View source: R/DiagTest1.2011Cai.R
DiagTest1.2011Cai | R Documentation |
Given data, it performs 1-sample test for diagonal entries of a Covariance matrix where the null hypothesis is
H_0 : \sigma_{ij} = 0~\mathrm{for any}~i \neq j
and alternative hypothesis is H_1 : ~\mathrm{not}~H_0
with \Sigma_n = (\sigma_{ij})
based on a procedure proposed by Cai and Jiang (2011).
DiagTest1.2011Cai(data, alpha = 0.05)
data |
an |
alpha |
level of significance. |
a named list containing:
a test statistic value.
rejection criterion to be compared against test statistic.
a logical; TRUE
to reject null hypothesis, FALSE
otherwise.
cai_limiting_2011CovTools
## Not run:
## generate data from multivariate normal with trivial covariance.
pdim = 5
data = matrix(rnorm(100*pdim), ncol=pdim)
## run test with different alpha values
DiagTest1.2011Cai(data, alpha=0.01)
DiagTest1.2011Cai(data, alpha=0.05)
DiagTest1.2011Cai(data, alpha=0.10)
## End(Not run)
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