Testing hypotheses about covariance matrices in general MANOVA designs
نویسندگان
چکیده
We introduce a unified approach for testing variety of rather general null hypotheses that can be formulated in terms covariance matrices. These include as special cases, example, equal variances, traces, or elements the matrix taking certain values. The proposed method only requires very few assumptions and thus promises to broad practical use. Different test statistics are defined, their asymptotic approximate sampling distributions derived. In order particularly improve small-sample behaviour resulting tests, two bootstrap-based methods developed theoretically justified. Several simulations shed light on performance tests. analysis real data set illustrates application procedures.
منابع مشابه
The Beta-MANOVA Ensemble with General Covariance
We find the joint generalized singular value distribution and largest generalized singular value distributions of the β-MANOVA ensemble with positive diagonal covariance, which is general. This has been done for the continuous β > 0 case for identity covariance (in eigenvalue form), and by setting the covariance to I in our model we get another version. For the diagonal covariance case, it has ...
متن کاملLocal Eigenvalue Density for General MANOVA Matrices
We consider random n× n matrices of the form (XX∗ + Y Y ∗)− 1 2 Y Y ∗ (XX∗ + Y Y ∗)− 1 2 , where X and Y have independent entries with zero mean and variance one. These matrices are the natural generalization of the Gaussian case, which are known as MANOVA matrices and which have joint eigenvalue density given by the third classical ensemble, the Jacobi ensemble. We show that, away from the spe...
متن کاملRank-based Procedures for Structural Hypotheses on Covariance Matrices
A wide class of structural models on multivariate normal covariance matrices can be expressed using symmetries. For example, a multivariate normal vector has the intraclass correlation structure (where all variances are equal, and all covariances are equal) if the covariance matrix is invariant under permutation of the components, and the components are independent if the covariance matrix in i...
متن کاملTwo-Way MANOVA With Unequal Cell Sizes and Unequal Cell Covariance Matrices
In this article, we propose a parametric bootstrap (PB) test for testing main, simple and interaction effects in heteroscedastic two-way MANOVA models under multivariate normality. The PB test is shown to be invariant under permutation-transformations, and affinetransformations, respectively.Moreover, the PB test is independent of the choice ofweights used to define the parameters uniquely. The...
متن کاملTesting hypotheses about sun-climate complexity linking.
We reexamine observational evidence presented in support of the hypothesis of a sun-climate complexity linking by N. Scafetta and B. J. West, Phys. Rev. Lett. 90, 248701 (2003)10.1103/PhysRevLett.90.248701, which contended that the integrated solar flare index (SFI) and the global temperature anomaly (GTA) both follow Lévy walk statistics with the same waiting-time exponent mu approximately 2.1...
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: Journal of Statistical Planning and Inference
سال: 2022
ISSN: ['1873-1171', '0378-3758']
DOI: https://doi.org/10.1016/j.jspi.2021.12.001