On monotonicity of the modified likelihood ratio test for the equality of two covariances
AbstractFor testing the hypothesis of equality of two covariances ([Sigma]1 and [Sigma]2) of two p-dimensional multivariate normal populations, it is shown that the power function of the modified likelihood ratio test increases as [lambda]1 increases from one and [lambda]r decreases from one where [lambda]1 > ... > [lambda]r > 0 are the distinct characteristic roots of [Sigma]1[Sigma]2-1, r
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Bibliographic InfoArticle provided by Elsevier in its journal Journal of Multivariate Analysis.
Volume (Year): 8 (1978)
Issue (Month): 2 (June)
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Web page: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description
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- Hallin, Marc & Paindaveine, Davy, 2009. "Optimal tests for homogeneity of covariance, scale, and shape," Journal of Multivariate Analysis, Elsevier, vol. 100(3), pages 422-444, March.
- Marc Hallin, 2008. "On the Non Gaussian Asymptotics of the Likelihood Ratio Test Statistic for Homogeneity of Covariance," Working Papers ECARES 2008_039, ULB -- Universite Libre de Bruxelles.
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