Description Usage Arguments Value References Examples
View source: R/CovTest1.2013Cai.R
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).
1 | CovTest1.2013Cai(data, Sigma0 = diag(ncol(data)), alpha = 0.05)
|
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. |
a named list containing:
a test statistic value.
rejection criterion to be compared against test statistic.
a logical; TRUE
to reject null hypothesis, FALSE
otherwise.
cai_optimal_2013CovTools
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