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Location-invariant tests of homogeneity of large-dimensional covariance matrices
Uppsala University, Disciplinary Domain of Humanities and Social Sciences, Faculty of Social Sciences, Department of Statistics.
2017 (English)In: Journal of Statistical Theory and Practice, ISSN 1559-8608, E-ISSN 1559-8616, Vol. 11, no 4, p. 731-745Article in journal (Refereed) Published
Abstract [en]

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.

Place, publisher, year, edition, pages
Taylor & Francis Group, 2017. Vol. 11, no 4, p. 731-745
Keywords [en]
Covariance matrices, multivariate inference, homogeneity tests, high-dimensional theory
National Category
Probability Theory and Statistics
Identifiers
URN: urn:nbn:se:uu:diva-345227DOI: 10.1080/15598608.2017.1308895ISI: 000423985000012OAI: oai:DiVA.org:uu-345227DiVA, id: diva2:1189062
Available from: 2018-03-09 Created: 2018-03-09 Last updated: 2018-03-09Bibliographically approved

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Ahmad, M. Rauf

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