Testing a covariance matrix: exact null distribution of its likelihood criterion
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Publication:3653253
DOI10.1080/00949650802294237zbMath1178.62062MaRDI QIDQ3653253
Publication date: 22 December 2009
Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/00949650802294237
simulation; likelihood ratio; covariance; multivariate distribution; Lambert function; Meijer function; null distribution
Related Items
Testing the equality of several covariance matrices, Simultaneous testing of mean vector and covariance matrix for high-dimensional data
Cites Work
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- On the distribution of a statistic used for testing a covariance matrix
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- Distribution of the likelihood ratio criterion for testing a hypothesis specifying a covariance matrix