Asymptotic distributions of the sphericity test in a complex multivariate normal distribution

DOI10.1080/03610928308828457MaRDI QIDQ3662432zbMATH OpenOpenAlexFDO

Authors

Publication date 1983

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610928308828457

zbMATH Keywords

beta distributionmultivariate time seriesnull distributionlikelihood ratio criterionnon-null distributioncomplex multivariate normal distributiontesting sphericity

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Hypothesis testing in multivariate analysis (62H15)

Cites work

• Asymptotic expansions of the non-null distributions of likelihood ratio criteria for covariance matrices
• Classical Statistical Analysis Based on a Certain Multivariate Complex Gaussian Distribution
• Distributions of Matrix Variates and Latent Roots Derived from Normal Samples
• Exact distribution of sphericity criterion in the complex case and its percentage points
• On the Distribution of Some Statistics Useful in the Analysis of Jointly Stationary Time Series
• Some recent developments on complex multivariate distributions
• Statistical Analysis Based on a Certain Multivariate Complex Gaussian Distribution (An Introduction)
• The asymptotic distributions of the statistics based on the complex Gaussian distribution
• The distributions of the likelihood ratio statistics for tests of certain covariance structures of complex multivariate normal populations
• The multivariate distribution of complex normal variables

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