Robust high dimensional M-test using regularized geometric median covariance
The original M-test used for testing equality of several independent samples covariance matrices is developed based on likelihood ratio test under assumption of multivariate normality distribution, is sensitive to presence of outliers in the data. The test is fast achieving significant distinction i...
| 第一著者: | |
|---|---|
| フォーマット: | 学位論文 |
| 言語: | 英語 |
| 出版事項: |
2018
|
| 主題: | |
| オンライン･アクセス: | https://etd.uum.edu.my/8528/1/s96163_01.pdf |
| 要約: | The original M-test used for testing equality of several independent samples covariance matrices is developed based on likelihood ratio test under assumption of multivariate normality distribution, is sensitive to presence of outliers in the data. The test is fast achieving significant distinction in many areas of economics and financial market. |
|---|