Paper #127

Títol:

Compact matrix expressions for generalized Wald tests of equality of moment vectors

Autors:

Albert Satorra i Heinz Neudecker

Data:

Agost 1995

Resum:

Asymptotic chi-squared test statistics for testing the equality of moment vectors are developed. The test statistics proposed are generalized Wald test statistics that specialize for different settings by inserting and appropriate asymptotic variance matrix of sample moments. Scaled test statistics are also considered for dealing with situations of non-iid sampling. The specialization will be carried out for testing the equality of multinomial populations, and the equality of variance and correlation matrices for both normal and non-normal data. When testing the equality of correlation matrices, a scaled version of the normal theory chi-squared statistic is proven to be an asymptotically exact chi-squared statistic in the case of elliptical data.

Àrea de Recerca:

Estadística, Econometria i Mètodes Quantitatius

Publicat a:

Journal of Multivariate Analysis, 63, (1997), pp. 259-276

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