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Compact matrix expressions for generalized Wald tests of equality of moment vectors. (English) Zbl 0884.62063

Summary: Asymptotic chi-squared test statistics for testing the equality of moment vectors are developed. The test statistics proposed are generalized Wald test statistics that specialize for different settings by inserting an appropriate asymptotic variance matrix of sample moments. Scaled test statistics are also considered for dealing with nonstandard conditions. The specialization will be carried out for testing the equality of multinomial populations, and the equality of variance and correlation matrices for both normal and nonnormal data. When testing the equality of correlation matrices, a scaled version of the normal theory chi-squared statistic is proven to be an asymptotically exact chi-squared statistic in the case of elliptical data.

MSC:

62H15 Hypothesis testing in multivariate analysis
62G20 Asymptotic properties of nonparametric inference
62E20 Asymptotic distribution theory in statistics
62H10 Multivariate distribution of statistics

Software:

LISREL; EQS
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Full Text: DOI Link

References:

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