test): 0.999992 PValue (uppertailed test): 0.000008 Forkman Two Sample Test for Equal Coefficient of Variations H0: gamma1 = gamma2; Ha: gamma1 <> gamma2  Lower Upper Null Significance Test Critical Critical Hypothesis Level Statistic Value Value Conclusion  50.0% 2.384724 0.889585 1.140474 REJECT 80.0% 2.384724 0.798111 1.280145 REJECT 90.0% 2.384724 0.748580 1.373470 REJECT 95.0% 2.384724 0.708464 1.461059 REJECT 99.0% 2.384724 0.636939 1.652378 REJECT 99.9% 2.384724 0.563977 1.913576 REJECT Forkman Two Sample Test for Equal Coefficient of Variations First Response Variable: Y1 Second Response Variable: Y2 H0: Population Coefficients of Variation Are Equal (gamma1 = gamma2) Ha: gamma1 < gamma2 Sample One Summary Statistics: Total Number of Observations: 249 Number of Groups Included: 1 Sample Mean: 20.144578 Sample Standard Deviation: 6.414699 Sample Coefficient of Variation: 0.318433 Sample Two Summary Statistics: Total Number of Observations: 79 Number of Included Groups: 1 Sample Mean: 30.481013 Sample Standard Deviation: 6.107710 Sample Coefficient of Variation: 0.200378 Forkman Test Statistic Value: 2.384724 Degrees of Freedom 248 Degrees of Freedom 78 CDF Value: 0.999992 PValue (2tailed test): 0.000015 PValue (lowertailed test): 0.999992 PValue (uppertailed test): 0.000008 Lower OneTailed Test H0: gamma1 = gamma2; Ha: gamma1 < gamma2  Null Significance Test Critical Hypothesis Level Statistic Value (<) Conclusion  50.0% 2.384724 1.005895 REJECT 80.0% 2.384724 0.863240 REJECT 90.0% 2.384724 0.798111 REJECT 95.0% 2.384724 0.748580 REJECT 99.0% 2.384724 0.664874 REJECT 99.9% 2.384724 0.583430 REJECT Forkman Two Sample Test for Equal Coefficient of Variations First Response Variable: Y1 Second Response Variable: Y2 H0: Population Coefficients of Variation Are Equal (gamma1 = gamma2) Ha: gamma1 > gamma2 Sample One Summary Statistics: Total Number of Observations: 249 Number of Groups Included: 1 Sample Mean: 20.144578 Sample Standard Deviation: 6.414699 Sample Coefficient of Variation: 0.318433 Sample Two Summary Statistics: Total Number of Observations: 79 Number of Included Groups: 1 Sample Mean: 30.481013 Sample Standard Deviation: 6.107710 Sample Coefficient of Variation: 0.200378 Forkman Test Statistic Value: 2.384724 Degrees of Freedom 248 Degrees of Freedom 78 CDF Value: 0.999992 PValue (2tailed test): 0.000015 PValue (lowertailed test): 0.999992 PValue (uppertailed test): 0.000008 Forkman Two Sample Test for Equal Coefficient of Variations H0: gamma1 = gamma2; Ha: gamma1 <> gamma2  Lower Null Significance Test Critical Hypothesis Level Statistic Value Conclusion  50.0% 2.384724 1.005895 ACCEPT 80.0% 2.384724 1.177041 ACCEPT 90.0% 2.384724 1.280145 ACCEPT 95.0% 2.384724 1.373470 ACCEPT 99.0% 2.384724 1.571455 ACCEPT 99.9% 2.384724 1.835646 ACCEPT THE FORTRAN COMMON CHARACTER VARIABLE TWO SAMP HAS JUST BEEN SET TO MILL Miller Two Sample Test for Equal Coefficient of Variations First Response Variable: Y1 Second Response Variable: Y2 H0: Population Coefficients of Variation Are Equal (gamma1 = gamma2) Ha: gamma1 <> gamma2 Sample One Summary Statistics: Number of Observations: 249 Sample Mean: 20.144578 Sample Standard Deviation: 6.414699 Sample Coefficient of Variation: 0.318433 Sample Two Summary Statistics: Number of Observations: 79 Sample Mean: 30.481013 Sample Standard Deviation: 6.107710 Sample Coefficient of Variation: 0.200378 Miller Test Statistic Value: 4.100052 CDF Value: 0.999979 PValue (2tailed test): 0.000041 PValue (lowertailed test): 0.999979 PValue (uppertailed test): 0.000021 Miller Two Sample Test for Equal Coefficient of Variations H0: gamma1 = gamma2; Ha: gamma1 <> gamma2  Lower Upper Null Significance Test Critical Critical Hypothesis Level Statistic Value Value Conclusion  50.0% 4.100052 0.674490 0.674490 REJECT 80.0% 4.100052 1.281552 1.281552 REJECT 90.0% 4.100052 1.644854 1.644854 REJECT 95.0% 4.100052 1.959964 1.959964 REJECT 99.0% 4.100052 2.575829 2.575829 REJECT 99.9% 4.100052 3.290527 3.290527 REJECT Miller Two Sample Test for Equal Coefficient of Variations First Response Variable: Y1 Second Response Variable: Y2 H0: Population Coefficients of Variation Are Equal (gamma1 = gamma2) Ha: gamma1 < gamma2 Sample One Summary Statistics: Number of Observations: 249 Sample Mean: 20.144578 Sample Standard Deviation: 6.414699 Sample Coefficient of Variation: 0.318433 Sample Two Summary Statistics: Number of Observations: 79 Sample Mean: 30.481013 Sample Standard Deviation: 6.107710 Sample Coefficient of Variation: 0.200378 Miller Test Statistic Value: 4.100052 CDF Value: 0.999979 PValue (2tailed test): 0.000041 PValue (lowertailed test): 0.999979 PValue (uppertailed test): 0.000021 Lower OneTailed Test H0: gamma1 = gamma2; Ha: gamma1 < gamma2  Null Significance Test Critical Hypothesis Level Statistic Value (<) Conclusion  50.0% 4.100052 0.000000 REJECT 80.0% 4.100052 0.841621 REJECT 90.0% 4.100052 1.281552 REJECT 95.0% 4.100052 1.644854 REJECT 99.0% 4.100052 2.326348 REJECT 99.9% 4.100052 3.090232 REJECT Miller Two Sample Test for Equal Coefficient of Variations First Response Variable: Y1 Second Response Variable: Y2 H0: Population Coefficients of Variation Are Equal (gamma1 = gamma2) Ha: gamma1 > gamma2 Sample One Summary Statistics: Number of Observations: 249 Sample Mean: 20.144578 Sample Standard Deviation: 6.414699 Sample Coefficient of Variation: 0.318433 Sample Two Summary Statistics: Number of Observations: 79 Sample Mean: 30.481013 Sample Standard Deviation: 6.107710 Sample Coefficient of Variation: 0.200378 Miller Test Statistic Value: 4.100052 CDF Value: 0.999979 PValue (2tailed test): 0.000041 PValue (lowertailed test): 0.999979 PValue (uppertailed test): 0.000021 Miller Two Sample Test for Equal Coefficient of Variations H0: gamma1 = gamma2; Ha: gamma1 <> gamma2  Lower Null Significance Test Critical Hypothesis Level Statistic Value Conclusion  50.0% 4.100052 0.000000 ACCEPT 80.0% 4.100052 0.841621 ACCEPT 90.0% 4.100052 1.281552 ACCEPT 95.0% 4.100052 1.644854 ACCEPT 99.0% 4.100052 2.326348 ACCEPT 99.9% 4.100052 3.090232 ACCEPT  
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Date created: 06/27/2017 