Comparison of some goodness of fit tests for a single non-isotropic hypothetical principal component |
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Authors: | James R Schott |
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Institution: | University of Central Florida , Orlando, Florida |
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Abstract: | Kshirsagar (1961) proposed a t e s t criterion for the null hypothesis that a covariance matrix with known smaller latent root of mu1tip1icity p?1 has its single non-isotropic principal component in a specified direction. It is shown that the power function of this criterion lacks some desirable properties. Another test criterion is proposed. The case in which the covariance matrix has an unknown smaller latent root of multi-plicity p?1 is also investigated. |
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Keywords: | monotonicity non-null distribution power function principal component sphericity criterion |
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