A robust testing procedure for the equality of covariance matrices

DOI10.1016/j.csda.2004.06.009zbMath1429.62195OpenAlexW1975419443MaRDI QIDQ957254

David M. Rocke, Shagufta Aslam

Publication date: 26 November 2008

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2004.06.009

zbMATH Keywords

likelihood ratio testS-estimate

Mathematics Subject Classification ID

Hypothesis testing in multivariate analysis (62H15) Robustness and adaptive procedures (parametric inference) (62F35)

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Cites Work

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• On the relation between S-estimators and M-estimators of multivariate location and covariance
• Asymptotic behaviour of S-estimates of multivariate location parameters and dispersion matrices
• Unbiasedness of the likelihood ratio tests for equality of several covariance matrices and equality of several multivariate normal populations
• Robustness properties of \(S\)-estimators of multivariate location and shape in high dimension
• On the cumulants of affine equivariant estimators in elliptical families
• Robustness and efficiency properties of scatter matrices
• Properties of sufficiency and statistical tests
• TESTS OF HYPOTHESES CONCERNING LOCATION AND SCALE PARAMETERS

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