Exact Distribution of the LRC for Testing Σ = σ 2 Σ o in Complex Multivariate Case

Abstract

The exact distribution of the likelihood ratio statistic for testing the hypothesis that the covariance matrix Σ = σ² Σ_o, where σ² is unknown and Σ_o is known is given in this paper for the case of complex multivariate normal population. The percentage points are computed for several values of the parameters.