The heteroscedastic method: Multivariate implementation
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Over the past decade, procedures have been developed which allow one (in the univariate case) to make inferences about means even in the presence of unknown and unequal variances. A general method (called The Heteroscedastic Method) allowing this in all statistical problems simultaneously was formulated in 1979 and allowed specifically for the multivariate case (e.g., MANOVA and other multivariate inferences). While in the univariate case The Heteroscedastic Method is readily implemented, in the multivariate case practical implementation was not heretofore possible since a certain problem in construction of matrices required by the method had not been solved. In this paper we solve that problem and give a computer algorithm allowing for use of the solution in The Heteroscedastic Method.
Key words and phrasesHeteroscedasticity multivariate analysis heteroscedastic inference matrices
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