IDEAS home Printed from https://ideas.repec.org/a/taf/lstaxx/v29y2000i7p1465-1486.html
   My bibliography  Save this article

On two asymptotic normal distributions for the generalized wilks lambda statistic

Author

Listed:
  • Coelho Carlos A

Abstract

In this paper we.present a Normal asymptotic distribution for the logarithm of the generalized Wilks Lambda statistic based on an asymptotic distribution for the determinant of a Wishart matrix. This distribution is obtained through the combined use of Taylor expansions of random variables whose exponentials have chi-square distributions and the Lindeberg-Feller version of the Central Limit Theorem, Another asymptotic Normal distribution for the logarithm of the generalized Wilks Lambda statistic for the case when at most one of the sets has an odd number of variables is derived directly from the exact distribution. Both distributions are non-degenerate and non-singular. The first Normal distribution compares favorably with other known approximations and asymptotic distributions namely for large numbers of variables and small sample sizes, while the second Normal distribution, which has a more restricted application, compares in most cases highly favorably with other known asymptotic distributions and approximations. Finally, a method to compute approximate quantiles which lay very close and converge steadily to the exact ones is presented.

Suggested Citation

  • Coelho Carlos A, 2000. "On two asymptotic normal distributions for the generalized wilks lambda statistic," Communications in Statistics - Theory and Methods, Taylor & Francis Journals, vol. 29(7), pages 1465-1486, January.
    • Handle: RePEc:taf:lstaxx:v:29:y:2000:i:7:p:1465-1486
    DOI: 10.1080/03610920008832557
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1080/03610920008832557
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1080/03610920008832557?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:taf:lstaxx:v:29:y:2000:i:7:p:1465-1486. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/lsta .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.