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Likelihood Ratio Tests for Principal Components

Dümbgen, Lutz

In: Journal of Multivariate Analysis, 52 (1995), Nr. 2. pp. 245-258. ISSN 0047-259X

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Abstract

A particular class of tests for the principal components of ascatter matrix Sigma is proposed. In the simplest case one wants to test,whether a given vector is an eigenvector of Sigma corresponding to itslargest eigenvalue. The test statistics are likelihood ratio statisticsfor the classical Wishart model, and critical values are obtainedparametrically as well as nonparametrically without making any assumptionson the eigenvalues of Sigma. Still the tests have similar asymptoticproperties as classical procedures and are asymptotically admissible andoptimal in some sense.

Item Type: Article
Journal or Publication Title: Journal of Multivariate Analysis
Volume: 52
Number: 2
Publisher: Academic Press
Place of Publication: Orlando, Florida
Date Deposited: 08 Jul 2016 09:34
Date: 1995
ISSN: 0047-259X
Page Range: pp. 245-258
Faculties / Institutes: The Faculty of Mathematics and Computer Science > Department of Applied Mathematics
Subjects: 510 Mathematics
Schriftenreihe ID: Beiträge zur Statistik > Reports
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