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Testing a covariance matrix: exact null distribution of its likelihood criterion |
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| Abstract: | For X～ N p (μ, Σ) testing H o:Σ = Σ 0, with Σ 0 known, relies at present on an approximation of the null-distribution of the likelihood ratio statistic. We present here the exact null distribution and also its computation, hence providing a precise tool that can be used in small sample cases. |
| Keywords: | covariance null distribution likelihood ratio Lambert function Meijer function multivariate distribution simulation |