A test for proportional covariance matrices
Abbreviated Journal Title
Comput. Stat. Data Anal.
asymptotic chi-squared distribution; elliptical distribution; Wald; statistic; Computer Science, Interdisciplinary Applications; Statistics &; Probability
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.
Computational Statistics & Data Analysis
"A test for proportional covariance matrices" (1999). Faculty Bibliography 1990s. 2835.