A note on tests for high-dimensional covariance matrices

Guangyu Mao

Statistics & Probability Letters, 2016, vol. 117, issue C, 89-92

Abstract: This paper notes that two test statistics proposed by Chen et al. (2010) and another two recently developed by Srivastava et al. (2014) for sphericity and identity of covariance matrices respectively under non-normality are essentially the same except for a scale factor.

Keywords: High dimension; Identity test; Sphericity test (search for similar items in EconPapers)
Date: 2016
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DOI: 10.1016/j.spl.2016.05.002

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