schott.test: Schott's test

In dnayyala/cramp: Covariance Matrix Testing using Random Projections

Schott's test

Description

This function computes the Schott's two sample test statistic for testing equality of covariance matrices as described in Schott (need citation)

Usage

schott.test(x, y)

Arguments

x	data matrix with rows representing samples and columns representing variables
y	data matrix of second group with same number of columns as x

Value

A list with two values

test.statistic

The test statistic value

p.value

The p-value

References

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.

Examples

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)

dnayyala/cramp documentation built on June 27, 2023, 1:34 p.m.