On testing homogeneity of two covariance matrices with nonnormal data

被引：0

作者：

Shen, Jieqiong ^{[1
,2
]}

Li, Junyan ^{[1
]}

机构：

[1] Sichuan Univ, Jincheng Coll, Dept Math, Chengdu 611731, Peoples R China

[2] Sichuan Univ, Coll Math, Chengdu 610064, Peoples R China

来源：

SECOND INTERNATIONAL CONFERENCE ON PHYSICS, MATHEMATICS AND STATISTICS | 2019年 / 1324卷

关键词：

HIGH DIMENSION; SPHERICITY; EQUALITY;

D O I：

10.1088/1742-6596/1324/1/012102

中图分类号：

O1 [数学];

学科分类号：

0701 ; 070101 ;

摘要：

In this paper, we consider testing homogeneity of two high-dimensional covariance matrices without the normality assumption. The test statistic is constructed by the standard U-statistics. Furthermore, the asymptotic distribution of the test statistic is derived under some mild assumptions. Simulations show that the proposed test performs well and better in several cases than some existing tests.

引用

页数：7

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