Test of Structure of a Covariance Matrix given by Nagao 1973

Nagao1973(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.


Nagao, H. (1973). On Some Test Criteria for Covariance Matrix. The Annals of Statistics, 1(4), 700-709


Nagao1973(as.matrix(iris[1:50, 1:3]))
#> #> Nagao 1973 Test of Covariance Matrix Structure #> #> data: #> Chi Squared = 61.532, df = 6, p-value = 2.197e-11 #> 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 #>