Re: [R] var-covar matrices comparison:

From: Aldi Kraja <aldi_at_wustl.edu>
Date: Wed 22 Feb 2006 - 02:19:03 EST

Thank you Patrick for your thoughts.

I was expecting someone had written a function that does maybe a hierarchical comparison of var-covar matrices using the flury hierarchy as proposed by
Philips and Arnold in Evolution 53(5), 1999;1506-1515. But your email has an interesting idea, so I will try to test it. Thank you,

Aldi

Patrick Burns wrote:

> My first thought is to use a random permutation test.
> In this setting the main question you need to ask is
> what distance measure do you want to use between
> variance matrices -- there are lots of choices. One
> that I've found useful is the absolute value of the
> maximum eigenvalue of the difference of the matrices.
>
> If you have a hypothesis about how the variances may
> differ, then you should be able to come up with a more
> powerful statistic.
>
> Patrick Burns
> patrick@burns-stat.com
> +44 (0)20 8525 0696
> http://www.burns-stat.com
> (home of S Poetry and "A Guide for the Unwilling S User")
>



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