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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/6651/1/A_Statistical_Test_for_the_Stability_of_Covariance_Structure.pdf
http://umpir.ump.edu.my/id/eprint/6651/
http://dx.doi.org/10.11113/jt.v63.1917
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spelling my.ump.umpir.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
institution Universiti Malaysia Pahang
building UMP Library
collection Institutional Repository
continent Asia
country Malaysia
content_provider Universiti Malaysia Pahang
content_source UMP Institutional Repository
url_provider http://umpir.ump.edu.my/
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/6651/1/A_Statistical_Test_for_the_Stability_of_Covariance_Structure.pdf
http://umpir.ump.edu.my/id/eprint/6651/
http://dx.doi.org/10.11113/jt.v63.1917
_version_ 1643665434273120256
score 13.211869

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