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Asymptotic nonnull distributions of certain test criteria for a covariance matrix

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  • Nagao, Hisao

Abstract

Asymptotic expansions of the distributions of two test criteria concerning a covariance matrix are derived under local alternatives in terms of noncentral [chi]2 variates, and under the fixed alternative in terms of standard normal distribution function and its derivatives, respectively. Some numerical comparisons with the likelihood ratio criteria are made with these test criteria.

Suggested Citation

  • Nagao, Hisao, 1974. "Asymptotic nonnull distributions of certain test criteria for a covariance matrix," Journal of Multivariate Analysis, Elsevier, vol. 4(4), pages 409-418, December.
    • Handle: RePEc:eee:jmvana:v:4:y:1974:i:4:p:409-418
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    Cited by:

    1. Shinto Eguchi, 1991. "A geometric look at nuisance parameter effect of local powers in testing hypothesis," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 43(2), pages 245-260, June.
    2. Hisao Nagao, 1976. "Properties of some test criteria for covariance matrix," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 28(1), pages 403-409, December.

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