Homogeneity Test of Multi-Sample Covariance Matrices in High Dimensions

被引：0
|
作者：
Sun, Peng [1 ,2 ,3 ]
Tang, Yincai [1 ,2 ]
Cao, Mingxiang [4 ]
机构：
[1] East China Normal Univ, Dept Stat, Shanghai 200062, Peoples R China
[2] East China Normal Univ, Sch Stat, KLATASDS MOE, Shanghai 200062, Peoples R China
[3] Duke NUS Med Sch, Ctr Quantitat Med, Singapore 169857, Singapore
[4] Anhui Normal Univ, Sch Math & Stat, Wuhu 241002, Anhui, Peoples R China
来源：
MATHEMATICS | 2022年 / 10卷 / 22期
关键词：
high-dimensional data; weighted Frobenius norm; homogeneity test; martingale central limit theorem; asymptotic distributions; CLASSIFICATION; EQUALITY;
D O I：
10.3390/math10224339
中图分类号：
O1 [数学];
学科分类号：
0701 ; 070101 ;
摘要：
In this paper, a new test statistic based on the weighted Frobenius norm of covariance matrices is proposed to test the homogeneity of multi-group population covariance matrices. The asymptotic distributions of the proposed test under the null and the alternative hypotheses are derived, respectively. Simulation results show that the proposed test procedure tends to outperform some existing test procedures.
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收藏
页数：19
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