The exact and near-exact distributions of the main likelihood ratio test statistics used in the complex multivariate normal setting

DOI10.1007/s11749-014-0418-yzbMath1328.62302OpenAlexW2030715697MaRDI QIDQ2351821

Carlos A. Coelho, Filipe J. Marques, Barry C. Arnold

Publication date: 26 June 2015

Published in: Test (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11749-014-0418-y

zbMATH Keywords

independenceFourier transformscovariance matrixmixturessphericityequality of covariance matricesequality of mean vectorsexpected value matrixgeneralized integer gamma (GIG) distributiongeneralized near-integer gamma (GNIG) distributionstatistical distributions (distribution functions)

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Asymptotic distribution theory in statistics (62E20) Hypothesis testing in multivariate analysis (62H15) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Exact distribution theory in statistics (62E15)

Related Items (3)

The distribution of the non-central Wilks statistic in the complex case ⋮ Likelihood ratio tests for elaborate covariance structures and for MANOVA models with elaborate covariance structures -- a review ⋮ Near-exact distributions for the likelihood ratio test statistic for testing multisample independence -- the real and complex cases

Uses Software

• astsa

Cites Work

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