Near-exact distributions for the likelihood ratio test statistic to test equality of several variance-covariance matrices in elliptically contoured distributions

Carlos Coelho () and Filipe Marques ()

Computational Statistics, 2012, vol. 27, issue 4, 627-659

Abstract: The exact distribution of the likelihood ratio test statistic to test the equality of several variance-covariance matrices has a non-manageable form. On the other hand, the existing asymptotic approximations do not exhibit the necessary precision for many applications. For these reasons, the development of near-exact approximations to the distribution of this statistic, arising from a different method of approximating distributions, emerges as a desirable goal. These distributions, while being manageable are much closer to the exact distribution than the usual asymptotic distributions and opposite to these, are also asymptotic for increasing number of variables and matrices involved. Computational modules to implement the near-exact distributions are made available on a web-site. Copyright Springer-Verlag 2012

Keywords: Asymptotic approximations; Sum of gamma distributions; Product of beta distributions; Generalized near-integer gamma distribution; Mixtures (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (6)

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Persistent link: https://EconPapers.repec.org/RePEc:spr:compst:v:27:y:2012:i:4:p:627-659

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DOI: 10.1007/s00180-011-0281-1

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