Resampling methods for homogeneity tests of covariance matrices

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	Resampling methods for homogeneity tests of covariance matrices
	Zhu, LX ; Ng, KW ; Jing, P
	2002-07-01
发表期刊	STATISTICA SINICA
ISSN	1017-0405
卷号	12 期号:3 页码:769-783
摘要	Testing hypotheses on covariance matrices has long been of interest in statistics. The test of homogeneity is very often a preliminary step in discriminant analysis, cluster analysis, MANOVA, etc. In this article we propose nonparametric tests which are based on the eigenvalues of the differences among the sample covariance matrices after a common rescaling. Three resampling techniques for calculating p-values axe shown to be asymptotically valid: bootstrap, random symmetrization and permutation. Monte Carlo simulations show that the bootstrap performs less satisfactorily than the others in adhering to the nominal level of significance. Some theoretic ground for this phenomenon is given. The simulation results also suggest that the homogeneity tests proposed in this article performs better than the bootstrap version of Bartlett's test.
关键词	Bartlett homogeneity test bootstrap non-parametric tests permutation test random symmetrization
语种	英语
WOS研究方向	Mathematics
WOS类目	Statistics & Probability
WOS记录号	WOS:000177673500006
出版者	STATISTICA SINICA
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/17092
专题	中国科学院数学与系统科学研究院
通讯作者	Zhu, LX
作者单位	1.Univ Hong Kong, Dept Stat & Actuarial Sci, Hong Kong, Hong Kong, Peoples R China 2.Chinese Acad Sci, Inst Appl Math, Beijing, Peoples R China 3.Univ Min & Technol, Dept Sci & Art, Beijing, Peoples R China
推荐引用方式 GB/T 7714	Zhu, LX,Ng, KW,Jing, P. Resampling methods for homogeneity tests of covariance matrices[J]. STATISTICA SINICA,2002,12(3):769-783.
APA	Zhu, LX,Ng, KW,&Jing, P.(2002).Resampling methods for homogeneity tests of covariance matrices.STATISTICA SINICA,12(3),769-783.
MLA	Zhu, LX,et al."Resampling methods for homogeneity tests of covariance matrices".STATISTICA SINICA 12.3(2002):769-783.