| Type: | Package |
| Title: | Testing the Equality of Two Covariance Matrices |
| Version: | 1.0 |
| Date: | 2018-04-15 |
| Author: | Jun Li [aut, cre], Song Xi Chen [aut], Lingjun Li [ctb], Clay James [ctb] |
| Maintainer: | Jun Li <jli49@kent.edu> |
| Suggests: | mvtnorm |
| Description: | Tests the equality of two covariance matrices, used in paper "Two sample tests for high dimensional covariance matrices." Li and Chen (2012) <doi:10.48550/arXiv.1206.0917>. |
| License: | GPL-2 |
| Packaged: | 2018-04-15 19:10:44 UTC; Administrator |
| NeedsCompilation: | yes |
| Repository: | CRAN |
| Date/Publication: | 2018-04-25 10:04:27 UTC |
Testing the equality of two covariance matrices.
Description
R code for testing the equality of two covariance matrices, used in paper "Two sample tests for high dimensional covariance matrices".
Usage
equalCovs(sam1, sam2, size1, size2)
Arguments
sam1 |
First sample, it must be array with structure size1*p, p is the dimension of data. |
sam2 |
Second sample, it must be array with structure size2*p, p is the dimension of data. |
size1 |
sample size of first sample |
size2 |
sample size of second sample |
Value
test statistics and p-values
test_stat |
test statistics |
pvalue |
p-values |
Author(s)
Jun Li and Song Xi Chen
Examples
library(mvtnorm)
p<-700 # the dimension of multivariate
theta1<-2
theta2<-1
mat1<-diag(theta1,p-1)
mat2<-diag(theta1+theta1*theta2,p-1)
mat3<-diag(theta2,p-2)
mat1<-rbind(mat1,rep(0,p-1))
mat2<-rbind(mat2,rep(0,p-1))
mat3<-rbind(mat3,rep(0,p-2),rep(0,p-2))
mat1<-cbind(rep(0,p),mat1)
mat2<-cbind(rep(0,p),mat2)
mat3<-cbind(rep(0,p),rep(0,p),mat3)
sigma1<-mat1+t(mat1)+diag(1+theta1^2,p)
sigma2<-mat2+t(mat2)+mat3+t(mat3)+diag(1+theta1^2+theta2^2,p)
size1<-80
size2<-80
sam1<-rmvnorm(size1,runif(p,0,5),sigma1) # generate the samples
sam2<-rmvnorm(size2,runif(p,-3,3),sigma2)
equalCovs(sam1,sam2,size1,size2)