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Multi-sample test for high-dimensional covariance matrices. (English) Zbl 1508.62152

Summary: In this paper, we propose a new test statistic for testing the equality of high-dimensional covariance matrices for multiple populations. The proposed test statistic generalizes the test of the equality of two population covariance matrices proposed by J. Li and S. X. Chen [Ann. Stat. 40, No. 2, 908–940 (2012; Zbl 1274.62383)].

MSC:

62H15 Hypothesis testing in multivariate analysis

Citations:

Zbl 1274.62383
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References:

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