A Statistical Test for the Stability of Covariance Structure

The stability of covariance matrix is a major issue in multivariate analysis. As can be seen in the literature, the most popular and widely used tests are Box M-test and Jennrich J-test introduced by Box in 1949 and Jennrich in 1970, respectively. These tests involve determinant of sample covariance...

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Main Authors:	Wan Nur Syahidah, Wan Yusoff, Maman Abdurachman, Djauhari
Format:	Article
Language:	English
Published:	Penerbit Universiti Teknologi Malaysia 2013
Subjects:	Q Science (General)
Online Access:	http://umpir.ump.edu.my/id/eprint/6651/ http://umpir.ump.edu.my/id/eprint/6651/ http://umpir.ump.edu.my/id/eprint/6651/ http://umpir.ump.edu.my/id/eprint/6651/1/A_Statistical_Test_for_the_Stability_of_Covariance_Structure.pdf

id	ump-6651
recordtype	eprints
spelling	ump-66512018-01-23T07:57:13Z http://umpir.ump.edu.my/id/eprint/6651/ A Statistical Test for the Stability of Covariance Structure Wan Nur Syahidah, Wan Yusoff Maman Abdurachman, Djauhari Q Science (General) The stability of covariance matrix is a major issue in multivariate analysis. As can be seen in the literature, the most popular and widely used tests are Box M-test and Jennrich J-test introduced by Box in 1949 and Jennrich in 1970, respectively. These tests involve determinant of sample covariance matrix as multivariate dispersion measure. Since it is only a scalar representation of a complex structure, it cannot represent the whole structure. On the other hand, they are quite cumbersome to compute when the data sets are of high dimension since they do not only involve the computation of determinant of covariance matrix but also the inversion of a matrix. This motivates us to propose a new statistical test which is computationally more efficient and, if it is used simultaneously with M-test or J-test, we will have a better understanding about the stability of covariance structure. An example will be presented to illustrate its advantage Penerbit Universiti Teknologi Malaysia 2013 Article PeerReviewed application/pdf en http://umpir.ump.edu.my/id/eprint/6651/1/A_Statistical_Test_for_the_Stability_of_Covariance_Structure.pdf Wan Nur Syahidah, Wan Yusoff and Maman Abdurachman, Djauhari (2013) A Statistical Test for the Stability of Covariance Structure. Jurnal Teknologi (Sciences and Engineering), 63 (2). pp. 81-83. ISSN 0127-9696 (print); 2180-3722 (online) http://dx.doi.org/10.11113/jt.v63.1917 DOI: 10.11113/jt.v63.1917
repository_type	Digital Repository
institution_category	Local University
institution	Universiti Malaysia Pahang
building	UMP Institutional Repository
collection	Online Access
language	English
topic	Q Science (General)
spellingShingle	Q Science (General) Wan Nur Syahidah, Wan Yusoff Maman Abdurachman, Djauhari A Statistical Test for the Stability of Covariance Structure
description	The stability of covariance matrix is a major issue in multivariate analysis. As can be seen in the literature, the most popular and widely used tests are Box M-test and Jennrich J-test introduced by Box in 1949 and Jennrich in 1970, respectively. These tests involve determinant of sample covariance matrix as multivariate dispersion measure. Since it is only a scalar representation of a complex structure, it cannot represent the whole structure. On the other hand, they are quite cumbersome to compute when the data sets are of high dimension since they do not only involve the computation of determinant of covariance matrix but also the inversion of a matrix. This motivates us to propose a new statistical test which is computationally more efficient and, if it is used simultaneously with M-test or J-test, we will have a better understanding about the stability of covariance structure. An example will be presented to illustrate its advantage
format	Article
author	Wan Nur Syahidah, Wan Yusoff Maman Abdurachman, Djauhari
author_facet	Wan Nur Syahidah, Wan Yusoff Maman Abdurachman, Djauhari
author_sort	Wan Nur Syahidah, Wan Yusoff
title	A Statistical Test for the Stability of Covariance Structure
title_short	A Statistical Test for the Stability of Covariance Structure
title_full	A Statistical Test for the Stability of Covariance Structure
title_fullStr	A Statistical Test for the Stability of Covariance Structure
title_full_unstemmed	A Statistical Test for the Stability of Covariance Structure
title_sort	statistical test for the stability of covariance structure
publisher	Penerbit Universiti Teknologi Malaysia
publishDate	2013
url	http://umpir.ump.edu.my/id/eprint/6651/ http://umpir.ump.edu.my/id/eprint/6651/ http://umpir.ump.edu.my/id/eprint/6651/ http://umpir.ump.edu.my/id/eprint/6651/1/A_Statistical_Test_for_the_Stability_of_Covariance_Structure.pdf
first_indexed	2023-09-18T22:02:37Z
last_indexed	2023-09-18T22:02:37Z
_version_	1777414499464118272

A Statistical Test for the Stability of Covariance Structure

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