Test of Structure of a Covariance Matrix given by Chen et al. 2010

Chen2010(x, Sigma = "identity", ...)





Population covariance matrix


other options passed to covTest method


A list with class "htest" containing the following components:

statistic the value of equality of covariance test statistic
parameter the degrees of freedom for the chi-squared statistic
p.value the p=value for the test
estimate the estimated covariances if less than 5 dimensions
null.value the specified hypothesized value of the covariance difference
alternative a character string describing the alternative hyposthesis
method a character string indicating what type of equality of covariance test was performed


The structureCovariances function is a wrapper function that formats the data for the specific covTest functions.


Chen, S., et al. (2010). Tests for High-Dimensional Covariance Matrices. Journal of the American Statistical Association, 105(490):810-819. 10.1198/jasa.2010.tm09560


Chen2010(as.matrix(iris[1:50, 1:3]))
#> #> Chen et al. 2010 Test of Covariance Matrix Structure #> #> data: #> Standard Normal = -180.68, Mean = 0, Variance = 1, p-value < 2.2e-16 #> alternative hypothesis: true difference between the Sample Covariance Matrix and the Null Covariance Matrix Structure is not equal to 0 #> sample estimates: #> Sepal.Length Sepal.Width Petal.Length #> Sepal.Length 0.12424898 0.09921633 0.01635510 #> Sepal.Width 0.09921633 0.14368980 0.01169796 #> Petal.Length 0.01635510 0.01169796 0.03015918 #>