IDEAS home Printed from https://ideas.repec.org/a/eee/stapro/v11y1991i6p473-478.html
   My bibliography  Save this article

Testing for the mean vector of a multivariate normal distribution with a possibly singular dispersion matrix and related results

Author

Listed:
  • Bhimasankaram, P.
  • Sengupta, D.

Abstract

Let y [approximate] p ([mu], [Sigma]) where [Sigma], possibly singluar, is unknown. We develop a test for H0: [mu] = [mu]0 against H1:[mu][not equal to][mu]0 based on a random random sample fromy as an extension of Hotelling's T2 test. We show that the same procedure can be used to compute the test statistic in both the cases of the singular and the positive definite dispersion matrices. This development involves the singular Wishart distribution. Motivated by Khatri (1968), we also obtain an expression for the density of the Wishart distribution p(k, [Sigma]) in each o the following cases: (i)[Sigma] positive definite, k

Suggested Citation

  • Bhimasankaram, P. & Sengupta, D., 1991. "Testing for the mean vector of a multivariate normal distribution with a possibly singular dispersion matrix and related results," Statistics & Probability Letters, Elsevier, vol. 11(6), pages 473-478, June.
  • Handle: RePEc:eee:stapro:v:11:y:1991:i:6:p:473-478
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/0167-7152(91)90110-D
    Download Restriction: Full text for ScienceDirect subscribers only
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Duchesne, Pierre & Francq, Christian, 2010. "On testing for the mean vector of a multivariate distribution with generalized and {2}-inverses," MPRA Paper 19740, University Library of Munich, Germany.
    2. Osei, Prince P. & Davidov, Ori, 2022. "Bayesian linear models for cardinal paired comparison data," Computational Statistics & Data Analysis, Elsevier, vol. 172(C).
    3. Arnab Bhattacharjee & Christoph Thoenissen, 2005. "Money and Monetary Policy in Stochastic General Equilibrium Models," CDMA Working Paper Series 200511, Centre for Dynamic Macroeconomic Analysis, revised 15 Feb 2007.
    4. Arnab Bhattacharjee & Christoph Thoenissen, 2007. "Money and Monetary Policy in DSGE Models," Money Macro and Finance (MMF) Research Group Conference 2006 78, Money Macro and Finance Research Group.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:stapro:v:11:y:1991:i:6:p:473-478. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.