0
$\begingroup$

I should do Variance Ratio Test on two vectors in R.

I found the a builtin function: var.test but I don't know how to interpret its results (p-value).

What result do I have to wait if these two vectors have constant variance? I think I also could use it to understand if the ratio is mean reverting or not, right?

Thank you

Improve this question
$\endgroup$
1
  • 1
    $\begingroup$ This question is just another version of one you have already asked at stats.stackexchange.com/posts/13213/edit (concerning how to interpret the p-value of another test). $\endgroup$
    – whuber ♦
    Commented Aug 7, 2011 at 15:46

1 Answer 1

Reset to default
2
$\begingroup$

If the p-value is below 0.05 then you can reject the null hypothesis of equal variance at the 5% significance level.

If the test is repeatedly applied to samples from normal populations with equal variances, the p-value would be expected to be below 0.05 about 5% of the time.

A non-significant p-value should not be interpreted as meaning that the variances are equal, only that there is insufficient evidence to reject the null hypothesis that the variances are equal. It's useful to look at the confidence interval for the variance ratio as well as the p-value.

For your last question, I don't know what you mean when you say that the ratio is "mean reverting".

Improve this answer
$\endgroup$

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service and acknowledge you have read our privacy policy.

Not the answer you're looking for? Browse other questions tagged or ask your own question.