von Rosen, Dietrich
- Institutionen för energi och teknik, Sveriges lantbruksuniversitet
- Linköpings universitet
Sammanfattning
Assume that a matrix X: p × n is matrix normally distributed and that the Kolmogorov condition, i.e., [Formula Present], holds. We propose a test for identity of the covariance matrix using a goodness-of-fit approach. Calculations are based on a recursive formula derived by Pielaszkiewicz et al. [19]. The test performs well regarding the power compared to presented alternatives, for both c < 1 or c ≥ 1.
Nyckelord
Covariance matrix; Goodness of fit test; Spectral moments; Test of independence; Wishart matrix
Publicerad i
Springer Proceedings in Mathematics & Statistics
2017, nummer: 192, sidor: 263-274
Titel: Applied and Computational Matrix Analysis : MAT-TRIAD, Coimbra, Portugal, September 2015 Selected, Revised Contributions
Utgivare: Springer
Konferens
International Conference on Matrix Analysis and its Applications, MAT-TRIAD 2015
SLU författare
UKÄ forskningsämne
Sannolikhetsteori och statistik
Publikationens identifierare
- DOI: https://doi.org/10.1007/978-3-319-49984-0_18
- ISBN: 978-3-319-49982-6
- eISBN: 978-3-319-49984-0
Permanent länk till denna sida (URI)
https://res.slu.se/id/publ/130300