Sphericity and identity test for high-dimensional covariance matrix using random matrix theory
DOI10.1007/s10255-021-1004-1zbMath1466.62260OpenAlexW3172092805MaRDI QIDQ2025160
Shou-cheng Yuan, Jie Zhou, Jie-qiong Shen, Jian-Xin Pan
Publication date: 11 May 2021
Published in: Acta Mathematicae Applicatae Sinica. English Series (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10255-021-1004-1
Estimation in multivariate analysis (62H12) Parametric hypothesis testing (62F03) Hypothesis testing in multivariate analysis (62H15) Central limit and other weak theorems (60F05) Random matrices (probabilistic aspects) (60B20) Inference from stochastic processes and spectral analysis (62M15) Asymptotic properties of parametric tests (62F05)
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- A new test for sphericity of the covariance matrix for high dimensional data
- On the sphericity test with large-dimensional observations
- Identity tests for high dimensional data using RMT
- Central limit theorems for linear spectral statistics of large dimensional \(F\)-matrices
- Some tests for the covariance matrix with fewer observations than the dimension under non-normality
- On testing for an identity covariance matrix when the dimensionality equals or exceeds the sample size
- A robust test for sphericity of high-dimensional covariance matrices
- Central limit theorem for signal-to-interference ratio of reduced rank linear receiver
- Testing the equality of several covariance matrices with fewer observations than the dimension
- Spectral analysis of large dimensional random matrices
- Corrections to LRT on large-dimensional covariance matrix by RMT
- High-dimensional covariance matrices in elliptical distributions with application to spherical test
- On the distribution of the largest eigenvalue in principal components analysis
- Some hypothesis tests for the covariance matrix when the dimension is large compared to the sample size
- CLT for linear spectral statistics of large-dimensional sample covariance matrices.
- Strong convergence of the empirical distribution of eigenvalues of large dimensional random matrices
- On some test criteria for covariance matrix
- A note on testing the covariance matrix for large dimension
- Random Matrix Methods for Wireless Communications
- Fluctuations of Spiked Random Matrix Models and Failure Diagnosis in Sensor Networks
- Comparison of Discrimination Methods for the Classification of Tumors Using Gene Expression Data
- Sample Eigenvalue Based Detection of High-Dimensional Signals in White Noise Using Relatively Few Samples
- Testing identity of high-dimensional covariance matrix
- Tests for High-Dimensional Covariance Matrices
- Performance of Statistical Tests for Single-Source Detection Using Random Matrix Theory
This page was built for publication: Sphericity and identity test for high-dimensional covariance matrix using random matrix theory