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

Socpus ID

0039134585 (Scopus)

Source API URL

https://api.elsevier.com/content/abstract/scopus_id/0039134585

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