کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
1146667 957523 2011 14 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Some tests for the covariance matrix with fewer observations than the dimension under non-normality
کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات آنالیز عددی
پیش نمایش صفحه اول مقاله
Some tests for the covariance matrix with fewer observations than the dimension under non-normality
چکیده انگلیسی

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).

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Multivariate Analysis - Volume 102, Issue 6, July 2011, Pages 1090–1103
نویسندگان
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