High-dimensional sphericity test by extended likelihood ratio (Q2051523)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | High-dimensional sphericity test by extended likelihood ratio |
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High-dimensional sphericity test by extended likelihood ratio (English)
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24 November 2021
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The paper puts forward a novel sphericity test for covariance matrices by means of the likelihood ratio test. The advantage of this test lies in its ability to work even for high-dimensional data. The theoretical properties are proved and Monte Carlo simulations demonstrate that it overpasses state-of-the-art statistical tests in terms of empirical power.
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sphericity test
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high-dimensional covariance matrix
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extended likelihood ratio
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central limit theorem
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