Likelihood Ratio Tests for Relationships between Two Covariance Matrices.

Abstract

Likelihood ratio tests for hypotheses on relationships between two population covariance matrices Sigma 1 and Sigma 2 are derived on the basis of the sample covariance matrices having Wishart distributions. The specific hypotheses considered are (1) Sigma 2 = sigma 2 Sigma 1, (2) Sigma 2 = gamma + sigma 2 Sigma 1, (3) Sigma 2 = gamma + Sigma 1 where gamma may be n.n.d. or arbitrary and the rank of gamma is less than that of Sigma 1. Some applications of these tests are given.

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Document Details

Document Type
Technical Report
Publication Date
Nov 01, 1982
Accession Number
ADA125162

Entities

People

  • Calyampudi Radhakrishna Rao

Organizations

  • University of Pittsburgh

Tags

Communities of Interest

  • C4I

DTIC Thesaurus Topics

  • Air Force
  • Analysis Of Variance
  • Covariance
  • Data Science
  • Dispersions
  • Equations
  • Hypotheses
  • Information Science
  • Measurement
  • Multivariate Analysis
  • New York
  • Random Variables
  • Statistical Inference
  • Statistics
  • Two Dimensional
  • United States
  • United States Government

Fields of Study

  • Mathematics

Readers

  • Linear Algebra
  • Regression Analysis.