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Exact distribution of the generalized Wilks's statistic and applications

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  • Pham-Gia, T.

Abstract

We establish the exact expression of the density of Wilks's statistic [Lambda](n,p,q), and also those of the densities of the product and ratio of two independent such statistics, in terms of Meijer functions, and provide applications with numerical illustrations in various domains of Multivariate Analysis.

Suggested Citation

  • Pham-Gia, T., 2008. "Exact distribution of the generalized Wilks's statistic and applications," Journal of Multivariate Analysis, Elsevier, vol. 99(8), pages 1698-1716, September.
    • Handle: RePEc:eee:jmvana:v:99:y:2008:i:8:p:1698-1716
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    References listed on IDEAS

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    1. Fujikoshi, Yasunori & Ulyanov, Vladimir V., 2006. "Error bounds for asymptotic expansions of Wilks' lambda distribution," Journal of Multivariate Analysis, Elsevier, vol. 97(9), pages 1941-1957, October.
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    Cited by:

    1. Bekker, A. & Roux, J.J.J. & Arashi, M., 2011. "Exact nonnull distribution of Wilks' statistic: The ratio and product of independent components," Journal of Multivariate Analysis, Elsevier, vol. 102(3), pages 619-628, March.
    2. Phong, Duong Thanh & Thu, Pham-Gia & Thanh, Dinh Ngoc, 2019. "Exact distribution of the non-central Wilks’s statistic of the second kind," Statistics & Probability Letters, Elsevier, vol. 153(C), pages 80-89.
    3. Bekker, A. & Roux, J.J.J. & Ehlers, R. & Arashi, M., 2012. "Distribution of the product of determinants of noncentral bimatrix beta variates," Journal of Multivariate Analysis, Elsevier, vol. 109(C), pages 73-87.

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