Location-invariant tests of homogeneity of large-dimensional covariance matrices

被引：5

作者：

Ahmad M.R. ^{[1
]}

机构：

[1] Department of Statistics, Uppsala University, Uppsala

来源：

Journal of Statistical Theory and Practice | 2017年 / 11卷 / 4期

关键词：

Covariance matrices; high-dimensional theory; homogeneity tests; multivariate inference;

D O I：

10.1080/15598608.2017.1308895

中图分类号：

学科分类号：

摘要：

A test statistic for homogeneity of two or more covariance matrices of large dimensions is presented when the data are multivariate normal. The statistic is location-invariant and defined as a function of U-statistics of non-degenerate kernels so that the corresponding asymptotic theory is employed to derive the limiting normal distribution of the test under a few mild and practical assumptions. Accuracy of the test is shown through simulations with different parameter settings. © 2017 Grace Scientific Publishing, LLC.

引用

页码：731 / 745

页数：14

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