Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1149320 | Journal of Statistical Planning and Inference | 2010 | 6 Pages |
Abstract
We consider m×mm×m covariance matrices, Σ1Σ1 and Σ2Σ2, which satisfy Σ2-Σ1=ΔΣ2-Σ1=Δ, where ΔΔ has a specified rank. Maximum likelihood estimators of Σ1Σ1 and Σ2Σ2 are obtained when sample covariance matrices having Wishart distributions are available and rank(Δ)rank(Δ) is known. The likelihood ratio statistic for a test about the value of rank(Δ)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.
Related Topics
Physical Sciences and Engineering
Mathematics
Applied Mathematics
Authors
James R. Schott,