The algebraic equality of two asymptotic tests for the hypothesis that a normal distribution has a specified correlation matrix

Heinz Neudecker and Albert Satorra

Statistics & Probability Letters, 1996, vol. 30, issue 2, 99-103

Abstract: We proved the algebraic equality between Jennrich's (1970) asymptotic [chi]2 test for equality of correlation matrices, and a Wald test statistic derived from the Neudecker and Wesselman (1990) expression of the asymptotic variance matrix of the sample correlation matrix.

Keywords: Asymptotic; [chi]2; test; Correlation; matrix; Multivariate; normal; distribution; Wald; test (search for similar items in EconPapers)
Date: 1996
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Citations: View citations in EconPapers (2)

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Working Paper: The algebraic equality of two asymptotic tests for the hypothesis that a normal distribution has a specified correlation matrix (1995)
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