A test for the equality of covariance matrices when the dimension is large relative to the sample sizes
A test for the equality of covariance matrices when the dimension is large relative to the sample sizes
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DOI：
10.1016/j.csda.2007.03.004
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发表时间：
2007-08-15
影响因子：
1.8
通讯作者：
Schott, James R.
中科院分区：
文献类型：
--
作者：
Schott, James R.
提出了一个检验多元正态总体协方差阵相等性的简单统计量。当样本量和变量数都趋于无穷大时，该统计量的渐近零分布被证明是正态的。因此，当变量的数量相对于样本量不小时，特别是当变量的数量超过样本量时，可以使用该检验。在模拟研究中评估了该方法的正态近似的有限样本量性能。(c)2007 Elsevier B.V.保留所有权利。
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. (c) 2007 Elsevier B.V. All rights reserved.