A REMARK ON TESTING SIGNIFICANCE OF AN OBSERVED CORRELATION MATRIX

Shande Chen And, Govind S. Mudholkar

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Abstract

A simple test for the diagonality of the covariance matrix of a multi‐variate normal population is proposed. The test, which is based upon the sum of squares of the z‐transforms of the sample correlations, is seen to compare well with the current tests in terms of both the null distribution approximations and the powers.

Original languageEnglish
Pages (from-to)105-110
Number of pages6
JournalAustralian Journal of Statistics
Volume31
Issue number1
DOIs
StatePublished - Mar 1989

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Keywords

  • complete independence
  • pairwise independent correlations
  • x approximation
  • z‐transformation

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