cm13 {Docovt} | R Documentation |
One-Sample Covariance Test by Cai and Ma (2013)
Description
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).
Usage
cm13(X,Sigma0, alpha)
Arguments
X |
an |
Sigma0 |
a |
alpha |
level of significance. |
Value
a named list containing:
- statistic
a test statistic value.
- threshold
rejection criterion to be compared against test statistic.
- reject
a logical;
TRUE
to reject null hypothesis,FALSE
otherwise.
Examples
## generate data from multivariate normal with trivial covariance.
p = 5;n=10
X=data = matrix(rnorm(n*p), ncol=p)
alpha=0.05
Sigma0=diag(ncol(X))
cm13(X,Sigma0, alpha)
[Package Docovt version 0.2 Index]