Multi-sample test for high-dimensional covariance matrices |
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| Authors: | Chao Zhang Jiang Hu Chen Wang |
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| Institution: | 1. Key Laboratory for Applied Statistics of MOE, School of Mathematics and Statistics, Northeast Normal University, Changchun, China;2. Faculty of Economics, University of Cambridge, Cambridge, UK |
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| Abstract: | 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 Li and Chen (2012). |
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| Keywords: | Covariance matrices multi-sample test U-statistic |
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