Near-exact distributions for the independence and sphericity likelihood ratio test statistics

DOI10.1016/j.jmva.2009.09.012zbMath1181.62077OpenAlexW2083542484MaRDI QIDQ847414

Carlos A. Coelho, Filipe J. Marques

Publication date: 12 February 2010

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

Full work available at URL: https://doi.org/10.1016/j.jmva.2009.09.012

zbMATH Keywords

mixturesgeneralized near-integer gamma distributionindependence testsphericity testWilks lambda statistic

Mathematics Subject Classification ID

Related Items (15)

Asymptotic distributions of some test criteria for the mean vector with fewer observations than the dimension ⋮ The block sphericity test-exact and near-exact distributions for the likelihood ratio statistic ⋮ Products of ratios of gamma functions -- an application to the distribution of the test statistic for testing the equality of covariance matrices ⋮ Testing the independence of variables for specific covariance structures: A simulation study ⋮ Testing the equality of several linear regression models ⋮ Likelihood ratio tests for elaborate covariance structures and for MANOVA models with elaborate covariance structures -- a review ⋮ Obtaining the exact and near-exact distributions of the likelihood ratio statistic to test circular symmetry through the use of characteristic functions ⋮ The Multi-Sample Block-Scalar Sphericity Test: Exact and Near-Exact Distributions for Its Likelihood Ratio Test Statistic ⋮ Near-exact distributions for the likelihood ratio test statistic to test equality of several variance-covariance matrices in elliptically contoured distributions ⋮ On the distribution of linear combinations of independent Gumbel random variables ⋮ The advantage of decomposing elaborate hypotheses on covariance matrices into conditionally independent hypotheses in building near-exact distributions for the test statistics ⋮ Near-exact distributions for the likelihood ratio test statistic for testing multisample independence -- the real and complex cases ⋮ Near-exact distributions for certain likelihood ratio test statistics ⋮ Testing simultaneously different covariance block diagonal structures – the multi-sample case ⋮ A general near-exact distribution theory for the most common likelihood ratio test statistics used in multivariate analysis

Cites Work

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• Study of the quality of several asymptotic and near-exact approximations based on moments for the distribution of the Wilks lambda statistic
• The generalized integer gamma distribution -- a basis for distributions in multivariate statistics
• The generalized near-integer Gamma distribution: a basis for `near-exact' approximations to the distribution of statistics which are the product of an odd number of independent Beta random variables
• The wrapped gamma distribution and wrapped sums and linear combinations of independent gamma and Laplace distributions
• Near-exact distributions for the sphericity likelihood ratio test statistic
• An Approximation to the Distribution of the Likelihood Ratio Statistic for Testing Complete Independence
• A mixture of Generalized Integer Gamma distributions as the exact distribution of the product of an odd number of independent Beta random variables: applications
• A GENERAL DISTRIBUTION THEORY FOR A CLASS OF LIKELIHOOD CRITERIA
• Note on the inversion theorem

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