Tests for sphericity under correlated multivariate regression equations model (Q1091055)

The authors investigated the asymptotic distribution of likelihood ratio test like statistics for sphericity under correlated multivariate regression equations models. Asymptotic null and non-null distributions are derived when the underlying distribution is multivariate normal. They are given by chi-square and normal distributions, respectively, after some transformations. It is shown that the results hold even when the joint distribution of the observation vectors is elliptically.