Minimal complete classes of invariant tests for equality of normal covariance matrices and sphericity

DOI10.1016/0047-259X(88)90121-2MaRDI QIDQ1105950zbMATH OpenFDO

Authors Arthur Cohen, John I. Marden

Publication date 1988

Published in Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0047-259X(88)90121-2

zbMATH Keywords

class of invariant testsgroup of nonsingular matricesinadmissibilitymaximal invariant statisticminimal complete class of invariant testsordered characteristic rootstesting equality of two normal covariance matricestesting for sphericity

Mathematics Subject Classification ID

Foundations and philosophical topics in statistics (62A01) Complete class results in statistical decision theory (62C07) Hypothesis testing in multivariate analysis (62H15)

Review text

The problem of testing equality of two normal covariance matrices, \(\Sigma_ 1=\Sigma_ 2\), is studied. Two alternative hypotheses, \(\Sigma_ 1\neq \Sigma_ 2\) and \(\Sigma_ 1-\Sigma_ 2>0\) are considered. Minimal complete classes among the class of invariant tests are found. The group of transformations leaving the problems invariant is the group of nonsingular matrices. The maximal invariant statistic is the ordered characteristic roots of \(S_ 1S_ 2^{-1}\), where \(S_ i\), \(i=1,2\), are the sample covariance matrices. Several tests based on the largest and smallest roots are proven to be inadmissible. Other tests are examined for admissibility in the class of invariant tests. The problem of testing for sphericity of a normal covariance matrix is also studied. Again a minimal complete class of invariant tests is found. The popular tests are again examined for admissibility and inadmissibility in the class of invariant tests.

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Cites work

• Admissible Bayes Character of T^2-, R^2-, and Other Fully Invariant Tests for Classical Multivariate Normal Problems
• Complete class results for hypothesis testing problems with simple null hypotheses
• Distributions of Matrix Variates and Latent Roots Derived from Normal Samples
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• Inequalities: theory of majorization and its applications
• Locally Best Invariant Test for Sphericity and the Limiting Distributions
• On Tests of the Equality of Two Covariance Matrices
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