Score test for a separable covariance structure with the first component as compound symmetric correlation matrix

DOI10.1016/J.JMVA.2016.05.009zbMath1347.62092OpenAlexW2418686689MaRDI QIDQ739588

Katarzyna Filipiak, Daniel Klein, Anuradha Roy

Publication date: 18 August 2016

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmva.2016.05.009

zbMATH Keywords

likelihood ratio testMonte Carlo simulationsmaximum likelihood estimatorsRao's score testempirical null distributionseparable covariance structure

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Hypothesis testing in multivariate analysis (62H15)

Related Items (10)

A note on necessary and sufficient conditions of existence and uniqueness for the maximum likelihood estimator of a Kronecker-product variance-covariance matrix ⋮ Permutation based testing on covariance separability ⋮ A comparison of likelihood ratio tests and Rao's score test for three separable covariance matrix structures ⋮ Covariance Estimation for Matrix-valued Data ⋮ Testing independence under a block compound symmetry covariance structure ⋮ Robust tests for scatter separability beyond Gaussianity ⋮ Approximation with a Kronecker product structure with one component as compound symmetry or autoregression via entropy loss function ⋮ Testing a block exchangeable covariance matrix ⋮ Approximation with a Kronecker product structure with one component as compound symmetry or autoregression ⋮ Unnamed Item

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