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A general near-exact distribution theory for the most common likelihood ratio test statistics used in Multivariate Analysis

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  • Filipe Marques
  • Carlos Coelho
  • Barry Arnold

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  • Filipe Marques & Carlos Coelho & Barry Arnold, 2011. "A general near-exact distribution theory for the most common likelihood ratio test statistics used in Multivariate Analysis," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 20(1), pages 180-203, May.
    • Handle: RePEc:spr:testjl:v:20:y:2011:i:1:p:180-203
    DOI: 10.1007/s11749-010-0193-3
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    References listed on IDEAS

    as
    1. Coelho, Carlos A., 1998. "The Generalized Integer Gamma Distribution--A Basis for Distributions in Multivariate Statistics," Journal of Multivariate Analysis, Elsevier, vol. 64(1), pages 86-102, January.
    2. Aslam, Shagufta & Rocke, David M., 2005. "A robust testing procedure for the equality of covariance matrices," Computational Statistics & Data Analysis, Elsevier, vol. 49(3), pages 863-874, June.
    3. Coelho, Carlos A., 2004. "The generalized near-integer Gamma distribution: a basis for 'near-exact' approximations to the distribution of statistics which are the product of an odd number of independent Beta random variables," Journal of Multivariate Analysis, Elsevier, vol. 89(2), pages 191-218, May.
    4. Coelho, Carlos A. & Marques, Filipe J., 2010. "Near-exact distributions for the independence and sphericity likelihood ratio test statistics," Journal of Multivariate Analysis, Elsevier, vol. 101(3), pages 583-593, March.
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    Citations

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    Cited by:

    1. Yong Bao & Xiaotian Liu & Aman Ullah, 2020. "On the Exact Statistical Distribution of Econometric Estimators and Test Statistics," Working Papers 202014, University of California at Riverside, Department of Economics, revised Jun 2020.
    2. Carlos A. Coelho & Anuradha Roy, 2013. "Testing of hypothesis of a block compound symmetric covariance matrix," Working Papers 0179mss, College of Business, University of Texas at San Antonio.
    3. Carlos A. Coelho & Anuradha Roy, 2020. "Testing the hypothesis of a doubly exchangeable covariance matrix," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 83(1), pages 45-68, January.
    4. Carlos A. Coelho & Anuradha Roy, 2017. "Testing the hypothesis of a block compound symmetric covariance matrix for elliptically contoured distributions," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 26(2), pages 308-330, June.
    5. Carlos Coelho & Barry Arnold & Filipe Marques, 2015. "The exact and near-exact distributions of the main likelihood ratio test statistics used in the complex multivariate normal setting," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 24(2), pages 386-416, June.
    6. Marques, Filipe J. & Loingeville, Florence, 2016. "Improved near-exact distributions for the product of independent Generalized Gamma random variables," Computational Statistics & Data Analysis, Elsevier, vol. 102(C), pages 55-66.
    7. Christian Ritz, 2013. "Penalized likelihood ratio tests for repeated measurement models," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 22(3), pages 534-547, September.
    8. Carlos A. Coelho & Anuradha Roy, 2014. "Testing the hypothesis of a doubly exchangeable covariance matrix for elliptically contoured distributions," Working Papers 0145mss, College of Business, University of Texas at San Antonio.

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