# 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.

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.