# 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.