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Tests for proportionality of matrices with large dimension. (English) Zbl 1493.62330

Summary: A test for proportionality of two covariance matrices with large dimension, possibly larger than the sample size, is proposed. The test statistic is simple, computationally efficient, and can be used for a large class of multivariate distributions including normality. The properties of the statistic, including asymptotic distribution, are given under high-dimensional set up. Through simulations, the statistic is shown to perform accurately, and outperform its recent competitors, constructed on the basis of similar principles. An extension to the multi-sample case is given.

MSC:

62H15 Hypothesis testing in multivariate analysis
62F03 Parametric hypothesis testing
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