Compact Matrix Expressions for Generalized Wald Tests of Equality of Moment Vectors

Albert Satorra and Heinz Neudecker

Journal of Multivariate Analysis, 1997, vol. 63, issue 2, 259-276

Abstract: Asymptotic chi-squared test statistics for testing the equality of moment vectors are developed. The test statistics proposed are generalized Wald test statistics that specialize for different settings by inserting an appropriate asymptotic variance matrix of sample moments. Scaled test statistics are also considered for dealing with nonstandard conditions. The specialization will be carried out for testing the equality of multinomial populations, and the equality of variance and correlation matrices for both normal and nonnormal data. When testing the equality of correlation matrices, a scaled version of the normal theory chi-squared statistic is proven to be an asymptotically exact chi-squared statistic in the case of elliptical data.

Keywords: chi-squared; test; distribution-free; ellipticity; moment; vectors; multinomial; distribution; normal-theory; scaled; test; statistic; variance; and; correlation; matrices; Wald; test (search for similar items in EconPapers)
Date: 1997
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Working Paper: Compact matrix expressions for generalized Wald tests of equality of moment vectors (1995)
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