TESTING SPHERICITY UNDER A MIXTURE MODEL

Alphonse K.A. Amey, A. K. Gupta

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Abstract

The robustness of Mauchly's sphericity test criterion when sampling from a mixture of two multivariate normal distributions is studied. The distribution of the sphericity test criterion when the sample covariance matrix has a non‐central Wishart density of rank one is derived in terms of Meijer's G‐functions; its distribution under the mixture model is then deduced. The robustness is studied by computing actual significance levels of the test under the mixture model using the critical values under the usual normal model.

Original languageEnglish
Pages (from-to)451-460
Number of pages10
JournalAustralian Journal of Statistics
Volume34
Issue number3
DOIs
Publication statusPublished - Jan 1 1992

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All Science Journal Classification (ASJC) codes

  • Statistics and Probability

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