Likelihood Ratio Tests for Relationships between Two Covariance Matrices.
- 1 November 1982
- report
- Published by Defense Technical Information Center (DTIC)
Abstract
Likelihood ratio tests for hypotheses on relationships between two population covariance matrices Sigma 1 and Sigma 2 are derived on the basis of the sample covariance matrices having Wishart distributions. The specific hypotheses considered are (1) Sigma 2 = sigma 2 Sigma 1, (2) Sigma 2 = gamma + sigma 2 Sigma 1, (3) Sigma 2 = gamma + Sigma 1 where gamma may be n.n.d. or arbitrary and the rank of gamma is less than that of Sigma 1. Some applications of these tests are given.Keywords
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