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Testing for the equality of several correlation matrices

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  • Schott, James R.

Abstract

In this paper we obtain the Wald statistic for the test of the equality of correlation matrices. Simulation results indicate that, in most cases involving small sample sizes, this test yields actual significance levels closer to the nominal significance level than does the likelihood ratio test.

Suggested Citation

  • Schott, James R., 1996. "Testing for the equality of several correlation matrices," Statistics & Probability Letters, Elsevier, vol. 27(1), pages 85-89, March.
    • Handle: RePEc:eee:stapro:v:27:y:1996:i:1:p:85-89
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    Cited by:

    1. Schott, James R., 1998. "Estimating correlation matrices that have common eigenvectors," Computational Statistics & Data Analysis, Elsevier, vol. 27(4), pages 445-459, June.

    More about this item

    Keywords

    Significance level Wald statistic;

    Statistics

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