Multi-sample test for high-dimensional covariance matrices

作者:Zhang, Chao; Bai, Zhidong*; Hu, Jiang; Wang, Chen
来源:Communications in Statistics - Theory and Methods, 2018, 47(13): 3161-3177.
DOI:10.1080/03610926.2017.1350272

摘要

In this paper, we propose a new test statistic for testing the equality of high-dimensional covariance matrices for multiple populations. The proposed test statistic generalizes the test of the equality of two population covariance matrices proposed by Li and Chen (2012).