CovTest1.2013Cai: One-Sample Covariance Test by Cai and Ma (2013)

In CovTools: Statistical Tools for Covariance Analysis

Description

Given data, it performs 1-sample test for Covariance where the null hypothesis is

H_0 : Σ_n = Σ_0

where Σ_n is the covariance of data model and Σ_0 is a hypothesized covariance based on a procedure proposed by Cai and Ma (2013).

Usage

CovTest1.2013Cai(data, Sigma0 = diag(ncol(data)), alpha = 0.05)

Arguments

data	an (n\times p) data matrix where each row is an observation.
Sigma0	a (p\times p) given covariance matrix.
alpha	level of significance.

Value

a named list containing:

statistic

a test statistic value.

threshold

rejection criterion to be compared against test statistic.

reject

a logical; TRUE to reject null hypothesis, FALSE otherwise.

References

\insertRef

cai_optimal_2013CovTools

Examples

## Not run: 
## generate data from multivariate normal with trivial covariance.
pdim = 5
data = matrix(rnorm(10*pdim), ncol=pdim)

## run the test
CovTest1.2013Cai(data)

## End(Not run)

CovTools documentation built on Aug. 14, 2021, 1:08 a.m.