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- Ahmad, M. RaufUppsala universitet,Statistiska institutionen (author)
Testing homogeneity of several covariance matrices and multi-sample sphericity for high-dimensional data under non-normality
- Article/chapterEnglish2017
Publisher, publication year, extent ...
- 2016-04-29
- Informa UK Limited,2017
- printrdacarrier
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- LIBRIS-ID:oai:DiVA.org:uu-316050
- https://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-316050URI
- https://doi.org/10.1080/03610926.2015.1073310DOI
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- Language:English
- Summary in:English
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Notes
- 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 and genre
- NATURVETENSKAP Matematik Sannolikhetsteori och statistik hsv//swe
- NATURAL SCIENCES Mathematics Probability Theory and Statistics hsv//eng
- High-dimensionality
- multi-sample sphericity
- non-normality
- U-statistics
- 62H15
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- Uppsala universitetStatistiska institutionen (creator_code:org_t)
Related titles
- In:Communications in Statistics - Theory and Methods: Informa UK Limited46:8, s. 3738-37530361-09261532-415X
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