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Biometrika 1987 74(4):841-847; doi:10.1093/biomet/74.4.841
© 1987 by Biometrika Trust
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The comparison of sample covariance matrices using likelihood ratio tests

BRYAN F. J. MANLY and J. C. W. RAYNER

Department of Mathematics & Statistics, University of Otago Dunedin, New Zealand

The standard method for the comparison of two or more sample covariance matrices is the likelihood ratio test. The purpose of the present paper is to show how this test can be made more informative by hierarchically partitioning the test statistic into three components.

Key Words: Correlation • Partition of chi-squared • Proportional covariance matrices • Variance differences


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