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Testing Several Correlation Matrices Using Robust Approach


Atiany, Tareq A.M. and Sharif, Shamshuritawati (2017) Testing Several Correlation Matrices Using Robust Approach. Asian Journal of Scientific Research, 11 (1). pp. 84-95. ISSN 19921454

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Abstract

Background and Objective: The performance of classical Jennrich (J) statistic using classical estimators suffers from masking effects. To relieve the problem, robust estimators are recommended. In this study, a robust Jennrich statistic was proposed based on a S estimator (JS) and M estimator (JM) as alternative to the J statistic, which has good properties. Methodology: In the simulation study, the performance of proposed test is assessed in terms of a type I error and the power of test. The performance comparison between classical J, JS and JM statistics are conducted under several conditions. Results: The results of simulation study showed that JS statistic has a competitive performance comparative to a JM statistic and the J statistic. Conclusion: It was concluded that JS statistic is robust for testing the equality of two or more difference correlation matrices when the data contains outlier. © 2018 Shamshuritawati Sharif and Tareq Ahmed Mahmoud Atiany.

Item Type: Article
Uncontrolled Keywords: Correlation matrix, hypothesis testing, M estimator, power of test, S estimator, type I error, outlier, data contamination
Subjects: Q Science > Q Science (General)
Divisions: School of Quantitative Sciences
Depositing User: Mrs. Norazmilah Yaakub
Date Deposited: 23 Jul 2018 01:11
Last Modified: 23 Jul 2018 01:11
URI: http://repo.uum.edu.my/id/eprint/24427

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