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Testing homogeneity...
Testing homogeneity of several covariance matrices and multi-sample sphericity for high-dimensional data under non-normality
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- Ahmad, M. Rauf (author)
- Uppsala universitet,Statistiska institutionen
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(creator_code:org_t)
- 2016-04-29
- 2017
- English.
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In: Communications in Statistics - Theory and Methods. - : Informa UK Limited. - 0361-0926 .- 1532-415X. ; 46:8, s. 3738-3753
- Related links:
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https://urn.kb.se/re...
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https://doi.org/10.1...
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Abstract
Subject headings
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- A test for homogeneity of g 2 covariance matrices is presented when the dimension, p, may exceed the sample size, n(i), i = 1, ..., g, and the populations may not be normal. Under some mild assumptions on covariance matrices, the asymptotic distribution of the test is shown to be normal when n(i), p . Under the null hypothesis, the test is extended for common covariance matrix to be of a specified structure, including sphericity. Theory of U-statistics is employed in constructing the tests and deriving their limits. Simulations are used to show the accuracy of tests.
Subject headings
- NATURVETENSKAP -- Matematik -- Sannolikhetsteori och statistik (hsv//swe)
- NATURAL SCIENCES -- Mathematics -- Probability Theory and Statistics (hsv//eng)
Keyword
- High-dimensionality
- multi-sample sphericity
- non-normality
- U-statistics
- 62H15
Publication and Content Type
- ref (subject category)
- art (subject category)
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