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The algebraic equality of two asymptotic tests for the hypothesis that a normal distribution has a specified correlation matrix

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  • Mathematics

Abstract

We proved the algebraic equality between Jennrich's (1970) asymptotic [chi]2 test for equality of correlation matrices, and a Wald test statistic derived from the Neudecker and Wesselman (1990) expression of the asymptotic variance matrix of the sample correlation matrix.

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