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Bartlett-corrected tests for normal linear models when the error covariance matrix is nonscaiar |
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| Authors: | Elisete C. Q. Aubin Gauss M. Cordeiro |
| Affiliation: | 1. Departamento de Estatística , Universidade de Sao Paulo , Sao Paulo, SP, 05315-970, BrazilCaixa Postal 66281, Agencia Cidade de Sao Paulo;2. Departamento de Estatistica , Instituto de Matematica Universidade Federal da Bahia , Ondina, Salvador BA, 40170-110, BrazilAv. Adhemar de .Karros,s/n |
| Abstract: | This paper provides Bartlett corrections to improve likelihood ratio tests for heteroskedastic normal linear models when the error covariance matrix is nonscaiar and depends on a set of unknown parameters. The Bartlett corrections are simple enough to be used algebraically to obtain several closed-form expressions in special cases. The corrections have also advantages for numerical purposes because they involve only simple operations on matrices and vectors. |
| Keywords: | Bartlett correction heteroskedastic model likelihood ratio test maximum likelihood estimate normal linear model |