is the appropriate test statistic under homoscedasticity and where
MV
2
=
√
T
max
1
≤
i
≤
m

M
2
(
k
i
)

(13)is the appropriate test statistic under heteroscedasticity
1
. In
R
we use the
Chow.Denning
function with values
k
=
{
2
,
5
,
10
}
from the the
{
vrtest
}
package.
2 Multivariate Tests
2.1 KruskalWallis Test
Kruskal & Wallis (1952) developed a test to determine if samples are from the same population. They proposed the test statistic of
H
=
12
N
(
N
+1)
C i
=1
R
2
i
n
i
−
3(
N
+ 1)1
−
O j
=1
T
j
(
N
3
−
N
)
(14)where
C
is the number of samples,
n
i
is the sample size for the
i
th sample,
N
=
C i
=1
n
i
is thetotal observations,
R
i
is the sum of the ranks for the
i
th sample,
O
is the number of groupswith ties,
t
j
the number of ties in the
j
th group and
T
j
=
t
3
j
−
t
j
. This test statistic followsa
χ
2
C
−
1
distribution with the null hypothesis that all of the samples come from the samedistribution and an alternate hypothesis that at least one sample has a diﬀerent distributionthan the other samples. Note that this test is an extension of the MWW test where
C >
2.In
R
we use the
kruskal.test
function with default parameters from the the
{
stats
}
package.
2.2 MannWhitneyWilcoxon (MWW) Test
Mann & Whitney (1947) developed a test, which extended a test developed by Wilcoxon(1945), that attempted to determine if one random variable was stochastically larger thanthe other. Let
x
ad
y
be two random variables, then the test statistic is
U
=
mn
+
m
(
m
+ 1)2
−
T
(15)where
m
is the sample size for
y
,
n
the sample size for x and
T
is the sum of the ranks of the
y
variable. The null hypothesis is that the two variables are equal with the alternatethat
x
is stochastically smaller than
y
2
. In
R
we use the
wilcox.test
function with defaultparameters from the the
{
stats
}
package.
1
Charles & Darn´e (2009) provide an overview of the diﬀerent Variance Ratio tests from which this sectionborrowed.
2
A random variable,
x
, is said to be stochastically smaller than another random variable,
y
, if
f
(
a
)
> g
(
a
)for any
a
and where
f
(
·
) and
g
(
·
) are their respective continuous cumulative distribution functions.
3