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Testing in multivariate normal models with block circular covariance structures
Stockholm University, Faculty of Social Sciences, Department of Statistics.
Stockholm University, Faculty of Social Sciences, Department of Statistics.
2015 (English)Report (Other academic)
Abstract [en]

In this article, the results concerning hypothesis testing in multivariate normal models with block circular covariance structures are obtained. Hypotheses about a general block structure of the covariance matrix and specific covariance parameters have been of main interest. In addition, the tests about patterned mean vectors have been considered.The corresponding likelihood ratio statistics are derived and their null distributions are studied.

Place, publisher, year, edition, pages
Stockholm: Department of Statistics, Stockholm University , 2015.
Series
Research Report / Department of Statistics, Stockholm University, ISSN 0280-7564 ; 2
Keyword [en]
Beta random variables, Canonical reduction, Covariance parameters, Likelihood ratio test, Restricted model
National Category
Probability Theory and Statistics
Research subject
Statistics
Identifiers
URN: urn:nbn:se:su:diva-115320OAI: oai:DiVA.org:su-115320DiVA: diva2:797952
Available from: 2015-03-25 Created: 2015-03-19 Last updated: 2015-04-20Bibliographically approved
In thesis
1. Contributions to Estimation and Testing Block Covariance Structures in Multivariate Normal Models
Open this publication in new window or tab >>Contributions to Estimation and Testing Block Covariance Structures in Multivariate Normal Models
2015 (English)Doctoral thesis, comprehensive summary (Other academic)
Abstract [en]

This thesis concerns inference problems in balanced random effects models with a so-called block circular Toeplitz covariance structure. This class of covariance structures describes the dependency of some specific multivariate two-level data when both compound symmetry and circular symmetry appear simultaneously.

We derive two covariance structures under two different invariance restrictions. The obtained covariance structures reflect both circularity and exchangeability present in the data. In particular, estimation in the balanced random effects with block circular covariance matrices is considered. The spectral properties of such patterned covariance matrices are provided. Maximum likelihood estimation is performed through the spectral decomposition of the patterned covariance matrices. Existence of the explicit maximum likelihood estimators is discussed and sufficient conditions for obtaining explicit and unique estimators for the variance-covariance components are derived. Different restricted models are discussed and the corresponding maximum likelihood estimators are presented.

This thesis also deals with hypothesis testing of block covariance structures, especially block circular Toeplitz covariance matrices. We consider both so-called external tests and internal tests. In the external tests, various hypotheses about testing block covariance structures, as well as mean structures, are considered, and the internal tests are concerned with testing specific covariance parameters given the block circular Toeplitz structure. Likelihood ratio tests are constructed, and the null distributions of the corresponding test statistics are derived.

Place, publisher, year, edition, pages
Stockholm: Department of Statistics, Stockholm Univeristy, 2015. 54 p.
Keyword
Block circular symmetry, covariance parameters, explicit maximum likelihood estimator, likelihood ratio test, restricted model, Toeplitz matrix
National Category
Probability Theory and Statistics
Research subject
Statistics
Identifiers
urn:nbn:se:su:diva-115347 (URN)978-91-7649-136-2 (ISBN)
Public defence
2015-05-11, De Geersalen, Geovetenskapens hus, Svante Arrhenius väg 14, Stockholm, 10:00 (English)
Opponent
Supervisors
Available from: 2015-04-17 Created: 2015-03-19 Last updated: 2015-04-20Bibliographically approved

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