Asymptotic distributions of the sphericity test in a complex multivariate normal distribution
DOI10.1080/03610928308828457zbMath0515.62023OpenAlexW2076193304MaRDI QIDQ3662432
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Publication date: 1983
Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03610928308828457
multivariate time seriesbeta distributionlikelihood ratio criterionnon-null distributionnull distributioncomplex multivariate normal distributiontesting sphericity
Multivariate distribution of statistics (62H10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Hypothesis testing in multivariate analysis (62H15)
Cites Work
- Asymptotic expansions of the non-null distributions of likelihood ratio criteria for covariance matrices
- The asymptotic distributions of the statistics based on the complex Gaussian distribution
- Some recent developments on complex multivariate distributions
- The multivariate distribution of complex normal variables
- Exact distribution of sphericity criterion in the complex case and its percentage points
- The distributions of the likelihood ratio statistics for tests of certain covariance structures of complex multivariate normal populations
- On the Distribution of Some Statistics Useful in the Analysis of Jointly Stationary Time Series
- Classical Statistical Analysis Based on a Certain Multivariate Complex Gaussian Distribution
- Distributions of Matrix Variates and Latent Roots Derived from Normal Samples
- Statistical Analysis Based on a Certain Multivariate Complex Gaussian Distribution (An Introduction)
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