Calulate the likelihood ratio test statistic for Kronecker structured covariance models.
lrt_stat(sig_null, sig_alt, p)A numeric. The MLE of the total variation parameter under the null (the standard deviation version).
A numeric. The MLE of the total variation parameter under the alternative (the standard deviation version).
A vector of integers. The dimension of the array.
A numeric. The likelihood ratio test statistic.
The LRT statistic is the exact same for all elliptically distributed Kronecker structured covariance models (not just the normal). The distribution of the likelihood ratio test statistic does change.
Gerard, D., & Hoff, P. (2016). A higher-order LQ decomposition for separable covariance models. Linear Algebra and its Applications, 505, 57-84. https://doi.org/10.1016/j.laa.2016.04.033 http://arxiv.org/pdf/1410.1094v1.pdf
holq for obtaining the MLE of the total variation
parameter.
lrt_null_dist_dim_same for getting the null distribution of
the likelihood ratio test statistic.