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Hypotheses Testing on Covariance Structures: Comparison of likelihood ratio test, Rao's score test and Wald's score test
University of Tartu, Tartu, Estonia.
Linköping University, Department of Mathematics, Mathematical Statistics . Linköping University, Faculty of Science & Engineering. Swedish University of Agricultural Sciences, Uppsala, Sweden.
University of Tartu, Tartu, Estonia.
2016 (English)In: Stochastic and Data Analysis Methods and Applications in Statistics and Demography / [ed] James R. Bozeman, Teresa Oliveira and Christos H. Skiadas, 2016, p. 423-425Conference paper, Published paper (Refereed)
Abstract [en]

For a normal population likelihood ratio test, Rao’s score test and Wald’s score test for testing covariance structures are compared in the situation when the number of variables and the sample size are growing. Expressions of all three test statistics are derived under the general null-hypothesisΣ=Σ0, using matrix derivative techniques. The special casesΣ=γIpandΣ=Ipare also under consideration. The tests are compared in a simulation experiment with sample sizes varying from 100 to 5000 and dimensionalities from 2 to 50. When the number of variables is growing Rao’s score test behaves most adequately.

Place, publisher, year, edition, pages
2016. p. 423-425
Keywords [en]
Covariance structure, hypotheses testing, likelihood ratio test, Rao’s score test, Wald’s score test
National Category
Probability Theory and Statistics
Identifiers
URN: urn:nbn:se:liu:diva-152256ISBN: 9786185180188 (print)ISBN: 9786185180195 (electronic)OAI: oai:DiVA.org:liu-152256DiVA, id: diva2:1258246
Conference
The 16th Conference of the Applied Stochastic Models and Data Analysis International Society, University of Piraeus, Athens, Greece. 30 June - 4 July 2015
Available from: 2018-10-24 Created: 2018-10-24 Last updated: 2018-11-09Bibliographically approved

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von Rosen, Dietrich

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Citation style
  • apa
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  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
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Output format
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  • asciidoc
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