Small Sample Inference for the Common Coefficient of Variation

Abstract

This paper utilizes the modified signed log-likelihood ratio method for the problem of inference about the common coefficient of variation in several independent normal populations. This method is applicable for both the problem of hypothesis testing and constructing a confidence interval for this parameter. Simulation studies show that the coverage probability of this proposed approach is close to the confidence coefficient. Also, its expected length is smaller than expected lengths of other competing approaches. In fact, the proposed approach is very satisfactory regardless of the number of populations and the different values of the common coefficient of variation even for very small sample size. Finally, we illustrate the proposed method using two real data sets.