| Autor: |
Miranda, Vânia F. L., Alves, Henrique J. P., Ferreira, Daniel F. |
| Předmět: |
|
| Zdroj: |
Communications in Statistics: Simulation & Computation; 2023, Vol. 52 Issue 7, p2799-2810, 12p |
| Abstrakt: |
A commonly used test for the independence of two sets of variables from a normal multivariate population is the Wilks Lambda test or the multivariate likelihood ratio test (LRT). However, this test's performance is highly influenced by outliers and non-normality of the data and thus, robust test statistics should be used, allied to Monte-Carlo methods. In this paper, we proposed and evaluated three new likelihood ratio test for the independence of two sets of multivariate variables (LRTR, T and TR), replacing the traditional covariance matrix estimator with the robust comedian estimators. The results showed that the proposed test T and TR control type I error rates also for non-normal distributions outperforming the ordinary test. [ABSTRACT FROM AUTHOR] |
| Databáze: |
Complementary Index |
| Externí odkaz: |
|
