varcomp: Covariance Matrix Chi-squared test

In jakobottar/stat5810tools: Custom Functions For Stat 5810

Description

Test if covariance matrices are equal. By Fernando Henrique Ferraz P. da Rosa. https://stat.ethz.ch/pipermail/r-help/2004-November/061223.html https://www.r-bloggers.com/equality-of-covariances-matrices-test-in-r-varcomp/

Usage

varcomp(covmat, n)

Examples

Suppose you have 3 estimated covariance matrices
S1, S2, S3, from a sample of 3 bivariate normal populations with unknown
covariance matrices. The sample size for each Si, was 11,12,11.

S1 <- matrix(c(7.17,19.47,19.47,113.38),byrow=T,ncol=2)
S2 <- matrix(c(20.33,59.78,59.78,229.02),byrow=T,ncol=2)
S3 <- matrix(c(5.22,17.33,17.33,112.88),byrow=T,ncol=2)
varcomp(list(S1,S2,S3),n=c(11,12,11))

jakobottar/stat5810tools documentation built on May 25, 2019, 6:22 p.m.