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
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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
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Publisher: |
Elsevier |
Keywords: | Multivariate two-sample problem Elliptically symmetric distribution Affine equivalence Affine invariance Empirical characteristic function |
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