Testing for affine equivalence of elliptically symmetric distributions
Let X and Y be d-dimensional random vectors having elliptically symmetric distributions. Call X and Y affinely equivalent if Y has the same distribution as AX+b for some nonsingular dxd-matrix A and some . This paper studies a class of affine invariant tests for affine equivalence under certain moment restrictions. The test statistics are measures of discrepancy between the empirical distributions of the norm of suitably standardized data.
| Year of publication: |
2004
|
|---|---|
| Authors: | Gupta, A. K. ; Henze, N. ; Klar, B. |
| Published in: |
Journal of Multivariate Analysis. - Elsevier, ISSN 0047-259X. - Vol. 88.2004, 2, p. 222-242
|
| Publisher: |
Elsevier |
| Keywords: | Multivariate two-sample problem Elliptically symmetric distribution Affine equivalence Affine invariance Empirical characteristic function |
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