Independence Distribution Preserving Covariance Structures for the Multivariate Linear Model

Dean M. Young, John W. Seaman and Laurie M. Meaux

Journal of Multivariate Analysis, 1999, vol. 68, issue 2, 165-175

Abstract: Consider the multivariate linear model for the random matrixYn-p~MN(XB, V[circle times operator][Sigma]), whereBis the parameter matrix,Xis a model matrix, not necessarily of full rank, andV[circle times operator][Sigma] is annp-nppositive-definite dispersion matrix. This paper presents sufficient conditions on the positive-definite matrixVsuch that the statistics for testingH0: CB=0vsHa: CB[not equal to]0have the same distribution as under the i.i.d. covariance structureI[circle times operator][Sigma].

Keywords: multivariate; quadratic; forms; Wishart; random; matrices; model; robustness; common; nonnegative; definite; solutions; to; a; pair; of; matrix; equations (search for similar items in EconPapers)
Date: 1999
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Citations: View citations in EconPapers (3)

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