test for diagonality of covariance matrix
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Phillip Feldman
Jun 26, 2019, 10:25:10 AM6/26/19
to SciPy-user
I have a large number of realizations of a random vector. I would like to perform a test, where the null hypothesis is that the covariance matrix is diagonal. Is there a way to perform such a test using SciPy?
Phillip M. Feldman
Phillip Feldman
Jun 26, 2019, 10:30:27 AM6/26/19
to SciPy-user
An important additional piece of information: The number of observations is M is much greater than the length N of the vector.
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