Paper #131

Títol:

The algebraic equality of two asymptotic tests for the hypothesis that a normal distribution has a specified correlation matrix

Autors:

Heinz Neudecker i Albert Satorra

Data:

Abril 1995

Resum:

It is proved the algebraic equality between Jennrich's (1970) asymptotic $X^2$ test for equality of correlation matrices, and a Wald test statistic derived from Neudecker and Wesselman's (1990) expression of the asymptotic variance matrix of the sample correlation matrix. 

Àrea de Recerca:

Estadística, Econometria i Mètodes Quantitatius

Publicat a:

Statistics & Probability Letters, vol 30 (1996), pp. 99--103

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