Max-sum tests for cross-sectional independence of high-dimensional panel data

DOI10.1214/21-AOS2142zbMath1487.62054arXiv2007.03911OpenAlexW4226079764MaRDI QIDQ2131268

Wei Xiong, Binghui Liu, Long Feng, Tiefeng Jiang

Publication date: 25 April 2022

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

Full work available at URL: https://arxiv.org/abs/2007.03911

zbMATH Keywords

asymptotic normalitypanel data modelsasymptotic independencehigh-dimensional datahypothesis testsextreme-value distributioncross-sectional independencemax-sum test

Mathematics Subject Classification ID

Hypothesis testing in multivariate analysis (62H15) Asymptotic properties of parametric tests (62F05)

Related Items (2)

Consistency of \(p\)-norm based tests in high dimensions: characterization, monotonicity, domination ⋮ Rank-based max-sum tests for mutual independence of high-dimensional random vectors

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