The Exact and Near-Exact Distributions of the Likelihood Ratio Statistic for the Block Sphericity Test

Abstract

Using a suitable decomposition of the null hypothesis of the test of sphericity for k blocks of pi variables, into a sequence of conditionally independent null hypotheses we show that it is possible to obtain the expression of the likelihood ratio test statistic, the expression for the h‐th null moment and the characteristic function of the logarithm of the likelihood ratio test statistic. The exact distribution of the logarithm of the likelihood ratio test statistic is then obtained as the distribution of the sum of a Generalized Integer Gamma random variable (r.v.) with the sum of a number of independent Logbeta r.v.’s. This distribution takes the form of a single Generalized Integer Gamma distribution when each set of variables has two variables. In the general case, the development of near‐exact distributions arises, from the previous decomposition of the null hypothesis and the consequent induced factorization on the characteristic function, as a natural and practical way to approximate the exact distribution of the test statistic. A measure based on the exact and approximating characteristic functions, which gives an upper bound on the distance between the corresponding distribution functions, is used to assess the quality of the near‐exact distributions proposed and to compare them with an asymptotic approximation based on Box’s method.