Likelihood ratio tests under model misspecification in high dimensions

DOI10.1016/j.jmva.2022.105122OpenAlexW4306952953MaRDI QIDQ2101476

Nina Dörnemann

Publication date: 6 December 2022

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2203.05423

zbMATH Keywords

likelihood ratio testcentral limit theoremmodel misspecificationhigh-dimensional inferenceequality of covariance matricesblock-diagonal covariance matrixnon-normal population

Mathematics Subject Classification ID

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

Related Items (3)

The volume of random simplices from elliptical distributions in high dimension ⋮ Limiting distributions of the likelihood ratio test statistics for independence of normal random vectors ⋮ Logarithmic law of large random correlation matrices

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• A test for the equality of covariance matrices when the dimension is large relative to the sample sizes
• Central limit theorems for classical likelihood ratio tests for high-dimensional normal distributions
• Testing block-diagonal covariance structure for high-dimensional data under non-normality
• On testing the equality of high dimensional mean vectors with unequal covariance matrices
• Test of independence for high-dimensional random vectors based on freeness in block correlation matrices
• Testing the equality of several covariance matrices with fewer observations than the dimension
• Spectral analysis of large dimensional random matrices
• On the gradient statistic under model misspecification
• Testing the independence of sets of large-dimensional variables
• On eigenvalues of a high-dimensional spatial-sign covariance matrix
• Properties of linear spectral statistics of frequency-smoothed estimated spectral coherence matrix of high-dimensional Gaussian time series
• Likelihood ratio tests for many groups in high dimensions
• Limiting distributions of likelihood ratio test for independence of components for high-dimensional normal vectors
• Testing for independence of large dimensional vectors
• Moderate deviation principles for classical likelihood ratio tests of high-dimensional normal distributions
• The logarithmic law of sample covariance matrices near singularity
• Random matrices: law of the determinant
• The logarithmic law of random determinant
• Asymptotically independent U-statistics in high-dimensional testing
• Testing high-dimensional covariance matrices under the elliptical distribution and beyond
• A proportional likelihood ratio model
• Likelihood Ratio Tests for High‐Dimensional Normal Distributions
• Уточнение центральной предельной теоремы для случайных детерминантов
• Testing the independence of two random vectors where only one dimension is large
• ASYMPTOTICS OF DIAGONAL ELEMENTS OF PROJECTION MATRICES UNDER MANY INSTRUMENTS/REGRESSORS
• Correlation Tests and Linear Spectral Statistics of the Sample Correlation Matrix
• Distribution-free tests of independence in high dimensions
• High Dimensional Correlation Matrices: The Central Limit Theorem and Its Applications

This page was built for publication: Likelihood ratio tests under model misspecification in high dimensions