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November, 1981 Invariant Tests on Covariance Matrices
John I. Marden
Ann. Statist. 9(6): 1258-1266 (November, 1981). DOI: 10.1214/aos/1176345642

Abstract

Minimal complete classes of invariant tests are presented for modifications of the problem of testing the independence of $Y$ and $X$, where $(Y, X) \equiv (Y, X_1, \cdots, X_p)$ is a multivariate normal random vector. One modification involves having extra independent observations on $Y$. Others involve extra variates $Z \equiv (Z_1, \cdots, Z_q)$ such that $(Y,X,Z)$ is multivariate normal. Among other results, locally most powerful invariant tests and asymptotically most powerful invariant tests are found; it is shown that for some problems the likelihood ratio test is admissible among invariant tests only for levels less than a specified one; and it is shown that for the problem of testing the independence of $Y$ and $X$ when it is known that $Y$ and $Z$ are independent, the test based on the sample multiple correlation coefficient of $Y$ and $(X, Z)$ is inadmissible.

Citation

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John I. Marden. "Invariant Tests on Covariance Matrices." Ann. Statist. 9 (6) 1258 - 1266, November, 1981. https://doi.org/10.1214/aos/1176345642

Information

Published: November, 1981
First available in Project Euclid: 12 April 2007

zbMATH: 0476.62007
MathSciNet: MR630108
Digital Object Identifier: 10.1214/aos/1176345642

Subjects:
Primary: 62C07
Secondary: 62C10, 62C15, 62H15, 62H20

Rights: Copyright © 1981 Institute of Mathematical Statistics

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Vol.9 • No. 6 • November, 1981
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