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

Computational Statistics and Data Analysis

Volumn 51, Issue 12, 2007, Pages 6535-6542

  Schott, James R ^a  

^a UNIVERSITY OF CENTRAL FLORIDA   (United States)

Author keywords

Equal covariance matrices; High dimensional data; Singular sample covariance matrix

Indexed keywords

APPROXIMATION THEORY; ASYMPTOTIC ANALYSIS; COMPUTER SIMULATION; STATISTICAL METHODS;

EQUAL COVARIANCE MATRICES; HIGH DIMENSIONAL DATA; SINGULAR SAMPLE COVARIANCE MATRIX;

COVARIANCE MATRIX;

EID: 34547206225     PISSN: 01679473     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.csda.2007.03.004     Document Type: Article

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