Testing the equality of matrix distributions

Lingzhe Guo and Reza Modarres ()
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Lingzhe Guo: The George Washington University
Reza Modarres: The George Washington University

Statistical Methods & Applications, 2020, vol. 29, issue 2, No 4, 289-307

Abstract: Abstract While matrices are usually used as the basic data structure for experiments with repeated measurements or longitudinal data, testing methods for the equality of two matrix distributions have not been fully discussed in the literature. In this article, we propose three methods to test the equality of two matrix distributions: the likelihood ratio test, the Frobenius norm methods and triangle tests. We present a simulation to compare their performance under the matrix normal distribution. We apply the testing methods to compare the US economy, as measured by closing prices of five market indices, before and after the US stock market crash of 2008.

Keywords: Matrix distribution; Matrix normal; Homogeneity; Frobenius norm; 62H10; 62H15; 62G20 (search for similar items in EconPapers)
Date: 2020
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Citations: View citations in EconPapers (1)

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DOI: 10.1007/s10260-019-00477-7

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