Title
An Approximation for the Test of the Equality of the Smallest Eigenvalues of a Covariance Matrix
Abbreviated Journal Title
Commun. Stat.-Theory Methods
Keywords
Asymptotic distribution; Likelihood ratio test; Test of sphericity; Statistics & Probability
Abstract
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.
Journal Title
Communications in Statistics-Theory and Methods
Volume
41
Issue/Number
24
Publication Date
1-1-2012
Document Type
Article
Language
English
First Page
4439
Last Page
4443
WOS Identifier
ISSN
0361-0926
Recommended Citation
"An Approximation for the Test of the Equality of the Smallest Eigenvalues of a Covariance Matrix" (2012). Faculty Bibliography 2010s. 3264.
https://stars.library.ucf.edu/facultybib2010/3264
Comments
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