Hallin, Marc; Paindaveine, Davy; Verdebout, Thomas - European Centre for Advanced Research in Economics and … - 2011
This paper provides optimal testing procedures for the m-sample null hypothesis of Common Principal Components (CPC … heterogenous m-tuple of elliptical densities, irrespective of any moment assumptions—in elliptical families, indeed, principal … components naturally can be based on the scatter matrices characterizing the density contours, hence do not require finite …