On the sphericity test with large-dimensional observations

DOI10.1214/13-EJS842zbMath1293.62127arXiv1303.4035OpenAlexW2100468761MaRDI QIDQ367207

Qinwen Wang, Jian-feng Yao

Publication date: 26 September 2013

Published in: Electronic Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1303.4035

zbMATH Keywords

likelihood ratio testsphericitylarge-dimensional dataCLT for linear spectral statisticsJohn's testlarge-dimensional sample covariance matrixNagao's testspiked population model

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Hypothesis testing in multivariate analysis (62H15)

Related Items

Testing the independence of two random vectors where only one dimension is large, CLT for linear spectral statistics of large dimensional sample covariance matrices with dependent data, CLT for linear spectral statistics of high-dimensional sample covariance matrices in elliptical distributions, A supplement on CLT for LSS under a large dimensional generalized spiked covariance model, Variance variation criterion and consistency in estimating the number of significant signals of high-dimensional PCA, Moderate deviation principles for classical likelihood ratio tests of high-dimensional normal distributions, Testing high dimensional covariance matrices via posterior Bayes factor, Testing high-dimensional covariance matrices under the elliptical distribution and beyond, Variance-corrected tests for covariance structures with high-dimensional data, Adaptive Tests for Bandedness of High-dimensional Covariance Matrices, Testing proportionality of two high-dimensional covariance matrices, The moderate deviation principles of likelihood ratio tests under alternative hypothesis, Asymptotic normality for eigenvalue statistics of a general sample covariance matrix when \(p/n \to \infty\) and applications, Contiguity under high-dimensional Gaussianity with applications to covariance testing, Linear eigenvalue statistics of XX′ matrices, Block-diagonal test for high-dimensional covariance matrices, Logarithmic law of large random correlation matrices, A CLT for the LSS of large-dimensional sample covariance matrices with diverging spikes, Asymptotic power of likelihood ratio tests for high dimensional data, High-dimensional covariance matrices in elliptical distributions with application to spherical test, Sphericity and identity test for high-dimensional covariance matrix using random matrix theory, Hypothesis testing on linear structures of high-dimensional covariance matrix, On testing for high-dimensional white noise, Some sphericity tests for high dimensional data based on ratio of the traces of sample covariance matrices, Asymptotic linear spectral statistics for spiked Hermitian random matrices, Testing identity of high-dimensional covariance matrix, High-dimensional linear models: a random matrix perspective, A robust test for sphericity of high-dimensional covariance matrices, High-dimensional sphericity test by extended likelihood ratio, Tests for high-dimensional covariance matrices, Testing Independence Among a Large Number of High-Dimensional Random Vectors, Hypothesis testing for the identity of high-dimensional covariance matrices, Robust modified classical spherical tests in the presence of outliers, Applications on linear spectral statistics of high-dimensional sample covariance matrix with divergent spectrum, Substitution principle for CLT of linear spectral statistics of high-dimensional sample covariance matrices with applications to hypothesis testing, Hypergeometric functions of matrix arguments and linear statistics of multi-spiked Hermitian matrix models

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Asymptotic power of sphericity tests for high-dimensional data
• Central limit theorems for linear spectral statistics of large dimensional \(F\)-matrices
• Some tests for the covariance matrix with fewer observations than the dimension under non-normality
• On the convergence of the spectral empirical process of Wigner matrices
• Multivariate analysis of variance with fewer observations than the dimension
• Central limit theorem for signal-to-interference ratio of reduced rank linear receiver
• Central limit theorem for linear eigenvalue statistics of random matrices with independent entries
• Spectral analysis of large dimensional random matrices
• Corrections to LRT on large-dimensional covariance matrix by RMT
• Some limit theorems for the eigenvalues of a sample covariance matrix
• On the distribution of the largest eigenvalue in principal components analysis
• Some hypothesis tests for the covariance matrix when the dimension is large compared to the sample size
• CLT for linear spectral statistics of large-dimensional sample covariance matrices.
• A note on the CLT of the LSS for sample covariance matrix from a spiked population model
• A two-sample test for high-dimensional data with applications to gene-set testing
• Some high-dimensional tests for a one-way MANOVA
• On some test criteria for covariance matrix
• A note on testing the covariance matrix for large dimension
• Testing linear hypotheses in high-dimensional regressions
• Statistical challenges of high-dimensional data
• Tests for High-Dimensional Covariance Matrices
• The distribution of a statistic used for testing sphericity of normal distributions
• Locally Best Invariant Test for Sphericity and the Limiting Distributions
• Significance Test for Sphericity of a Normal $n$-Variate Distribution