Asymptotic nonnull distributions of certain test criteria for a covariance matrix
Asymptotic expansions of the distributions of two test criteria concerning a covariance matrix are derived under local alternatives in terms of noncentral [chi]2 variates, and under the fixed alternative in terms of standard normal distribution function and its derivatives, respectively. Some numerical comparisons with the likelihood ratio criteria are made with these test criteria.
Year of publication: |
1974
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Authors: | Nagao, Hisao |
Published in: |
Journal of Multivariate Analysis. - Elsevier, ISSN 0047-259X. - Vol. 4.1974, 4, p. 409-418
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Publisher: |
Elsevier |
Keywords: | Sphericity test local alternatives fixed alternative locally best invariant test characteristic function asymptotic expansions likelihood ratio test power function |
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