The Distribution of the Maximum Likelihood Estimator in Invariant Gaussian Graphical Models and its Application to Likelihood Ratio Tests

  • The distribution of the maximum likelihood estimator of the covariance matrix in a class of invariant Gaussian graphical models is determined and seen to belong to the class of generalized Riesz distributions. For testing two nested models, the distribution of the likelihood ratio statistic under the null hypothesis is shown to be of Box type, so that accurate approximation techniques are applicable.

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Metadaten
Author:Andreas Käufl
URN:urn:nbn:de:bvb:384-opus4-21756
Frontdoor URLhttps://opus.bibliothek.uni-augsburg.de/opus4/2175
Series (Serial Number):Preprints des Instituts für Mathematik der Universität Augsburg (2012-16)
Type:Preprint
Language:English
Publishing Institution:Universität Augsburg
Release Date:2012/12/17
Tag:maximum likelihood estimator; invariant Gaussian graphical model; likelihood ratio test; generalized Riesz distribution; dimension reduction; box approximation
GND-Keyword:Maximum-Likelihood-Schätzung; Likelihood-Quotienten-Test; Graphisches Modell; Wahrscheinlichkeitsverteilung
Institutes:Mathematisch-Naturwissenschaftlich-Technische Fakultät / Institut für Mathematik
Dewey Decimal Classification:5 Naturwissenschaften und Mathematik / 51 Mathematik / 510 Mathematik
Licence (German):License LogoDeutsches Urheberrecht