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Maximum Covariance Di erence Test for Equality of Two Covariance Matrices

Author

Listed:
  • Akimichi Takemura

    (Faculty of Economics, University of Tokyo)

  • Satoshi Kuriki

    (The Institute of Statistical Mathematics)

Abstract

We propose a test of equality of two covariance matrices based on the maximum standardized di erence of scalar covariances of two sample covariance matrices.We derive the tail probability of the asymptotic null distribution of the test statistic by the tube method.However the usual formal tube formula has to be suitably modi ed,because in this case the index set, around which the tube s formed,has zero critical radius.

Suggested Citation

  • Akimichi Takemura & Satoshi Kuriki, 2000. "Maximum Covariance Di erence Test for Equality of Two Covariance Matrices," CIRJE F-Series CIRJE-F-89, CIRJE, Faculty of Economics, University of Tokyo.
    • Handle: RePEc:tky:fseres:2000cf89
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    File URL: http://www.cirje.e.u-tokyo.ac.jp/research/dp/2000/2000cf89.pdf
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    References listed on IDEAS

    as
    1. Akimichi Takemura & Satoshi Kuriki, 1998. "Tail Probabilities of the Maxima of Multilinear Forms and Their Applications," CIRJE F-Series CIRJE-F-4, CIRJE, Faculty of Economics, University of Tokyo.
    2. Akimichi Takemura & Satoshi Kuriki, 1999. "Maximum of Gaussian Field on Piecewise Smooth Domain: Equivalence of Tube Method and Euler Characteristic Method," CIRJE F-Series CIRJE-F-54, CIRJE, Faculty of Economics, University of Tokyo.
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    1. Satoshi Kuriki & Akimichi Takemura, 2000. "Tail probabilities of the limiting null distributions of the Anderson-Stephens statistics," CIRJE F-Series CIRJE-F-77, CIRJE, Faculty of Economics, University of Tokyo.

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