statsmodels.stats.multivariate.test_cov_diagonal

statsmodels.stats.multivariate.test_cov_diagonal(cov, nobs)

One sample hypothesis test that covariance matrix is diagonal matrix.

The Null and alternative hypotheses are

\[\begin{split}H0 &: \Sigma = diag(\sigma_i) \\ H1 &: \Sigma \neq diag(\sigma_i)\end{split}\]

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.