[R] Correlation matrices
Charles C. Berry
cberry at tajo.ucsd.edu
Thu Jul 27 07:04:11 CEST 2000
"Patrik Waldmann" <Patrik.Waldmann at sysbot.lu.se> asked:
PW> are there any good methods in R that will test if two correlation
PW> matrices (obtained in different ways) are equal? Something better than
PW> the Mantel test would be preferable.
and from the reponses, it would appear that the answer is 'no'.
However, the methods outlined in:
Beran, R. and M Srivistava (1985) Bootstrap tests and confidence
regions for functions of a covariance matrix, Annals of Statistics
would be easy enough to implement and do not require MVN
All that is required is to estimate the covariance structure under the
desired null model, to compute a statistic that measures departures
from the null, and the computation of matrix square roots, if I
Charles C. Berry (858) 534-2098
Dept of Family/Preventive Medicine
E mailto:cberry at tajo.ucsd.edu UC San Diego
http://hacuna.ucsd.edu/members/ccb.html La Jolla, San Diego 92093-0645
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