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var-covar matrices comparison:

Patrick Burns 
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")
Aldi Kraja wrote:

            

      
      
      
    

        

      
      
    

  
  


  


  


  
  

    

  

    
      
    
    
Thread (3 messages)

  

  

    
            
        Aldi Kraja
        
        var-covar matrices comparison:
      
      Feb 20
    
    
      
            
        Patrick Burns
        
        var-covar matrices comparison:
      
      Feb 21
    
    
      
            
        Aldi Kraja
        
        var-covar matrices comparison:
      
      Feb 21