On generalized wishart distributions - II: Sphericity test

Francisco J. Caro-Lopera, Graciela González-Farías, N. Balakrishnan

Research output: Contribution to journalArticle

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Abstract

© 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 languageAmerican English
Pages (from-to)195-218
Number of pages24
JournalSankhya: The Indian Journal of Statistics
StatePublished - 1 Jan 2014

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