1.单个 p p 元正态总体协方差阵的检验
具体步骤:
- 作统计假设(1):
- 统计量:
λ=supθ∈Θ0L(μ,Ip)supθ∈ΘL(μ,∑)=(en)np/2|S|n/2exp[−12tr(S)] λ = s u p θ ∈ Θ 0 L ( μ , I p ) s u p θ ∈ Θ L ( μ , ∑ ) = ( e n ) n p / 2 | S | n / 2 e x p [ − 1 2 t r ( S ) ]Λ=−2lnλ∼χ2(p(p+1)2) Λ = − 2 l n λ ∼ χ 2 ( p ( p + 1 ) 2 )其中supθ∈Θ0L(μ,Ip)=L(X¯,Ip)=(2π)−np/2exp[−12tr(S)] s u p θ ∈ Θ 0 L ( μ , I p ) = L ( X ¯ , I p ) = ( 2 π ) − n p / 2 e x p [ − 1 2 t r ( S ) ]supθ∈ΘL(μ,∑)=L(X¯
- 统计量: