Unbiased modified likelihood ratio tests for simple and double separability of a variance–covariance structure

A.M. Manceur and P. Dutilleul

Statistics & Probability Letters, 2013, vol. 83, issue 2, 631-636

Abstract: We present modified likelihood ratio tests (LRTs) for simple and double separability of a variance–covariance structure, unbiased in finite samples. The modification is a penalty-based homothetic transformation of the LRT statistic. Optimal penalties, depending on the mean model, contain novel information.

Keywords: Bias in likelihood ratio testing; Modified test statistic; Penalty factor; Separable variance–covariance structures; Multi-dimensional normal distribution models (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (2)

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DOI: 10.1016/j.spl.2012.10.020

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