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AN EXACT CONDITIONAL TEST FOR COVARIANCE SELECTION MODELS
Author(s) -
Davison A.C.,
Smith P.W.F.,
Whittaker J.
Publication year - 1991
Publication title -
australian journal of statistics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.434
H-Index - 41
eISSN - 1467-842X
pISSN - 0004-9581
DOI - 10.1111/j.1467-842x.1991.tb00437.x
Subject(s) - covariance , selection (genetic algorithm) , mathematics , test (biology) , conditional variance , covariance function , statistics , computer science , econometrics , artificial intelligence , volatility (finance) , paleontology , biology , autoregressive conditional heteroskedasticity
Summary An exact conditional test is developed for testing the absence of an edge in a graphical covariance selection model and is shown to be equivalent to a test based on the partial correlation coefficient. An example is given.