کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
1146667 | 957523 | 2011 | 14 صفحه PDF | دانلود رایگان |

This article analyzes whether some existing tests for the p×pp×p covariance matrix ΣΣ of the NN independent identically distributed observation vectors work under non-normality. We focus on three hypotheses testing problems: (1) testing for sphericity, that is, the covariance matrix ΣΣ is proportional to an identity matrix IpIp; (2) the covariance matrix ΣΣ is an identity matrix IpIp; and (3) the covariance matrix is a diagonal matrix. It is shown that the tests proposed by Srivastava (2005) for the above three problems are robust under the non-normality assumption made in this article irrespective of whether N≤pN≤p or N≥pN≥p, but (N,p)→∞(N,p)→∞, and N/pN/p may go to zero or infinity. Results are asymptotic and it may be noted that they may not hold for finite (N,p)(N,p).
Journal: Journal of Multivariate Analysis - Volume 102, Issue 6, July 2011, Pages 1090–1103