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
Copyright Status
Unknown
Socpus ID
84905378616 (Scopus)
Source API URL
https://api.elsevier.com/content/abstract/scopus_id/84905378616
STARS Citation
Schott, James R., "An Approximation For The Test Of The Equality Of The Smallest Eigenvalues Of A Covariance Matrix" (2012). Scopus Export 2010-2014. 5514.
https://stars.library.ucf.edu/scopus2010/5514