A note on homogeneity tests of covariance matrices

Abstract

In this note we propose two procedures for testing homogeneity of co-variance matrices that are both extensions of Hartley's (1940) test for equality of variances. The first is a two-stage procedure where the first step is a simple test for equality of the largest eigenvalues, and corresponding eigenvectors, of the covariance matrices. The second is based on projection pursuit and seems harder to apply in practice.