Title

Testing the equality of correlation matrices when sample correlation matrices are dependent

Authors

Authors

J. R. Schott

Comments

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Abbreviated Journal Title

J. Stat. Plan. Infer.

Keywords

elliptical distribution; Wald statistic; Statistics & Probability

Abstract

We consider the situation in which a 2m x 2m correlation matrix is naturally partitioned into a 2 x 2 form, where each submatrix is m x m and we wish to test for the equality of the two correlation matrices appearing on the diagonal of the partitioned form. Standard tests for the equality of correlation matrices do not apply since the corresponding sample correlation matrices are correlated. We obtain Wald statistics under the assumption of multivariate normality as well as extensions that apply to elliptical distributions. (c) 2006 Elsevier B.V All rights reserved.

Journal Title

Journal of Statistical Planning and Inference

Volume

137

Issue/Number

6

Publication Date

1-1-2007

Document Type

Article

Language

English

First Page

1992

Last Page

1997

WOS Identifier

WOS:000245168100021

ISSN

0378-3758

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