An Approximation for the Test of the Equality of the Smallest Eigenvalues of a Covariance Matrix |
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Authors: | James R Schott |
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Institution: | 1. Department of Statistics , University of Central Florida , Orlando , Florida , USA jschott@ucf.edu |
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Abstract: | A limiting distribution of the likelihood ratio statistic for the test of the equality of the q smallest eigenvalues of a covariance matrix is obtained. This distribution can be used as an alternative to the chi-squared distribution which is usually used with this test. It is shown that this new method yields reasonable significance levels for those situations in which the chi-squared approximation is inadequate. |
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Keywords: | Asymptotic distribution Likelihood ratio test Test of sphericity |
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