Will a white, green, red, blue or purple candle burn the fastest?
It will not be very much different, but I would expect the blue candle to burn the fastest. Using the … misconception that only blue light is “reflected*” and the other colors are absorbed, the blue candle would absorb the reds and probably lower frequencies where most of the heat energy of the burning candle is emitted. That means that the blue candle would absorb more of the energy of the candles flame which would heat the wax near the wick faster. That would result in more wax being vaporized, which is what determines the burn rate.
