Closed Likelihood Ratio Testing Procedures to Assess Similarity of Covariance Matrices

DOI10.1080/00031305.2013.791643OpenAlexW2119938240WikidataQ58244830 ScholiaQ58244830MaRDI QIDQ5877122

Antonio Punzo, Francesca Greselin

Publication date: 3 February 2023

Published in: The American Statistician (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00031305.2013.791643

zbMATH Keywords

likelihood ratio testscommon principal componentshomoscedasticityproportional covariance matriceseigen decompositionclosed testing procedures

Mathematics Subject Classification ID

Statistics (62-XX)

Related Items (13)

The multivariate tail-inflated normal distribution and its application in finance ⋮ Model-based clustering via new parsimonious mixtures of heavy-tailed distributions ⋮ Model-based time-varying clustering of multivariate longitudinal data with covariates and outliers ⋮ Erratum to: The Generalized Linear Mixed Cluster-Weighted Model ⋮ Testing equality of standardized generalized variances of \(k\) multivariate normal populations with arbitrary dimensions ⋮ Testing equality of generalized variances of k multivariate normal populations ⋮ Anomaly and novelty detection for robust semi-supervised learning ⋮ Parsimonious Hidden Markov Models for Matrix-Variate Longitudinal Data ⋮ Unconstrained representation of orthogonal matrices with application to common principal components ⋮ Testing for equality of ordered eigenvectors of two multivariate normal populations ⋮ Hypothesis Testing for Mixture Model Selection ⋮ Mixtures of multivariate contaminated normal regression models ⋮ The generalized linear mixed cluster-weighted model

Uses Software

• R
• multcomp
• MULTTEST

Cites Work

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• Assessing the pattern of covariance matrices via an augmentation multiple testing procedure
• Optimal tests for homogeneity of covariance, scale, and shape
• Proportionality of k covariance matrices
• Model selection and Akaike's information criterion (AIC): The general theory and its analytical extensions
• Estimating the dimension of a model
• Error rates in quadratic discrimination with constraints on the covariance matrices
• Robust plug-in estimators in proportional scatter models.
• A large-sample model selection criterion based on Kullback's symmetric divergence
• Methods of Multivariate Analysis
• The comparison of sample covariance matrices using likelihood ratio tests
• On closed testing procedures with special reference to ordered analysis of variance
• Regularized Gaussian Discriminant Analysis Through Eigenvalue Decomposition
• Advantages of the Closed Testing Method in Multiple Comparisons Procedures

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