Robust tests for multivariate factorial designs under heteroscedasticity.

The question of how to analyze several multivariate normal mean vectors when normality and covariance homogeneity assumptions are violated is considered in this article. For the two-way MANOVA layout, we address this problem adapting results presented by Brunner, Dette, and Munk (BDM; 1997) and Vallejo and Ato (modified Brown-Forsythe [MBF]; 2006) in the context of univariate factorial and split-plot designs and a multivariate version of the linear model (MLM) to accommodate heterogeneous data. Furthermore, we compare these procedures with the Welch-James (WJ) approximate degrees of freedom multivariate statistics based on ordinary least squares via Monte Carlo simulation. Our numerical studies show that of the methods evaluated, only the modified versions of the BDM and MBF procedures were robust to violations of underlying assumptions. The MLM approach was only occasionally liberal, and then by only a small amount, whereas the WJ procedure was often liberal if the interactive effects were involved in the design, particularly when the number of dependent variables increased and total sample size was small. On the other hand, it was also found that the MLM procedure was uniformly more powerful than its most direct competitors. The overall success rate was 22.4% for the BDM, 36.3% for the MBF, and 45.0% for the MLM.