IDEAS home Printed from https://ideas.repec.org/a/eee/stapro/v4y1986i1p29-33.html
   My bibliography  Save this article

Proportionality of k covariance matrices

Author

Listed:
  • Flury, Bernhard K.

Abstract

This article discusses maximum likelihood estimation of proportional covariance matrices under normality assumptions. An algorithm for solving the likelihood equations and the likelihood ratio statistic for testing the hypothesis of proportionality are given. The method is illustrated by a numerical example.

Suggested Citation

  • Flury, Bernhard K., 1986. "Proportionality of k covariance matrices," Statistics & Probability Letters, Elsevier, vol. 4(1), pages 29-33, January.
    • Handle: RePEc:eee:stapro:v:4:y:1986:i:1:p:29-33
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/0167-7152(86)90035-0
    Download Restriction: Full text for ScienceDirect subscribers only
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Tsukuda, Koji & Matsuura, Shun, 2019. "High-dimensional testing for proportional covariance matrices," Journal of Multivariate Analysis, Elsevier, vol. 171(C), pages 412-420.
    2. Xu, Lin & Liu, Baisen & Zheng, Shurong & Bao, Shaokun, 2014. "Testing proportionality of two large-dimensional covariance matrices," Computational Statistics & Data Analysis, Elsevier, vol. 78(C), pages 43-55.
    3. Luca Bagnato & Antonio Punzo, 2021. "Unconstrained representation of orthogonal matrices with application to common principal components," Computational Statistics, Springer, vol. 36(2), pages 1177-1195, June.
    4. Liu, Baisen & Xu, Lin & Zheng, Shurong & Tian, Guo-Liang, 2014. "A new test for the proportionality of two large-dimensional covariance matrices," Journal of Multivariate Analysis, Elsevier, vol. 131(C), pages 293-308.
    5. Schott, James R., 1999. "A test for proportional covariance matrices," Computational Statistics & Data Analysis, Elsevier, vol. 32(2), pages 135-146, December.
    6. Xu, Kai & Tian, Yan & He, Daojiang, 2021. "A high dimensional nonparametric test for proportional covariance matrices," Journal of Multivariate Analysis, Elsevier, vol. 184(C).
    7. Cheng, Guanghui & Liu, Baisen & Tian, Guoliang & Zheng, Shurong, 2020. "Testing proportionality of two high-dimensional covariance matrices," Computational Statistics & Data Analysis, Elsevier, vol. 150(C).
    8. Graciela Boente & Frank Critchley & Liliana Orellana, 2007. "Influence functions of two families of robust estimators under proportional scatter matrices," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 15(3), pages 295-327, February.
    9. Graciela Boente & Frank Critchley & Liliana Orellana, 2007. "Influence functions of two families of robust estimators under proportional scatter matrices," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 15(3), pages 295-327, February.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:stapro:v:4:y:1986:i:1:p:29-33. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.