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A solution to the multivariate behrens-fisher problem |
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| Authors: | D.G. Nel C.A. Van Der Merwe |
| Affiliation: | Department of Statistics , University of the Orange Free State , P.O. Box 339, Bloemfontein, 9300, Republic of South Africa |
| Abstract: | Some new algebra on pattern and transition matrices is used to determine the degrees of freedom and the parameter matrix, if the distribution of a linear sum of Wishart matrices is approximated by a single Wishart distribution. This approximation is then used to find a solution to the multivariate Behrens-Fisher problem similar to the Welch (1947) solution in the univariate case. |
| Keywords: | Behrens-Fisher problem covariance matrix degrees of freedom elementary symmetrical functions linear sum of wishart matrices patterned matrices transition matrices wishart approximation |