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A multivariate one-way classification model with random effects

In this paper a multivariate generalization of the one-way random effects model is investigated, maximum likelihood estimators are obtained, and the likelihood ratio test is derived for an hypothesis on the rank of the covariance matrix of the random effect vectors. Properties of the likelihood ratio test are investigated. A sequential procedure for determining the rank of the covariance matrix of the random effect vectors is presented.
Year of publication:
1984
Authors: Schott, James R. ; Saw, John G.
Published in:
Journal of Multivariate Analysis. - Elsevier, ISSN 0047-259X. - Vol. 15.1984, 1, p. 1-12
Publisher: Elsevier
Keywords: Random effects model maximum likelihood estimators likelihood ratio test distribution of latent roots
Type of publication: Article
Source:
Persistent link: https://www.econbiz.de/10005152774
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