Journal article
The likelihood ratio test for a separable covariance matrix
Statistics & probability letters, Vol.73(4), pp.449-457
2005
DOI: 10.1016/j.spl.2005.04.020
Abstract
We consider the problem of testing whether a covariance matrix has a separable (Kronecker product) structure. Such structure is of particular interest when the observed variables can be cross-classified by two factors, as occurs for example when comparable or identical characteristics are measured on several parts of each subject. We derive the likelihood ratio test for separability on the basis of a random sample from a multivariate normal population, and we establish an invariance property of the test statistic that allows us to table its null distribution. An example illustrates the methodology.
Details
- Title: Subtitle
- The likelihood ratio test for a separable covariance matrix
- Creators
- Nelson Lu - Wyeth Research, Pearl River, NY 10965, USADale L Zimmerman - University of Iowa
- Resource Type
- Journal article
- Publication Details
- Statistics & probability letters, Vol.73(4), pp.449-457
- Publisher
- Elsevier B.V
- DOI
- 10.1016/j.spl.2005.04.020
- ISSN
- 0167-7152
- eISSN
- 1879-2103
- Language
- English
- Date published
- 2005
- Academic Unit
- Statistics and Actuarial Science; Biostatistics
- Record Identifier
- 9984257736402771
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