Testing For The Equality Of Several Correlation Matrices

    Authors

    J. R. Schott

    Comments

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    Abbreviated Journal Title

    Stat. Probab. Lett.

    Keywords

    significance level; Wald statistic; Statistics & Probability

    Abstract

    In this paper we obtain the Wald statistic for the test of the equality of correlation matrices. Simulation results indicate that, in most cases involving small sample sizes, this test yields actual significance levels closer to the nominal significance level than does the likelihood ratio test.

    Journal Title

    Statistics & Probability Letters

    Volume

    27

    Issue/Number

    1

    Publication Date

    1-1-1996

    Document Type

    Article

    Language

    English

    First Page

    85

    Last Page

    89

    WOS Identifier

    WOS:A1996UC72500012

    ISSN

    0167-7152

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