CovTest2.2013Cai: Two-Sample Covariance Test by Cai and Ma (2013)

In CovTools: Statistical Tools for Covariance Analysis

Description

Given two sets of data, it performs 2-sample test for equality of covariance matrices where the null hypothesis is

H_0 : Σ_1 = Σ_2

where Σ_1 and Σ_2 represent true (unknown) covariance for each dataset based on a procedure proposed by Cai and Ma (2013). If statistic > threshold, it rejects null hypothesis.

Usage

CovTest2.2013Cai(X, Y, alpha = 0.05)

Arguments

X	an (m\times p) matrix where each row is an observation from the first dataset.
Y	an (n\times p) matrix where each row is an observation from the second dataset.
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

## generate 2 datasets from multivariate normal with identical covariance.
pdim  = 5
data1 = matrix(rnorm(100*pdim), ncol=pdim)
data2 = matrix(rnorm(150*pdim), ncol=pdim)

## run test
CovTest2.2013Cai(data1, data2)

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