A MONTE CARLO COMPARISON OF ELLIPTICAL‐THEORY AND OTHER TESTS FOR EQUALITY OF COVARIANCE MATRICES
作者:
Muhammad Khalid Pervaiz,
C.J. Skinner,
期刊:
Australian Journal of Statistics
(WILEY Available online 1990)
卷期:
Volume 32,
issue 1
页码: 71-86
ISSN:0004-9581
年代: 1990
DOI:10.1111/j.1467-842X.1990.tb01000.x
出版商: Blackwell Publishing Ltd
关键词: Covariance matrix;elliptical distribution;kurtosis;robustness
数据来源: WILEY
摘要:
SummaryA Monte Carlo study of the size and power of tests of equality of two covariance matrices is carried out. Tests based upon normality assumptions, elliptical distribution assumptions as well as distribution‐free tests are compared. Samples are generated from normal, elliptical and non‐elliptical populations. The elliptical‐theory tests, in particular, have poor size properties for both elliptical distributions with moderate sample sizes and for non‐elliptical distri
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