Please use this identifier to cite or link to this item: https://doi.org/10.1016/j.laa.2006.02.013
DC FieldValue
dc.titleTwo step-down tests for equality of covariance matrices
dc.contributor.authorChaudhuri, S.
dc.contributor.authorPerlman, M.D.
dc.date.accessioned2014-10-28T05:16:21Z
dc.date.available2014-10-28T05:16:21Z
dc.date.issued2006-08-01
dc.identifier.citationChaudhuri, S., Perlman, M.D. (2006-08-01). Two step-down tests for equality of covariance matrices. Linear Algebra and Its Applications 417 (1 SPEC. ISS.) : 42-63. ScholarBank@NUS Repository. https://doi.org/10.1016/j.laa.2006.02.013
dc.identifier.issn00243795
dc.identifier.urihttp://scholarbank.nus.edu.sg/handle/10635/105446
dc.description.abstractThe classical problem of testing the equality of the covariance matrices from k ≥ 2 p-dimensional normal populations is reexamined. The likelihood ratio (LR) statistic, also called Bartlett's statistic, can be decomposed in two ways, corresponding to two distinct component-wise decompositions of the null hypothesis in terms of the covariance matrices or precision matrices, respectively. The factors of the LR statistic that appear in these two decompositions can be interpreted as conditional and unconditional LR statistics for the component-wise null hypotheses, and their mutual independence under the null hypothesis allows the determination of the overall significance level. © 2006 Elsevier Inc. All rights reserved.
dc.description.urihttp://libproxy1.nus.edu.sg/login?url=http://dx.doi.org/10.1016/j.laa.2006.02.013
dc.sourceScopus
dc.subjectBartlett's test
dc.subjectLikelihood ratio test
dc.subjectMultivariate normal distributions
dc.subjectPrecision matrices
dc.subjectSimultaneous confidence regions
dc.subjectStep-down tests
dc.subjectTesting equality of covariance matrices
dc.subjectUnbiased tests
dc.typeArticle
dc.contributor.departmentSTATISTICS & APPLIED PROBABILITY
dc.description.doi10.1016/j.laa.2006.02.013
dc.description.sourcetitleLinear Algebra and Its Applications
dc.description.volume417
dc.description.issue1 SPEC. ISS.
dc.description.page42-63
dc.description.codenLAAPA
dc.identifier.isiut000239448100005
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