NONPARAMETRIC TEST FOR EQUALITY OF INTERMEDIATE LATENT ROOTS IN NON-NORMAL DISTRIBUTION

Abstract

Two-sample problem is considered to test the equality of the intermediate latent roots of two covariance matrices assuming non-normal distributions. The nonparametric method known as the Moses rank-like test is proposed for principal component scores (PC-scores), and its efficiency is compared with the Ansari-Bradley test and F-test by Monte Carlo experiments. This testing procedure turns out to be very useful when the population latent roots are sufficiently distinct and the sample sizes increase.