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Visualizing Tests for Equality of Covariance Matrices

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  • Michael Friendly
  • Matthew Sigal

Abstract

This article explores a variety of topics related to the question of testing the equality of covariance matrices in multivariate linear models, particularly in the MANOVA setting. Further, a plot of the components of Box’s M test is proposed that shows how groups differ in covariance and also suggests other visualizations and alternative test statistics. These methods are implemented and freely available in the heplots and candisc packages for R. Examples from the article and some further extensions are available in the online supplementary materials.

Suggested Citation

  • Michael Friendly & Matthew Sigal, 2020. "Visualizing Tests for Equality of Covariance Matrices," The American Statistician, Taylor & Francis Journals, vol. 74(2), pages 144-155, April.
    • Handle: RePEc:taf:amstat:v:74:y:2020:i:2:p:144-155
    DOI: 10.1080/00031305.2018.1497537
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    Cited by:

    1. Eleftheria S. Tsoumani & Ioanna S. Kosma & Anastasia V. Badeka, 2022. "Chemometric Screening of Oregano Essential Oil Composition and Properties for the Identification of Specific Markers for Geographical Differentiation of Cultivated Greek Oregano," Sustainability, MDPI, vol. 14(22), pages 1-17, November.

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