Projected tests for high-dimensional covariance matrices

DOI10.1016/J.JSPI.2019.11.003zbMath1437.62203OpenAlexW2999907967MaRDI QIDQ2301103

Ping Li, Tung-Lung Wu

Publication date: 28 February 2020

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jspi.2019.11.003

zbMATH Keywords

random projectionhigh-dimensionalcovariance matriceslarge \(p\) small \(n\)extreme value theoremprecision matrices

Mathematics Subject Classification ID

Applications of statistics to biology and medical sciences; meta analysis (62P10) Hypothesis testing in multivariate analysis (62H15) Statistics of extreme values; tail inference (62G32)

Related Items (1)

Covariance matrix testing in high dimension using random projections

Uses Software

• Bioconductor
• gcrma
• ismev
• HDtest

Cites Work

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