Independence Distribution Preserving Covariance Structures for the Multivariate Linear Model

Author： Young D.M.   Seaman J.W.   Meaux L.M.  

Publisher： Academic Press

ISSN： 0047-259X

Source： Journal of Multivariate Analysis, Vol.68, Iss.2, 1999-02, pp. : 165-175

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Abstract

Consider the multivariate linear model for the random matrix Yn×p∼MN(XB, V⊗Σ), where B is the parameter matrix, X is a model matrix, not necessarily of full rank, and V⊗Σ is an np×np positive-definite dispersion matrix. This paper presents sufficient conditions on the positive-definite matrix V such that the statistics for testing H0: CB=0 vs Ha: CB≠0 have the same distribution as under the i.i.d. covariance structure I⊗Σ. Copyright 1999 Academic Press.

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