Non-null distribution of Kullback's statistic for testing equality of correlation matrices
In this article, we derive the asymptotic non-null distribution of Kullback’s statistic L∗ for testing equality of several correlation matrices. First, the distribution of a function of L∗ is obtained in series involving cumulative distribution function of a standard normal distribution by inverting...
- Autores:
-
Gupta, Arjun Kumar
Nagar, Daya Krishna
Johnson, Bruce E.
- Tipo de recurso:
- Article of investigation
- Fecha de publicación:
- 2022
- Institución:
- Universidad de Antioquia
- Repositorio:
- Repositorio UdeA
- Idioma:
- eng
- OAI Identifier:
- oai:bibliotecadigital.udea.edu.co:10495/46933
- Acceso en línea:
- https://hdl.handle.net/10495/46933
- Palabra clave:
- Cumulantes
Cumulants
Asymptotic non-null distribution
Correlation matrix
Covariance matrix
Likelihood ratio test
http://id.loc.gov/authorities/subjects/sh2002004674
- Rights
- openAccess
- License
- http://purl.org/coar/access_right/c_abf2