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Box's M test

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Box's M test is a statistical test used to check whether multiple variance-covariance matrices are equal. The test is commonly used to test the assumption of homogeneity of variances and covariances in linear discriminant analysis. It is named after George E. P. Box.

Box's M test is susceptible to errors if the data is non-normal or if the sample size is too large or small.[1]

References

  1. ^ Rebecca M. Warner (2013). Applied Statistics: From Bivariate Through Multivariate Techniques: From Bivariate Through Multivariate Techniques. SAGE. p. 778. ISBN 978-1-4129-9134-6.
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