schott.test | R Documentation |
This function computes the Schott's two sample test statistic for testing equality of covariance matrices as described in Schott (need citation)
schott.test(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. R. Schott. A test for the equality of covariance matrices when the dimension is large relative to the sample sizes. Computational Statistics and Data Analysis, 51(12):6535–6542, 2007.
library(mvtnorm)
x = rmvnorm(n = 100, mean = numeric(10), sigma = diag(10))
y = rmvnorm(n = 100, mean = numeric(10), sigma = diag(10))
schott.test(x, y)
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.