CovTest1.2014Srivastava {CovTools} | R Documentation |
Given data, it performs 1-sample test for Covariance where the null hypothesis is
H_0 : Σ_n = Σ_0
where Σ_n is the covariance of data model and Σ_0 is a hypothesized covariance based on a procedure proposed by Srivastava, Yanagihara, and Kubokawa (2014).
CovTest1.2014Srivastava(data, Sigma0 = diag(ncol(data)), alpha = 0.05)
data |
an (n\times p) data matrix where each row is an observation. |
Sigma0 |
a (p\times p) given covariance matrix. |
alpha |
level of significance. |
a named list containing
a test statistic value.
rejection criterion to be compared against test statistic.
a logical; TRUE
to reject null hypothesis, FALSE
otherwise.
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.
## 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)