Reduced-rank estimation of the difference between two covariance matrices

DOI10.1016/J.JSPI.2009.10.005MaRDI QIDQ2655065zbMATH OpenOpenAlexFDO

Authors James R. Schott

Publication date 22 January 2010

Published in Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jspi.2009.10.005

zbMATH Keywords

comparison of covariance matriceslikelihood ratio testmaximum likelihood estimators

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Hypothesis testing in multivariate analysis (62H15)

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Cites work

• A multivariate one-way classification model with random effects
• Analysis of Covariance Structures Under Elliptical Distributions
• Between-Groups Comparison of Principal Components
• Distribution of likelihood ratio statistic for testing equality of covariance matrices of multivariate Gaussian models
• scientific article; zbMATH DE number 3886886 (Why is no real title available?)
• scientific article; zbMATH DE number 3868437 (Why is no real title available?)
• scientific article; zbMATH DE number 41813 (Why is no real title available?)
• On the distribution of a statistic used for testing a covariance matrix
• Robustness and efficiency properties of scatter matrices
• Saddlepoint approximations for P-values of some tests of covariance matrices
• Some relations between the comparison of covariance matrices and principal component analysis
• Some tests for common principal component subspaces in several groups
• Some tests for the equality of covariance matrices
• Spectral models for covariance matrices
• Two generalizations of the common principal component model

Cited in

(4)

• Computation of the factorized error covariance of the difference between correlated estimators
• On the estimation for product of covariance matrices and its trace
• A note on statistical inference for differences of covariances
• Inference on covariance matrices under rank restrictions

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