Title

Testing The Equality Of Correlation Matrices When Sample Correlation Matrices Are Dependent

Keywords

Elliptical distribution; Wald statistic

Abstract

We consider the situation in which a 2 m × 2 m correlation matrix is naturally partitioned into a 2 × 2 form, where each submatrix is m × 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. © 2006 Elsevier B.V. All rights reserved.

Publication Date

6-1-2007

Publication Title

Journal of Statistical Planning and Inference

Volume

137

Issue

6

Number of Pages

1992-1997

Document Type

Article

Personal Identifier

scopus

DOI Link

https://doi.org/10.1016/j.jspi.2006.05.005

Socpus ID

33846353893 (Scopus)

Source API URL

https://api.elsevier.com/content/abstract/scopus_id/33846353893

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