Journal of the Korean Statistical Society

The Korean Statistical Society (한국통계학회)
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A Bayes Criterion for Testing Homogeneity of Two Multivariate Normal Covariances

  • Kim, Hea-Jung (Department of Statistics, Dongguk University,Seoul 100-715)
  • Published : 1998.03.01
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Abstract

A Bayes criterion for testing the equality of covariance matrices of two multivariate normal distributions is proposed and studied. Development of the criterion invloves calculation of Bayes factor using the imaginary sample method introduced by Spiegelhalter and Smith (1982). The criterion is designed to develop a Bayesian test criterion, so that it provides an alternative test criterion to those based upon asymptotic sampling theory (such as Box's M test criterion). For the constructed criterion, numerical studies demonstrate routine application and give comparisons with the traditional test criteria.

Keywords

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