Closed Likelihood Ratio Testing Procedures to Assess Similarity of Covariance Matrices

DOI10.1080/00031305.2013.791643MaRDI QIDQ5877122zbMATH OpenOpenAlexWikidataFDO

Authors Francesca Greselin, Antonio Punzo

Publication date 3 February 2023

Published in The American Statistician (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/00031305.2013.791643

zbMATH Keywords

common principal componentshomoscedasticitylikelihood ratio testsproportional covariance matriceseigen decompositionclosed testing procedures

Mathematics Subject Classification ID

Statistics (62-XX)

Cites work

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• A large-sample model selection criterion based on Kullback's symmetric divergence
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• Assessing the pattern of covariance matrices via an augmentation multiple testing procedure
• Error rates in quadratic discrimination with constraints on the covariance matrices
• Estimating the dimension of a model
• Methods of multivariate analysis
• Model selection and Akaike's information criterion (AIC): The general theory and its analytical extensions
• On closed testing procedures with special reference to ordered analysis of variance
• Optimal tests for homogeneity of covariance, scale, and shape
• Proportionality of k covariance matrices
• Regularized Gaussian Discriminant Analysis Through Eigenvalue Decomposition
• Robust plug-in estimators in proportional scatter models.
• The comparison of sample covariance matrices using likelihood ratio tests

Cited in

(15)

• A Laplace-based model with flexible tail behavior
• Mixtures of multivariate contaminated normal regression models
• Erratum to: ``The generalized linear mixed cluster-weighted model
• Unconstrained representation of orthogonal matrices with application to common principal components
• The generalized linear mixed cluster-weighted model
• Testing equality of standardized generalized variances of \(k\) multivariate normal populations with arbitrary dimensions
• Anomaly and novelty detection for robust semi-supervised learning
• Model-based clustering via new parsimonious mixtures of heavy-tailed distributions
• Model-based time-varying clustering of multivariate longitudinal data with covariates and outliers
• Hypothesis Testing for Mixture Model Selection
• Testing for equality of ordered eigenvectors of two multivariate normal populations
• Parsimony and parameter estimation for mixtures of multivariate leptokurtic-normal distributions
• The multivariate tail-inflated normal distribution and its application in finance
• Parsimonious hidden Markov models for matrix-variate longitudinal data
• Testing equality of generalized variances of k multivariate normal populations

Describes a project that uses

Uses Software

• MULTTEST
• multcomp
• R

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