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Multivariate coefficients of variation: a full inference toolbox
Aerts, Stéphanie; Haesbroeck, Gentiane
20158th International Conference of the ERCIM WG on Computational and Methodological Statistics (CMStatistics 2015)
 

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Keywords :
Multivariate coefficients of variation; Influence functions; Bias correction; Test of homogeneity
Abstract :
[en] The univariate coefficient of variation (CV) is a widely used measure to compare the relative dispersion of a variable in several populations. When the comparison is based on $p$ characteristics however, side-by-side comparison of marginal CV's may lead to contradictions. Several multivariate coefficients of variation (MCV) have been introduced and used in the literature but, so far, their properties have not been much studied. Based on one of them, i.e. the inverse of the Mahalanobis distance between the mean and the origin, this talk intends to demonstrate the usefulness of MCV's in several domains (finance and analytical chemistry) as well as provide a complete inference toolbox for practitioners. Some exact and approximate confidence intervals are constructed, whose performance is analyzed through simulations. Several bias-correction methods, either parametric or not, are suggested and compared. Finally, since MCV's are used for comparison purposes, some test statistics are proposed for the homogeneity of MCV's in $K$ populations. Throughout the talk, the robustness of the techniques will be discussed. As a by-product, a test statistic allowing to reliably compare $K$ univariate CV's even in presence of outliers will be outlined.
Disciplines :
Mathematics
Author, co-author :
Aerts, Stéphanie ;  Université de Liège > HEC-Ecole de gestion : UER > UER Opérations : Informatique de gestion
Haesbroeck, Gentiane ;  Université de Liège > Département de mathématique > Statistique mathématique
Language :
English
Title :
Multivariate coefficients of variation: a full inference toolbox
Publication date :
13 December 2015
Event name :
8th International Conference of the ERCIM WG on Computational and Methodological Statistics (CMStatistics 2015)
Event organizer :
ERCIM Working Group on Computational and Methodological Statistics (CMStatistics), Queen Mary University of London, Birkbeck University of London and Imperial College London.
Event place :
London, United Kingdom
Event date :
du 12 décembre 2015 au 14 décembre 2015
Funders :
IAP Research Network P7/06 of the Belgian State
Available on ORBi :
since 15 December 2015

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