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Weighted chi-squared tests for partial common principal component subspaces

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  • James R. Schott

Abstract

We consider tests of the null hypothesis that g covariance matrices have a partial common principal component subspace of dimension s. Our approach uses a dimensionality matrix which has its rank equal to s when the hypothesis holds. The test can then be based on a statistic computed from the eigenvalues of an estimate of this dimensionality matrix. The asymptotic distribution of this statistic is that of a linear combination of independent one-degree-of-freedom chi-squared random variables. Simulation results indicate that this test yields significance levels that come closer to the nominal level than do those of a previously proposed method. The procedure is also extended to a test that g correlation matrices have a partial common principal component subspace. Copyright Biometrika Trust 2003, Oxford University Press.

Suggested Citation

  • James R. Schott, 2003. "Weighted chi-squared tests for partial common principal component subspaces," Biometrika, Biometrika Trust, vol. 90(2), pages 411-421, June.
  • Handle: RePEc:oup:biomet:v:90:y:2003:i:2:p:411-421
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