A general near-exact distribution theory for the most common likelihood ratio test statistics used in multivariate analysis

DOI10.1007/S11749-010-0193-3MaRDI QIDQ261476zbMATH OpenOpenAlexFDO

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

Publication date 23 March 2016

Published in Test (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11749-010-0193-3

zbMATH Keywords

generalized integer gamma distributiongeneralized near-integer Gamma distributionindependence testmixturessphericity testWilks lambda statistic

Mathematics Subject Classification ID

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

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Cites work

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• A robust testing procedure for the equality of covariance matrices
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• scientific article; zbMATH DE number 3390165 (Why is no real title available?)
• Maximum-likelihood estimates and likelihood-ratio criteria for multivariate elliptically contoured distributions
• Near-exact distributions for the independence and sphericity likelihood ratio test statistics
• Near-exact distributions for the sphericity likelihood ratio test statistic
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• The advantage of decomposing elaborate hypotheses on covariance matrices into conditionally independent hypotheses in building near-exact distributions for the test statistics
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• The generalized near-integer Gamma distribution: a basis for `near-exact' approximations to the distribution of statistics which are the product of an odd number of independent Beta random variables
• The wrapped gamma distribution and wrapped sums and linear combinations of independent gamma and Laplace distributions

Cited in

(29)

• The advantage of decomposing elaborate hypotheses on covariance matrices into conditionally independent hypotheses in building near-exact distributions for the test statistics
• The asymptotic distribution of the likelihood ratio criterion for testing rank in multivariate components of variances
• Improved near-exact distributions for the product of independent generalized Gamma random variables
• Testing the equality of several linear regression models
• Near-exact distributions for likelihood ratio statistics used in the simultaneous test of conditions on mean vectors and patterns of covariance matrices
• Near-exact distributions for the likelihood ratio test statistic of the multi-sample block-matrix sphericity test
• On the distribution of the likelihood ratio test of independence for random sample size -- a computational approach
• Testing the hypothesis of a doubly exchangeable covariance matrix
• Near-exact distributions for the likelihood ratio test statistic for testing multisample independence -- the real and complex cases
• The simultaneous test of equality and circularity of several covariance matrices
• Approximations for the likelihood ratio statistic for hypothesis testing between two beta distributions
• Near-exact distributions for certain likelihood ratio test statistics
• The exact and near-exact distributions of the main likelihood ratio test statistics used in the complex multivariate normal setting
• Near-exact distributions for the likelihood ratio test statistic to test equality of several variance-covariance matrices in elliptically contoured distributions
• The block sphericity test --- exact and near-exact distributions for the likelihood ratio statistic
• Penalized likelihood ratio tests for repeated measurement models
• scientific article; zbMATH DE number 3923887 (Why is no real title available?)
• EXACT DISTRIBUTION OF CERTAIN GENERAL TEST STATISTICS 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
• The Block-Matrix Sphericity Test: Exact and Near-Exact Distributions for the Test Statistic
• The multi-sample block-scalar sphericity test: exact and near-exact distributions for its likelihood ratio test statistic
• Some Common Structures of Distribution Problems in Geometric Probabilities and Multivariate Statistical Analysis
• Computing the exact distribution of the Bartlett's test statistic by numerical inversion of its characteristic function
• Testing simultaneously different covariance block diagonal structures -- the multi-sample case
• On the distribution of linear combinations of independent Gumbel random variables
• Testing the independence of variables for specific covariance structures: A simulation study
• Likelihood ratio tests for elaborate covariance structures and for MANOVA models with elaborate covariance structures -- a review
• Testing the hypothesis of a nested block covariance matrix structure with applications to medicine and natural sciences
• Near-exact distributions for the independence and sphericity likelihood ratio test statistics

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