The algebraic equality of two asymptotic tests for the hypothesis that a normal distribution has a specified correlation matrix
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- 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.
References listed on IDEAS
- 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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- 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.
- 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.
- 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.
More about this item
KeywordsAsymptotic [chi]2 test Correlation matrix Multivariate normal distribution Wald test;
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