Year: 2013
Type: article
Abstract: In this article we show that the Kullbacks statistic for testing equality of several correlation matrices may be considered a modified likelihood ratio statistic when sampling from multivariate normal populations. We derive the asymptotic null distribution of L* in series involving independent chi-square variables by expanding L* in terms of other random variables and then inverting the expansion term by term. An example is also given to exhibit the procedure to be used when testing the equality of correlation matrices using the statistic L\ast.
Authors: Arjun K. Gupta, Bruce E. Johnson, Daya K. Nagar
Institutions: Bowling Green State University, Universidad de Antioquia
Language: English
Subfield: Statistics and Probability
Field: Mathematics
Domain: Physical Sciences
Open Access status: diamond
OpenAlex ID: W1866001778