Heuristic Testing for Independence versus Equicorrelation

• 발행기관: 한국자료분석학회
• 저자명: Yong Chan Jung
• 간행물 정보: 『Journal of The Korean Data Analysis Society (JKDAS)』Vol.11 No.1, 53~61쪽, 전체 9쪽
• 주제분류: 자연과학 > 통계학
• 파일형태: PDF
• 발행일자: 2009.02.28

영문 초록

When the null hypothesis of equicorrelation structure is not rejected, and in the ensuing estimation process a considerably all common correlation coefficient is resulted, we may naturally need to consider the problem of testing for the mutual independence. The purpose of this paper is to study statistics for testing the hypothesis of mutual independence versus equicorrelation and to investigate the empirical power of those statistics. The proposed statistics are likelihood ratio statistic and ellipsoidal elongation statistic based on eigenvalues of sample correlation matrix. By the simulation results, we can suggest the ellipsoidal elongation statistic as a good test statistic for the case of ρ > 0 under normality.

목차

1. Introduction

2. Literature Survey of Test for Equicorrelation Matrix

3. Test statistics for Independence versus Equicorrelation

4. Empirical Result

5. Conclusion and Discussion

References

키워드

mutual independence equicorrelation likelihood ratio ellipsoidal elongation