具有椭球误差的线性一致相关模型的相关性检验

Testing for Correlation in Linear Uniform Correlation Models with Elliptical Errors

本文讨论具有椭球误差的线性一致相关模型的相关性检验问题.基于Fisher-score方法给出模型参数估计的迭代公式,然后分别对一致相关系数进行了存在性和齐性检验,得到了相应检验的score统计量,同时给出了功效模拟.最后利用实际数据说明了模型以及检验统计量的价值.

In this paper,we discuss some tests for correlation in linear uniform correlation models with elliptical errors.An iterative procedures for the maximum likelihood estimates of the model parameters are obtained by the Fisher-score method.Score tests for the presence and homogeneity of the correlation coefficients are constructed.The properties of test statistics are investigated through power simulations.Finally,a real data set is used to illustrate the values of the models and test statistics.