Tests for sphericity under correlated multivariate regression equations model
The authors investigated the asymptotic distribution of likelihood ratio test like statistics for sphericity under correlated multivariate regression equations models. Asymptotic null and non-null distributions are derived when the underlying distribution is multivariate normal. They are given by chi-square and normal distributions, respectively, after some transformations. It is shown that the results hold even when the joint distribution of the observation vectors is elliptically.
likelihood ratio test like statistics for sphericity
correlated multivariate regression equations models
Asymptotic null and non-null distributions
scientific article; zbMATH DE number 4009536