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Testing Independence via Spectral Moments
Linnaeus University, Växjö, Sweden.
Linköping University, Department of Mathematics, Mathematical Statistics . Linköping University, Faculty of Science & Engineering.
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, 263-274 p.Article 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, 263-274 p.
Keyword [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: diva2:1090187
Conference
MAT-TRIAD 2015
Available from: 2017-04-23 Created: 2017-04-23 Last updated: 2017-05-02Bibliographically approved

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