Homogeneity Test of Multi-Sample Covariance Matrices in High Dimensions

Peng Sun, Yincai Tang () and Mingxiang Cao ()
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Peng Sun: Department of Statistics, East China Normal University, Shanghai 200062, China
Yincai Tang: Department of Statistics, East China Normal University, Shanghai 200062, China
Mingxiang Cao: School of Mathematics and Statistics, Anhui Normal University, Anhui 241002, China

Mathematics, 2022, vol. 10, issue 22, 1-19

Abstract: In this paper, a new test statistic based on the weighted Frobenius norm of covariance matrices is proposed to test the homogeneity of multi-group population covariance matrices. The asymptotic distributions of the proposed test under the null and the alternative hypotheses are derived, respectively. Simulation results show that the proposed test procedure tends to outperform some existing test procedures.

Keywords: high-dimensional data; weighted Frobenius norm; homogeneity test; martingale central limit theorem; asymptotic distributions (search for similar items in EconPapers)
JEL-codes: C (search for similar items in EconPapers)
Date: 2022
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