• 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