Locally Most Powerful Invariant Tests for Correlation and Sphericity of Gaussian Vectors
Locally Most Powerful Invariant Tests for Correlation and Sphericity of Gaussian Vectors
In this paper, we study the existence of locally most powerful invariant tests (LMPIT) for the problem of testing the covariance structure of a set of Gaussian random vectors. The LMPIT is the optimal test for the case of close hypotheses, among those satisfying the invariances of the problem, and …