Near-exact distributions for the likelihood ratio test statistic to test equality of several variance-covariance matrices in elliptically contoured distributions

DOI10.1007/S00180-011-0281-1zbMATH Open1304.65024OpenAlexW2004208273MaRDI QIDQ2512752FDOQ2512752

Authors: Carlos A. Coelho, Filipe J. Marques 

Publication date: 30 January 2015

Published in: Computational Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00180-011-0281-1

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zbMATH Keywords

mixturesasymptotic approximationsgeneralized near-integer gamma distributionproduct of beta distributionssum of gamma distributions

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08)

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Cited In (24)

• Invariance properties of the likelihood ratio for covariance matrix estimation in some complex elliptically contoured distributions
• Near-exact distributions for the likelihood ratio test statistic for testing multisample independence -- the real and complex cases
• The exact and near-exact distributions of the main likelihood ratio test statistics used in the complex multivariate normal setting
• A general near-exact distribution theory for the most common likelihood ratio test statistics used in multivariate analysis
• The Exact and Near-Exact Distributions for the Statistic Used to Test the Reality of Covariance Matrix in a Complex Normal Distribution
• Approximations for the likelihood ratio statistic for hypothesis testing between two beta distributions
• Likelihood ratio tests for elaborate covariance structures and for MANOVA models with elaborate covariance structures -- a review
• The distribution of the Liu-type estimator of the biasing parameter in elliptically contoured models
• A necessary test of fit of specific elliptical distributions based on an estimator of Song's measure
• Computing the exact distribution of the Bartlett's test statistic by numerical inversion of its characteristic function
• The advantage of decomposing elaborate hypotheses on covariance matrices into conditionally independent hypotheses in building near-exact distributions for the test statistics
• The multi-sample block-scalar sphericity test: exact and near-exact distributions for its likelihood ratio test statistic
• On generalized Wishart distributions. I: Likelihood ratio test for homogeneity of covariance matrices
• Near-exact distributions for the likelihood ratio test statistic of the multi-sample block-matrix sphericity test
• Testing the hypothesis of a doubly exchangeable covariance matrix
• On the distribution of linear combinations of independent Gumbel random variables
• Testing simultaneously different covariance block diagonal structures -- the multi-sample case
• Near-exact distributions for likelihood ratio statistics used in the simultaneous test of conditions on mean vectors and patterns of covariance matrices
• Many-sample tests for the equality and the proportionality hypotheses between large covariance matrices
• The simultaneous test of equality and circularity of several covariance matrices
• The Block-Matrix Sphericity Test: Exact and Near-Exact Distributions for the Test Statistic
• Products of ratios of gamma functions -- an application to the distribution of the test statistic for testing the equality of covariance matrices
• Obtaining the exact and near-exact distributions of the likelihood ratio statistic to test circular symmetry through the use of characteristic functions
• Near-exact distributions for certain likelihood ratio test statistics

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