Testing Hypotheses about Correlation Matrices in General MANOVA Designs

09/09/2022

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by   Paavo Sattler, et al.

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Correlation matrices are an essential tool for investigating the dependency structures of random vectors or comparing them. We introduce an approach for testing a variety of null hypotheses that can be formulated based upon the correlation matrix. Examples cover MANOVA-type hypothesis of equal correlation matrices as well as testing for special correlation structures such as, e.g., sphericity. Apart from existing fourth moments, our approach requires no other assumptions, allowing applications in various settings. To improve the small sample performance, a bootstrap technique is proposed and theoretically justified. The performance of these test statistics is compared with existing procedures through extensive simulations.