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Estimating and Testing a Doubly Exchangeable Covariance Matrix using Rao's Score Test
Safarik Univ, Slovakia.
Univ Texas San Antonio, TX 78249 USA.
Linköpings universitet, Matematiska institutionen, Tillämpad matematik. Linköpings universitet, Tekniska fakulteten.
Poznan Univ Tech, Poland.
2025 (engelsk)Inngår i: SANKHYA-SERIES B-APPLIED AND INTERDISCIPLINARY STATISTICS, ISSN 0976-8386Artikkel i tidsskrift (Fagfellevurdert) Epub ahead of print
Abstract [en]

Under the assumption of multivariate normality Rao's score test is utilized to test the hypothesis that a covariance matrix has a double exchangeable structure, i.e., three-level array-variate data obey a nested rotational invariant covariance structure. The alternative hypothesis assumes an unstructured covariance matrix. An advantage of Rao's score test is that one does not have to estimate parameters under both the null and alternative hypothesis: Rao's score test can be performed for small samples, even smaller than the dimension of the data, where the likelihood ratio test cannot be. Simulation studies are performed to study the effects of sample sizes, and to estimate empirical percentiles of Rao's score test statistic, under the null hypothesis. The test is investigated with three real datasets.

sted, utgiver, år, opplag, sider
SPRINGER , 2025.
Emneord [en]
Doubly exchangeable covariance matrix; Maximum likelihood estimators; Rao's score test; Empirical null distribution; Monte Carlo simulations
HSV kategori
Identifikatorer
URN: urn:nbn:se:liu:diva-214205DOI: 10.1007/s13571-025-00366-yISI: 001492850500001Scopus ID: 2-s2.0-105005798685OAI: oai:DiVA.org:liu-214205DiVA, id: diva2:1963257
Tilgjengelig fra: 2025-06-03 Laget: 2025-06-03 Sist oppdatert: 2025-06-03

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