Title

Reduced-Rank Estimation Of The Difference Between Two Covariance Matrices

Keywords

Comparison of covariance matrices; Likelihood ratio test; Maximum likelihood estimators

Abstract

We consider m × m covariance matrices, Σ1 and Σ2, which satisfy Σ2 - Σ1 = Δ, where Δ has a specified rank. Maximum likelihood estimators of Σ1 and Σ2 are obtained when sample covariance matrices having Wishart distributions are available and rank (Δ) is known. The likelihood ratio statistic for a test about the value of rank (Δ) is also given and some properties of its null distribution are obtained. The methods developed in this paper are illustrated through an example. © 2009 Elsevier B.V. All rights reserved.

Publication Date

4-1-2010

Publication Title

Journal of Statistical Planning and Inference

Volume

140

Issue

4

Number of Pages

1038-1043

Document Type

Article

Personal Identifier

scopus

DOI Link

https://doi.org/10.1016/j.jspi.2009.10.005

Socpus ID

71649090643 (Scopus)

Source API URL

https://api.elsevier.com/content/abstract/scopus_id/71649090643

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