Maximum Covariance Di erence Test for Equality of Two Covariance Matrices

Akimichi Takemura and Satoshi Kuriki
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Akimichi Takemura: Faculty of Economics, University of Tokyo
Satoshi Kuriki: The Institute of Statistical Mathematics

No CIRJE-F-89, CIRJE F-Series from CIRJE, Faculty of Economics, University of Tokyo

Abstract: We propose a test of equality of two covariance matrices based on the maximum standardized di erence of scalar covariances of two sample covariance matrices.We derive the tail probability of the asymptotic null distribution of the test statistic by the tube method.However the usual formal tube formula has to be suitably modi ed,because in this case the index set, around which the tube s formed,has zero critical radius.

Pages: 20 pages
Date: 2000-09
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Persistent link: https://EconPapers.repec.org/RePEc:tky:fseres:2000cf89

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