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Homogeneity test of several high-dimensional covariance matrices for stationary processes under non-normality

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  • Abdullah Qayed
  • Dong Han

Abstract

We propose a test for testing the equality of several high-dimensional covariance matrices for stationary processes with a general distribution. The asymptotic distribution of the proposed test is proved to be χ2 distribution. Both the numerical simulation and empirical study illustrate that the proposed test has perfect performance, in particular, its power can approach to 1 on a set of covariance matrices with three known distributions.

Suggested Citation

  • Abdullah Qayed & Dong Han, 2023. "Homogeneity test of several high-dimensional covariance matrices for stationary processes under non-normality," Communications in Statistics - Theory and Methods, Taylor & Francis Journals, vol. 52(8), pages 2783-2798, April.
    • Handle: RePEc:taf:lstaxx:v:52:y:2023:i:8:p:2783-2798
    DOI: 10.1080/03610926.2021.1960375
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