Similar tests for covariance structures in multivariate linear models

被引：1

作者：

Forchini, G ^{[1
]}

机构：

[1] Monash Univ, Fac Business & Econ, Dept Economet & Business Stat, Clayton, Vic 3800, Australia

来源：

JOURNAL OF MULTIVARIATE ANALYSIS | 2005年 / 93卷 / 02期

关键词：

multivariate linear model; similar tests; invariant tests; covariance matrix; locally best tests; weighted average power tests;

D O I：

10.1016/j.jmva.2004.04.001

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

Nyblom (J. Multivariate Anal. 76 (2001) 294) has derived locally best invariant test for the covariance structure in a multivariate linear model. The class of invariant tests obtained by Nyblom [9] does not coincide with the class of similar tests for this testing set-up. This paper extends some of the results of Nyblom [9] by deriving the locally best similar tests for the covariance structure. Moreover, it develops a saddlepoint approximation to optimal weighted average power similar tests (i.e. tests which maximize a weighted average power). (c) 2004 Elsevier Inc. All rights reserved.

引用

页码：223 / 237

页数：15

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