On the Non Gaussian Asymptotics of the Likelihood Ratio Test Statistic for Homogeneity of Covariance
The likelihood ratio test for m-sample homogeneity of covariance is notoriously sensitive to the violations of Gaussian assumptions. Its asymptotic behavior under non-Gaussian densities has been the subject of an abundant literature. In a recent paper, Yanagihara et al. (2005) show that the asymptotic distribution of the likelihood ratio test statistic, under arbitrary elliptical densities with finite fourth-order moments, is that of a linear combination of two mutually independent chi-square variables. Their proof is based on characteristic function methods, and only allows for convergence in distribution conclusions. Moreover, they require homokurticity among the m populations. Exploiting the findings of Hallin and Paindaveine (2008a), we reinforce that convergence-in-distribution result into a convergence-in- probability one —-that is, we explicitly decompose the likelihood ratio test statistic into a linear combination of two variables which are asymptotically independent chi-square —-and moreover extend it to the heterokurtic case.
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- Hallin Marc & Paindaveine Davy, 2006. "Parametric and semiparametric inference for shape: the role of the scale functional," Statistics & Risk Modeling, De Gruyter, vol. 24(3), pages 24, December.
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- Arjun Gupta & Jin Xu, 2006. "On Some Tests of the Covariance Matrix Under General Conditions," Annals of the Institute of Statistical Mathematics, Springer, vol. 58(1), pages 101-114, March.
- Wakaki, Hirofumi & Eguchi, Shinto & Fujikoshi, Yasunori, 1990. "A class of tests for a general covariance structure," Journal of Multivariate Analysis, Elsevier, vol. 32(2), pages 313-325, February.
- Srivastava, M. S. & Khatri, C. G. & Carter, E. M., 1978. "On monotonicity of the modified likelihood ratio test for the equality of two covariances," Journal of Multivariate Analysis, Elsevier, vol. 8(2), pages 262-267, June.
- Hallin, Marc & Paindaveine, Davy, 2009. "Optimal tests for homogeneity of covariance, scale, and shape," Journal of Multivariate Analysis, Elsevier, vol. 100(3), pages 422-444, March.
- Paindaveine, Davy, 2008. "A canonical definition of shape," Statistics & Probability Letters, Elsevier, vol. 78(14), pages 2240-2247, October.
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