On an optimum test of the equality of two covariance matrices

Let X: p × 1, Y: p × 1 be independently and normally distributed p-vectors with unknown means ₁, ₂ and unknown covariance matrices ₁, ₂ (>0) respectively. We shall show that Pillai's test, which is locally best invariant, is locally minimax for testing H₀: ₁=₂ against the alternative H₁: % MathType!MTEF!2!1!+-% feaafeart1ev1aaatCvAUfeBSjuyZL2yd9gzLbvyNv2CaerbuLwBLn% hiov2DGi1BTfMBaeXafv3ySLgzGmvETj2BSbqefm0B1jxALjhiov2D% aebbfv3ySLgzGueE0jxyaibaiiYdd9qrFfea0dXdf9vqai-hEir8Ve% ea0de9qq-hbrpepeea0db9q8as0-LqLs-Jirpepeea0-as0Fb9pgea% 0lrP0xe9Fve9Fve9qapdbaqaaeGacaGaaiaabeqaamaabaabcaGcba% GaaeiDaiaabkhacaqGOaWaaabmaeaadaaeqaqaaiabgkHiTiaadMea% caGGPaGaaiiiaiabg2da9iaacccacqaHdpWCcaGGGaGaeyOpa4Jaai% iiaiaaicdaaSqaaiaaigdaaeqaniabggHiLdaaleaacaqGYaaabaGa% aeylaiaabgdaa0GaeyyeIuoaaaa!4E3F![{rm{tr(}}sumnolimits_{rm{2}}^{{rm{ - 1}}} {sumnolimits_1 { - I) = sigma > 0} }]as 0. However this test is not of type D among G-invariant tests.Research supported by the Canadian N.S.E.R.C. Grant.