Homogeneity Test of Multi-Sample Covariance Matrices in High Dimensions
In this paper, a new test statistic based on the weighted Frobenius norm of covariance matrices is proposed to test the homogeneity of multi-group population covariance matrices. The asymptotic distributions of the proposed test under the null and the alternative hypotheses are derived, respectively...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2022-11-01
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| Series: | Mathematics |
| Subjects: | |
| Online Access: | https://www.mdpi.com/2227-7390/10/22/4339 |