Asymptotic distributions of the likelihood ratio test statistics for covariance structures of the complex multivariate normal distributions

C. Fang, P. R. Krishnaiah and B. N. Nagarsenker

Journal of Multivariate Analysis, 1982, vol. 12, issue 4, 597-611

Abstract: In this paper, the authors derived asymptotic expressions for the null distributions of the likelihood ratio test statistics for multiple independence and multiple homogeneity of the covariance matrices when the underlying distributions are complex multivariate normal. Also, asymptotic expressions are obtained in the non-null cases for the likelihood ratio test statistics for independence of two sets of variables and the equality of two covariance matrices. The expressions obtained in this paper are in terms of beta series. In the null cases, the accuracy of the first terms alone is sufficient for many practical purposes.

Keywords: Asymptotic; distributions; complex; distribution; likelihood; ratio; tests; covariance; structures (search for similar items in EconPapers)
Date: 1982
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