Improvement of the quality of the chi-square approximation for the ADF test on a covariance matrix with a linear structure

DOI10.1016/j.jspi.2010.11.012zbMath1204.62080OpenAlexW2032513700MaRDI QIDQ622451

Hirofumi Wakaki, Chieko Matsumoto, Hirokazu Yanagihara

Publication date: 31 January 2011

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jspi.2010.11.012

zbMATH Keywords

asymptotic expansionBartlett correctionnonnormalitynull distributionADF test statisticchi-square approximationtesting for linear covariance structure

Mathematics Subject Classification ID

Cites Work

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• A family of estimators for multivariate kurtosis in a nonnormal linear regression model
• Transformations with improved chi-squared approximations
• The effects of nonnormality on asymptotic distributions of some likelihood ratio criteria for testing covariance structures under normal assumption
• Asymptotically distribution‐free methods for the analysis of covariance structures
• Conditions for Robustness to Nonnormality on Test Statistics in a GMANOVA Model
• Measures of multivariate skewness and kurtosis with applications
• Three Approximate Solutions to the Multivariate Behrens–Fisher Problem
• Properties of sufficiency and statistical tests

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