An exact test about the covariance matrix
An exact test about the covariance matrix
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DOI：
10.1016/j.jmva.2013.12.007
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发表时间：
2014-03
期刊：
影响因子：
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通讯作者：
Arjun K. Gupta;Taras Bodnar
中科院分区：
文献类型：
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作者：
Arjun K. Gupta;Taras Bodnar
本文提出了对协方差矩阵结构的精确检验。在其开发过程中，使用了Wishart分布的性质。与经典的似然比型检验和基于经验距离的检验的统计量仅依赖于总方差和广义方差不同，该方法提供了更多关于协方差矩阵变化的信息。通过广泛的仿真研究，将新方法与已有的渐近检验方法进行了比较。
In the present paper, we propose an exact test on the structure of the covariance matrix. In its development the properties of the Wishart distribution are used. Unlike the classical likelihood-ratio type tests and the tests based on the empirical distance, whose statistics depend on the total variance and the generalized variance only, the proposed approach provides more information about the changes in the covariance matrix. Via an extensive simulation study the new approach is compared with the existent asymptotic tests.