von Rosen, Dietrich
- Institutionen för energi och teknik, Sveriges lantbruksuniversitet
Sammanfattning
This article analyzes whether some existing tests for the p x p covariance matrix Sigma of the N independent identically distributed observation vectors work under non-normality. We focus on three hypotheses testing problems: (1) testing for sphericity, that is, the covariance matrix Sigma is proportional to an identity matrix I(p); (2) the covariance matrix Sigma is an identity matrix I(p); and (3) the covariance matrix is a diagonal matrix. It is shown that the tests proposed by Srivastava (2005) for the above three problems are robust under the non-normality assumption made in this article irrespective of whether N <= p or N >= p, but (N, p) -> infinity, and N/p may go to zero or infinity. Results are asymptotic and it may be noted that they may not hold for finite (N, p). (C) 2011 Published by Elsevier Inc.
Publicerad i
Journal of Multivariate Analysis
2011, volym: 102, nummer: 6, sidor: 1090-1103
Utgivare: ELSEVIER INC
SLU författare
UKÄ forskningsämne
Sannolikhetsteori och statistik
Publikationens identifierare
- DOI: https://doi.org/10.1016/j.jmva.2011.03.003
Permanent länk till denna sida (URI)
https://res.slu.se/id/publ/46803