Testing covariance structures belonging to a quadratic subspace under a doubly multivariate model
Katarzyna Filipiak,
Mateusz John,
Yuli Liang
Abstract:A hypothesis related to the block structure of a covariance matrix under the doubly multivariate normal model is studied. It is assumed that the block structure of the covariance matrix belongs to a quadratic subspace, and under the null hypothesis, each block of the covariance matrix also has a structure belonging to some quadratic subspace. The Rao score and the likelihood ratio test statistics are derived, and the exact distribution of the likelihood ratio test is determined. Simulation studies show the adv… Show more
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