Invariance of covariance structures under groups of transformations

DOI10.1007/BF02613631MaRDI QIDQ1185343zbMATH OpenFDO

Authors Alexander Shapiro, Michael W. Browne

Publication date 28 June 1992

Published in Metrika (Search for Journal in Brave)

Full work available at URL https://eudml.org/doc/176371

zbMATH Keywords

block diagonal transformationsinvariance of covariance structuresKronecker product transformationsLie groups of transformationsminimum discrepancy estimatesorthogonal transformations

Mathematics Subject Classification ID

Lie groups (22E99) Foundations and philosophical topics in statistics (62A01)

Review text

A covariance structure \(\Sigma(\theta)\) is called invariant if for every \(\theta\) and \(A\in{\mathcal G}\) there exists a \(\theta^*\) so that \(\Sigma(\theta^*)=A\Sigma(\theta)A'\). For special groups, such as transformation by a constant scaling factor, the group of block diagonal transformations, the Kronecker product transformations and orthogonal transformations, properties of the matrices \(\Sigma(\theta)\) are established. Consequences for minimum discrepancy estimates of parameters are considered.

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Cites work

• An inter-battery method of factor analysis
• Analysis of Covariance Structures Under Elliptical Distributions
• Asymptotic Theory of Overparameterized Structural Models
• Covariance structure analysis with heterogeneous kurtosis parameters
• Factor analysis by generalized least squares
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• Calculation of invariants in identification of covariance structures
• Some properties of estimated scale invariant covariance structures
• On invariant parametric covariance families
• A note on the parameter set for factor analysis models
• A group action on covariances with applications to the comparison of linear normal experiments
• Determination of the number of parameters of a model in the problem of identification of invariant covariation structures
• Group symmetry and covariance regularization
• Estimation of a multiplicative correlation structure in the large dimensional case
• scientific article; zbMATH DE number 4011674 (Why is no real title available?)
• scientific article; zbMATH DE number 2123635 (Why is no real title available?)

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