Likelihood ratio test for partial sphericity in high and ultra-high dimensions

DOI10.1016/J.JMVA.2017.04.001MaRDI QIDQ2011514zbMATH OpenOpenAlexFDO

Authors Liliana Forzani, Antonella Gieco, Carlos Tolmasky

Publication date 3 August 2017

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

Full work available at URL https://doi.org/10.1016/j.jmva.2017.04.001

zbMATH Keywords

high-dimensional statisticsprincipal component analysisrandom matrix theorysample covariance matrixspiked population model

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Asymptotic properties of nonparametric inference (62G20) Hypothesis testing in multivariate analysis (62H15)

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Cites work

• A Note on the Sphericity Test
• Asymptotics of sample eigenstructure for a large dimensional spiked covariance model
• Central limit theorems for classical likelihood ratio tests for high-dimensional normal distributions
• Central limit theorems for eigenvalues in a spiked population model
• Eigenvalues of large sample covariance matrices of spiked population models
• Estimating the dimension of a model
• Estimating the number of clusters in a data set via the gap statistic
• Estimation of the number of spikes, possibly equal, in the high-dimensional case
• Fluctuations of the extreme eigenvalues of finite rank deformations of random matrices
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• Modeling by shortest data description
• Non-Parametric Detection of the Number of Signals: Hypothesis Testing and Random Matrix Theory
• On determining the number of spikes in a high-dimensional spiked population model
• On the distribution of the largest eigenvalue in principal components analysis
• Phase transition of the largest eigenvalue for nonnull complex sample covariance matrices
• Significance Test for Sphericity of a Normal n-Variate Distribution
• Some tests criteria for the covariance matrix with fewer observations than the dimension
• Testing hypotheses about the number of factors in large factor models
• TESTS OF SIGNIFICANCE FOR THE LATENT ROOTS OF COVARIANCE AND CORRELATION MATRICES

Cited in

(10)

• Testing in high-dimensional spiked models
• Testing for subsphericity when \(n\) and \(p\) are of different asymptotic order
• Some sphericity tests for high dimensional data based on ratio of the traces of sample covariance matrices
• Exploring dimension learning via a penalized probabilistic principal component analysis
• Power enhancement for dimension detection of Gaussian signals
• Power enhancement for testing the equality of shape matrix eigenvalues under ellipticity
• A note on the convergence of the extreme eigenvalues of a large-dimensional sample covariance matrix
• A penalization method to estimate the intrinsic dimensionality of data
• Likelihood ratio tests for equality of shape under varying degrees of orientation invariance
• \(p\)-content of a \(p\)-parallelotope and its connection to likelihood ratio statistic

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