Score test for a separable covariance structure with the first component as compound symmetric correlation matrix

Katarzyna Filipiak, Daniel Klein and Anuradha Roy

Journal of Multivariate Analysis, 2016, vol. 150, issue C, 105-124

Abstract: Likelihood ratio tests (LRTs) for separability of a covariance structure for doubly multivariate data are widely studied in the literature. There are three types of LRT: biased tests based on an asymptotic chi-square null distribution; unbiased/unmodified tests based on an empirical null distribution; and unbiased/modified tests with a test statistic modified to follow a theoretical chi-square null distribution. The Rao’s score test (RST) statistic, an alternative for both biased and unbiased/unmodified versions of the corresponding LRT test statistics, is derived for a common case. In this paper the separability of a covariance structure with the first component as a compound symmetric correlation matrix under the assumption of multivariate normality is tested. For this purpose Monte Carlo simulation studies, which compare the biased LRT to biased RST, and unbiased/unmodified LRT to unbiased/unmodified RST, are conducted. It is shown that the RSTs outperform their corresponding LRTs in the sense of empirical Type I error as well as empirical null distribution. Moreover, since the RST does not require estimation of a general variance–covariance matrix (the alternative hypothesis), RST can be performed for small sample sizes, where the variance–covariance matrix could not be estimated for the corresponding LRT, making the LRT infeasible. Three examples are presented to illustrate and compare statistical inference based on LRT and RST.

Keywords: Rao’s score test; Separable covariance structure; Maximum likelihood estimators; Likelihood ratio test; Empirical null distribution; Monte Carlo simulations (search for similar items in EconPapers)
Date: 2016
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0047259X16300379
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:jmvana:v:150:y:2016:i:c:p:105-124

Ordering information: This journal article can be ordered from
http://www.elsevier.com/wps/find/supportfaq.cws_home/regional
https://shop.elsevie ... _01_ooc_1&version=01

DOI: 10.1016/j.jmva.2016.05.009

Access Statistics for this article

Journal of Multivariate Analysis is currently edited by de Leeuw, J.

More articles in Journal of Multivariate Analysis from Elsevier
Bibliographic data for series maintained by Catherine Liu ().