Testing Mean and Covariance Structures with Reweighted Least Squares

Chi-square tests based on maximum likelihood (ML) estimation of covariance structures often incorrectly over-reject the null hypothesis: Σ=Σθ when the sample size is small. Reweighted least squares (RLS) avoids this problem. In some models, the vector of parameter must contain means, variances, and covariances, yet whether RLS also works in mean and covariance structures remains unexamined. This research extends RLS to mean and covariance...