Asymptotic results for decomposing a likelihood-ratio statistic into separate components

DOI10.1016/0024-3795(90)90364-IMaRDI QIDQ910130zbMATH OpenWikidataFDO

Authors Mara Lee McLaren

Publication date 1990

Published in Linear Algebra and its Applications (Search for Journal in Brave)

zbMATH Keywords

decompositionlikelihood ratioorthogonal groupLie algebramultivariate normal theoryequality of the eigenvectorsequality of the latent rootstesting the equality of two variance-covariance matrices

Mathematics Subject Classification ID

Foundations and philosophical topics in statistics (62A01) Hypothesis testing in multivariate analysis (62H15)

Recommendations

• Two step-down tests for equality of covariance matrices
• The asymptotic distribution of the likelihood ratio criterion for testing rank in multivariate components of variances
• The comparison of sample covariance matrices using likelihood ratio tests
• Distribution of likelihood ratio statistic for testing equality of covariance matrices of multivariate Gaussian models
• Performance evaluation of likelihood-ratio tests for assessing similarity of the covariance matrices of two multivariate normal populations

Cites work

• scientific article; zbMATH DE number 3136275 (Why is no real title available?)
• scientific article; zbMATH DE number 3347494 (Why is no real title available?)
• scientific article; zbMATH DE number 3103652 (Why is no real title available?)
• The Distribution of the Latent Roots of the Covariance Matrix

Cited in

(2)

• Decomposition of multivariate statistical models
• The advantage of decomposing elaborate hypotheses on covariance matrices into conditionally independent hypotheses in building near-exact distributions for the test statistics

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