Title

A test for proportional covariance matrices

Authors

Authors

J. R. Schott

Comments

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Abbreviated Journal Title

Comput. Stat. Data Anal.

Keywords

asymptotic chi-squared distribution; elliptical distribution; Wald; statistic; Computer Science, Interdisciplinary Applications; Statistics &; Probability

Abstract

In this paper we consider the inference problem regarding the proportionality of the covariance matrices from k different groups. For the test of proportionality, we obtain a Wald statistic under general conditions. A version of this statistic, which is appropriate when sampling from elliptical distributions, has a fairly simple form. Some empirical results are given. (C) 1999 Elsevier Science B.V. All rights reserved.

Journal Title

Computational Statistics & Data Analysis

Volume

32

Issue/Number

2

Publication Date

1-1-1999

Document Type

Article

Language

English

First Page

135

Last Page

146

WOS Identifier

WOS:000084322700002

ISSN

0167-9473

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