schott.test: Schott's test

View source: R/schott_test.R

schott.testR Documentation

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.