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Two testing problems relating the real and complex multivariate normal distributions
Authors:Steen A Andersson  Michael D Perlman
Affiliation:Department of Mathematical Statistics, University of Copenhagen Denmark;Department of Statistics, University of Washington USA
Abstract:The first problem considered is that of testing for the reality of the covariance matrix of a p-dimensional complex normal distribution, while the second is that of testing that a 2p-dimensional real normal distribution has a p-dimensional complex structure. Both problems are reduced by invariance to their maximal invariant statistics, and the null and non-null distributions of these are obtained. Complete classes of unbiased, invariant tests are described for both problems, the locally most powerful invariant tests are obtained, and the admissibility of the likelihood ratio tests is established.
Keywords:62H10  62H15  62C07  62C10  62C15  Real and complex multivariate normal distributions  testing for reality  testing for complex structure  invariance  distribution of maximal invariant  unbiasedness  admissibility  complete class  locally most powerful invariant test
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