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Testing homogeneity...
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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 ...
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2016-04-29
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Informa UK Limited,2017
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Numbers
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LIBRIS-ID:oai:DiVA.org:uu-316050
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https://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-316050URI
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https://doi.org/10.1080/03610926.2015.1073310DOI
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Language:English
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Summary in:English
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Subject category:ref swepub-contenttype
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Subject category:art swepub-publicationtype
Notes
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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.
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Uppsala universitetStatistiska institutionen
(creator_code:org_t)
Related titles
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In:Communications in Statistics - Theory and Methods: Informa UK Limited46:8, s. 3738-37530361-09261532-415X
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