Some implications of the union-intersection principle for tests of sphericity

Abstract

The sphericity hypothesis may be expressed as an intersection of simpler hypotheses on the invariant subspaces of the variance matrix. Applying the union-intersection principle to dissections of this type establishes a link between tests of independence and tests of sphericity. We use some recent results of Bloomfield and Watson [2] and Knott [4] to derive a class of union-intersection tests for sphericity from likelihood ratio tests of independence of two sets of variates. As well, we show that the ordinary likelihood ratio test for sphericity has a natural union-intersection interpretation.