DiagTest1.2011Cai: One-Sample Diagonality Test by Cai and Jiang (2011)

In CovTools: Statistical Tools for Covariance Analysis

Description

Given data, it performs 1-sample test for diagonal entries of a Covariance matrix where the null hypothesis is

H_0 : σ_{ij} = 0~\mathrm{for any}~i \neq j

and alternative hypothesis is H_1 : ~\mathrm{not}~H_0 with Σ_n = (σ_{ij}) based on a procedure proposed by Cai and Jiang (2011).

Usage

DiagTest1.2011Cai(data, alpha = 0.05)

Arguments

data	an (n\times p) data matrix where each row is an observation.
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_limiting_2011CovTools

Examples

## Not run: 
## generate data from multivariate normal with trivial covariance.
pdim = 5
data = matrix(rnorm(100*pdim), ncol=pdim)

## run test with different alpha values
DiagTest1.2011Cai(data, alpha=0.01)
DiagTest1.2011Cai(data, alpha=0.05)
DiagTest1.2011Cai(data, alpha=0.10)

## End(Not run)

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