On monotonicity of the modified likelihood ratio test for the equality of two covariances
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- Liu, Baisen & Xu, Lin & Zheng, Shurong & Tian, Guo-Liang, 2014. "A new test for the proportionality of two large-dimensional covariance matrices," Journal of Multivariate Analysis, Elsevier, vol. 131(C), pages 293-308.
- Hallin, Marc & Paindaveine, Davy, 2009. "Optimal tests for homogeneity of covariance, scale, and shape," Journal of Multivariate Analysis, Elsevier, vol. 100(3), pages 422-444, March.
- Marc Hallin, 2008. "On the Non Gaussian Asymptotics of the Likelihood Ratio Test Statistic for Homogeneity of Covariance," Working Papers ECARES 2008_039, ULB -- Universite Libre de Bruxelles.
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Keywords
Monotonicity unbiasedness modified likelihood ratio test equality of covariances;Statistics
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