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ON THE DISTRIBUTION OF SPHERICITY TEST CRITERION IN THE MULTIVARIATE GAUSSIAN DISTRIBUTION
Author(s) -
Gupta A. K.
Publication year - 1977
Publication title -
australian journal of statistics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.434
H-Index - 41
eISSN - 1467-842X
pISSN - 0004-9581
DOI - 10.1111/j.1467-842x.1977.tb01087.x
Subject(s) - sphericity , mathematics , multivariate statistics , multivariate stable distribution , multivariate normal distribution , ratio distribution , likelihood ratio test , statistics , distribution (mathematics) , beta distribution , normal wishart distribution , asymptotic distribution , mathematical analysis , geometry , estimator
Summary In this paper, the exact distribution of the likelihood‐ratio criterion for testing the hypothesis of sphericity in a multivariate normal distribution is derived as a mixture of incomplete beta functions. Some advantages of the present derivation are also indicated.