The effects of nonnormality on asymptotic distributions of some likelihood ratio criteria for testing covariance structures under normal assumption

详细信息    查看全文

• 作者：Hirokazu Yanagihara ; Tetsuji Tonda and Chieko Matsumoto
• 关键词：Asymptotic distribution ; Fixed alternative ; Kurtosis ; Local alternative ; Model misspecification with respect to distribution ; Nonnormality ; Nonnull distribution ; Null distribution ; Robustness ; Testing for covariance structures ; vecs operator ; Weighted sum
• 刊名：Journal of Multivariate Analysis
• 出版年：2005
• 出版时间：2005
• 年：2005
• 卷：96
• 期：2
• 页码：237-264
• 全文大小：330 K

文摘

This paper examines asymptotic distributions of the likelihood ratio criteria, which are proposed under normality, for several hypotheses on covariance matrices when the true distribution of a population is a certain nonnormal distribution. It is well known that asymptotic distributions of test statistics depend on the fourth moments of the true population's distribution. We study the effects of nonnormality on the asymptotic distributions of the null and nonnull distributions of likelihood ratio criteria for covariance structures.