One-Sided Test for the Equality of Two Covariance Matrices

Kuriki, Satoshi

Ann. Statist., Tome 21 (1993) no. 1, p. 1379-1384 / Harvested from Project Euclid

Résumé

Let $\mathbf{H}$ and $\mathbf{G}$ be independently distributed according to the Wishart distributions $W_m(M,\Phi)$ and $W_m(N,\Psi)$, respectively. We derive the limiting null distributions of the likelihood ratio criteria for testing $H_0: \Phi = \Psi$ against $H_1 - H_0$ with $H_1: \Phi \geq \Psi$, and for testing $H^{(R)}_0: \Phi \geq \Psi, \operatorname{rank}(\Phi - \Psi) \leq R$ (for given $R$) against $H_1 - H^{(R)}_0$. They are particular cases of the chi-bar-squared distributions.

Détail

Publié le : 1993-09-14
Classification:  Chi-bar-squared distribution,  ordered restricted inference,  multivariate variance components model,  62H10,  62H15