Identity tests for high dimensional data using RMT

DOI10.1016/J.JMVA.2013.03.015MaRDI QIDQ391630zbMATH OpenOpenAlexFDO

Authors Cheng Wang, Baiqi Miao, Longbing Cao, Jing Yang

Publication date 10 January 2014

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

Full work available at URL https://arxiv.org/abs/1203.3278

zbMATH Keywords

high-dimensional dataidentity testrandom matrix theory (RMT)

Mathematics Subject Classification ID

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

Abstract: In this work, we redefined two important statistics, the CLRT test (Bai et.al., Ann. Stat. 37 (2009) 3822-3840) and the LW test (Ledoit and Wolf, Ann. Stat. 30 (2002) 1081-1102) on identity tests for high dimensional data using random matrix theories. Compared with existing CLRT and LW tests, the new tests can accommodate data which has unknown means and non-Gaussian distributions. Simulations demonstrate that the new tests have good properties in terms of size and power. What is more, even for Gaussian data, our new tests perform favorably in comparison to existing tests. Finally, we find the CLRT is more sensitive to eigenvalues less than 1 while the LW test has more advantages in relation to detecting eigenvalues larger than 1.

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Cites work

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Cited in

(7)

• Testing high-dimensional covariance matrices under the elliptical distribution and beyond
• Hypothesis testing on linear structures of high-dimensional covariance matrix
• Adaptive Tests for Bandedness of High-dimensional Covariance Matrices
• Some sphericity tests for high dimensional data based on ratio of the traces of sample covariance matrices
• Statistical inference on kurtosis of independent component model
• Asymptotic power of likelihood ratio tests for high dimensional data
• Sphericity and identity test for high-dimensional covariance matrix using random matrix theory

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