Title
A Test For Proportional Covariance Matrices
Keywords
Asymptotic chi-squared distribution; Elliptical distribution; Wald statistic
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. © 1999 Elsevier Science B.V.
Publication Date
12-28-1999
Publication Title
Computational Statistics and Data Analysis
Volume
32
Issue
2
Number of Pages
135-146
Document Type
Article
Personal Identifier
scopus
DOI Link
https://doi.org/10.1016/S0167-9473(99)00032-8
Copyright Status
Unknown
Socpus ID
0039134585 (Scopus)
Source API URL
https://api.elsevier.com/content/abstract/scopus_id/0039134585
STARS Citation
Schott, James R., "A Test For Proportional Covariance Matrices" (1999). Scopus Export 1990s. 4280.
https://stars.library.ucf.edu/scopus1990/4280