CovTest1.2014Srivastava {CovTools} | R Documentation |
One-Sample Covariance Test by Srivastava, Yanagihara, and Kubokawa (2014)
Description
Given data, it performs 1-sample test for Covariance where the null hypothesis is
H_0 : \Sigma_n = \Sigma_0
where \Sigma_n
is the covariance of data model and \Sigma_0
is a
hypothesized covariance based on a procedure proposed by Srivastava, Yanagihara, and Kubokawa (2014).
Usage
CovTest1.2014Srivastava(data, Sigma0 = diag(ncol(data)), alpha = 0.05)
Arguments
data |
an |
Sigma0 |
a |
alpha |
level of significance. |
Value
a named list containing
- statistic
a test statistic value.
- threshold
rejection criterion to be compared against test statistic.
- reject
a logical;
TRUE
to reject null hypothesis,FALSE
otherwise.
References
Srivastava MS, Yanagihara H, Kubokawa T (2014). “Tests for covariance matrices in high dimension with less sample size.” Journal of Multivariate Analysis, 130, 289–309. ISSN 0047259X.
Examples
## Not run:
## generate data from multivariate normal with trivial covariance.
pdim = 5
data = matrix(rnorm(10*pdim), ncol=pdim)
## run the test
CovTest1.2014Srivastava(data)
## End(Not run)
[Package CovTools version 0.5.4 Index]