A comparison of two tests in multivariate models

Year, pages: 2017, 773 - 784

In multivariate models the test usually used for a linear hypothesis is the Wilks lambda test. There does not seem to be a need for any alternative. However, if the covariance matrix is parameterized by a few parameters only, and the parameters can be estimated, the problem arises whether a ``plug-in" test, which approximates the test in a situation where the covariance matrix is totally known, is more suitable. A partial answer to this question is given in the paper. The sensitivity approach is used in order to check how this principle works in a situation where a plug-in procedure can be compared with another, already established, procedure.

Machalová, J., Kubáček, L. 2017. A comparison of two tests in multivariate models. In Mathematica Slovaca, vol. 67, no.3, pp. 773-784. 0139-9918. DOI: https://doi.org/10.1515/ms-2017-0009

Machalová, J., Kubáček, L. (2017). A comparison of two tests in multivariate models. Mathematica Slovaca, 67(3), 773-784. 0139-9918. DOI: https://doi.org/10.1515/ms-2017-0009