Likelihood Ratio Tests for Principal Com
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L. Dumbgen
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Article
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1995
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Elsevier Science
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English
β 425 KB
A particular class of tests for the principal components of a scatter matrix \(\Sigma\) is proposed. In the simplest case one wants to test whether a given vector is an eigenvector of \(\Sigma\) corresponding to its largest eigenvalue. The test statistics are likelihood ratio statistics for the clas