Title

Reduced-rank estimation of the difference between two covariance matrices

Authors

Authors

J. R. Schott

Comments

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Abbreviated Journal Title

J. Stat. Plan. Infer.

Keywords

Comparison of covariance matrices; Likelihood ratio test; Maximum; likelihood estimators; COMMON PRINCIPAL COMPONENTS; TESTS; EQUALITY; MODELS; Statistics & Probability

Abstract

We consider in m x m covariance matrices, Sigma(1) and Sigma(2), which satisfy Sigma(2) - Sigma(1) = Delta, where Delta has a specified rank. Maximum likelihood estimators of Sigma(1), and Sigma(2) are obtained when sample covariance matrices having Wishart distributions are available and rank(Delta) is known. The likelihood ratio statistic for a test about the value of rank(Delta) is also given and some properties of its null distribution are obtained. The methods developed in this paper are illustrated through an example. (C) 2009 Elsevier B.V. All rights reserved.

Journal Title

Journal of Statistical Planning and Inference

Volume

140

Issue/Number

4

Publication Date

1-1-2010

Document Type

Article

Language

English

First Page

1038

Last Page

1043

WOS Identifier

WOS:000273659900017

ISSN

0378-3758

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