liu.seSearch for publications in DiVA
Change search
CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • oxford
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf
Testing Independence via Spectral Moments
Linnaeus University, Växjö, Sweden.ORCID iD: 0000-0002-0341-7472
Linköping University, Department of Mathematics, Mathematical Statistics . Linköping University, Faculty of Science & Engineering. Swedish University of Agricultural Sciences, Uppsala, Sweden.
Linköping University, Department of Mathematics, Mathematical Statistics . Linköping University, Faculty of Science & Engineering.ORCID iD: 0000-0001-9896-4438
2017 (English)In: Springer Proceedings in Mathematics & Statistics, ISSN 2194-1009, Vol. 192, p. 263-274Article in journal (Refereed) Published
Abstract [en]

Assume that a matrix X : p × n is matrix normally distributed and that the Kolmogorov condition, i.e., limn,p→∞ n = c > 0, holds. We propose a test for identity of the covariance matrix using a goodness-of-fit approach. Calculations are based on a recursive formula derived by Pielaszkiewicz et al. The test performs well regarding the power compared to presented alternatives, for both c < 1 or c ≥ 1. 

Place, publisher, year, edition, pages
New York: Springer-Verlag New York, 2017. Vol. 192, p. 263-274
Keywords [en]
Test of independence, Goodness of fit test, Covariance matrix, Wishart matrix, Spectral moments
National Category
Probability Theory and Statistics
Identifiers
URN: urn:nbn:se:liu:diva-136736DOI: 10.1007/978-3-319-49984-0_18OAI: oai:DiVA.org:liu-136736DiVA, id: diva2:1090187
Conference
MAT-TRIAD, Coimbra, Portugal, September 2015
Available from: 2017-04-23 Created: 2017-04-23 Last updated: 2019-08-05Bibliographically approved

Open Access in DiVA

No full text in DiVA

Other links

Publisher's full text

Authority records

Pielaszkiewicz, Jolanta

Search in DiVA

By author/editor
Pielaszkiewicz, Jolantavon Rosen, DietrichSingull, Martin
By organisation
Mathematical Statistics Faculty of Science & Engineering
Probability Theory and Statistics

Search outside of DiVA

GoogleGoogle Scholar

doi
urn-nbn

Altmetric score

doi
urn-nbn
Total: 298 hits
CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • oxford
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf