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The likelihood ratio test for a separable covariance matrix

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  • Lu, Nelson
  • Zimmerman, Dale L.

Abstract

We consider the problem of testing whether a covariance matrix has a separable (Kronecker product) structure. Such structure is of particular interest when the observed variables can be cross-classified by two factors, as occurs for example when comparable or identical characteristics are measured on several parts of each subject. We derive the likelihood ratio test for separability on the basis of a random sample from a multivariate normal population, and we establish an invariance property of the test statistic that allows us to table its null distribution. An example illustrates the methodology.

Suggested Citation

  • 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.
    • Handle: RePEc:eee:stapro:v:73:y:2005:i:4:p:449-457
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    References listed on IDEAS

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    1. W. B. Smith & R. R. Hocking, 1972. "Wishart Variate Generator," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 21(3), pages 341-345, November.
    2. Dayanand Naik & Shantha Rao, 2001. "Analysis of multivariate repeated measures data with a Kronecker product structured covariance matrix," Journal of Applied Statistics, Taylor & Francis Journals, vol. 28(1), pages 91-105.
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