Proportionality of k covariance matrices
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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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Cites work
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- Linear Statistical Inference and its Applications
- On the Distributions of the Ratios of the Roots of a Covariance Matrix and Wilks' Criterion for Tests of Three Hypotheses
- Some Distribution Problems Connected with the Characteristic Roots of $S_1S^{-1}_2$
- Testing Proportionality of Covariance Matrices
Cited in
(22)- Estimation of proportional covariances
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- Error rates in quadratic discrimination with constraints on the covariance matrices
- Robust plug-in estimators in proportional scatter models.
- Testing proportionality of two large-dimensional covariance matrices
- Estimation of proportional covariances in the presence of certain linear restrictions.
- 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
- Testing proportionality of two high-dimensional covariance matrices
- \(M\)-functionals of multivariate scatter
- High-dimensional testing for proportional covariance matrices
- Influence functions of two families of robust estimators under proportional scatter matrices
- scientific article; zbMATH DE number 3962984 (Why is no real title available?)
- A new test for the proportionality of two large-dimensional covariance matrices
- Testing the equality of two high-dimensional spatial sign covariance matrices
- Multivariate normal estimation: the case \((n < p)\)
- Combined Maximum Likelihood Estimates for the Equicorrelation Coefficient
- Proportionality of Diagonal Blocks with Blockwise Independence
- On the spectral decomposition in normal discriminant analysis
- Closed Likelihood Ratio Testing Procedures to Assess Similarity of Covariance Matrices
- High-dimensional proportionality test of two covariance matrices and its application to gene expression data
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