var-covar matrices comparison:
Thank you Patrick for your thoughts. I was expecting someone had written a function that does maybe a hierarchical comparison of var-covar matrices using the flury hierarchy as proposed by Philips and Arnold in Evolution 53(5), 1999;1506-1515. But your email has an interesting idea, so I will try to test it. Thank you, Aldi
Patrick Burns wrote:
My first thought is to use a random permutation test. In this setting the main question you need to ask is what distance measure do you want to use between variance matrices -- there are lots of choices. One that I've found useful is the absolute value of the maximum eigenvalue of the difference of the matrices. If you have a hypothesis about how the variances may differ, then you should be able to come up with a more powerful statistic. Patrick Burns patrick at burns-stat.com +44 (0)20 8525 0696 http://www.burns-stat.com (home of S Poetry and "A Guide for the Unwilling S User")