Asymptotic nonnull distributions of certain test criteria for a covariance matrix

Asymptotic expansions of the distributions of two test criteria concerning a covariance matrix are derived under local alternatives in terms of noncentral [chi]2 variates, and under the fixed alternative in terms of standard normal distribution function and its derivatives, respectively. Some numerical comparisons with the likelihood ratio criteria are made with these test criteria.

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Year of publication:	1974
Authors:	Nagao, Hisao
Published in:	Journal of Multivariate Analysis. - Elsevier, ISSN 0047-259X. - Vol. 4.1974, 4, p. 409-418
Publisher:	Elsevier
Keywords:	Sphericity test local alternatives fixed alternative locally best invariant test characteristic function asymptotic expansions likelihood ratio test power function

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005153154