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Une unification des tests du maximum de vraisemblance de la loi normale multidimensionnelle

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  • Alain Cadet

Abstract

This article develops a general theory of maximum likelihood tests for the multivariate normal laws. The means lie in vector spaces and the form of the correlation matrices is related to a group structure. Interest is put on nested hypothesis, both in the means and on the correlation matrices. This theory covers almost all usual multivariate tests. In a second part, the general properties are verified directly in the case of the usual tests, using integral calculus on manifolds and on Lie groups.

Suggested Citation

  • Alain Cadet, 1991. "Une unification des tests du maximum de vraisemblance de la loi normale multidimensionnelle," Annals of Economics and Statistics, GENES, issue 24, pages 89-119.
    • Handle: RePEc:adr:anecst:y:1991:i:24:p:89-119
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