Robust tests of the equality of two high-dimensional covariance matrices
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DOI: 10.1080/03610926.2020.1788085
Abstract: Abstract It is of great importance in both theory and application to test the equality of two covariance matrices and . This article proposes a new robust test based on spatial sign statistic regarding in… read more here.
Keywords: robust tests; high dimensional; covariance matrices; tests equality ... See more keywords