Testing Equality of Several Correlation Matrices
In this article we show that the Kullbacks statistic for testing equality of several correlation matrices may be considered a modified likelihood ratio statistic when sampling from multivariate normal populations. We derive the asymptotic null distribution of L* in series involving independent chi-s...
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| Format: | Article |
| Language: | English |
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Universidad Nacional de Colombia
2013-12-01
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| Series: | Revista Colombiana de Estadística |
| Subjects: | |
| Online Access: | http://www.scielo.org.co/scielo.php?script=sci_arttext&pid=S0120-17512013000200004&lng=en&tlng=en |
| _version_ | 1819155858988204032 |
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| author | ARJUN K. GUPTA BRUCE E. JOHNSON DAYA K. NAGAR |
| author_facet | ARJUN K. GUPTA BRUCE E. JOHNSON DAYA K. NAGAR |
| author_sort | ARJUN K. GUPTA |
| collection | DOAJ |
| description | In this article we show that the Kullbacks statistic for testing equality of several correlation matrices may be considered a modified likelihood ratio statistic when sampling from multivariate normal populations. We derive the asymptotic null distribution of L* in series involving independent chi-square variables by expanding L* in terms of other random variables and then inverting the expansion term by term. An example is also given to exhibit the procedure to be used when testing the equality of correlation matrices using the statistic L\ast. |
| first_indexed | 2024-12-22T15:43:40Z |
| format | Article |
| id | doaj.art-1dc624e2a6404db09742f38564db29cd |
| institution | Directory Open Access Journal |
| issn | 0120-1751 |
| language | English |
| last_indexed | 2024-12-22T15:43:40Z |
| publishDate | 2013-12-01 |
| publisher | Universidad Nacional de Colombia |
| record_format | Article |
| series | Revista Colombiana de Estadística |
| spelling | doaj.art-1dc624e2a6404db09742f38564db29cd2022-12-21T18:21:05ZengUniversidad Nacional de ColombiaRevista Colombiana de Estadística0120-17512013-12-01362237258S0120-17512013000200004Testing Equality of Several Correlation MatricesARJUN K. GUPTA0BRUCE E. JOHNSON1DAYA K. NAGAR2Bowling Green State UniversityExperient Research GroupUniversidad de AntioquiaIn this article we show that the Kullbacks statistic for testing equality of several correlation matrices may be considered a modified likelihood ratio statistic when sampling from multivariate normal populations. We derive the asymptotic null distribution of L* in series involving independent chi-square variables by expanding L* in terms of other random variables and then inverting the expansion term by term. An example is also given to exhibit the procedure to be used when testing the equality of correlation matrices using the statistic L\ast.http://www.scielo.org.co/scielo.php?script=sci_arttext&pid=S0120-17512013000200004&lng=en&tlng=endistribución asintótica nulamatriz de correlaciónmatriz de covarianzarazón de verosimilitud |
| spellingShingle | ARJUN K. GUPTA BRUCE E. JOHNSON DAYA K. NAGAR Testing Equality of Several Correlation Matrices Revista Colombiana de Estadística distribución asintótica nula matriz de correlación matriz de covarianza razón de verosimilitud |
| title | Testing Equality of Several Correlation Matrices |
| title_full | Testing Equality of Several Correlation Matrices |
| title_fullStr | Testing Equality of Several Correlation Matrices |
| title_full_unstemmed | Testing Equality of Several Correlation Matrices |
| title_short | Testing Equality of Several Correlation Matrices |
| title_sort | testing equality of several correlation matrices |
| topic | distribución asintótica nula matriz de correlación matriz de covarianza razón de verosimilitud |
| url | http://www.scielo.org.co/scielo.php?script=sci_arttext&pid=S0120-17512013000200004&lng=en&tlng=en |
| work_keys_str_mv | AT arjunkgupta testingequalityofseveralcorrelationmatrices AT bruceejohnson testingequalityofseveralcorrelationmatrices AT dayaknagar testingequalityofseveralcorrelationmatrices |