Combination tests for the equality of the covariance matrices of two dependent bivariate normals
To test the equality of the covariance matrices of two dependent bivariate normals, we derive five combination tests using the Simes method. We compare the performance of these tests using simulation to each other and to the competing tests. In particular, simulations show that one of the combination tests has the best performance in terms of controlling the type I error rate even for small samples with similar power compared to other tests. We also apply the recommended test to real data from a crossover bioavailability study.
simes method delta method pitman-morgan test fisher's z-transformation wald statistic