title: Likelihood Ratio Tests for Principal Components
creator: Dümbgen, Lutz
subject: ddc-510
subject: 510 Mathematics
description: 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.
publisher: Academic Press
date: 1995
type: Article
type: info:eu-repo/semantics/article
type: NonPeerReviewed
format: application/pdf
identifier: https://archiv.ub.uni-heidelberg.de/volltextserverhttps://archiv.ub.uni-heidelberg.de/volltextserver/21470/1/report.04.pdf
identifier: DOI:10.11588/heidok.00021470
identifier: urn:nbn:de:bsz:16-heidok-214708
identifier:   Dümbgen, Lutz  (1995) Likelihood Ratio Tests for Principal Components.  Journal of Multivariate Analysis, 52 (2).  pp. 245-258.  ISSN 0047-259X     
relation: https://archiv.ub.uni-heidelberg.de/volltextserver/21470/
rights: info:eu-repo/semantics/openAccess
rights: http://archiv.ub.uni-heidelberg.de/volltextserver/help/license_urhg.html
language: eng