Title of article
An exact test about the covariance matrix
Author/Authors
Gupta، نويسنده , , Arjun K. and Bodnar، نويسنده , , Taras، نويسنده ,
Issue Information
دوفصلنامه با شماره پیاپی سال 2014
Pages
14
From page
176
To page
189
Abstract
In the present paper, we propose an exact test on the structure of the covariance matrix. In its development the properties of the Wishart distribution are used. Unlike the classical likelihood-ratio type tests and the tests based on the empirical distance, whose statistics depend on the total variance and the generalized variance only, the proposed approach provides more information about the changes in the covariance matrix. Via an extensive simulation study the new approach is compared with the existent asymptotic tests.
Keywords
covariance matrix , Wishart distribution , Inference procedure
Journal title
Journal of Multivariate Analysis
Serial Year
2014
Journal title
Journal of Multivariate Analysis
Record number
1566638
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