Accession Number : ADA131523

Title :   Likelihood Ratio Tests on Covariance Matrices and Mean Vectors of Complex Multivariate Normal Populations and Their Applications in Time Series.

Descriptive Note : Technical rept.,

Corporate Author : PITTSBURGH UNIV PA CENTER FOR MULTIVARIATE ANALYSIS

Personal Author(s) : Krishnaian,P R ; Lee,J C ; Chang,T C

PDF Url : ADA131523

Report Date : Mar 1983

Pagination or Media Count : 68

Abstract : In this paper, the authors reviewed the literature on computational aspects of the distributions of the likelihood ratio statistics for testing various hypotheses on the covariance matrices and mean vectors of complex multivariate normal populations. Applications of some of these test procedures in the area of inference on multiple time series in the frequency domain are also discussed. In the Appendix, the authors give tables whch are useful in implementation of various likelihood ratio test statistics discussed in this paper.

Descriptors :   *Probability, *Ratios, *Multivariate analysis, *Population(Mathematics), Covariance, Normal distribution, Vector analysis, Time series analysis, Matrices(Mathematics), Statistical analysis, Tables(Data), Mean

Subject Categories : Statistics and Probability

Distribution Statement : APPROVED FOR PUBLIC RELEASE