Search Results - subject:"Covariance matrix"

Equivalence testing of mean vector and covariance matrix for multi-populations under a two-step monotone incomplete sample

Tsukada, Shin-ichi - In: Journal of Multivariate Analysis 132 (2014) C, pp. 183-196

This paper investigates the hypothesis testing of a mean vector and covariance matrix for multi-populations in the … context of two-step monotone incomplete data drawn from Np+q(μ,Σ), a multivariate normal population with mean μ and covariance … matrix Σ. Three null hypotheses are considered, and the likelihood ratio criterion and Wald-type criterion are derived. On …

Persistent link: https://www.econbiz.de/10011042029

Covariance matrix of the bias-corrected maximum likelihood estimator in generalized linear models

Cordeiro, Gauss; Botter, Denise; Cavalcanti, Alexsandro; … - In: Statistical Papers 55 (2014) 3, pp. 643-652

}$$</EquationSource> </InlineEquation> asymptotic covariance matrix of the bias-corrected maximum likelihood estimators of the linear …

Persistent link: https://www.econbiz.de/10010998635

An exact test about the covariance matrix

Gupta, Arjun K.; Bodnar, Taras - In: Journal of Multivariate Analysis 125 (2014) C, pp. 176-189

In the present paper, we propose an exact test on the structure of the covariance matrix. In its development the … provides more information about the changes in the covariance matrix. Via an extensive simulation study the new approach is …

Persistent link: https://www.econbiz.de/10010743756

Moderation Analysis Using a Two-Level Regression Model

Yuan, Ke-Hai; Cheng, Ying; Maxwell, Scott - In: Psychometrika 79 (2014) 4, pp. 701-732

Moderation analysis is widely used in social and behavioral research. The most commonly used model for moderation analysis is moderated multiple regression (MMR) in which the explanatory variables of the regression model include product terms, and the model is typically estimated by least...

Persistent link: https://www.econbiz.de/10011151905

On normal stable Tweedie models and power-generalized variance functions of only one component

Maïnassara, Yacouba Boubacar; Kokonendji, Célestin - In: TEST: An Official Journal of the Spanish Society of … 23 (2014) 3, pp. 585-606

introduced for getting a simple form of the determinant of the covariance matrix, so-called generalized variance. As alternatives …

Persistent link: https://www.econbiz.de/10010994265

Asymptotic power of likelihood ratio tests for high dimensional data

Wang, Cheng - In: Statistics & Probability Letters 88 (2014) C, pp. 184-189

This paper studies the asymptotic power of the likelihood ratio test (LRT) for the identity test when the dimension p is large compared to the sample size n. The asymptotic distribution under local alternatives is derived and a simulation study is carried out to compare LRT with other tests. All...

Persistent link: https://www.econbiz.de/10010752974

Estimation of the Cholesky decomposition in a conditional independent normal model with missing data

He, Daojiang; Xu, Kai - In: Statistics & Probability Letters 88 (2014) C, pp. 27-39

We investigate the problem of estimating the Cholesky decomposition in a conditional independent normal model with missing data. Explicit expressions for the maximum likelihood estimators and unbiased estimators are derived. By introducing a special group, we obtain the best equivariant estimators.

Persistent link: https://www.econbiz.de/10010752976

Estimation of the covariance matrix in multivariate partially linear models

Przystalski, Marcin - In: Journal of Multivariate Analysis 123 (2014) C, pp. 380-385

estimators of treatment effects and nonparametric components have been proposed. In this note, the estimator of the covariance … matrix in multivariate partially linear models is derived and some of its properties are given. …

Persistent link: https://www.econbiz.de/10010718985

A test for the equality of multiple Sharpe ratios

Wright, John; Yam, Sheung Chi Phillip; Yung, Siu Pang - In: Journal of risk 16 (2013/2014) 4, pp. 3-21

Persistent link: https://www.econbiz.de/10013262931

Directed principal component analysis

Kao, Yi-hao; Van Roy, Benjamin - In: Operations research 62 (2014) 4, pp. 957-972

Persistent link: https://www.econbiz.de/10010403095