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September, 1993 One-Sided Test for the Equality of Two Covariance Matrices
Satoshi Kuriki
Ann. Statist. 21(3): 1379-1384 (September, 1993). DOI: 10.1214/aos/1176349263

Abstract

Let $\mathbf{H}$ and $\mathbf{G}$ be independently distributed according to the Wishart distributions $W_m(M,\Phi)$ and $W_m(N,\Psi)$, respectively. We derive the limiting null distributions of the likelihood ratio criteria for testing $H_0: \Phi = \Psi$ against $H_1 - H_0$ with $H_1: \Phi \geq \Psi$, and for testing $H^{(R)}_0: \Phi \geq \Psi, \operatorname{rank}(\Phi - \Psi) \leq R$ (for given $R$) against $H_1 - H^{(R)}_0$. They are particular cases of the chi-bar-squared distributions.

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Satoshi Kuriki. "One-Sided Test for the Equality of Two Covariance Matrices." Ann. Statist. 21 (3) 1379 - 1384, September, 1993. https://doi.org/10.1214/aos/1176349263

Information

Published: September, 1993
First available in Project Euclid: 12 April 2007

zbMATH: 0786.62057
MathSciNet: MR1241270
Digital Object Identifier: 10.1214/aos/1176349263

Subjects:
Primary: 62H10
Secondary: 62H15

Rights: Copyright © 1993 Institute of Mathematical Statistics

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Vol.21 • No. 3 • September, 1993
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