Optimal Multiple Decision Statistical Procedure for Inverse Covariance Matrix

Springer Optimization and Its Applications. 2014. Vol. 87. P. 205–216.

Колданов А. П., Koldanov P.A.

Problem of construction of the market graph as a multiple decision statistical problem is considered. Detailed description of a optimal unbiased multiple decision statistical procedure is given. This procedure is constructed using the Lehmann’s theory of multiple decision statistical procedures and the conditional tests of the Neyman structures. The equations for thresholds calculation for the tests of the Neyman structure are presented and analyzed.

Ключевые слова: multiple decision statistical procedures, market graph, unbiased statistical tests, tests of the Neyman structures, generating hypothesis, exponential family, граф рынка, несмещенные статистические тесты, тесты структуры Неймана, процедуры со многими решениями, порождающие гипотезы, экспоненциальное семейство