Paper #131

Title:

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

Authors:

Heinz Neudecker and Albert Satorra

Date:

April 1995

Abstract:

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. 

Area of Research:

Statistics, Econometrics and Quantitative Methods

Published in:

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

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