Power computation for hypothesis testing with high-dimensional covariance matrices

DOI10.1016/j.csda.2016.05.008zbMath1466.62138OpenAlexW2410837842MaRDI QIDQ1658719

Guosheng Yin, Shurong Zheng, Zhongying Liu, Ruitao Lin

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 transformhypothesis testingcentral limit theoremconfidence intervalpower calculationhigh-dimensional covariance matrix

Mathematics Subject Classification ID

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

Related Items (1)

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

Cites Work

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• Substitution principle for CLT of linear spectral statistics of high-dimensional sample covariance matrices with applications to hypothesis testing
• Asymptotic power of likelihood ratio tests for high dimensional data
• Tests for High-Dimensional Covariance Matrices
• DISTRIBUTION OF EIGENVALUES FOR SOME SETS OF RANDOM MATRICES

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