A new test for the proportionality of two large-dimensional covariance matrices

Baisen Liu, Lin Xu, Shurong Zheng and Guo-Liang Tian

Journal of Multivariate Analysis, 2014, vol. 131, issue C, 293-308

Abstract: Let X1,…,Xn1+1∼iidNp(μ1,Σ1) and Y1,…,Yn2+1∼iidNp(μ2,Σ2) be two independent random samples, where pKeywords: Covariance matrix; Large-dimensional data; Hypothesis testing; Limiting spectral distribution; Proportionality; Random F-matrices (search for similar items in EconPapers)
Date: 2014
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DOI: 10.1016/j.jmva.2014.06.008

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