statsmodels.stats.multivariate.test_cov_blockdiagonal

statsmodels.stats.multivariate.test_cov_blockdiagonal(cov, nobs, block_len)[source]

One sample hypothesis test that covariance is block diagonal.

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 covariance blocks 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

block_lenlist

list of length of each square block

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.


Last update: May 25, 2024