On the Non Gaussian Asymptotics of the Likelihood Ratio Test Statistic for Homogeneity of Covariance

Marc Hallin

No 2008_039, Working Papers ECARES from ULB -- Universite Libre de Bruxelles

Abstract: The likelihood ratio test for m-sample homogeneity of covariance is notoriously sensitive to the violations of Gaussian assumptions. Its asymptotic behavior under non-Gaussian densities has been the subject of an abundant literature. In a recent paper, Yanagihara et al. (2005) show that the asymptotic distribution of the likelihood ratio test statistic, under arbitrary elliptical densities with finite fourth-order moments, is that of a linear combination of two mutually independent chi-square variables. Their proof is based on characteristic function methods, and only allows for convergence in distribution conclusions. Moreover, they require homokurticity among the m populations. Exploiting the findings of Hallin and Paindaveine (2008a), we reinforce that convergence-in-distribution result into a convergence-in- probability one —-that is, we explicitly decompose the likelihood ratio test statistic into a linear combination of two variables which are asymptotically independent chi-square —-and moreover extend it to the heterokurtic case.

Pages: 9 p.
Date: 2008
New Economics Papers: this item is included in nep-ecm and nep-ore
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