Homogeneity test of several high-dimensional covariance matrices for stationary processes under non-normality
نویسندگان
چکیده
We propose a test for testing the equality of several high-dimensional covariance matrices stationary processes with general distribution. The asymptotic distribution proposed is proved to be χ2 Both numerical simulation and empirical study illustrate that has perfect performance, in particular, its power can approach 1 on set three known distributions.
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ژورنال
عنوان ژورنال: Communications in Statistics
سال: 2021
ISSN: ['1532-415X', '0361-0926']
DOI: https://doi.org/10.1080/03610926.2021.1960375