An Approximation for the Test of the Equality of the Smallest Eigenvalues of a Covariance Matrix

    Authors

    J. R. Schott

    Comments

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    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

    WOS:000315142700006

    ISSN

    0361-0926

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