Simon Fraser University

Example 24.9: Optimal Design in the Presence of Covariance

The BLOCKS statement finds a design that maximizes the determinant |X'AX| of the treatment information matrix, where A depends on the block or covariate model. Alternatively, you can directly specify ...
Simon Fraser University

Example 41.2: Repeated Measures

The following data are from Pothoff and Roy (1964) and consist of growth measurements for 11 girls and 16 boys at ages 8, 10, 12, and 14. Some of the observations are suspect (for example, the third ...
JSTOR Daily

Parsimonious Covariance Matrix Estimation for Longitudinal Data

This article proposes a data-driven method to identify parsimony in the covariance matrix of longitudinal data and to exploit any such parsimony to produce a statistically efficient estimator of the ...
International Monetary Fund

High-Dimensional Covariance Matrix Estimation: Shrinkage Toward a Diagonal Target

Download PDF More Formats on IMF eLibrary Order a Print Copy Create Citation This paper proposes a novel shrinkage estimator for high-dimensional covariance matrices by extending the Oracle ...
JSTOR Daily

Accurate Critical Constants for the One-Sided Approximate Likelihood Ratio Test of a Normal Mean Vector When the Covariance Matrix Is Estimated

Tang, Gnecco, and Geller (1989, Biometrika 76, 577-583) proposed an approximate likelihood ratio (ALR) test of the null hypothesis that a normal mean vector equals a null vector against the ...
Investopedia

How Do You Interpret the Magnitude of the Covariance Between Two Variables?

Investopedia contributors come from a range of backgrounds, and over 25 years there have been thousands of expert writers and editors who have contributed. Dr. JeFreda R. Brown is a financial ...