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On monotonicity of the modified likelihood ratio test for the equality of two covariances

Author

Listed:
  • Srivastava, M. S.
  • Khatri, C. G.
  • Carter, E. M.

Abstract

For 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

Suggested Citation

  • Srivastava, M. S. & Khatri, C. G. & Carter, E. M., 1978. "On monotonicity of the modified likelihood ratio test for the equality of two covariances," Journal of Multivariate Analysis, Elsevier, vol. 8(2), pages 262-267, June.
    • Handle: RePEc:eee:jmvana:v:8:y:1978:i:2:p:262-267
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    Cited by:

    1. Liu, Baisen & Xu, Lin & Zheng, Shurong & Tian, Guo-Liang, 2014. "A new test for the proportionality of two large-dimensional covariance matrices," Journal of Multivariate Analysis, Elsevier, vol. 131(C), pages 293-308.
    2. 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.
    3. 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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