Homogeneity test of several high-dimensional covariance matrices for stationary processes under non-normality

Abdullah Qayed and Dong Han

Communications in Statistics - Theory and Methods, 2023, vol. 52, issue 8, 2783-2798

Abstract: We propose a test for testing the equality of several high-dimensional covariance matrices for stationary processes with a general distribution. The asymptotic distribution of the proposed test is proved to be χ2 distribution. Both the numerical simulation and empirical study illustrate that the proposed test has perfect performance, in particular, its power can approach to 1 on a set of covariance matrices with three known distributions.

Date: 2023
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DOI: 10.1080/03610926.2021.1960375

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