The algebraic equality of two asymptotic tests for the hypothesis that a normal distribution has a specified correlation matrix

We proved the algebraic equality between Jennrich's (1970) asymptotic [chi]2 test for equality of correlation matrices, and a Wald test statistic derived from the Neudecker and Wesselman (1990) expression of the asymptotic variance matrix of the sample correlation matrix.

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Year of publication:	1996
Authors:	Neudecker, Heinz ; Satorra, Albert
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 30.1996, 2, p. 99-103
Publisher:	Elsevier
Keywords:	Asymptotic [chi]2 test Correlation matrix Multivariate normal distribution Wald test

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

Persistent link: https://www.econbiz.de/10005319490