On testing mean proportionality of multivariate normal variables

Abstract

This short note considers the problem of testing the null hypothesis that the mean values of two multivariate normal variables are proportional. We show that the usual likelihood ratio χ2-test is valid non-asymptotically. Our proof relies on expressing the test statistic as the minimum eigenvalue of a Wishart variable and using a representation of its distribution using Legendre polynomials.

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