Screening among Multivariate Normal Data

Abstract

This paper considers the problem of screeningkmultivariate normal populations (secondary data) with respect to a control population (primary data) in terms of covariance structure. A screening procedure, developed based upon statistical ranking and selection theory, is designed to include in the selected subset those populations which have the same (or similar) covariance structure as the control population, and exclude those populations which differ significantly. Formulas for computing the probability of a correct selection and the least favorable configuration are developed. The sample size required to achieve a specific probability requirement is also developed, with results presented in tabular form. This secondary data selection procedure is illustrated via an example with applications to radar signal processing. © 1999 Academic Press.