Abstract
In this work a likelihood ratio test which allows to test simultaneously if, several covariance matrices are equal and block diagonal with different specific structures in the diagonal blocks, is developed. The distribution of the likelihood ratio statistic is studied and the expression of its hth null moment are derived. In order to make the test useful in practical terms, near-exact approximations are developed for the likelihood ratio statistic. A practical application to real data set together with numerical studies and simulations are provided in order illustrate the applicability of the test and also to assess the precision of the near-exact approximations developed.
Original language | English |
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Pages (from-to) | 2765-2784 |
Number of pages | 20 |
Journal | Journal of Applied Statistics |
Volume | 47 |
Issue number | 13-15(SI) |
DOIs | |
Publication status | Published - 17 Nov 2020 |
Keywords
- Compound symmetry
- diagonal blocks
- generalized integer gamma distribution
- generalized near-integer gamma distribution
- hypotheses testing
- likelihood ratio tests
- near-exact distributions
- sphericity