statsmodels.stats.multivariate.test_cov_diagonal¶

statsmodels.stats.multivariate.test_cov_diagonal(cov, nobs)[source]¶

One sample hypothesis test that covariance matrix is diagonal matrix.

The Null and alternative hypotheses are

$$\begin{array}{rl}H0& :\mathrm{\Sigma }=diag({\sigma }_i)\\ H1& :\mathrm{\Sigma }\ne diag({\sigma }_i)\end{array}$$

where ${\sigma }_i$ are the variances with unspecified values.

Parameters:¶

covarray_like

Covariance matrix of the data, estimated with denominator (N - 1), i.e. ddof=1.

nobsint

number of observations used in the estimation of the covariance

Returns:¶

resinstance of HolderTuple

results with statistic, pvalue and other attributes like df

References

Rencher, Alvin C., and William F. Christensen. 2012. Methods of Multivariate Analysis: Rencher/Methods. Wiley Series in Probability and Statistics. Hoboken, NJ, USA: John Wiley & Sons, Inc. https://doi.org/10.1002/9781118391686.

StataCorp, L. P. Stata Multivariate Statistics: Reference Manual. Stata Press Publication.