A new test for sphericity of the covariance matrix for high dimensional data

DOI10.1016/J.JMVA.2010.07.004zbMATH Open1198.62052OpenAlexW2067444703MaRDI QIDQ149043FDOQ149043

Thomas J. Fisher, Colin M. Gallagher, Colin M. Gallagher, Xiaoqian Sun, Xiaoqian Sun, Thomas J. Fisher

Publication date: November 2010

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

Full work available at URL: https://doi.org/10.1016/j.jmva.2010.07.004

zbMATH Keywords

hypothesis testingcovariance matrixhigh-dimensional data analysis

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Hypothesis testing in multivariate analysis (62H15) Eigenvalues, singular values, and eigenvectors (15A18)

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Cited In (40)

• A note on mean testing for high dimensional multivariate data under non-normality
• Identity tests for high dimensional data using RMT
• Testing for independence of large dimensional vectors
• A new test for the proportionality of two large-dimensional covariance matrices
• Sharp minimax tests for large Toeplitz covariance matrices with repeated observations
• Likelihood ratio tests for elaborate covariance structures and for MANOVA models with elaborate covariance structures -- a review
• On testing for an identity covariance matrix when the dimensionality equals or exceeds the sample size
• Asymptotic power of sphericity tests for high-dimensional data
• CLT for linear spectral statistics of normalized sample covariance matrices with the dimension much larger than the sample size
• A necessary and sufficient condition for edge universality at the largest singular values of covariance matrices
• Variance-corrected tests for covariance structures with high-dimensional data
• Linear spectral statistics of sequential sample covariance matrices
• More powerful tests for sparse high-dimensional covariances matrices
• A note on tests for high-dimensional covariance matrices
• A bootstrap method for spectral statistics in high-dimensional elliptical models
• Covariance matrix testing in high dimension using random projections
• Testing high dimensional covariance matrices via posterior Bayes factor
• On testing sphericity and identity of a covariance matrix with large dimensions
• Testing the order of a population spectral distribution for high-dimensional data
• Tests of Covariance Matrices for High Dimensional Multivariate Data Under Non Normality
• Many-sample tests for the equality and the proportionality hypotheses between large covariance matrices
• A robust test for sphericity of high-dimensional covariance matrices
• High-dimensional sphericity test by extended likelihood ratio
• An exact test about the covariance matrix
• Recent advances in shrinkage-based high-dimensional inference
• Some sphericity tests for high dimensional data based on ratio of the traces of sample covariance matrices
• Testing Independence via Spectral Moments
• Optimal-order bounds on the rate of convergence to normality in the multivariate delta method
• Title not available (Why is that?)
• Testing homogeneity of several covariance matrices and multi-sample sphericity for high-dimensional data under non-normality
• New Weighted Portmanteau Statistics for Time Series Goodness of Fit Testing
• Robust sphericity test in the panel data model
• Modified Pillai's trace statistics for two high-dimensional sample covariance matrices
• covTestR
• Sphericity and identity test for high-dimensional covariance matrix using random matrix theory
• Target selection in shrinkage estimation of covariance matrix: a structural similarity approach
• High-dimensional tests for spherical location and spiked covariance
• A note on tests of sphericity and cross-sectional dependence for fixed effects panel model
• Hypothesis testing for the identity of high-dimensional covariance matrices
• The structure of autocovariance matrix of discrete time subfractional Brownian motion

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