High-dimensional covariance matrices in elliptical distributions with application to spherical test

DOI10.1214/18-AOS1699zbMath1415.62036arXiv1803.07793WikidataQ128847438 ScholiaQ128847438MaRDI QIDQ1731770

Jiang Hu, Zhi Liu, Wang Zhou, Wei-Ming Li

Publication date: 14 March 2019

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1803.07793

zbMATH Keywords

covariance matrixhigh-dimensional datasphericity testelliptical distribution

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Hypothesis testing in multivariate analysis (62H15) Central limit and other weak theorems (60F05) Inference from stochastic processes and spectral analysis (62M15)

Related Items (12)

Spectral statistics of high dimensional sample covariance matrix with unbounded population spectral norm ⋮ CLT for linear spectral statistics of high-dimensional sample covariance matrices in elliptical distributions ⋮ Testing high dimensional covariance matrices via posterior Bayes factor ⋮ Tracy-Widom limit for the largest eigenvalue of high-dimensional covariance matrices in elliptical distributions ⋮ A bootstrap method for spectral statistics in high-dimensional elliptical models ⋮ A CLT for the LSS of large-dimensional sample covariance matrices with diverging spikes ⋮ Central limit theorem of linear spectral statistics of high-dimensional sample correlation matrices ⋮ 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 ⋮ High-dimensional sphericity test by extended likelihood ratio ⋮ On eigenvalues of a high-dimensional spatial-sign covariance matrix ⋮ Applications on linear spectral statistics of high-dimensional sample covariance matrix with divergent spectrum

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