Hypothesis testing for high-dimensional covariance matrices

DOI10.1016/j.jmva.2014.03.013zbMath1352.62086OpenAlexW2029638475MaRDI QIDQ2451622

Ying-Li Qin, Wei-Ming Li

Publication date: 4 June 2014

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

Full work available at URL: https://doi.org/10.1016/j.jmva.2014.03.013

zbMATH Keywords

Stieltjes transformhypothesis testingcovariance matrixempirical spectral distributionhigh-dimensional

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Asymptotic distribution theory in statistics (62E20) Hypothesis testing in multivariate analysis (62H15)

Related Items (10)

Testing hypotheses about covariance matrices in general MANOVA designs ⋮ Testing for covariance matrices in time-varying coefficient panel data models with fixed effects ⋮ Simultaneous testing of the mean vector and covariance matrix among k populations for high-dimensional data ⋮ High-dimensional tests for functional networks of brain anatomic regions ⋮ Likelihood ratio tests for many groups in high dimensions ⋮ Testing proportionality of two high-dimensional covariance matrices ⋮ A comprehensive treatment of quadratic-form-based inference in repeated measures designs under diverse asymptotics ⋮ Projected tests for high-dimensional covariance matrices ⋮ Hypothesis testing for the identity of high-dimensional covariance matrices ⋮ Functional test for high-dimensional covariance matrix, with application to mitochondrial calcium concentration

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