Power computation for hypothesis testing with high-dimensional covariance matrices

DOI10.1016/J.CSDA.2016.05.008MaRDI QIDQ1658719zbMATH OpenOpenAlexFDO

Authors Ruitao Lin, Zhongying Liu, Shurong Zheng, Guosheng Yin

Publication date 15 August 2018

Published in Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.csda.2016.05.008

zbMATH Keywords

Stieltjes transformconfidence intervalhypothesis testingcentral limit theorempower calculationhigh-dimensional covariance matrix

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Hypothesis testing in multivariate analysis (62H15)

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Cites work

• scientific article; zbMATH DE number 1964693 (Why is no real title available?)
• A well-conditioned estimator for large-dimensional covariance matrices
• Asymptotic power of likelihood ratio tests for high dimensional data
• Asymptotic power of sphericity tests for high-dimensional data
• CLT for linear spectral statistics of large-dimensional sample covariance matrices.
• Corrections to LRT on large-dimensional covariance matrix by RMT
• DISTRIBUTION OF EIGENVALUES FOR SOME SETS OF RANDOM MATRICES
• Limit of the smallest eigenvalue of a large dimensional sample covariance matrix
• Nonparametric estimate of spectral density functions of sample covariance matrices: a first step
• Substitution principle for CLT of linear spectral statistics of high-dimensional sample covariance matrices with applications to hypothesis testing
• Tests for high-dimensional covariance matrices

Cited in

(1)

• Testing for covariance matrices in time-varying coefficient panel data models with fixed effects

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