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Two-sample intraclass correlation coefficient tests for matrix-valued data

Author

Listed:
  • Liang, Yuli

    (Department of Economics and Statistics)

  • Hao, Chengcheng

    (Departmet of Data Science, School of Statistics and Information, Shanghai University of International Business and Economics, China)

  • Dai, Deliang

    (Department of Economics and Statistics)

Abstract

Under a model having a Kronecker product covariance structure with compound symmetry or circular symmetry, two-sample hypothesis testing for the equality of two correlation parameters is considered. Different tests are proposed by using the ratio of independent F distributions. Several tests are compared with the proposed ones and practical recommendations are made based on their type I error probabilities and powers. Finally, all mentioned tests are applied to a real data example.

Suggested Citation

  • Liang, Yuli & Hao, Chengcheng & Dai, Deliang, 2024. "Two-sample intraclass correlation coefficient tests for matrix-valued data," Working Papers in Economics and Statistics 6/2024, Linnaeus University, School of Business and Economics, Department of Economics and Statistics.
    • Handle: RePEc:hhs:vxesta:2024_006
    as

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    File URL: https://ekonomihogskolan.lnu.se/vxesta/24-06_Two-sample-intraclass-correlation-coefficient-tests.pdf
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    References listed on IDEAS

    as
    1. Hao, Chengcheng & Liang, Yuli & Mathew, Thomas, 2016. "Testing variance parameters in models with a Kronecker product covariance structure," Statistics & Probability Letters, Elsevier, vol. 118(C), pages 182-189.
    2. Lu, Nelson & Zimmerman, Dale L., 2005. "The likelihood ratio test for a separable covariance matrix," Statistics & Probability Letters, Elsevier, vol. 73(4), pages 449-457, July.
    3. Roy, Anuradha & Leiva, Ricardo, 2008. "Likelihood ratio tests for triply multivariate data with structured correlation on spatial repeated measurements," Statistics & Probability Letters, Elsevier, vol. 78(13), pages 1971-1980, September.
    4. Yuli Liang & Dietrich Rosen & Tatjana Rosen, 2021. "On properties of Toeplitz-type covariance matrices in models with nested random effects," Statistical Papers, Springer, vol. 62(6), pages 2509-2528, December.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Kronecker covariance structure; Higher order asymptotics; Ratio of F distributions;
    All these keywords.

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General

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