Similar tests for covariance structures in multivariate linear models

Giovanni Forchini

Journal of Multivariate Analysis, 2005, vol. 93, issue 2, 223-237

Abstract: Nyblom (J. Multivariate Anal. 76 (2001) 294) has derived locally best invariant test for the covariance structure in a multivariate linear model. The class of invariant tests obtained by Nyblom [9] does not coincide with the class of similar tests for this testing set-up. This paper extends some of the results of Nyblom [9] by deriving the locally best similar tests for the covariance structure. Moreover, it develops a saddlepoint approximation to optimal weighted average power similar tests (i.e. tests which maximize a weighted average power).

Keywords: Multivariate; linear; model; Similar; tests; Invariant; tests; Covariance; matrix; Locally; best; tests; Weighted; average; power; tests (search for similar items in EconPapers)
Date: 2005
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