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Testing the equality of matrix distributions

  • Lingzhe Guo
  • Reza ModarresEmail author
Original Paper
  • 22 Downloads

Abstract

While matrices are usually used as the basic data structure for experiments with repeated measurements or longitudinal data, testing methods for the equality of two matrix distributions have not been fully discussed in the literature. In this article, we propose three methods to test the equality of two matrix distributions: the likelihood ratio test, the Frobenius norm methods and triangle tests. We present a simulation to compare their performance under the matrix normal distribution. We apply the testing methods to compare the US economy, as measured by closing prices of five market indices, before and after the US stock market crash of 2008.

Keywords

Matrix distribution Matrix normal Homogeneity Frobenius norm 

Mathematics Subject Classification

62H10 62H15 62G20 

Notes

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Copyright information

© Springer-Verlag GmbH Germany, part of Springer Nature 2019

Authors and Affiliations

  1. 1.Department of StatisticsThe George Washington UniversityWashingtonUSA

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