Table 3. Test on the covariance matrices.

	Colon	Lung	Prostate
p-value	0.26	0.65	1e-3

We tested each dataset to determine whether the covariance matrices are statistically similar. The test we chose is robust enough to handle instances in which the number of variables is of the same order as the number of individuals. The null hypothesis is “”. As a result, we rejected the null hypothesis when the p-value was lower than the threshold of 0.05.