Exact probabilities of obtaining estimated non-positive definite between-group covariance matrices
- 1 June 1982
- journal article
- research article
- Published by Taylor & Francis in Journal of Statistical Computation and Simulation
- Vol. 15 (1) , 27-32
- https://doi.org/10.1080/00949658208810561
Abstract
The probability that the estimated between-group covariance matrix is not positive definite is computed exactly under certain conditions given in Hill and Thompson (1978) for the balanced single classification multi-vanate analysis of variance with random effects. The computation is done using the Pfaffian method. This method can also be used more generally to calculate the cummulative distribution function of the largest root of the matrix where S1 and S2 are independent central Wishart matrices with common covariance matrices. The Pfaffian method is found to be a rapid and highly practical alternative to an algorithm of Venables (1974).Keywords
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