Re: [R] var-covar matrices comparison

From: David Duffy <>
Date: Wed 22 Feb 2006 - 13:41:57 EST

> Date: Mon, 20 Feb 2006 16:43:55 -0600
> From: Aldi Kraja <>
> Hi,
> Using package gclus in R, I have created some graphs that show the
> trends within subgroups of data and correlations among 9 variables (v1-v9).
> Being interested for more details on these data I have produced also the
> var-covar matrices.
> Question: From a pair of two subsets of data (with 9 variables each, I
> have two var-covar matrices for each subgroup, that differ for a
> treatment on one group (treatment A) vs (non-Treatment A).
> Is there a software that can compare if two var-covar matrices are
> statistically the same?

This can be done in various structural equation modelling packages. I don't think it can be done automatically using the sem package, as that does not allow multiple groups. You can roll your own LR test (assuming MVN):

  f <- (N-1) * (log(det(E)) - log(det(O)) + sum(diag((O %*% solve(E))))-p)

  N=size of group
  p=number of variables
  E=expected covariance matrix
  O=observed covariance matrix

  where in your example, E will be the observed covariance matrix for   the pooled groups. There are GLS etc alternatives - see eg Bollen's book on   SEM.

| David Duffy (MBBS PhD)                                         ,-_|\
| email:  ph: INT+61+7+3362-0217 fax: -0101  /     *
| Epidemiology Unit, Queensland Institute of Medical Research \_,-._/ | 300 Herston Rd, Brisbane, Queensland 4029, Australia GPG 4D0B994A v mailing list PLEASE do read the posting guide! Received on Wed Feb 22 13:49:06 2006

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