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
\[\begin{split}H0 &: \Sigma = diag(\sigma_i) \\ H1 &: \Sigma \neq diag(\sigma_i)\end{split}\]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.- nobs
int number of observations used in the estimation of the covariance
- Returns:
- res
instanceofHolderTuple results with
statistic, pvalueand other attributes likedf
- res
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.