The Distribution of a Consistent Estimator of the Traces Ratio of Two Population Covariance Matrices

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Published: Dec 2, 2013
Keywords:
Multivariate Normal Distribution Covariance Matrices Sample Sizes Converge in Distribution

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Saowapha Chaipitak
Faculty of Science and Technology, Rajamangala University of Technology Thanyaburi
Boonyarit Choopradit
Faculty of Sciences and Industrial Technology, Prince of Songkla University

Abstract

In this paper, testing the hypothesis of the equality of two covariance matrices from independent multivariate normal populations is of interested. To test the hypothesis, a test statistic is proposed based on an unbiased and consistent estimator of the ratio between two traces of two population covariance matrices. The asymptotic distribution of the consistent estimator is investigated using the delta method. Finally, it converges in distribution to normal as the number of variables and sample sizes go forward to infinity.

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How to Cite
1.
Chaipitak S, Choopradit B. The Distribution of a Consistent Estimator of the Traces Ratio of Two Population Covariance Matrices. Prog Appl Sci Tech. [Internet]. 2013 Dec. 2 [cited 2024 Apr. 24];3(2):45-50. Available from: https://ph02.tci-thaijo.org/index.php/past/article/view/243233
Issue
Vol. 3 No. 2 (2013): July - December 2013
Section
Mathematics and Applied Statistics

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