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Permutation based testing on covariance separability

Author

Listed:
  • Seongoh Park

    (Seoul National University)

  • Johan Lim

    (Seoul National University)

  • Xinlei Wang

    (Southern Methodist University)

  • Sanghan Lee

    (Nathan Kline Institute for Psychiatric Research)

Abstract

Separability is an attractive feature of covariance matrices or matrix variate data, which can improve and simplify many multivariate procedures. Due to its importance, testing separability has attracted much attention in the past. The procedures in the literature are of two types, likelihood ratio test (LRT) and Rao’s score test (RST). Both are based on the normality assumption or the large-sample asymptotic properties of the test statistics. In this paper, we develop a new approach that is very different from existing ones. We propose to reformulate the null hypothesis (the separability of a covariance matrix of interest) into many sub-hypotheses (the separability of the sub-matrices of the covariance matrix), which are testable using a permutation based procedure. We then combine the testing results of sub-hypotheses using the Bonferroni and two-stage additive procedures. Our permutation based procedures are inherently distribution free; thus it is robust to non-normality of the data. In addition, unlike the LRT, they are applicable to situations when the sample size is smaller than the number of unknown parameters in the covariance matrix. Our numerical study and data examples show the advantages of our procedures over the existing LRT and RST.

Suggested Citation

  • Seongoh Park & Johan Lim & Xinlei Wang & Sanghan Lee, 2019. "Permutation based testing on covariance separability," Computational Statistics, Springer, vol. 34(2), pages 865-883, June.
    • Handle: RePEc:spr:compst:v:34:y:2019:i:2:d:10.1007_s00180-018-0839-2
    DOI: 10.1007/s00180-018-0839-2
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    References listed on IDEAS

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    1. J. P. Royston, 1983. "Some Techniques for Assessing Multivarate Normality Based on the Shapiro‐Wilk W," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 32(2), pages 121-133, June.
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    3. Mitchell, Matthew W. & Genton, Marc G. & Gumpertz, Marcia L., 2006. "A likelihood ratio test for separability of covariances," Journal of Multivariate Analysis, Elsevier, vol. 97(5), pages 1025-1043, May.
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    6. Wang, Xinlei & Stokes, Lynne & Lim, Johan & Chen, Min, 2006. "Concomitants of Multivariate Order Statistics With Application to Judgment Poststratification," Journal of the American Statistical Association, American Statistical Association, vol. 101, pages 1693-1704, December.
    7. Erning Li & Johan Lim & Kyunga Kim & Shin-Jae Lee, 2012. "Distribution-free tests of mean vectors and covariance matrices for multivariate paired data," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 75(6), pages 833-854, August.
    8. Lu, Nelson & Zimmerman, Dale L., 2005. "The likelihood ratio test for a separable covariance matrix," Statistics & Probability Letters, Elsevier, vol. 73(4), pages 449-457, July.
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    Cited by:

    1. Kim, Seungkyu & Park, Seongoh & Lim, Johan & Lee, Sang Han, 2023. "Robust tests for scatter separability beyond Gaussianity," Computational Statistics & Data Analysis, Elsevier, vol. 179(C).

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