Invariant Tests for Covariance Structure
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Jukka Nyblom
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Article
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2001
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Elsevier Science
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English
โ 169 KB
The null hypothesis that the error vectors in a multivariate linear model are independent is tested against the alternative hypothesis that they are dependent in some specified manner. This dependence is assumed to be due to common random components or autocorrelation over time. The testing problem