Testing The Equality Of Correlation Matrices When Sample Correlation Matrices Are Dependent

We consider the situation in which a 2 m × 2 m correlation matrix is naturally partitioned into a 2 × 2 form, where each submatrix is m × m and we wish to test for the equality of the two correlation matrices appearing on the diagonal of the partitioned form. Standard tests for the equality of correlation matrices do not apply since the corresponding sample correlation matrices are correlated. We obtain Wald statistics under the assumption of multivariate normality as well as extensions that apply to elliptical distributions. © 2006 Elsevier B.V. All rights reserved