Testing for affine equivalence of elliptically symmetric distributions

A. K. Gupta, N. Henze and B. Klar

Journal of Multivariate Analysis, 2004, vol. 88, issue 2, 222-242

Abstract: Let X and Y be d-dimensional random vectors having elliptically symmetric distributions. Call X and Y affinely equivalent if Y has the same distribution as AX+b for some nonsingular dxd-matrix A and some . This paper studies a class of affine invariant tests for affine equivalence under certain moment restrictions. The test statistics are measures of discrepancy between the empirical distributions of the norm of suitably standardized data.

Keywords: Multivariate; two-sample; problem; Elliptically; symmetric; distribution; Affine; equivalence; Affine; invariance; Empirical; characteristic; function (search for similar items in EconPapers)
Date: 2004
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Citations: View citations in EconPapers (3)

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