The algebraic equality of two asymptotic tests for the hypothesis that a normal distribution has a specified correlation matrix
We proved the algebraic equality between Jennrich's (1970) asymptotic [chi]2 test for equality of correlation matrices, and a Wald test statistic derived from the Neudecker and Wesselman (1990) expression of the asymptotic variance matrix of the sample correlation matrix.
Year of publication: |
1996
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Authors: | Neudecker, Heinz ; Satorra, Albert |
Published in: |
Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 30.1996, 2, p. 99-103
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Publisher: |
Elsevier |
Keywords: | Asymptotic [chi]2 test Correlation matrix Multivariate normal distribution Wald test |
Saved in:
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