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Testing the equality of covariance matrices under intraclass correlation models

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Summary

The modified likelihood ratio test for the equality of covariance matrices under intraclass correlation models is obtained and its asymptotic distributions are derived. This test is compared with the test derived by using Roy's union-intersection principle, by a Monte Carlo study. It is found that in general the modified likelihood ratio test has a larger power. When the covariance matrices are such that one has small eigenvalues, one has large eigenvalues and the eigenvalues of the rest are in the middle, the two tests have about the same power.

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Authors and Affiliations

  1. Iowa State University, Iowa, USA

    Chien-Pai Han

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  1. Chien-Pai Han
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Han, CP. Testing the equality of covariance matrices under intraclass correlation models. Ann Inst Stat Math 27, 349–356 (1975). https://doi.org/10.1007/BF02504654

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  • DOI: https://doi.org/10.1007/BF02504654

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