Closed Likelihood Ratio Testing Procedures to Assess Similarity of Covariance Matrices

DOI10.1080/00031305.2013.791643OpenAlexW2119938240WikidataQ58244830 ScholiaQ58244830MaRDI QIDQ5877122FDOQ5877122

Antonio Punzo, Francesca Greselin

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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• On closed testing procedures with special reference to ordered analysis of variance
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• Assessing the pattern of covariance matrices via an augmentation multiple testing procedure
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• Error rates in quadratic discrimination with constraints on the covariance matrices
• Proportionality of k covariance matrices
• A large-sample model selection criterion based on Kullback's symmetric divergence
• Optimal tests for homogeneity of covariance, scale, and shape
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• The comparison of sample covariance matrices using likelihood ratio tests
• Advantages of the Closed Testing Method in Multiple Comparisons Procedures

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
• Parsimony and parameter estimation for mixtures of multivariate leptokurtic-normal distributions
• Testing for equality of ordered eigenvectors of two multivariate normal populations
• The multivariate tail-inflated normal distribution and its application in finance
• Testing equality of generalized variances of k multivariate normal populations
• Parsimonious Hidden Markov Models for Matrix-Variate Longitudinal Data

Uses Software

• R
• multcomp
• MULTTEST

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