Testing a covariance matrix: exact null distribution of its likelihood criterion

DOI10.1080/00949650802294237zbMATH Open1178.62062OpenAlexW2019837664MaRDI QIDQ3653253FDOQ3653253

Authors: Thu Pham Gia, Noyan Turkkan 

Publication date: 22 December 2009

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00949650802294237

Recommendations

• On the null distribution of likelihood ratio criterion for reality of covariance matrix
• ON TESTING STRUCTURE OF COVARIANCE MATRIX AND MEAN VECTOR OF A COMPLEX MULTIVARIATE GAUSSIAN MODEL
• Distribution of likelihood ratio statistic for testing equality of covariance matrices of multivariate Gaussian models
• Testing the equality of several covariance matrices
• scientific article; zbMATH DE number 3986429

zbMATH Keywords

covariancesimulationmultivariate distributionnull distributionlikelihood ratioLambert functionMeijer function

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Hypothesis testing in multivariate analysis (62H15)

Cites Work

• On some tests of the covariance matrix under general conditions
• Title not available (Why is that?)
• On the Lambert \(w\) function
• Title not available (Why is that?)
• Title not available (Why is that?)
• Percentile approximations for a class of likelihood ratio criteria
• On the distribution of a statistic used for testing a covariance matrix
• Exact distribution of the generalized Wilks's statistic and applications
• Statistical Discrimination Analysis Using the Maximum Function
• Title not available (Why is that?)
• Distributions of Characteristic Roots in Multivariate Analysis Part I. Null Distributions
• Distributions of characteristic roots in multivariate analysis Part II. Non-Null Distribution
• Distribution of the likelihood ratio criterion for testing a hypothesis specifying a covariance matrix

Cited In (11)

• Testing a covariance matrix structure in a mixed model with no empty cells
• Accurate Critical Constants for the One-Sided Approximate Likelihood Ratio Test of a Normal Mean Vector When the Covariance Matrix Is Estimated
• Testing the equality of several covariance matrices
• One-sided test of a covariance matrix with a known null value
• Title not available (Why is that?)
• Simultaneous testing of mean vector and covariance matrix for high-dimensional data
• An exact test about the covariance matrix
• On the null distribution of likelihood ratio criterion for reality of covariance matrix
• Nonnull distribution of the likelihood ratio criterion for testing equality of covariance matrices under intraclass correlation model
• An exact test for a column of the covariance matrix based on a single observation
• Title not available (Why is that?)

This page was built for publication: Testing a covariance matrix: exact null distribution of its likelihood criterion

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3653253)