li.chen.statistic | R Documentation |
This function computes the test statistic for testing equality of covariance matrices as described by Li and Chen (need citation)
li.chen.statistic(x, y)
x |
data matrix with rows representing samples and columns representing variables |
y |
data matrix of second group with same number of columns as |
A list with two values
The test statistic value
The p-value
J. Li and S. X. Chen. Two sample tests for high-dimensional covariance matrices. Annals of Statistics, 40(2):908–940, 2012.
library(mvtnorm)
x = rmvnorm(n = 20, mean = numeric(100), sigma = diag(100))
y = rmvnorm(n = 20, mean = numeric(100), sigma = diag(100))
li.chen.statistic(x, y)
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