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On a likelihood ratio test for independence

The likelihood-ratio (LR) statistic is derived for testing the hypothesis of independence between k subvectors of a normally distributed random vector X against the alternative that exactly s, 2 [less-than-or-equals, slant] s [less-than-or-equals, slant] k, subvectors are dependent. A null asymptotic distribution for the LR statistic is also presented.
Year of publication:
1991
Authors: Allaire, Jérôme ; Lepage, Yves
Published in:
Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 11.1991, 5, p. 449-452
Publisher: Elsevier
Keywords: Likelihood-ratio test maximum likelihood estimator multivariate normal distribution bloc-diagonal matrix
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Type of publication: Article
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Persistent link: https://www.econbiz.de/10005223023
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