The algebraic equality of two asymptotic tests for the hypothesis that a normal distribution has a specified correlation matrix
AbstractWe 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.
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Bibliographic InfoArticle provided by Elsevier in its journal Statistics & Probability Letters.
Volume (Year): 30 (1996)
Issue (Month): 2 (October)
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Web page: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description
Other versions of this item:
- Heinz Neudecker & Albert Satorra, 1995. "The algebraic equality of two asymptotic tests for the hypothesis that a normal distribution has a specified correlation matrix," Economics Working Papers 131, Department of Economics and Business, Universitat Pompeu Fabra.
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- 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.
- Albert Satorra & Heinz Neudecker, 1995.
"Compact matrix expressions for generalized Wald tests of equality of moment vectors,"
Economics Working Papers
127, Department of Economics and Business, Universitat Pompeu Fabra.
- 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.
- Kentaro Hayashi & Akihito Kamata, 2005. "A note on the estimator of the alpha coefficient for standardized variables under normality," Psychometrika, Springer, vol. 70(3), pages 579-586, September.
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