Testing for the Equality of the Variance-Covariance Matrices of Two Jointly Normal Vector Variables

✍ Scribed by Patricia L. Smith; Anant M. Kshiesagar

• Publisher: John Wiley and Sons
• Year: 1985
• Tongue: English
• Weight: 418 KB
• Volume: 27
• Category: Article
• ISSN: 0323-3847
• DOI: 10.1002/bimj.4710270514

✦ Synopsis

Assume a joint 2p-variate normal distribution for the p-component vectors and y with unknown mean and unknown variance-covariance matrices Zz. and Zuyy respectively, with Cov (5, y) =Zzu.

No assumptions are made about the nature of Zzu. The likelihood ratio method is investigated to test the hypothesis that Zzz =Zur. A method of numerical solution to the likelihood equations in the restricted parameter case is given when p = 2 , and approximate solutions are suggested f o r p > 2 .