Homogeneity test of several high-dimensional covariance matrices for stationary processes under non-normality
Homogeneity test of several high-dimensional covariance matrices for stationary processes under non-normality
We propose a test for testing the equality of several high-dimensional covariance matrices for stationary processes with a general distribution. The asymptotic distribution of the proposed test is proved to be χ2 distribution. Both the numerical simulation and empirical study illustrate that the proposed test has perfect performance, in particular, …