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

    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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