Comparison of powers of a class of tests for multivariate linear hypothesis and independence

Yasunori Fujikoshi

Journal of Multivariate Analysis, 1988, vol. 26, issue 1, 48-58

Abstract: In this paper we consider the class C of test statistics T = [Sigma]j = 1p Q(lj) for testing the multivarite linear hypothesis and independence of two sets of variables. Here Q(l) is a monotone increasing function for l >= 0, Q(0) = 0, Q'(0) = 1, and has a continuous third order derivative in a neighborhood of l = 0. This class includes the likelihood ratio test, Lawley-Hotelling trace test and Bartlett-Nanda-Pillai trace test. We compare the local powers of tests on the basis of the asymptotic expansions of their distributions. The differences in the powers of all the test in C can be explained in terms of [gamma] = Q''(0). The comparisons reveal no uniform superiority properties.

Keywords: comparison; of; powers; a; class; of; test; statistics; asymptotic; expansions; of; powers; multivariate; linear; hypothesis; independence; of; two; sets; of; variables (search for similar items in EconPapers)
Date: 1988
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Citations: View citations in EconPapers (3)

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