On Multiple Covariance Equality Testing with Application to SAR Change Detection

Abstract

This paper deals with the problem of testing the equality of M covariance matrices. We first identify a suitable group of transformations leaving the problem invariant and obtain the corresponding maximal invariant statistic. Then, the Generalized Likelihood Ratio Test (GLRT) is recalled and explicit expressions for Rao, Wald, Gradient, and Durbin tests are provided. Also, equivalences among them and with other well-known tests proposed in open literature (mostly for the real-valued case) are analyzed and compared. Finally, the application of the proposed framework to the relevant signal processing application of multipass Coherent Change Detection (CCD) in polarimetric synthetic aperture radar is demonstrated both on simulated and on live data.