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Asymptotic formulae for the distributions of some criteria for tests of equality of covariance matrices

Author

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  • Chattopadhyay, A. K.
  • Pillai, K. C. S.

Abstract

The asymptotic expansions are derived up to terms of order 1/n, for the c.d.f. and percentile of the statistic T = m Tr S1S2-1, where mS1 and nS2 are independently distributed W(m, p, [Sigma]1) and W(n, p, [Sigma]2), respectively. The expansions hold when [Sigma]1[Sigma]2-1 = I + E and Chi(E)

Suggested Citation

  • Chattopadhyay, A. K. & Pillai, K. C. S., 1971. "Asymptotic formulae for the distributions of some criteria for tests of equality of covariance matrices," Journal of Multivariate Analysis, Elsevier, vol. 1(2), pages 215-231, June.
    • Handle: RePEc:eee:jmvana:v:1:y:1971:i:2:p:215-231
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