A robust testing procedure for the equality of covariance matrices

DOI10.1016/J.CSDA.2004.06.009MaRDI QIDQ957254zbMATH OpenOpenAlexFDO

Authors Shagufta Aslam, David M. Rocke

Publication date 26 November 2008

Published in Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.csda.2004.06.009

zbMATH Keywords

likelihood ratio testS-estimate

Mathematics Subject Classification ID

Robustness and adaptive procedures (parametric inference) (62F35) Hypothesis testing in multivariate analysis (62H15)

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Cites work

• Asymptotic behaviour of S-estimates of multivariate location parameters and dispersion matrices
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• scientific article; zbMATH DE number 3905646 (Why is no real title available?)
• scientific article; zbMATH DE number 3673370 (Why is no real title available?)
• On the cumulants of affine equivariant estimators in elliptical families
• On the relation between S-estimators and M-estimators of multivariate location and covariance
• Properties of sufficiency and statistical tests
• Robustness and efficiency properties of scatter matrices
• Robustness properties of \(S\)-estimators of multivariate location and shape in high dimension
• TESTS OF HYPOTHESES CONCERNING LOCATION AND SCALE PARAMETERS
• Unbiasedness of the likelihood ratio tests for equality of several covariance matrices and equality of several multivariate normal populations

Cited in

(15)

• Testing equality of covariance matrices when data are incomplete
• Editorial: Machine learning and robust data mining
• Tests of covariance matrix by using projection pursuit and bootstrap method
• An extreme-value approach for testing the equality of large U-statistic based correlation matrices
• Global identification of joint drive gains and dynamic parameters of parallel robots
• Robust asymptotic tests for the equality of multivariate coefficients of variation
• A general near-exact distribution theory for the most common likelihood ratio test statistics used in multivariate analysis
• An exact test about the covariance matrix
• A robust procedure for testing the equality of mean vectors of two bivariate populations with unequal covariance matrices
• On the tiku-balakrishnan tests for equality of covariance matrices
• Testing the equality of variance-covariance matrices the robust way
• On Multiple Covariance Equality Testing with Application to SAR Change Detection
• Testing the equality of several covariance matrices
• An accurate test for the equality of covariance matrices from decomposable graphical Gaussian models
• Visualizing Tests for Equality of Covariance Matrices

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