The Annals of Mathematical Statistics

Monotonicity of the Power Functions of Some Tests of Independence between Two Sets of Variates

T. W. Anderson and S. Das Gupta

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Abstract

For testing independence between two sets of normally distributed variates we consider the class of test procedures which are invariant under certain groups of transformations and depend only on the sample canonical correlation coefficients [1]. The power function of such a test depends only on the population canonical correlation coefficients as parameters, which may be regarded as measures of deviation from the hypothesis. In this paper sufficient conditions on the invariant procedure for the power function to be a monotonically increasing function of each of the parameters are obtained. The likelihood-ratio test [1] and Roy's maximum root test [5] satisfy these conditions. In [4] only the unbiasedness of the maximum root test was proved, although the authors claimed to prove the monotonicity property.

Article information

Source
Ann. Math. Statist., Volume 35, Number 1 (1964), 206-208.

Dates
First available in Project Euclid: 27 April 2007

Permanent link to this document
https://projecteuclid.org/euclid.aoms/1177703743

Digital Object Identifier
doi:10.1214/aoms/1177703743

Mathematical Reviews number (MathSciNet)
MR158475

Zentralblatt MATH identifier
0212.22702

JSTOR
links.jstor.org

Citation

Anderson, T. W.; Gupta, S. Das. Monotonicity of the Power Functions of Some Tests of Independence between Two Sets of Variates. Ann. Math. Statist. 35 (1964), no. 1, 206--208. doi:10.1214/aoms/1177703743. https://projecteuclid.org/euclid.aoms/1177703743


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