A test for proportional covariance matrices

    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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