An unbiased likelihood ratio test for equality of the covariance matrices in several multivariate normal populations with partially known means

DOI10.1016/0167-7152(87)90063-0MaRDI QIDQ1083154zbMATH OpenOpenAlexFDO

Authors Björn Holmquist

Publication date 1987

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0167-7152(87)90063-0

zbMATH Keywords

asymptotic chi squareBartlett's modified LRThypothesis of equality of the covariance matricesmultivariate normal populationspartially known meansunbiased likelihood ratio testunknown covariance

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Hypothesis testing in multivariate analysis (62H15)

Review text

Let samples from d multivariate normal populations be given with unknown covariance matrices \(\Sigma_ k\), \(k=1,...,d\), and with the mean of the ith sample \((i=1,...,n_ k)\) in the kth population given by \(B_ kz_{k,i}+a_{k,i}\) where \(B_ k\) is unknown and \(z_{k,i}\) and \(a_{k,i}\) are known. With unbiased estimates \(Q_ k\) of \((n_ k-r_ k)\Sigma_ k\), for \(k=1,...,d\) where \(r_ k=rank(z_{k,1}:...:z_{k,n_ k})\), the test which rejects the hypothesis of equality of the covariance matrices for large values of the test statistic \[ | \sum^{d}_{k=1}Q_ k|^{(n- r)/2}/\prod^{d}_{k=1}| Q_ k|^{(n_ k-r_ k)/2}, \] where \(n=\sum^{d}_{1}n_ k\) and \(r=\sum^{d}_{1}r_ k\), is unbiased against all alternatives.

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Cites work

• A Test of Variances
• scientific article; zbMATH DE number 3136275 (Why is no real title available?)
• Multivariate Beta Distributions and Independence Properties of the Wishart Distribution
• On the Power of the L₁ Test for Equality of Several Variances
• Properties of Power Functions of Some Tests Concerning Dispersion Matrices of Multivariate Normal Distributions
• Properties of sufficiency and statistical tests
• TESTS OF HYPOTHESES CONCERNING LOCATION AND SCALE PARAMETERS
• Unbiasedness of Some Test Criteria for the Equality of One or Two Covariance Matrices
• Unbiasedness of the likelihood ratio tests for equality of several covariance matrices and equality of several multivariate normal populations

Cited in

(7)

• Statistical tests for structural relationship
• Magnitudinal effects in the normal multivariate model
• A robust procedure for testing the equality of mean vectors of two bivariate populations with unequal covariance matrices
• Testing for the Equality of the Variance-Covariance Matrices of Two Jointly Normal Vector Variables
• A two-stage test for the mean of a multivariate normal distribution with unknown covariance matrix
• scientific article; zbMATH DE number 4030733 (Why is no real title available?)
• Distances between normal populations when covariance matrices are unequal

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