Jackknife empirical likelihood method for testing the equality of two variances

Abstract

In this paper, we propose a nonparametric method based on jackknife empirical likelihood ratio to test the equality of two variances. The asymptotic distribution of the test statistic has been shown to follow χ-super-2 distribution with the degree of freedom 1. Simulations have been conducted to show the type I error and the power compared to Levene's test and F test under different distribution settings. The proposed method has been applied to a real data set to illustrate the testing procedure.