Re: testing equality of covariances

> I would like to test the equality of covariances (not
> covariance matrices) for two independent samples. The
> only tests I have found are for covariance matrices.
> Can anyone steer me in the right direction (offer
> references, etc)? Many thanks
>
> Jerry

Are these two bivariate populations? That is, does each population have a single covariance, Cov(X,Y)?

In that case, if you can assume that Var(X) and Var(Y) are the same for both populations, then it reduces to testing for the equality of two correlation coefficients.

If the sample sizes are sufficiently large, you can use Fisher's z-statistic.

Jack
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