Likelihood Ratio Tests on Covariance Matrices and Mean Vectors of Complex Multivariate Normal Populations and Their Applications in Time Series.

Abstract

In this paper, the authors reviewed the literature on computational aspects of the distributions of the likelihood ratio statistics for testing various hypotheses on the covariance matrices and mean vectors of complex multivariate normal populations. Applications of some of these test procedures in the area of inference on multiple time series in the frequency domain are also discussed. In the Appendix, the authors give tables whch are useful in implementation of various likelihood ratio test statistics discussed in this paper.

Open PDF

Document Details

Document Type
Technical Report
Publication Date
Mar 01, 1983
Accession Number
ADA131523

Entities

People

  • J. C. Lee
  • P. R. Krishnaian
  • T. C. Chang

Organizations

  • University of Pittsburgh

Tags

Communities of Interest

  • C4I
  • Space

DTIC Thesaurus Topics

  • Asymptotic Series
  • Covariance
  • Data Science
  • Distribution Functions
  • Frequency
  • Frequency Domain
  • Homogeneity
  • Hypotheses
  • Information Science
  • Multivariate Analysis
  • Normal Distribution
  • Plastic Explosives
  • Rdx
  • Statistical Analysis
  • Statistics
  • United States
  • Wishart Matrices

Fields of Study

  • Mathematics

Readers

  • Regression Analysis.

Technology Areas

  • AI & ML
  • AI & ML - Bayesian Inference
  • AI & ML - Machine Learning Algorithms