Proportionality of k covariance matrices (Q1068490)
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scientific article; zbMATH DE number 3932213
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| English | Proportionality of k covariance matrices |
scientific article; zbMATH DE number 3932213 |
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Proportionality of k covariance matrices (English)
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1986
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This article discusses maximum likelihood estimation of proportional covariance matrices under normality assumptions. An algorithm for solving the likelihood equations and the likelihood ratio statistic for testing the hypothesis of proportionality are given. The method is illustrated by a numerical example.
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eigenvalues
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eigenvectors
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asymptotic test
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maximum likelihood estimation of proportional covariance matrices
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normality assumptions
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algorithm
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likelihood ratio statistic
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testing the hypothesis of proportionality
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numerical example
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0.8906694650650024
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0.8589348793029785
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0.8186075687408447
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0.8016359210014343
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0.8010881543159485
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