Proportionality of k covariance matrices (Q1068490): Difference between revisions

This article discusses maximum likelihood estimation of proportional covariance matrices under normality assumptions. An algorithm for solving the likelihood equations and the likelihood ratio statistic for testing the hypothesis of proportionality are given. The method is illustrated by a numerical example.

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zbMATH Keywords

eigenvalues

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eigenvectors

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asymptotic test

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maximum likelihood estimation of proportional covariance matrices

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normality assumptions

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algorithm

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likelihood ratio statistic

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testing the hypothesis of proportionality

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numerical example

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MaRDI profile type

Publication

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full work available at URL

https://doi.org/10.1016/0167-7152(86)90035-0

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cites work

Q3255781

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Testing Proportionality of Covariance Matrices

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Q3730826

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Some Distribution Problems Connected with the Characteristic Roots of $S_1S^{-1}_2$

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Q3219581

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On the Distributions of the Ratios of the Roots of a Covariance Matrix and Wilks' Criterion for Tests of Three Hypotheses

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Linear Statistical Inference and its Applications

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Q3334800

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Identifiers

zbMATH Open document ID

0582.62043

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DOI

10.1016/0167-7152(86)90035-0

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:1068490

@@ Property / cites work @@
+Q3255781
@@ Property / cites work: Q3255781 / rank @@
+Normal rank
@@ Property / cites work @@
+Testing Proportionality of Covariance Matrices
@@ Property / cites work: Testing Proportionality of Covariance Matrices / rank @@
+Normal rank
@@ Property / cites work @@
+Q3730826
@@ Property / cites work: Q3730826 / rank @@
+Normal rank
@@ Property / cites work @@
+Some Distribution Problems Connected with the Characteristic Roots of $S_1S^{-1}_2$
+Normal rank
@@ Property / cites work @@
+Q3219581
@@ Property / cites work: Q3219581 / rank @@
+Normal rank
@@ Property / cites work @@
+On the Distributions of the Ratios of the Roots of a Covariance Matrix and Wilks' Criterion for Tests of Three Hypotheses
+Normal rank
@@ Property / cites work @@
+Linear Statistical Inference and its Applications
@@ Property / cites work: Linear Statistical Inference and its Applications / rank @@
+Normal rank
@@ Property / cites work @@
+Q3334800
@@ Property / cites work: Q3334800 / rank @@
+Normal rank