Testing the equality of several covariance matrices with fewer observations than the dimension
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References listed on IDEAS
- Ledoit, Olivier & Wolf, Michael, 2004.
"A well-conditioned estimator for large-dimensional covariance matrices,"
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- Schott, James R., 2007. "A test for the equality of covariance matrices when the dimension is large relative to the sample sizes," Computational Statistics & Data Analysis, Elsevier, vol. 51(12), pages 6535-6542, August.
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More about this item
KeywordsComparison of powers Equality of several covariance matrices Equality of two covariances High-dimensional data Normality Sample size smaller than the dimension;
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