Preliminary Multiple-Test Estimation, With Applications to k -Sample Covariance Estimation
预先多重检验估计及其在多样本协方差估计中的应用
Multisample covariance estimation—that is, estimation of the covariance matrices associated with k distinct populations—is a classical problem in multivariate statistics. A common solution is to base estimation on the outcome of a test that these covariance matrices show some given pattern. Such a preliminary test may, for example, investigate whether or not the various covariance matrices are equal to each other (test of homogeneity), or whether or not they have common…