Estimation of variance after a preliminary test of homogeneity and optimal levels of significance for the pre-test
Abstract
The question of whether to pool two samples in variance estimation is often decided
via a preliminary F test. In this paper we show that the optimal pre-test F value
is unity for a onesided alternative, where the objective function is to minimize average
relative risk. The outcome is independent of numbers of degrees of freedom in each
sample. Optimal significance levels vary somewhat but are close to + for most d.f.
and equal to : when numerator and denominator d.f. are equal. The results also apply
to regression variance estimation across two data regimes.
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https://hdl.handle.net/10161/1918Collections
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