CovTest1.2013Cai {CovTools} | R Documentation |
Given data, it performs 1-sample test for Covariance where the null hypothesis is
H_0 : \Sigma_n = \Sigma_0
where \Sigma_n
is the covariance of data model and \Sigma_0
is a
hypothesized covariance based on a procedure proposed by Cai and Ma (2013).
CovTest1.2013Cai(data, Sigma0 = diag(ncol(data)), alpha = 0.05)
data |
an |
Sigma0 |
a |
alpha |
level of significance. |
a named list containing:
a test statistic value.
rejection criterion to be compared against test statistic.
a logical; TRUE
to reject null hypothesis, FALSE
otherwise.
Cai TT, Ma Z (2013). “Optimal hypothesis testing for high dimensional covariance matrices.” Bernoulli, 19(5B), 2359–2388. ISSN 1350-7265.
## Not run:
## generate data from multivariate normal with trivial covariance.
pdim = 5
data = matrix(rnorm(10*pdim), ncol=pdim)
## run the test
CovTest1.2013Cai(data)
## End(Not run)