liu.seSearch for publications in DiVA
Change search
CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • oxford
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf
Estimating and Testing a Doubly Exchangeable Covariance Matrix using Rao's Score Test
Safarik Univ, Slovakia.
Univ Texas San Antonio, TX 78249 USA.
Linköping University, Department of Mathematics, Applied Mathematics. Linköping University, Faculty of Science & Engineering.
Poznan Univ Tech, Poland.
2025 (English)In: SANKHYA-SERIES B-APPLIED AND INTERDISCIPLINARY STATISTICS, ISSN 0976-8386Article in journal (Refereed) 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.

Place, publisher, year, edition, pages
SPRINGER , 2025.
Keywords [en]
Doubly exchangeable covariance matrix; Maximum likelihood estimators; Rao's score test; Empirical null distribution; Monte Carlo simulations
National Category
Probability Theory and Statistics
Identifiers
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
Available from: 2025-06-03 Created: 2025-06-03 Last updated: 2025-06-03

Open Access in DiVA

No full text in DiVA

Other links

Publisher's full textScopus

Search in DiVA

By author/editor
von Rosen, Dietrich
By organisation
Applied MathematicsFaculty of Science & Engineering
Probability Theory and Statistics

Search outside of DiVA

GoogleGoogle Scholar

doi
urn-nbn

Altmetric score

doi
urn-nbn
Total: 80 hits
CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • oxford
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf