On monotonicity of the modified likelihood ratio test for the equality of two covariances

M. S. Srivastava, C. G. Khatri and E. M. Carter

Journal of Multivariate Analysis, 1978, vol. 8, issue 2, 262-267

Abstract: For testing the hypothesis of equality of two covariances ([Sigma]1 and [Sigma]2) of two p-dimensional multivariate normal populations, it is shown that the power function of the modified likelihood ratio test increases as [lambda]1 increases from one and [lambda]r decreases from one where [lambda]1 > ... > [lambda]r > 0 are the distinct characteristic roots of [Sigma]1[Sigma]2-1, r

Keywords: Monotonicity; unbiasedness; modified; likelihood; ratio; test; equality; of; covariances (search for similar items in EconPapers)
Date: 1978
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Citations: View citations in EconPapers (3)

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