An accurate test for the equality of covariance matrices from decomposable graphical Gaussian models

DOI10.1002/CJS.11201MaRDI QIDQ5413639zbMATHOpenAlexFDO

Authors Hélène Massam, Yan Yan Wu, Augustine Wong

Publication date 30 April 2014

Published in The Canadian Journal of Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1002/cjs.11201

zbMATH Keywords

decomposable graphical modelscumulant generating functionequality of covariance matricesLugannani and Rice formulaadjusted likelihood ratio test statisticBartlett-Box M-statistic

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Hypothesis testing in multivariate analysis (62H15) Graphical methods in statistics (62A09)

Recommendations

• Covariance Estimation in Decomposable Gaussian Graphical Models
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• Decomposable graphical Gaussian model determination
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• A robust testing procedure for the equality of covariance matrices

Cites work

• scientific article; zbMATH DE number 3886886 (Why is no real title available?)
• scientific article; zbMATH DE number 1134987 (Why is no real title available?)
• Covariance matrix selection and estimation via penalised normal likelihood
• Essentials of Statistical Inference
• Flexible covariance estimation in graphical Gaussian models
• Hyper Markov laws in the statistical analysis of decomposable graphical models
• Probabilistic graphical models.
• Properties of Power Functions of Some Tests Concerning Dispersion Matrices of Multivariate Normal Distributions
• Properties of sufficiency and statistical tests
• Regularized estimation of large covariance matrices
• Saddle point approximation for the distribution of the sum of independent random variables
• Saddlepoint Approximations with Applications
• Saddlepoint approximations for P-values of some tests of covariance matrices
• Saddlepoint expansions for conditional distributions
• Unbiasedness of the likelihood ratio tests for equality of several covariance matrices and equality of several multivariate normal populations
• Wishart distributions for decomposable graphs

Cited in

(3)

• A Bartlett-type correction for likelihood ratio tests with application to testing equality of Gaussian graphical models
• Exact test theory in Gaussian graphical models
• Structural similarity and difference testing on multiple sparse Gaussian graphical models

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