Testing homogeneity of high-dimensional covariance matrices under non-normality

Abstract

In this paper, we test the homogeneity of multiple covariance matrices when the dimension may exceed the sample sizes. A test statistic is proposed which does not depend on the normality assumption. Furthermore, the asymptotic distribution of the test statistic is derived. Numerical simulations indicate that the proposed test has accurate significance level, and has a greater improvement in power than some existing tests.