JSlocombe95 JSlocombe95 - 23 days ago 5
R Question

How can I compare two co variance matrices in R?

I need to test the equality of two co variance matrices for my two subsets:
trains[1:5, c(3,6,8,11)] and trains[6:10, c(3,6,8,11)].
Should I be using a boxM test or something similar? Thanks

Answer

You can use compareCov from the package covmat.

As an example I will use the longely dataset from the stats package:

library(covmat)

(Cl <- cor(longley))
compareCov(Cl, Cl, labels = c("Robust Croux", "Robust"))

enter image description here

You can find more examples and details in the package's Vignette.

https://cran.r-project.org/web/packages/covmat/vignettes/CovarianceEstimation.pdf

If you're asking how to select the most appropriate statistical test, then that's more of a question for Cross Validated, like Ben Bolker just commented.

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