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A MONTE CARLO COMPARISON OF ELLIPTICAL‐THEORY AND OTHER TESTS FOR EQUALITY OF COVARIANCE MATRICES
Author(s) -
Pervaiz Muhammad Khalid,
Skinner C.J.
Publication year - 1990
Publication title -
australian journal of statistics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.434
H-Index - 41
eISSN - 1467-842X
pISSN - 0004-9581
DOI - 10.1111/j.1467-842x.1990.tb01000.x
Subject(s) - elliptical distribution , monte carlo method , covariance , normality , mathematics , sample size determination , covariance matrix , statistical physics , statistics , physics , multivariate normal distribution , multivariate statistics
Summary A Monte Carlo study of the size and power of tests of equality of two covariance matrices is carried out. Tests based upon normality assumptions, elliptical distribution assumptions as well as distribution‐free tests are compared. Samples are generated from normal, elliptical and non‐elliptical populations. The elliptical‐theory tests, in particular, have poor size properties for both elliptical distributions with moderate sample sizes and for non‐elliptical distributions.