An exact test for a column of the covariance matrix based on a single observation

DOI10.1007/S00184-012-0419-3MaRDI QIDQ2392252zbMATH OpenOpenAlexFDO

Authors Taras Bodnar, Arjun K. Gupta

Publication date 1 August 2013

Published in Metrika (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s00184-012-0419-3

zbMATH Keywords

inference proceduresingular Wishart distributionskew normal distributions

Mathematics Subject Classification ID

Exact distribution theory in statistics (62E15) Multivariate distribution of statistics (62H10) Hypothesis testing in multivariate analysis (62H15) Non-Markovian processes: hypothesis testing (62M07)

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Cites work

• A Matrix Variate Closed Skew-Normal Distribution with Applications to Stochastic Frontier Analysis
• A test for the equality of covariance matrices when the dimension is large relative to the sample sizes
• An identity for multivariate elliptically contoured matrix distribution
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• Estimation of the precision matrix of a multivariate elliptically contoured stable distribution
• Estimation of the precision matrix of multivariate Kotz type model
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• On some tests of the covariance matrix under general conditions
• Properties of the singular, inverse and generalized inverse partitioned Wishart distributions
• Singular Wishart and multivariate beta distributions
• Surveillance of the covariance matrix based on the properties of the singular Wishart distribution
• Testing the equality of several covariance matrices with fewer observations than the dimension
• The Skew-normal Distribution and Related Multivariate Families*
• Wishart and pseudo-Wishart distributions and some applications to shape theory

Cited in

(2)

• An exact test about the covariance matrix
• Limitations on detecting row covariance in the presence of column covariance

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