Liu, Baisen; Xu, Lin; Zheng, Shurong; Tian, Guo-Liang - In: Journal of Multivariate Analysis 131 (2014) C, pp. 293-308
Let X1,…,Xn1+1∼iidNp(μ1,Σ1) and Y1,…,Yn2+1∼iidNp(μ2,Σ2) be two independent random samples, where pn2. In this article, we propose a new test for the proportionality of two large p×p covariance matrices Σ1 and Σ2. By applying modern random matrix theory, we establish the asymptotic...