Proportionality of k covariance matrices

DOI10.1016/0167-7152(86)90035-0zbMath0582.62043OpenAlexW2068642349MaRDI QIDQ1068490

Bernhard K. Flury

Publication date: 1986

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0167-7152(86)90035-0

zbMATH Keywords

algorithmnumerical exampleeigenvalueseigenvectorslikelihood ratio statisticasymptotic testmaximum likelihood estimation of proportional covariance matricesnormality assumptionstesting the hypothesis of proportionality

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12)

Related Items (18)

High-dimensional proportionality test of two covariance matrices and its application to gene expression data ⋮ Testing proportionality of two large-dimensional covariance matrices ⋮ Estimation of proportional covariances in the presence of certain linear restrictions. ⋮ Estimation of proportional covariances ⋮ Error rates in quadratic discrimination with constraints on the covariance matrices ⋮ Influence functions of two families of robust estimators under proportional scatter matrices ⋮ High-dimensional testing for proportional covariance matrices ⋮ Testing proportionality of two high-dimensional covariance matrices ⋮ A new test for the proportionality of two large-dimensional covariance matrices ⋮ Robust plug-in estimators in proportional scatter models. ⋮ Testing the equality of two high‐dimensional spatial sign covariance matrices ⋮ Multivariate normal estimation: the case (n < p) ⋮ On the Spectral Decomposition in Normal Discriminant Analysis ⋮ Unconstrained representation of orthogonal matrices with application to common principal components ⋮ A high dimensional nonparametric test for proportional covariance matrices ⋮ Tests for proportionality of matrices with large dimension ⋮ \(M\)-functionals of multivariate scatter ⋮ Closed Likelihood Ratio Testing Procedures to Assess Similarity of Covariance Matrices

Cites Work

• Some Distribution Problems Connected with the Characteristic Roots of $S_1S^{-1}_2$
• On the Distributions of the Ratios of the Roots of a Covariance Matrix and Wilks' Criterion for Tests of Three Hypotheses
• Linear Statistical Inference and its Applications
• Testing Proportionality of Covariance Matrices
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