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

DOI10.1080/00949650802294237MaRDI QIDQ3653253zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

covariancesimulationmultivariate distributionnull distributionlikelihood ratioLambert functionMeijer function

Mathematics Subject Classification ID

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

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Cites work

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• scientific article; zbMATH DE number 3620755 (Why is no real title available?)
• Distribution of the likelihood ratio criterion for testing a hypothesis specifying a covariance matrix
• Distributions of Characteristic Roots in Multivariate Analysis Part I. Null Distributions
• Distributions of characteristic roots in multivariate analysis Part II. Non-Null Distribution
• Exact distribution of the generalized Wilks's statistic and applications
• On some tests of the covariance matrix under general conditions
• On the Lambert \(w\) function
• On the distribution of a statistic used for testing a covariance matrix
• Percentile approximations for a class of likelihood ratio criteria
• Statistical Discrimination Analysis Using the Maximum Function

Cited in

(11)

• scientific article; zbMATH DE number 3986429 (Why is no real title available?)
• 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
• scientific article; zbMATH DE number 4082755 (Why is no real title available?)
• 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

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