statsmodels.stats.multivariate.test_cov¶
-
statsmodels.stats.multivariate.test_cov(cov, nobs, cov_null)[source]¶ One sample hypothesis test for covariance equal to null covariance
The Null hypothesis is that cov = cov_null, against the alternative that it is not equal to cov_null
- Parameters
- covarray_like
Covariance matrix of the data, estimated with denominator
(N - 1), i.e. ddof=1.- nobs
int number of observations used in the estimation of the covariance
- cov_null
nd_array covariance under the null hypothesis
- Returns
- res
instanceofHolderTuple results with
statistic, pvalueand other attributes likedf
- res
References
Bartlett, M. S. 1954. “A Note on the Multiplying Factors for Various Χ2 Approximations.” Journal of the Royal Statistical Society. Series B (Methodological) 16 (2): 296–98.
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.