An accurate test for the equality of covariance matrices from decomposable graphical Gaussian models

作者：Wu Yanyan; Massam Helene^*; Wong Augustine

来源：Canadian Journal of Statistics, 2014, 42(1): 61-77.

DOI：10.1002/cjs.11201

• Cumulant generating function
• Adjusted likelihood ratio test statistic
• decomposable graphical models
• Bartlett-Box M-statistic
• Primary 62H15
• equality of covariance matrices
• MSC 2010
• Lugannani and rice formula
• secondary 62E20

Abstract
This paper derives a saddlepoint based approximation for the cumulative distribution function of the Bartlett-Box M-statistic that tests the equality of covariance matrices for several samples from graphical Gaussian models Markov with respect to a decomposable graph G. The proposed saddlepoint-based method has third-order accuracy (O(n-3/2)). Simulation results show that the proposed method has extremely good coverage properties even when the sample size is small. We apply our method to the well-known Call Centre data set and show that the covariance matrix is not constant through time.

• 出版日期2014-3