Testing Equality of Multiple Power Spectral Density Matrices
نویسندگان
چکیده
منابع مشابه
Resampling-based methods in single and multiple testing for equality of covariance/correlation matrices.
Traditional resampling-based tests for homogeneity in covariance matrices across multiple groups resample residuals, that is, data centered by group means. These residuals do not share the same second moments when the null hypothesis is false, which makes them difficult to use in the setting of multiple testing. An alternative approach is to resample standardized residuals, data centered by gro...
متن کاملTesting equality of covariance matrices when data are incomplete
In the statistics literature, a number of procedures have been proposed for testing equality of several groups’ covariance matrices when data are complete, but this problem has not been considered for incomplete data in a general setting. This paper proposes statistical tests for equality of covariance matrices when data are missing. AWald test (denoted by T1), a likelihood ratio test (LRT) (de...
متن کاملA robust testing procedure for the equality of covariance matrices
In classical statistics the likelihood ratio statistic used in testing hypotheses about covariance matrices does not have a closed form distribution, but asymptotically under strong normality assumptions is a function of the 2-distribution. This distributional approximation totally fails if the normality assumption is not completely met. In this paper we will present multivariate robust testing...
متن کاملSpectral Density of Sparse Sample Covariance Matrices
Applying the replica method of statistical mechanics, we evaluate the eigenvalue density of the large random matrix (sample covariance matrix) of the form J = ATA, where A is an M × N real sparse random matrix. The difference from a dense random matrix is the most significant in the tail region of the spectrum. We compare the results of several approximation schemes, focusing on the behavior in...
متن کاملOn spectral density of Neumann matrices
In hep-th/0111281 the complete set of eigenvectors and eigenvalues of Neumann matrices was found. It was shown also that the spectral density contains a divergent constant piece that being regulated by truncation at level L equals logL 2π . In this paper we find an exact analytic expression for the finite part of the spectral density. This function allows one to calculate finite parts of variou...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: IEEE Transactions on Signal Processing
سال: 2018
ISSN: 1053-587X,1941-0476
DOI: 10.1109/tsp.2018.2875884