The algebraic equality of two asymptotic tests for the hypothesis that a normal distribution has a specified correlation matrix

DOI10.1016/0167-7152(95)00206-5zbMATH Open1059.62550OpenAlexW2112031646MaRDI QIDQ1126103FDOQ1126103

Authors: Heinz Neudecker, Albert Satorra 

Publication date: 1996

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

Full work available at URL: http://hdl.handle.net/10230/20759

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zbMATH Keywords

Wald testMultivariate normal distributionAsymptotic \(\chi^2\) testCorrelation matrix

Mathematics Subject Classification ID

Hypothesis testing in multivariate analysis (62H15)

Cites Work

• Asymptotics of eigenvalues and unit-length eigenvectors of sample variance and correlation matrices
• The asymptotic variance matrix of the sample correlation matrix
• An Asymptotic | chi 2 Test for the Equality of Two Correlation Matrices

Cited In (5)

• Professor Heinz Neudecker and matrix differential calculus
• Non-null distribution of Kullback's statistic for testing equality of correlation matrices
• Tests Concerning Equicorrelation Matrices with Grouped Normal Data
• A note on the estimator of the alpha coefficient for standardized variables under normality
• Compact matrix expressions for generalized Wald tests of equality of moment vectors

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