I need to compare many multivariate means. Usually, I would do this using Hotelling's T-square test statistics.
The original Hotelling's equation is: T^2 = (nxny/nx+ny) (X-Y)' S^-1 (X-Y)
where X and Y are the vector means, S is the pooled covariance matrix, and nx/y are the sample sizes.
However, an assumption of the normal Hotelling's test is that the sample covariance matrices are equal/homogeneous. I know from Box's test that this is not true for my data. These websites present a modified version of Hotelling's T-square test that does not assume equal covariance matrices:
The modified equation is: T^2 = (X-Y)' ((Sx/nx) + (Sy/ny))^-1 (X-Y)
where X and Y are the vector means, Sx/y are the corresponding covariance matrices, and nx/y are the sample sizes.
I've scoured R packages to try and find one that does this modified version of the equation with no luck. Does anyone know of a package that would do this in R?