Wald type tests with the wrong dispersion matrix

A Wald type test with the wrong dispersion matrix is used when the dispersion matrix is not a consistent estimator of the asymptotic covariance matrix of the test statistic. One class of such tests occurs when there are p groups and it is assumed that the population covariance matrices from the p gr...

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Bibliographic Details
Published inCommunications in statistics. Theory and methods Vol. 53; no. 6; pp. 2236 - 2251
Main Authors Rajapaksha, Kosman W. G. D. H., Olive, David J.
Format Journal Article
LanguageEnglish
Published Philadelphia Taylor & Francis 18.03.2024
Taylor & Francis Ltd
Subjects
Bootstrap
confidence region
Covariance matrix
Dispersion
MANOVA
Primary 62H15
Secondary 62J10
weighted least squares
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Summary:A Wald type test with the wrong dispersion matrix is used when the dispersion matrix is not a consistent estimator of the asymptotic covariance matrix of the test statistic. One class of such tests occurs when there are p groups and it is assumed that the population covariance matrices from the p groups are equal, but the common covariance matrix assumption does not hold. The pooled t test, one-way ANOVA F test, and one-way MANOVA F test are examples of this class. Another class of such tests is used for weighted least squares. Two bootstrap confidence regions are modified to obtain large sample Wald type tests with the wrong dispersion matrix.
ISSN:0361-0926
1532-415X
DOI:10.1080/03610926.2022.2124116