wu.li.statistic | R Documentation |
This function computes the test statistics for one and two sample hypothesis of covariance matrices as described in Wu and Li (need citation)
wu.li.statistic(x, y = NULL, nrand = 1000, test = "identity")
x |
data matrix of first group with rows representing samples and columns representing variables. |
y |
data matrix of second group with same number of columns as |
nrand |
number of random projections to be generated for the one-dimension projections. |
test |
Type of test to be performed. When |
A list with two values
The test statistic value
The critical value to accept or reject the null hypothesis based on the test.statistic
returned
T.-L. Wu and P. Li. Projected tests for high-dimensional covariance matrices. Journal of Statistical Planning and Inference, 207:73 – 85, 2020.
gev.critvalue
library(mvtnorm)
x = rmvnorm(n = 100, mean = numeric(10), sigma = diag(10))
y = rmvnorm(n = 100, mean = numeric(10), sigma = diag(10))
wu.li.statistic(x, y, nrand = 1e2)
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