CovTools (version 0.5.4)

CovTest2.2013Cai: Two-Sample Covariance Test by Cai and Ma (2013)

Description

Given two sets of data, it performs 2-sample test for equality of covariance matrices where the null hypothesis is $$H_0 : \Sigma_1 = \Sigma_2$$ where \(\Sigma_1\) and \(\Sigma_2\) represent true (unknown) covariance for each dataset based on a procedure proposed by Cai and Ma (2013). If statistic \(>\) threshold, it rejects null hypothesis.

Usage

CovTest2.2013Cai(X, Y, alpha = 0.05)

Arguments

X

an \((m\times p)\) matrix where each row is an observation from the first dataset.

Y

an \((n\times p)\) matrix where each row is an observation from the second dataset.

alpha

level of significance.

Value

a named list containing

statistic

a test statistic value.

threshold

rejection criterion to be compared against test statistic.

reject

a logical; TRUE to reject null hypothesis, FALSE otherwise.

References

cai_optimal_2013CovTools

Examples

# NOT RUN {
## generate 2 datasets from multivariate normal with identical covariance.
pdim  = 5
data1 = matrix(rnorm(100*pdim), ncol=pdim)
data2 = matrix(rnorm(150*pdim), ncol=pdim)

## run test
CovTest2.2013Cai(data1, data2)

# }