文章基本信息

标题：On Generalized Wishart Distributions - I: Likelihood Ratio Test for Homogeneity of Covariance Matrices
作者：Francisco J. Caro-Lopera ; Graciela González-Farías ; N. Balakrishnan 等
期刊名称：Sankhya. Series A, mathematical statistics and probability
印刷版ISSN：0976-836X
电子版ISSN：0976-8378
出版年度：2014
卷号：76
期号：2
页码：179-194
DOI：10.1007/s13171-013-0047-7
语种：English
出版社：Indian Statistical Institute
摘要：In this paper, we define and discuss a class of generalized Wishart distributions under elliptical models. We derive the non-central moments of the likelihood ratio statistic for testing the equality of two covariance matrices under elliptical models for the corresponding matrices. Known classical expressions for the Gaussian model are then deduced from these general results. Finally, the exact distribution of the Wilks’ statistic under a specific distribution, including the Gaussian distribution as a particular member, is derived.
关键词：Likelihood ratio statistic ; elliptical models ; zonal polynomials ; Mellin transform ; H-function