A Laplace transform-based test for the equality of positive semidefinite matrix distributions

Abstract

In this paper, we present a novel test for determining equality in distribution of matrix distributions. Our approach is based on the squared difference of the empirical Laplace transforms with respect to the noncentral Wishart measure. We have conducted an extensive power study to assess the performance of the test and determine the optimal choice of parameters. Furthermore, we demonstrate the applicability of the test on financial and non-life insurance data, illustrating its effectiveness in practical scenarios.