Tests for proportionality of matrices with large dimension

Rauf Ahmad

Journal of Multivariate Analysis, 2022, vol. 189, issue C

Abstract: A test for proportionality of two covariance matrices with large dimension, possibly larger than the sample size, is proposed. The test statistic is simple, computationally efficient, and can be used for a large class of multivariate distributions including normality. The properties of the statistic, including asymptotic distribution, are given under high-dimensional set up. Through simulations, the statistic is shown to perform accurately, and outperform its recent competitors, constructed on the basis of similar principles. An extension to the multi-sample case is given.

Keywords: Covariance matrices; High-dimensional testing; Multivariate inference (search for similar items in EconPapers)
Date: 2022
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DOI: 10.1016/j.jmva.2021.104865

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