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CovCorTest: Statistical Tests for Covariance and Correlation Matrices and their Structures
A compilation of tests for hypotheses regarding covariance and correlation matrices for one or more groups. The hypothesis can be specified through a corresponding hypothesis matrix and a vector or by choosing one of the basic hypotheses, while for the structure test, only the latter works. Thereby Monte-Carlo and Bootstrap-techniques are used, and the respective method must be chosen, and the functions provide p-values and mostly also estimators of calculated covariance matrices of test statistics. For more details on the methodology, see Sattler et al. (2022) <doi:10.1016/j.jspi.2021.12.001>, Sattler and Pauly (2024) <doi:10.1007/s11749-023-00906-6>, and Sattler and Dobler (2025) <doi:10.48550/arXiv.2310.11799>.
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Package details |
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| Author | Paavo Sattler [aut] (ORCID: <https://orcid.org/0000-0001-8731-0893>), Svenja Jedhoff [cre, aut] (ORCID: <https://orcid.org/0009-0008-2939-9103>), Markus Pauly [ctb] (ORCID: <https://orcid.org/0000-0002-0976-7190>), Arne C Bathke [ctb] (ORCID: <https://orcid.org/0000-0002-6260-3726>), Dennis Dobler [ctb] (ORCID: <https://orcid.org/0000-0002-9040-0854>) |
| Maintainer | Svenja Jedhoff <jedhoff@statistik.tu-dortmund.de> |
| License | GPL (>= 3) |
| Version | 1.0.0 |
| URL | https://github.com/sjedhoff/CovCorTest |
| Package repository | View on CRAN |
| Installation |
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