A test for the equality of covariance matrices when the dimension is large relative to the sample sizes

DOI10.1016/j.csda.2007.03.004zbMath1445.62121OpenAlexW2041062137MaRDI QIDQ149039

James R. Schott, James R. Schott

Publication date: August 2007

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

Full work available at URL: https://doi.org/10.1016/j.csda.2007.03.004

zbMATH Keywords

high-dimensional datasingular sample covariance matrixequal covariance matrices

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Applications of statistics to biology and medical sciences; meta analysis (62P10) Hypothesis testing in multivariate analysis (62H15)

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