Testing for the equality of several correlation matrices

James R. Schott

Statistics & Probability Letters, 1996, vol. 27, issue 1, 85-89

Abstract: In this paper we obtain the Wald statistic for the test of the equality of correlation matrices. Simulation results indicate that, in most cases involving small sample sizes, this test yields actual significance levels closer to the nominal significance level than does the likelihood ratio test.

Keywords: Significance; level; Wald; statistic (search for similar items in EconPapers)
Date: 1996
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Citations: View citations in EconPapers (1)

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