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Unbiased and upper critical values of mean trace of multivariate beta for testing difference of two covariance matrices or several mean vectors

 

作者: S. John,  

 

期刊: Communications in Statistics - Simulation and Computation  (Taylor Available online 1977)
卷期: Volume 6, issue 1  

页码: 89-96

 

ISSN:0361-0918

 

年代: 1977

 

DOI:10.1080/03610917708812030

 

出版商: Marcel Dekker, Inc.

 

关键词: variance analysis;multivariate;dispersion matrices;one-sided and two-sided tests of equality;normal distribution;multivariate;mixed beta distribution agreeing in support and moments

 

数据来源: Taylor

 

摘要:

For the invariant unbiased level-α test of equality of two co-variance matrices, the quantities b and B satisfying the equations P(b≤T≤B) = 1-α, E(T|b≤T≤B) = E(T), where T is the mean trace of a multivariate beta, are required. Five and one per cent values of B are tabulated for m = 2,3(2)11,16; b can be obtained from B. Upper five and one per cent values of T are also included, as these are required for the locally most powerful invariant test of nullity of any source of difference in several mean vectors and the locally most powerful invariant one-sided test of equality of two covariance matrices. Lower critical values may be obtained from upper critical values.

 

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