Proportionality of k covariance matrices

DOI10.1016/0167-7152(86)90035-0MaRDI QIDQ1068490zbMATH OpenOpenAlexFDO

Authors Bernhard K. Flury

Publication date 1986

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0167-7152(86)90035-0

zbMATH Keywords

eigenvalueslikelihood ratio statisticeigenvectorsalgorithmnumerical exampleasymptotic testmaximum likelihood estimation of proportional covariance matricesnormality assumptionstesting the hypothesis of proportionality

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12)

Recommendations

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• Estimation of proportional covariances in the presence of certain linear restrictions.
• High-dimensional testing for proportional covariance matrices
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Cites work

• scientific article; zbMATH DE number 3886886 (Why is no real title available?)
• scientific article; zbMATH DE number 3136275 (Why is no real title available?)
• scientific article; zbMATH DE number 3868437 (Why is no real title available?)
• scientific article; zbMATH DE number 3962984 (Why is no real title available?)
• 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)

• scientific article; zbMATH DE number 3962984 (Why is no real title available?)
• Proportionaliy of covariance matrices
• Estimation of proportional covariances in the presence of certain linear restrictions.
• \(M\)-functionals of multivariate scatter
• Unconstrained representation of orthogonal matrices with application to common principal components
• High-dimensional testing for proportional covariance matrices
• A new test for the proportionality of two large-dimensional covariance matrices
• Testing proportionality of two high-dimensional covariance matrices
• Tests for proportionality of matrices with large dimension
• Multivariate normal estimation: the case \((n < p)\)
• High-dimensional proportionality test of two covariance matrices and its application to gene expression data
• Testing proportionality of two large-dimensional covariance matrices
• Closed Likelihood Ratio Testing Procedures to Assess Similarity of Covariance Matrices
• On the spectral decomposition in normal discriminant analysis
• Robust plug-in estimators in proportional scatter models.
• Proportionality of Diagonal Blocks with Blockwise Independence
• A high dimensional nonparametric test for proportional covariance matrices
• Error rates in quadratic discrimination with constraints on the covariance matrices
• Estimation of proportional covariances
• Combined Maximum Likelihood Estimates for the Equicorrelation Coefficient
• Influence functions of two families of robust estimators under proportional scatter matrices
• Testing the equality of two high-dimensional spatial sign covariance matrices

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