Distribution of LRC for testing sphericity of a complex multivariate Gaussian model

DOI10.1155/S0161171285000606MaRDI QIDQ1069238zbMATH OpenFDO

Authors B. George

Publication date 1985

Published in International Journal of Mathematics and Mathematical Sciences (Search for Journal in Brave)

Full work available at URL https://eudml.org/doc/46017

zbMATH Keywords

complex multivariate normal covariance matrixcontour integrationExact null distributioninverse Mellin transformlikelihood ratio criterionMeijer's G-functionmomentsseries representationtesting sphericity

Mathematics Subject Classification ID

Hypergeometric integrals and functions defined by them ((E), (G), (H) and (I) functions) (33C60) Multivariate distribution of statistics (62H10) Hypothesis testing in multivariate analysis (62H15)

Review text

Exact null distribution of the likelihood ratio criterion for testing sphericity structure in a complex multivariate normal covariance matrix is obtained in computable series form. The method of inverse Mellin transform and contour integration has been used. Certain special cases are given explicitly in terms of the hypergeometric functions.

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Cited in

(18)

• Testing sphericity in a GMANOVA-MANOVA model with normal error
• Sphericity test in a GMANOVA-MANOVA model with normal error
• Distribution of \(LRC\) for testing sphericity structure of a covariance matrix in multivariate normal distribution
• On the distribution of the likelihood ratio test of independence for random sample size -- a computational approach
• On generalized Wishart distributions. II: Sphericity test
• The exact and near-exact distributions of the main likelihood ratio test statistics used in the complex multivariate normal setting
• The block sphericity test --- exact and near-exact distributions for the likelihood ratio statistic
• NONNULL DISTRIBUTION OF LIKELIHOOD RATIO CRITERION FOR TESTING MULTISAMPLE SPHERICITY IN THE COMPLEX CASE
• Distribution of the Λ-Criterion for Sphericity Test and Its Connection to a Generalized Dirichlet Model
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• scientific article; zbMATH DE number 733880 (Why is no real title available?)
• scientific article; zbMATH DE number 1507883 (Why is no real title available?)
• TESTING SPHERICITY UNDER A MIXTURE MODEL
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• Testing sphericity using small samples
• Likelihood ratio tests for elaborate covariance structures and for MANOVA models with elaborate covariance structures -- a review

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