Asymptotic Expansions of the Non-Null Distributions of the Likelihood Ratio Criteria for Multivariate Linear Hypothesis and Independence

Abstract

Asymptotic non-null distribution of the likelihood ratio criterion for testing the linear hypothesis in multivariate analysis is obtained up to the order $N^{-2}$, where $N$ means the sample size, by using the characteristic function expressed in terms of hypergeometric function with matrix argument. This result holds without any assumption on the rank of non-centrality matrix. Asymptotic non-null distribution of the likelihood ratio criterion for independence between two sets of variates is also obtained up to the order $N^{-1}$.