On generalized Wishart distributions. I: Likelihood ratio test for homogeneity of covariance matrices

DOI10.1007/s13171-013-0047-7zbMath1314.62048OpenAlexW2073882261MaRDI QIDQ2257026

Francisco J. Caro-Lopera, Narayanaswamy Balakrishnan, Graciela M. González-Farías

Publication date: 23 February 2015

Published in: Sankhyā. Series A (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s13171-013-0047-7

zbMATH Keywords

Mellin transformlikelihood ratio statisticelliptical modelszonal polynomialsH-function

Mathematics Subject Classification ID

Multivariate analysis (62H99) Exact distribution theory in statistics (62E15) Probability distributions: general theory (60E05) Other basic hypergeometric functions and integrals in several variables (33D70)

Related Items (7)

Generalized heterogeneous hypergeometric functions and the distribution of the largest eigenvalue of an elliptical Wishart matrix ⋮ A GENERALIZED WISHART DISTRIBUTION: MATRIX VARIATE VARMA TRANSFORM ⋮ Matrix variate distribution theory under elliptical models -- V: the non-central Wishart and inverted Wishart distributions ⋮ DISTRIBUTION OF THE LARGEST EIGENVALUE OF AN ELLIPTICAL WISHART MATRIX AND ITS SIMULATION ⋮ Expressing the largest eigenvalue of a singular beta F-matrix with heterogeneous hypergeometric functions ⋮ Wishart distributions: advances in theory with Bayesian application ⋮ Matrix-variate distribution theory under elliptical models-4: joint distribution of latent roots of covariance matrix and the largest and smallest latent roots

Cites Work

• The efficient evaluation of the hypergeometric function of a matrix argument
• Noncentral elliptical configuration density
• Near-exact distributions for the likelihood ratio test statistic to test equality of several variance-covariance matrices in elliptically contoured distributions
• On Certain Distribution Problems Based on Positive Definite Quadratic Functions in Normal Vectors
• Some Distribution Problems Connected with the Characteristic Roots of $S_1S^{-1}_2$
• Some Non-Central Distribution Problems in Multivariate Analysis
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