ONE-SIDED TEST FOR THE EQUALITY OF 2 COVARIANCE MATRICES

• 成果类型: Article
• 署名作者: KURIKI, S
• 刊物名称: ANNALS OF STATISTICS
• ISSN/ISSBN: 0090-5364
• DOI: 10.1214/aos/1176349263
• 发表日期: 1993
• 页码: 1379-1384
• 关键词: multivariate components; variance; rank

摘要

Let H and G be independently distributed according to the Wishart distributions W(m)(M, PHI) and W(m)(N, PSI), respectively. We derive the limiting null distributions of the likelihood ratio criteria for testing H-0: PHI = PSI against H-1 - H-0 with H-1: PHI greater-than-or-equal-to PSI; and for testing H-0(R): PHI greater-than-or-equal-to PSI rank(PHI - PSI) less-than-or-equal-to R (for given R) against H-1 - H-0(R). They are particular cases of the chi-bar-squared distributions.