Title

An Approximation For The Test Of The Equality Of The Smallest Eigenvalues Of A Covariance Matrix

Keywords

Asymptotic distribution; Likelihood ratio test; Test of sphericity

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. Copyright © Taylor & Francis Group, LLC.

Publication Date

1-1-2012

Publication Title

Communications in Statistics - Theory and Methods

Volume

41

Issue

24

Number of Pages

4439-4443

Document Type

Article

Personal Identifier

scopus

DOI Link

https://doi.org/10.1080/03610926.2011.574219

Socpus ID

84905378616 (Scopus)

Source API URL

https://api.elsevier.com/content/abstract/scopus_id/84905378616

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