两个协方差矩阵相等性的最大协方差差检验

CIRJE F-Series Pub Date : 2000-09-01 DOI:10.1090/conm/287/04792

A. Takemura, S. Kuriki

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引用次数: 3

摘要

基于两个样本协方差矩阵的标量协方差的最大标准化差，提出了两个协方差矩阵相等性的检验方法。用管法导出了检验统计量渐近零分布的尾概率。然而，通常形式的管子公式必须适当地修改，因为在这种情况下，管子周围形成的指标集的临界半径为零。

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Maximum Covariance Di erence Test for Equality of Two Covariance Matrices

We propose a test of equality of two covariance matrices based on the maximum standardized di erence of scalar covariances of two sample covariance matrices.We derive the tail probability of the asymptotic null distribution of the test statistic by the tube method.However the usual formal tube formula has to be suitably modi ed,because in this case the index set, around which the tube s formed,has zero critical radius.

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CIRJE F-Series

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