The comparison of sample covariance matrices using likelihood ratio tests

DOI10.1093/BIOMET/74.4.841MaRDI QIDQ3765056zbMATH OpenOpenAlexFDO

Authors John C. W. Rayner, Bryan F. J. Manly

Publication date 1987

Published in Biometrika (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1093/biomet/74.4.841

zbMATH Keywords

comparison of sample covariance matricescorrelationlikelihood ratio testmultivariate normalitypartition of chi- squaredproportional covariance matricesvariance differences

Mathematics Subject Classification ID

Hypothesis testing in multivariate analysis (62H15)

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• Error rates in quadratic discrimination with constraints on the covariance matrices
• A note on Silvey's (1959) theorem
• Robust plug-in estimators in proportional scatter models.
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• A high dimensional nonparametric test for proportional covariance matrices
• A shrinkage approach to joint estimation of multiple covariance matrices
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• High-dimensional testing for proportional covariance matrices
• Comparison between two types of large sample covariance matrices
• Bayesian modeling of several covariance matrices and some results on propriety of the posterior for linear regression with correlated and/or heterogeneous errors
• Two step-down tests for equality of covariance matrices
• Influence functions of two families of robust estimators under proportional scatter matrices
• Performance evaluation of likelihood-ratio tests for assessing similarity of the covariance matrices of two multivariate normal populations
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• Application of multiple comparison type procedures to the eigenvalues of §^-1₁:§₂:
• Estimation of gaussian mixtures with rotationally invariant covariance matrices
• Combined Bayesian estimates for the equicorrelation coefficient
• The influence in comparing covariance matrices
• Multilinear common component analysis via Kronecker product representation
• On the spectral decomposition in normal discriminant analysis
• Closed Likelihood Ratio Testing Procedures to Assess Similarity of Covariance Matrices
• A Bayesian hierarchical sparse factor model for estimating simultaneous covariance matrices for gestational outcomes in consecutive pregnancies
• Two Sample Test for Covariance Matrices in Ultra-High Dimension
• Type-1 beta distribution and its connections to likelihood ratio test
• Between-group analysis with heterogeneous covariance matrices: The common principal component model
• Likelihood ratio tests of correlated multivariate samples
• Simultaneous modelling of the Cholesky decomposition of several covariance matrices
• Asymptotic results for decomposing a likelihood-ratio statistic into separate components
• Regularization of the location model in discrimination with mixed discrete and continuous variables

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