Homogeneity Test of Several High-Dimensional Covariance Matrices for Stationary Processes under Non-normality
Statistics Theory
2020-08-24 v1 Statistics Theory
Abstract
This article presents a homogeneity test for testing the equality of several high-dimensional covariance matrices for stationary processes with ignoring the assumption of normality. We give the asymptotic distribution of the proposed test. The simulation illustrates that the proposed test has perfect performance. Moreover, the power of the test can approach any high probability uniformly on a set of covariance matrices.
Keywords
Cite
@article{arxiv.2008.09259,
title = {Homogeneity Test of Several High-Dimensional Covariance Matrices for Stationary Processes under Non-normality},
author = {Abdullah Qayed and Dong Han},
journal= {arXiv preprint arXiv:2008.09259},
year = {2020}
}