Title

A Test For The Equality Of Covariance Matrices When The Dimension Is Large Relative To The Sample Sizes

Keywords

Equal covariance matrices; High-dimensional data; Singular sample covariance matrix

Abstract

A simple statistic is proposed for testing the equality of the covariance matrices of several multivariate normal populations. The asymptotic null distribution of this statistic, as both the sample sizes and the number of variables go to infinity, is shown to be normal. Consequently, this test can be used when the number of variables is not small relative to the sample sizes and, in particular, even when the number of variables exceeds the sample sizes. The finite sample size performance of the normal approximation for this method is evaluated in a simulation study. © 2007 Elsevier B.V. All rights reserved.

Publication Date

8-15-2007

Publication Title

Computational Statistics and Data Analysis

Volume

51

Issue

12

Number of Pages

6535-6542

Document Type

Article

Personal Identifier

scopus

DOI Link

https://doi.org/10.1016/j.csda.2007.03.004

Socpus ID

34547206225 (Scopus)

Source API URL

https://api.elsevier.com/content/abstract/scopus_id/34547206225

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