Asymptotic formulae for the distributions of some criteria for tests of equality of covariance matrices

A. K. Chattopadhyay and K. C. S. Pillai

Journal of Multivariate Analysis, 1971, vol. 1, issue 2, 215-231

Abstract: The asymptotic expansions are derived up to terms of order 1/n, for the c.d.f. and percentile of the statistic T = m Tr S1S2-1, where mS1 and nS2 are independently distributed W(m, p, [Sigma]1) and W(n, p, [Sigma]2), respectively. The expansions hold when [Sigma]1[Sigma]2-1 = I + E and Chi(E)

Keywords: Tests; of; equality; of; Covariance; matrices; C.D.F.; percentile; asymptotic; expansion (search for similar items in EconPapers)
Date: 1971
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