Description Usage Arguments Value Author(s) References See Also Examples
Performs the test from Cai, Liu, and Xia (2013) for the equality of two population covariance matrices.
1 | CLX.Covtest(X, Y)
|
X |
the |
Y |
the |
TSvalue |
the value of the test statistic. |
pvalue |
the p-value for the test statistic. |
Karl Gregory kgregory@mail.uni-mannheim.de, http://www.stat.tamu.edu/~kbgregory.
T. Tony Cai, Weidong Liu, and Yin Xia. 2013 “Two-sample covariance matrix testing and support recovery in high-dimensional and sparse settings” Journal of The American Statistical Association. 108, 265–277
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