Testing the equality of two high dimensional covariance matrices using the testing procedure by Li and Chen (2012).
equalCovs(X, Y, alpha, DNAME)The n x p data matrix from the sample 1
The n x p data matrix from the sample 2.
The prescribed level of significance
Default input.
Value of testing statistic, p-value, alternative hypothesis, and the name of testing procedure.
Implementing testing procedure proposed by Li and Chen (2012) to test the equality of two sample high dimensional covariance matrices.
J. Li and S. Chen (2012). Two sample tests for high-dimensional covariance matrices. Ann. Statist. 40, 908--940