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Homogeneity Test of Several High-Dimensional Covariance Matrices for Stationary Processes under Non-normality by Qayed, Abdullah; Han, Dong is a scholarly article available to read on EtoBox.

What is Homogeneity Test of Several High-Dimensional Covariance Matrices for Stationary Processes under Non-normality about?

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.

Author

Qayed, Abdullah; Han, Dong

Published

2020

Language

EN