Discrepancy between structured matrices in the power analysis of a separability test

DOI10.1016/J.CSDA.2023.107907MaRDI QIDQ6554260zbMATH OpenFDO

Authors Katarzyna Filipiak, Daniel Klein, Monika Mokrzycka

Publication date 12 June 2024

Published in Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/J.CSDA.2023.107907

zbMATH Keywords

covariance structureentropy loss functionlikelihood ratio testpower analysisquadratic loss functionRao score test

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08)

Recommendations

• The likelihood ratio test for a separable covariance matrix
• Permutation based testing on covariance separability
• A likelihood ratio test for separability of covariances
• Cross-validation of covariance structures using the frobenius matrix distance as a discrepancy function
• Robust tests for scatter separability beyond Gaussianity

Cites work

• A comparison of likelihood ratio tests and Rao's score test for three separable covariance matrix structures
• A likelihood ratio test for separability of covariances
• Approximation with a Kronecker product structure with one component as compound symmetry or autoregression
• Approximation with a Kronecker product structure with one component as compound symmetry or autoregression via entropy loss function
• Block-Diagonal Covariance Selection for High-Dimensional Gaussian Graphical Models
• Covariance structure regularization via entropy loss function
• Estimation of a covariance matrix under Stein's loss
• Estimation with quadratic loss.
• Gaussian and robust Kronecker product covariance estimation: existence and uniqueness
• Growth curve models and statistical diagnostics
• scientific article; zbMATH DE number 4174254 (Why is no real title available?)
• scientific article; zbMATH DE number 741107 (Why is no real title available?)
• scientific article; zbMATH DE number 1964693 (Why is no real title available?)
• scientific article; zbMATH DE number 7007504 (Why is no real title available?)
• scientific article; zbMATH DE number 2147406 (Why is no real title available?)
• scientific article; zbMATH DE number 2171896 (Why is no real title available?)
• scientific article; zbMATH DE number 3052144 (Why is no real title available?)
• Models with a Kronecker product covariance structure: estimation and testing
• On Estimation of Covariance Matrices With Kronecker Product Structure
• On implementation of a test for Kronecker product covariance structure for multivariate repeated measures data
• On the use and interpretation of certain test criteria for purposes of statistical inference. I, II.
• Score test for a separable covariance structure with the first component as compound symmetric correlation matrix
• Testing a block exchangeable covariance matrix
• Testing and Estimation for a Circular Stationary Model
• Testing hypotheses of covariance structure in multivariate data
• The likelihood ratio test for a separable covariance matrix
• The mle algorithm for the matrix normal distribution
• The properties of partial trace and block trace operators of partitioned matrices
• Unbiased modified likelihood ratio tests for simple and double separability of a variance-covariance structure

Cited in

(1)

• Covariance structure tests for multivariate \(t\)-distribution

This page was built for publication: Discrepancy between structured matrices in the power analysis of a separability test

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6554260)