An Approximation for the Test of the Equality of the Smallest Eigenvalues of a Covariance Matrix
Abbreviated Journal Title
Commun. Stat.-Theory Methods
Asymptotic distribution; Likelihood ratio test; Test of sphericity; Statistics & Probability
A limiting distribution of the likelihood ratio statistic for the test of the equality of the q smallest eigenvalues of a covariance matrix is obtained. This distribution can be used as an alternative to the chi-squared distribution which is usually used with this test. It is shown that this new method yields reasonable significance levels for those situations in which the chi-squared approximation is inadequate.
Communications in Statistics-Theory and Methods
"An Approximation for the Test of the Equality of the Smallest Eigenvalues of a Covariance Matrix" (2012). Faculty Bibliography 2010s. 3264.