1.3.5.10.

Levene Test for Equality of Variances Page 1 of 4

1. Exploratory Data Analysis

1.3. EDA Techniques
1.3.5. Quantitative Techniques

1.3.5.10. Levene Test for Equality of Variances

Purpose: Levene's test ( Levene 1960) is used to test if k samples have
Test for equal variances. Equal variances across samples is called
Homogeneity homogeneity of variance. Some statistical tests, for example
of Variances the analysis of variance, assume that variances are equal
across groups or samples. The Levene test can be used to
verify that assumption.

Levene's test is an alternative to the Bartlett test. The Levene

test is less sensitive than the Bartlett test to departures from
normality. If you have strong evidence that your data do in
fact come from a normal, or nearly normal, distribution, then
Bartlett's test has better performance.

Definition The Levene test is defined as:

H 0:
H a: for at least one pair (i,j).
Test
Statistic:
Given a variable Y with sample of size N
divided into k subgroups, where Ni is the sample
size of the ith subgroup, the Levene test statistic
is defined as:

where Zij can have one of the following three

definitions:

1.

where is the mean of the ith subgroup.

2.

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where is the median of the ith

subgroup.

3.

where is the 10% trimmed mean of the

ith subgroup.

are the group means of the Zij and is the

overall mean of the Zij.

The three choices for defining Zij determine the

robustness and power of Levene's test. By
robustness, we mean the ability of the test to not
falsely detect unequal variances when the
underlying data are not normally distributed and
the variables are in fact equal. By power, we
mean the ability of the test to detect unequal
variances when the variances are in fact
unequal.

Levene's original paper only proposed using the

mean. Brown and Forsythe (1974)) extended
Levene's test to use either the median or the
trimmed mean in addition to the mean. They
performed Monte Carlo studies that indicated
that using the trimmed mean performed best
when the underlying data followed a Cauchy
distribution (i.e., heavy-tailed) and the median
performed best when the underlying data
followed a (i.e., skewed) distribution. Using
the mean provided the best power for
symmetric, moderate-tailed, distributions.

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 power. If
you have knowledge of the underlying
distribution of the data, this may indicate using
one of the other choices.
Significance
Level:
Critical
The Levene test rejects the hypothesis that the
Region:
variances are equal if

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1.3.5.10. Levene Test for Equality of Variances Page 3 of 4

where is the upper critical value

of the F distribution with k - 1 and N - k degrees
of freedom at a significance level of .

In the above formulas for the critical regions,

the Handbook follows the convention that is
the upper critical value from the F distribution
and is the lower critical value. Note that
this is the opposite of some texts and software
programs. In particular, Dataplot uses the
opposite convention.

Sample Dataplot generated the following output for Levene's test

Output using the GEAR.DAT data set (by default, Dataplot performs
the form of the test based on the median):

LEVENE F-TEST FOR SHIFT IN VARIATION

(CASE: TEST BASED ON MEDIANS)

1. STATISTICS
NUMBER OF OBSERVATIONS = 100
NUMBER OF GROUPS = 10
LEVENE F TEST STATISTIC = 1.705910

2. FOR LEVENE TEST STATISTIC

0 % POINT = 0.
50 % POINT = 0.9339308
75 % POINT = 1.296365
90 % POINT = 1.702053
95 % POINT = 1.985595
99 % POINT = 2.610880
99.9 % POINT = 3.478882

90.09152 % Point: 1.705910

3. CONCLUSION (AT THE 5% LEVEL):

THERE IS NO SHIFT IN VARIATION.
THUS: HOMOGENEOUS WITH RESPECT TO VARIATION.

Interpretation
of Sample We are testing the hypothesis that the group variances are
Output equal. The output is divided into three sections.

1. The first section prints the number of observations (N),

the number of groups (k), and the value of the Levene
test statistic.

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2. The second section prints the upper critical value of the

F distribution corresponding to various significance
levels. The value in the first column, the confidence
level of the test, is equivalent to 100(1- ). We reject the
null hypothesis at that significance level if the value of
the Levene F test statistic printed in section one is
greater than the critical value printed in the last column.

3. The third section prints the conclusion for a 95% test.

For a different significance level, the appropriate
conclusion can be drawn from the table printed in
section two. For example, for = 0.10, we look at the
row for 90% confidence and compare the critical value
1.702 to the Levene test statistic 1.7059. Since the test
statistic is greater than the critical value, we reject the
null hypothesis at the = 0.10 level.

Output from other statistical software may look somewhat

different from the above output.

Question Levene's test can be used to answer the following question:

z Is the assumption of equal variances valid?

Related Standard Deviation Plot

Techniques Box Plot
Bartlett Test
Chi-Square Test
Analysis of Variance

Software The Levene test is available in some general purpose

statistical software programs, including Dataplot.

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