A test of location for exchangeable multivariate normal data with unknown correlation
We consider the problem of testing whether the common mean of a single n-vector of multivariate normal random variables with known variance and unknown common correlation [rho] is zero. We derive the standardized likelihood ratio test for known [rho] and explore different ways of proceeding with [rho] unknown. We evaluate the performance of the standardized statistic where [rho] is replaced with an estimate of [rho] and determine the critical value cn that controls the type I error rate for the least favorable [rho] in [0,1]. The constant cn increases with n and this procedure has pathological behavior if [rho] depends on n and [rho]n converges to zero at a certain rate. As an alternate approach, we replace [rho] with the upper limit of a (1-[beta]n) confidence interval chosen so that cn=c for all n. We determine [beta]n so that the type I error rate is exactly controlled for all [rho] in [0,1]. We also investigate a simpler approach where we bound the type I error rate. The former method performs well for all n while the less powerful bound method may be a useful in some settings as a simple approach. The proposed tests can be used in different applications, including within-cluster resampling and combining exchangeable p-values.
If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Volume (Year): 104 (2012)
Issue (Month): 1 (February)
|Contact details of provider:|| Web page: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description |
|Order Information:|| Postal: http://www.elsevier.com/wps/find/supportfaq.cws_home/regional|
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Kost, James T. & McDermott, Michael P., 2002. "Combining dependent P-values," Statistics & Probability Letters, Elsevier, vol. 60(2), pages 183-190, November.
When requesting a correction, please mention this item's handle: RePEc:eee:jmvana:v:104:y:2012:i:1:p:115-125. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Zhang, Lei)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.