Optimal tests for homogeneity of covariance, scale, and shape

  title={Optimal tests for homogeneity of covariance, scale, and shape},
  author={Marc Hallin and Davy Paindaveine},
  journal={J. Multivariate Analysis},
The assumption of homogeneity of covariance matrices is the fundamental prerequisite of a number of classical procedures in multivariate analysis. Despite its importance and long history, however, this problem so far has not been completely settled beyond the traditional and highly unrealistic context of multivariate Gaussian models. And the modified likelihood ratio tests (MLRT) that are used in everyday practice are known to be highly sensitive to violations of Gaussian assumptions. In this… CONTINUE READING
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