CovTest1.2014Srivastava: One-Sample Covariance Test by Srivastava, Yanagihara, and...

In kyoustat/CovTools: Statistical Tools for Covariance Analysis

One-Sample Covariance Test by Srivastava, Yanagihara, and Kubokawa (2014)

Description

Given data, it performs 1-sample test for Covariance where the null hypothesis is

H_0 : \Sigma_n = \Sigma_0

where \Sigma_n is the covariance of data model and \Sigma_0 is a hypothesized covariance based on a procedure proposed by Srivastava, Yanagihara, and Kubokawa (2014).

Usage

CovTest1.2014Srivastava(data, Sigma0 = diag(ncol(data)), alpha = 0.05)

Arguments

data	an (n\times p) data matrix where each row is an observation.
Sigma0	a (p\times p) given covariance matrix.
alpha	level of significance.

Value

a named list containing

statistic

a test statistic value.

threshold

rejection criterion to be compared against test statistic.

reject

a logical; TRUE to reject null hypothesis, FALSE otherwise.

References

\insertRef

srivastava_tests_2014CovTools

Examples

## Not run: 
## generate data from multivariate normal with trivial covariance.
pdim = 5
data = matrix(rnorm(10*pdim), ncol=pdim)

## run the test
CovTest1.2014Srivastava(data)

## End(Not run)

kyoustat/CovTools documentation built on Aug. 28, 2023, 2:17 p.m.