
You can choose this command after selecting two objects of type Covariance.
We test the hypothesis that the samples that gave rise to the two covariance matrices M_{1} and M_{2}, have equal covariances. The test statistic is L′ which is distributed as a χ^{2} variate with p(p+1)/2 degrees of freedom.
L′ = L · (1 – (2p + 1 – 2 / (p + 1)) / (6 · ( N – 1))), 
where,
L = (N – 1) · (ln determinant (M_{1}) – ln determinant (M_{2})) + trace (M_{2} · M_{1}^{–1}) – p), 
p is dimension of covariance matrix and N is the number of observations underlying the covariance matrix.
For more details on this test, see e.g. page 292 of Morrison (1990).
© djmw, June 24, 2009