[R-SIG-Finance] Equality of covariance matrices??

[Brian Rowe]

You can compare correlation matrices using Kullback-Leibler divergence. There is an implementation in my package tawny on CRAN.

library(tawny)
divergence.kl(sigma.1, sigma.2)

Brian


> I know there are several likelihood ratio tests for comparing two
> covariance matrices but darned if I can find them coded in R. Does anyone
> know if they are lurking in some package?