Dümbgen, Lutz
In: Journal of Multivariate Analysis, 52 (1995), Nr. 2. pp. 245-258. ISSN 0047-259X
Preview |
PDF, English
Download (434kB) | Terms of use |
Citation of documents: Please do not cite the URL that is displayed in your browser location input, instead use the DOI, URN or the persistent URL below, as we can guarantee their long-time accessibility.
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.
| Document 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 > Institut für Mathematik |
| DDC-classification: | 510 Mathematics |
| Series: | Beiträge zur Statistik > Reports |
