Testing independence of several groups of variables

Abstract

The null distribution of Wilks' likelihood-ratio criterion for testing independence of several groups of variables in a multivariate normal population is derived. Percentage points are tabulated for various values of the sample sizeN and partitions of p, the number of variables. This paper extends Mathai and Katiya's (1979) “sphericity” results and tables.

Keywords:

• Density function
• multivariate normal distribution
• percentage points
• recurrence relations

OAMS 1979 Subject Cassification:

• Primary 62H15
• Secondary 62H10