Recent Developments in Multivariate and Random Matrix Analysis: Festschrift in Honour of Dietrich von Rosen PDF
Preview Recent Developments in Multivariate and Random Matrix Analysis: Festschrift in Honour of Dietrich von Rosen
Thomas Holgersson Martin Singull Editors Recent Developments in Multivariate and Random Matrix Analysis Festschrift in Honour of Dietrich von Rosen Recent Developments in Multivariate and Random Matrix Analysis Thomas Holgersson • Martin Singull Editors Recent Developments in Multivariate and Random Matrix Analysis Festschrift in Honour of Dietrich von Rosen Editors ThomasHolgersson MartinSingull DepartmentofEconomicsandStatistics DepartmentofMathematics LinnaeusUniversity Linko¨pingUniversity Va¨xjo¨,Sweden Linko¨ping,Sweden ISBN978-3-030-56772-9 ISBN978-3-030-56773-6 (eBook) https://doi.org/10.1007/978-3-030-56773-6 ©SpringerNatureSwitzerlandAG2020 Thisworkissubjecttocopyright.AllrightsarereservedbythePublisher,whetherthewholeorpartof thematerialisconcerned,specificallytherightsoftranslation,reprinting,reuseofillustrations,recitation, broadcasting,reproductiononmicrofilmsorinanyotherphysicalway,andtransmissionorinformation storageandretrieval,electronicadaptation,computersoftware,orbysimilarordissimilarmethodology nowknownorhereafterdeveloped. Theuseofgeneraldescriptivenames,registerednames,trademarks,servicemarks,etc.inthispublication doesnotimply,evenintheabsenceofaspecificstatement,thatsuchnamesareexemptfromtherelevant protectivelawsandregulationsandthereforefreeforgeneraluse. Thepublisher,theauthors,andtheeditorsaresafetoassumethattheadviceandinformationinthisbook arebelievedtobetrueandaccurateatthedateofpublication.Neitherthepublishernortheauthorsor theeditorsgiveawarranty,expressedorimplied,withrespecttothematerialcontainedhereinorforany errorsoromissionsthatmayhavebeenmade.Thepublisherremainsneutralwithregardtojurisdictional claimsinpublishedmapsandinstitutionalaffiliations. ThisSpringerimprintispublishedbytheregisteredcompanySpringerNatureSwitzerlandAG. Theregisteredcompanyaddressis:Gewerbestrasse11,6330Cham,Switzerland To Dietrich Preface DietrichvonRosenreceivedhisPhDinMathematicalStatisticsfromtheStockholm Universityin1985with hisdissertation“MultivariateLinearNormalModelswith SpecialReferencestotheGrowthCurveModel.”Hestayedatthesameuniversity as assistant professor until 1990, after which he worked as a senior lecturer in Mathematical Statistics at the Uppsala University. In 1998, he obtained a full professorshipinStatisticsattheSwedishUniversityofAgriculturalSciences.Since 2009,hehasbeenalsoactiveasanadjoinedprofessorinMathematicalStatisticsat theLinköpingUniversity.Furthermore,vonRosenhasbeenworkingatthemedical university in Stockholm, Karolinska Institutet, for 6 years and is an Honorary Doctor at the University of Tartu, Estonia, since 2014. Professor von Rosen has writtenmorethan120peer-reviewedarticlesand2books(1togetherwithProfessor TõnuKollo, Universityof Tartu)and hasbeen a supervisorformore than20 PhD theses in areas such as statistics, mathematical statistics, and biometry. He is a frequentlyinvitedspeakeratinternationalconferences,theeditor-in-chiefofJournal ofMultivariateAnalysis,andtheassociateeditoroffourotherjournals. This volume is a tribute to Professor von Rosen on the occasion of his 65th birthday. It contains a collection of 20 papers (ordered alphabetically by the first author) by 45 colleaguesand researchers, some of whom are his former students, from 16 countries.The contentsof the papersevolve aroundmultivariateanalysis and randommatrices with topics such as high-dimensionalanalysis, goodness-of- fit measures, variable selection and information criteria, inference of covariance structures,theWishartdistribution,and,ofcourse,growthcurvemodels.Although a scientific bookperhapsis rarelyreadin its fulllength,we hopeand believethat ProfessorvonRosencannotresistreadingthisonefromfronttoback.Indeed,each ofthecontributionsisfoundedonhisownworkinonewayoranother. It would not be right to characterize von Rosen only by his academic and scientific merits. Although any successful scientist will receive a certain amount ofattention,muchofvonRosen’spopularityamongcolleaguesandfriendsis due tohiskindandrelaxedattitude.Heisalwayseagertointeractwithhisaudiencebut yetverypoliteandrespectfulwitheveryone. vii viii Preface Whentakingonthetaskoflaunchingaprojectlikethis,oneneverknowshowit willprogress.Inourcase,ithappenedthatafewinvitedcontributorswereunableto sendinamanuscriptbeforedeadline.Becauseofthis,wedecidedtocontributewith more than a single paper each. Our sincere thanks go to all authors of the papers for their contributions and commitment to this Festschrift. We would also like to conveyourapologiestothosewemayhaveoverlookedorfailedtocontactandwho wouldalsohavelikedtobeapartofthisvolume.Justdropanemailtous,andwe willincludeyouintheforthcomingFestschrifttovonRosen’s75thbirthday! In closing, we wish Dietrich a joyful65th birthday and are lookingforward to manymoreyearsofcooperationandfriendship. Växjö,Sweden ThomasHolgersson Linköping,Sweden MartinSingull July2020 Contents 1 SpectralAnalysisof Large ReflexiveGeneralizedInverse andMoore-PenroseInverseMatrices .................................... 1 TarasBodnarandNestorParolya 2 TestingforDoubleCompleteSymmetry................................. 17 CarlosA.CoelhoandMartinSingull 3 ConvexityofSetsUnderNormalDistributionintheStructural AlloySteelStandard ....................................................... 41 Kai-TaiFang,ZhenLuo,andYungLiangTong 4 Comments on Maximum Likelihood Estimation andProjectionsUnderMultivariateStatisticalModels................ 51 KatarzynaFilipiak,MateuszJohn,andAugustynMarkiewicz 5 GrowthCurveModelwithOrthogonalCovarianceStructure........ 67 MiguelFonsecaandMartinSingull 6 HolonomicGradientMethodfortheCumulativeDistribution FunctionoftheLargestEigenvalueofaComplexWishart MatrixwithNoncentralityMatrixofRankOne........................ 83 YutaFukasawaandAkimichiTakemura 7 Some Tests for the Extended Growth Curve Model andApplicationsintheAnalysisofClusteredLongitudinalData .... 103 JemilaS.HamidandSayanteeJana 8 PropertiesofBLUEs andBLUPsin Fullvs.SmallLinear ModelswithNewObservations........................................... 123 StephenJ.Haslett,AugustynMarkiewicz,andSimoPuntanen 9 ACollectionofMomentsoftheWishartDistribution.................. 147 ThomasHolgerssonandJolantaPielaszkiewicz ix x Contents 10 RiskandBiasinPortfolioOptimization ................................. 163 ThomasHolgerssonandMartinSingull 11 ApproximatingNoncentralChi-Squaredto the Moments and Distribution of the Likelihood Ratio Statistic for MultinomialGoodnessofFit.............................................. 175 BjörnHolmquist,AnnaSjöström,andSultanaNasrin 12 CovarianceStructureTestsfort-distribution........................... 199 TõnuKolloandMarjuValge 13 VariableSelectioninJointMeanandCovarianceModels............. 219 ChaofengKouandJianxinPan 14 OnShrinkageEstimatorsand“EffectiveDegreesofFreedom”....... 245 LynnR.LaMotte,JuliaVolaufova,andSimoPuntanen 15 On Explicit Estimation of the Growth Curve Model withaBlockCircularCovarianceStructure............................ 255 YuliLiangandDeliangDai 16 SpaceDecompositionandEstimationinMultivariate LinearModels............................................................... 267 JosephNzabanitaandInnocentNgaruye 17 DetectionofSparseandWeakEffectsinHigh-Dimensional FeatureSpace,withanApplicationtoMicrobiomeDataAnalysis ... 287 Tatjana Pavlenko, Annika Tillander, Justine Debelius, andFredrikBoulund 18 Exploring Consistencies of Information Criterion andTest-BasedCriterionforHigh-DimensionalMultivariate RegressionModelsUnderThreeCovarianceStructures............... 313 TetsuroSakuraiandYasunoriFujikoshi 19 MeanValueTestforThree-LevelMultivariateObservations withDoublyExchangeableCovarianceStructure...................... 335 IvanŽežula,DanielKlein,andAnuradhaRoy 20 EstimationoftheCommonMeanofTwoMultivariateNormal DistributionsUnderSymmetricalandAsymmetrical LossFunctions.............................................................. 351 DanZhuang,S.EjazAhmed,ShuangzheLiu,andTiefengMa Contributors S. Ejaz Ahmed Department of Mathematics and Statistics, Brock University, St.Catharines,ON,Canada Taras Bodnar Department of Mathematics, Stockholm University, Stockholm, Sweden Fredrik Boulund The Centre for Translational Microbiome Research (CTMR), Department of Microbiology, Tumor, and Cell Biology, Karolinska Institutet, Stockholm,Sweden Carlos A. Coelho Mathematics Department (DM) and Centro de Matemática e Aplicações (CMA), Faculdade de Ciências e Tecnologia, Universidade Nova de Lisboa, Caparica,Portugal DeliangDai DepartmentofEconomicsandStatistics,LinnaeusUniversity, Växjö, Sweden Justine Debelius The Centre for Translational Microbiome Research (CTMR), Department of Microbiology, Tumor, and Cell Biology, Karolinska Institutet, Stockholm,Sweden Kai-TaiFang Divisionof Science andTechnology,BNU-HKBU United Interna- tionalCollegeZhuhai, Zhuhai,China Katarzyna Filipiak Institute of Mathematics, Poznan´ University of Technology, Poznan´,Poland MiguelFonseca CentrodeMatemáticaeAplicações(CMA),FCT,UNL, Almada, Portugal DepartamentodeMatemática,FCT,UNL, Almada,Portugal Yasunori Fujikoshi Department of Mathematics, Graduate School of Science, HiroshimaUniversity, Hiroshima,Japan YutaFukasawa TheRiskDataBankofJapan,Limited, Tokyo,Japan xi
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