The hardware and bandwidth for this mirror is donated by dogado GmbH, the Webhosting and Full Service-Cloud Provider. Check out our Wordpress Tutorial.
If you wish to report a bug, or if you are interested in having us mirror your free-software or open-source project, please feel free to contact us at mirror[@]dogado.de.
An exact, covariance-free test for a change in covariance structure. The likelihood-ratio null does not depend on the unknown common covariance, so one calibration serves every covariance.
Computation runs on a shared pure-C back-end that is also bound from Python, and the two front ends are checked against each other value by value.
# install.packages("remotes")
remotes::install_github("mtloots/regstat", subdir = "regstat")library(regstat)
set.seed(1)
XA <- matrix(rnorm(180), 60, 3)
XB <- matrix(rnorm(150), 50, 3) %*% diag(c(1, 1.6, 0.7))
c(same = cov_M(XA, XA), different = cov_M(XA, XB))
#> same different
#> 0.00000 35.19953
cov_test(XA, XB, method = "exact")$p.value
#> [1] 6.38278e-06These binaries (installable software) and packages are in development.
They may not be fully stable and should be used with caution. We make no claims about them.
Health stats visible at Monitor.