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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.