Testing identity of high-dimensional covariance matrix (Q4960708): Difference between revisions

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+On some test criteria for covariance matrix
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+Q4420195
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+Normal rank
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+Unbiasedness of Some Test Criteria for the Equality of One or Two Covariance Matrices
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+On testing for an identity covariance matrix when the dimensionality equals or exceeds the sample size
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+Some tests for the covariance matrix with fewer observations than the dimension under non-normality
+Normal rank
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+Some hypothesis tests for the covariance matrix when the dimension is large compared to the sample size
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+Corrections to LRT on large-dimensional covariance matrix by RMT
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+Likelihood ratio tests for covariance matrices of high-dimensional normal distributions
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+Tests for High-Dimensional Covariance Matrices
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+CLT for linear spectral statistics of normalized sample covariance matrices with the dimension much larger than the sample size
+Normal rank
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+Spectral analysis of large dimensional random matrices
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+On the sphericity test with large-dimensional observations
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+CLT for linear spectral statistics of large-dimensional sample covariance matrices.
+Normal rank