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

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  • Neudecker, Heinz
  • Satorra, Albert

Abstract

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.

Suggested Citation

  • Neudecker, Heinz & Satorra, Albert, 1996. "The algebraic equality of two asymptotic tests for the hypothesis that a normal distribution has a specified correlation matrix," Statistics & Probability Letters, Elsevier, vol. 30(2), pages 99-103, October.
    • Handle: RePEc:eee:stapro:v:30:y:1996:i:2:p:99-103
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    References listed on IDEAS

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    1. Kollo, T. & Neudecker, H., 1993. "Asymptotics of Eigenvalues and Unit-Length Eigenvectors of Sample Variance and Correlation Matrices," Journal of Multivariate Analysis, Elsevier, vol. 47(2), pages 283-300, November.
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    1. Satorra, Albert & Neudecker, Heinz, 1997. "Compact Matrix Expressions for Generalized Wald Tests of Equality of Moment Vectors, ," Journal of Multivariate Analysis, Elsevier, vol. 63(2), pages 259-276, November.
    2. Kentaro Hayashi & Akihito Kamata, 2005. "A note on the estimator of the alpha coefficient for standardized variables under normality," Psychometrika, Springer;The Psychometric Society, vol. 70(3), pages 579-586, September.

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