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arXiv · 2008.09259

Homogeneity Test of Several High-Dimensional Covariance Matrices for Stationary Processes under Non-normality

Abdullah Qayed·Dong Han
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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.

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Abdullah Qayed, Dong Han. 2020-08-21. Homogeneity Test of Several High-Dimensional Covariance Matrices for Stationary Processes under Non-normality. https://arxiv.org/abs/2008.09259

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