On the Asymptotic Properties of LDU-Based Tests of the Rank of a Matrix
- 1 September 1996
- journal article
- research article
- Published by JSTOR in Journal of the American Statistical Association
- Vol. 91 (435) , 1301
- https://doi.org/10.2307/2291748
Abstract
Gill and Lewbel recently introduced a test for the rank of a matrix based on the LDU decomposition. Unfortunately, the asymptotic distribution suggested by them is incorrect except in a very limited problem. In general, the asymptotic distribution is that of a highly complicated nonlinear function of a normally distributed random vector that appears to defy useful characterization. The LDU decomposition can be used to produce a valid test asymptotically equivalent to the minimum-X 2 test.Keywords
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