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 |
Summary: | 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. Simulation results show that the proposed test procedure tends to outperform some existing test procedures. |
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ISSN: | 2227-7390 |