© 2013, Indian Statistical Institute. In this second part of the paper, we make use of the distribution of the trace of a generalized Wishart matrix based on elliptical models to derive the moments of statistic V used for testing sphericity for a general elliptical model. From the general expressions, we derive specific expressions for the special case of the Kotz family, which includes the Gaussian subfamily. Finally, to illustrate the usefulness of the approach, the exact distribution of the statistic V is derived in terms of the G-function by using Mellin transform and complex integration techniques.
|Original language||American English|
|Number of pages||24|
|Journal||Sankhya: The Indian Journal of Statistics|
|State||Published - 1 Jan 2014|
Caro-Lopera, F. J., González-Farías, G., & Balakrishnan, N. (2014). On generalized wishart distributions - II: Sphericity test. Sankhya: The Indian Journal of Statistics, 195-218. https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=84908367466&origin=inward