Score test for the covariance matrix of the elliptical t-distribution

DOI10.1006/JMVA.1993.1043MaRDI QIDQ689316zbMATH OpenOpenAlexFDO

Authors Brajendra C. Sutradhar

Publication date 5 December 1993

Published in Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1006/jmva.1993.1043

zbMATH Keywords

nuisance parameterscovariance matrixinformation matrixchi-square distributionsecond order derivativesasymptotically locally most powerful testelliptical \(t\)-distributionlocally optimal testlocation vectorNeyman's partial score test

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Hypothesis testing in multivariate analysis (62H15)

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• Test for a specified signal when the noise covariance matrix is unknown
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• Robust inference in a linear functional model with replications using the \(t\) distribution
• Score test for a separable covariance structure with the first component as compound symmetric correlation matrix
• The structural Sharpe model under \(t\)-distributions
• Efficient linear estimation problem in the bivariate Kotz distribution under dependence assumptions
• A heteroscedastic measurement error model based on skew and heavy-tailed distributions with known error variances
• Covariance structure tests for multivariate \(t\)-distribution
• Advances and challenges in inferences for elliptically contoured \(t\) distributions
• An improved measurement error model for analyzing unreplicated method comparison data under asymmetric heavy-tailed distributions
• Estimation methods for the multivariate \(t\) distribution
• A MONTE CARLO COMPARISON OF ELLIPTICAL‐THEORY AND OTHER TESTS FOR EQUALITY OF COVARIANCE MATRICES
• Addressing non-normality in multivariate analysis using the \(t\)-distribution
• Studentized partial score tests for variances in longitudinal data

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