Tests for proportionality of matrices with large dimension
提出了一种检验两个协方差矩阵是否成比例的统计方法，适用于维度可能大于样本量的高维数据，计算简单且适用于多种分布，模拟显示其准确性优于现有方法。
A test for proportionality of two covariance matrices with large dimension, possibly larger than the sample size, is proposed. The test statistic is simple, computationally efficient, and can be used for a large class of multivariate distributions including normality. The properties of the statistic, including asymptotic distribution, are given under high-dimensional set up. Through simulations, the statistic is shown to perform accurately, and outperform its recent competitors, constructed on the basis of similar principles. An extension to the multi-sample case is given.