Description Usage Arguments Value References See Also Examples
Performs Tests for the structure of covariance matrices.
1 2 3 4 5 6 7 8 9 10 11 12 13 | Ahmad2015(x, Sigma = "identity", ...)
Chen2010(x, Sigma = "identity", ...)
Fisher2012(x, Sigma = "identity", ...)
LedoitWolf2002(x, Sigma = "identity", ...)
Nagao1973(x, Sigma = "identity", ...)
Srivastava2005(x, Sigma = "identity", ...)
Srivastava2011(x, Sigma = "identity", ...)
|
x |
data as a list of matrices |
Sigma |
Population covariance matrix as a matrix |
... |
other options passed to covTest method |
A list with class "htest" containing the following components:
statistic | the value of equality of covariance test statistic |
parameter | the degrees of freedom for the chi-squared statistic |
p.value | the p=value for the test |
estimate | the estimated covariances if less than 5 dimensions |
null.value | the specified hypothesized value of the covariance difference |
alternative | a character string describing the alternative hyposthesis |
method | a character string indicating what type of equality of covariance test was performed |
data.name | a character string giving the names of the data |
Ahmad, M. R. and Rosen, D. von. (2015). Tests for High-Dimensional Covariance Matrices Using the Theory of U-statistics. Journal of Statistical Computation and Simulation, 85(13), 2619-2631. 10.1080/00949655.2014.948441
Chen, S., et al. (2010). Tests for High-Dimensional Covariance Matrices. Journal of the American Statistical Association, 105(490):810-819. 10.1198/jasa.2010.tm09560
Fisher, T. J. (2012). On Testing for an Identity Covariance Matrix when the Dimensionality Equals or Exceeds the Sample Size. Journal of Statistical Planning and Infernece, 142(1), 312-326. 10.1016/j.jspi.2011.07.019
Ledoit, O., and Wolf, M. (2002). Some Hypothesis Tests for the Covariance Matrix When the Dimension Is Large Compared to the Sample Size. The Annals of Statistics, 30(4), 1081-1102. 10.1214/aos/1031689018
Nagao, H. (1973). On Some Test Criteria for Covariance Matrix. The Annals of Statistics, 1(4), 700-709
Srivastava, M. S. (2005). Some Tests Concerning the Covariance Matrix in High Dimensional Data. Journal of the Japan Statistical Society, 35(2), 251-272. 10.14490/jjss.35.251
Srivastava, M. S., Kollo, T., and Rosen, D. von. (2011). Some Tests for the Covariance Matrix with Fewer Observations then the Dimension Under Non-normality. Journal of Multivariate Analysis, 102(6), 1090-1103. 10.1016/j.jmva.2011.03.003
Other Testing for Structure of Covariance Matrices: structureCovariances
1 |
Chen et al. 2010 Test of Covariance Matrix Structure
data:
Standard Normal = -180.68, Mean = 0, Variance = 1, p-value < 2.2e-16
alternative hypothesis: true difference between the Sample Covariance Matrix and the Null Covariance Matrix Structure is not equal to 0
sample estimates:
Sepal.Length Sepal.Width Petal.Length
Sepal.Length 0.12424898 0.09921633 0.01635510
Sepal.Width 0.09921633 0.14368980 0.01169796
Petal.Length 0.01635510 0.01169796 0.03015918
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