Title

Testing For The Equality Of Several Correlation Matrices

Keywords

Significance level; Wald statistic

Abstract

In this paper we obtain the Wald statistic for the test of the equality of correlation matrices. Simulation results indicate that, in most cases involving small sample sizes, this test yields actual significance levels closer to the nominal significance level than does the likelihood ratio test.

Publication Date

3-15-1996

Publication Title

Statistics and Probability Letters

Volume

27

Issue

1

Number of Pages

85-89

Document Type

Article

Personal Identifier

scopus

DOI Link

https://doi.org/10.1016/0167-7152(95)00048-8

Socpus ID

0030584445 (Scopus)

Source API URL

https://api.elsevier.com/content/abstract/scopus_id/0030584445

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