Two-Sample Covariance Matrix Testing and Support Recovery in High-Dimensional and Sparse Settings

DOI10.1080/01621459.2012.758041OpenAlexW1992362262MaRDI QIDQ4916945

Wei-Dong Liu, Yin Xia

Publication date: 26 April 2013

Published in: Journal of the American Statistical Association (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/01621459.2012.758041

zbMATH Keywords

hypothesis testingsparsitygene selectionextreme value type I distribution

Mathematics Subject Classification ID

Statistics (62-XX)

Related Items (85)

Discussion on “on studying extreme values and systematic risks with nonlinear time series models and tail dependence measures” ⋮ Testing hypotheses about covariance matrices in general MANOVA designs ⋮ Hypothesis Testing for Network Data with Power Enhancement ⋮ Graph-based two-sample tests for data with repeated observations ⋮ Adaptive test for mean vectors of high-dimensional time series data with factor structure ⋮ A high-dimensional two-sample test for the mean using random subspaces ⋮ High-dimensional two-sample mean vectors test and support recovery with factor adjustment ⋮ A testing based approach to the discovery of differentially correlated variable sets ⋮ Sparse high-dimensional linear regression. Estimating squared error and a phase transition ⋮ Max-sum tests for cross-sectional independence of high-dimensional panel data ⋮ Testing for covariance matrices in time-varying coefficient panel data models with fixed effects ⋮ Non-asymptotic properties of spectral decomposition of large Gram-type matrices and applications ⋮ Sequential change-point detection in high-dimensional Gaussian graphical models ⋮ Fast nonasymptotic testing and support recovery for large sparse Toeplitz covariance matrices ⋮ Quadratic discriminant analysis by projection ⋮ Efficient Signal Inclusion With Genomic Applications ⋮ Likelihood Ratio Tests for High‐Dimensional Normal Distributions ⋮ Hypothesis Testing for Block-structured Correlation for High Dimensional Variables ⋮ Covariance matrix testing in high dimension using random projections ⋮ Recent developments in high dimensional covariance estimation and its related issues, a review ⋮ Asymptotically independent U-statistics in high-dimensional testing ⋮ High-dimensional tests for functional networks of brain anatomic regions ⋮ Contrastive latent variable modeling with application to case-control sequencing experiments ⋮ Confidence regions for entries of a large precision matrix ⋮ A new method for multi-sample high-dimensional covariance matrices test based on permutation ⋮ Central limit theorems for classical likelihood ratio tests for high-dimensional normal distributions ⋮ Comparing large covariance matrices under weak conditions on the dependence structure and its application to gene clustering ⋮ Use of Random Integration to Test Equality of High Dimensional Covariance Matrices ⋮ Testing proportionality of two high-dimensional covariance matrices ⋮ Hypothesis Testing of Matrix Graph Model with Application to Brain Connectivity Analysis ⋮ Homogeneity test of several high-dimensional covariance matrices for stationary processes under non-normality ⋮ Testing and signal identification for two-sample high-dimensional covariances via multi-level thresholding ⋮ Testing and support recovery of correlation structures for matrix-valued observations with an application to stock market data ⋮ Asymptotic distributions for likelihood ratio tests for the equality of covariance matrices ⋮ Comparing dependent undirected Gaussian networks ⋮ Testing and support recovery of multiple high-dimensional covariance matrices with false discovery rate control ⋮ Compressed spectral screening for large-scale differential correlation analysis with application in selecting glioblastoma gene modules ⋮ Power enhancement for testing multi-factor asset pricing models via Fisher's method ⋮ Inference for high-dimensional differential correlation matrices ⋮ Estimating the proportion of signal variables under arbitrary covariance dependence ⋮ Detecting changes in correlation networks with application to functional connectivity of fMRI data ⋮ Sharp optimality for high-dimensional covariance testing under sparse signals ⋮ StarTrek: combinatorial variable selection with false discovery rate control ⋮ Optimal hypothesis testing for high dimensional covariance matrices ⋮ GAP: A General Framework for Information Pooling in Two-Sample Sparse Inference ⋮ Simultaneous Covariance Inference for Multimodal Integrative Analysis ⋮ Limiting behavior of largest entry of random tensor constructed by high-dimensional data ⋮ Comparing a large number of multivariate distributions ⋮ Power-Enhanced Simultaneous Test of High-Dimensional Mean Vectors and Covariance Matrices with Application to Gene-Set Testing ⋮ Fisher’s Combined Probability Test for High-Dimensional Covariance Matrices ⋮ Asymptotic theory for maximum deviations of sample covariance matrix estimates ⋮ Two-sample tests for high-dimensional covariance matrices using both difference and ratio ⋮ Hypothesis testing for high-dimensional covariance matrices ⋮ Bayesian bandwidth test and selection for high-dimensional banded precision matrices ⋮ A high dimensional two-sample test under a low dimensional factor structure ⋮ An extreme-value approach for testing the equality of large U-statistic based correlation matrices ⋮ Test for high-dimensional mean vector under missing observations ⋮ Point process convergence for the off-diagonal entries of sample covariance matrices ⋮ High-dimensional consistent independence testing with maxima of rank correlations ⋮ Beyond Gaussian approximation: bootstrap for maxima of sums of independent random vectors ⋮ A review of 20 years of naive tests of significance for high-dimensional mean vectors and covariance matrices ⋮ Tests for covariance matrices in high dimension with less sample size ⋮ A global homogeneity test for high-dimensional linear regression ⋮ Optimal covariance change point localization in high dimensions ⋮ Unnamed Item ⋮ Generalized Schott type tests for complete independence in high dimensions ⋮ A stationary bootstrap test about two mean vectors comparison with somewhat dense differences and fewer sample size than dimension ⋮ Multiple Testing of Submatrices of a Precision Matrix With Applications to Identification of Between Pathway Interactions ⋮ Sign-based test for mean vector in high-dimensional and sparse settings ⋮ Statistical Inference for High-Dimensional Vector Autoregression with Measurement Error ⋮ Estimating structured high-dimensional covariance and precision matrices: optimal rates and adaptive estimation ⋮ Two sample tests for high-dimensional covariance matrices ⋮ Gaussian graphical model estimation with false discovery rate control ⋮ Modified Pillai's trace statistics for two high-dimensional sample covariance matrices ⋮ Two‐sample test based on classification probability ⋮ Tests for high-dimensional covariance matrices ⋮ A test for the complete independence of high-dimensional random vectors ⋮ Functional test for high-dimensional covariance matrix, with application to mitochondrial calcium concentration ⋮ Test on the linear combinations of covariance matrices in high-dimensional data ⋮ Test for high-dimensional correlation matrices ⋮ Global and Simultaneous Hypothesis Testing for High-Dimensional Logistic Regression Models ⋮ Asymptotic independence of spiked eigenvalues and linear spectral statistics for large sample covariance matrices ⋮ Covariance-Based Sample Selection for Heterogeneous Data: Applications to Gene Expression and Autism Risk Gene Detection ⋮ Applications on linear spectral statistics of high-dimensional sample covariance matrix with divergent spectrum ⋮ A computationally efficient and flexible algorithm for high dimensional mean and covariance matrix change point models

Uses Software

• highD2pop

Cites Work

• Unnamed Item
• A test for the equality of covariance matrices when the dimension is large relative to the sample sizes
• Two sample tests for high-dimensional covariance matrices
• Phase transition in limiting distributions of coherence of high-dimensional random matrices
• Limiting laws of coherence of random matrices with applications to testing covariance structure and construction of compressed sensing matrices
• Modified linear discriminant analysis approaches for classification of high-dimensional microarray data
• Testing the equality of several covariance matrices with fewer observations than the dimension
• On the Gaussian approximation of convolutions under multidimensional analogues of S. N. Bernstein's inequality conditions
• Unbiasedness of the likelihood ratio tests for equality of several covariance matrices and equality of several multivariate normal populations
• Properties of tests concerning covariance matrices of normal distributions
• The asymptotic distributions of the largest entries of sample correlation matrices.
• The asymptotic distribution and Berry-Esseen bound of a new test for independence in high dimension with an application to stochastic optimization
• Adaptive Thresholding for Sparse Covariance Matrix Estimation
• Distribution of likelihood ratio statistic for testing equality of covariance matrices of multivariate Gaussian models
• Asymptotic distribution of the largest off-diagonal entry of correlation matrices
• Limiting Distribution of the Maximum Term in Sequences of Dependent Random Variables

This page was built for publication: Two-Sample Covariance Matrix Testing and Support Recovery in High-Dimensional and Sparse Settings