Reduced-rank estimation of the difference between two covariance matrices

    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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