Testing Equality of Several Correlation Matrices
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| Format: | Artículo científico |
| Language: | en |
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Universidad Nacional de Colombia
2013
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| _version_ | 1876424993819066368 |
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| author | Arjun K. Gupta |
| author_facet | Arjun K. Gupta |
| contents | Testing Equality of Several Correlation Matrices Arjun K. Gupta Bruce E. Johnson Daya K. Nagar Física, Astronomía y Matemáticas Cumulants Covariance matrix Correlation matrix Likelihood ratio test Asymptotic null distribution In this article we show that the Kullback’s statistic for testing equality of several correlation matrices may be considered a modified likelihood ratio statistic when sampling from multivariate normal populations. We derive the asymptotic null distribution of L* in series involving independent chisquare variables by expanding L* in terms of other random variables and then inverting the expansion term by term. An example is also given to exhibit the procedure to be used when testing the equality of correlation matrices using the statistic L*. 2013 artículo científico 0120-1751 https://www.redalyc.org/articulo.oa?id=89929799004 en http://www.redalyc.org/revista.oa?id=899 Revista Colombiana de Estadística application/pdf Universidad Nacional de Colombia Revista Colombiana de Estadística (Colombia) Num.2 Vol.36 |
| format | Artículo científico |
| id | redalyc_89929799004 |
| institution | Redalyc |
| language | en |
| publishDate | 2013 |
| publisher | Universidad Nacional de Colombia |
| spellingShingle | Testing Equality of Several Correlation Matrices Arjun K. Gupta Física, Astronomía y Matemáticas Cumulants Covariance matrix Correlation matrix Likelihood ratio test Asymptotic null distribution Testing Equality of Several Correlation Matrices Arjun K. Gupta Bruce E. Johnson Daya K. Nagar Física, Astronomía y Matemáticas Cumulants Covariance matrix Correlation matrix Likelihood ratio test Asymptotic null distribution In this article we show that the Kullback’s statistic for testing equality of several correlation matrices may be considered a modified likelihood ratio statistic when sampling from multivariate normal populations. We derive the asymptotic null distribution of L* in series involving independent chisquare variables by expanding L* in terms of other random variables and then inverting the expansion term by term. An example is also given to exhibit the procedure to be used when testing the equality of correlation matrices using the statistic L*. 2013 artículo científico 0120-1751 https://www.redalyc.org/articulo.oa?id=89929799004 en http://www.redalyc.org/revista.oa?id=899 Revista Colombiana de Estadística application/pdf Universidad Nacional de Colombia Revista Colombiana de Estadística (Colombia) Num.2 Vol.36 |
| title | Testing Equality of Several Correlation Matrices |
| topic | Física, Astronomía y Matemáticas Cumulants Covariance matrix Correlation matrix Likelihood ratio test Asymptotic null distribution |
| url | https://www.redalyc.org/articulo.oa?id=89929799004 |