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

Saowapha Chaipitak, Boonyarit Choopradit

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.

Keywords


Multivariate Normal Distribution, Covariance Matrices, Sample Sizes, Converge in Distribution

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