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


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


number of observations used in the estimation of the covariance


covariance under the null hypothesis

resinstance of HolderTuple

results with statistic, pvalue and other attributes like df


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.

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

Last update: May 14, 2024