A robust testing procedure for the equality of covariance matrices

In classical statistics the likelihood ratio statistic used in testing hypotheses about covariance matrices does not have a closed form distribution, but asymptotically under strong normality assumptions is a function of the χ2-distribution. This distributional approximation totally fails if the normality assumption is not completely met. In this paper we will present multivariate robust testing procedures for the scatter matrix Σ using S-estimates. We modify the classical likelihood ratio test (LRT) into a robust LRT by substituting the robust estimates in the formula in place of classical estimates. A nonlinear formula is also suggested to approximate the degrees of freedom for the approximated Wishart distribution proposed for S-estimates of the shape matrix Σ. We present simulation results to compare the validity and the efficiency of the robust likelihood test to the classical likelihood test.