Invariant scale matrix hypothesis tests under elliptical symmetry |
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Authors: | MA Chmielewski |
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Institution: | Texas A & M University, College Station, Texas 77843 USA |
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Abstract: | The usual assumption in multivariate hypothesis testing is that the sample consists of n independent, identically distributed Gaussian m-vectors. In this paper this assumption is weakened by considering a class of distributions for which the vector observations are not necessarily either Gaussian or independent. This class contains the elliptically symmetric laws with densities of the form f(X(n × m)) = ψtr(X ? M)′ (X ? M)Σ?1]. For testing the equality of k scale matrices and for the sphericity hypothesis it is shown, by using the structure of the underlying distribution rather than any specific form of the density, that the usual invariant normal-theory tests are exactly robust, for both the null and non-null cases, under this wider class. |
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Keywords: | 62H10 62H15 62A05 Invariant tests scale matrices elliptical symmetry uncorrelated samples |
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