Paper #131

Título:

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

Autores:

Heinz Neudecker y Albert Satorra

Data:

Abril 1995

Resumen:

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. 

Área de investigación:

Estadística, Econometría y Métodos Cuantitativos

Publicado en:

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

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