Testing high-dimensional covariance matrices with random projections and corrected likelihood ratio

DOI10.4310/21-SII708MaRDI QIDQ2116988zbMATH OpenOpenAlexFDO

Authors Nan Sun, Cheng Yong Tang

Publication date 18 March 2022

Published in Statistics and Its Interface (Search for Journal in Brave)

Full work available at URL https://doi.org/10.4310/21-sii708

zbMATH Keywords

corrected likelihood ratio testcovariance matrixhypothesis testingrandom matrix theoryrandom projections

Mathematics Subject Classification ID

Statistics (62-XX) Hypothesis testing in multivariate analysis (62H15)

Cited in

(2)

• Projection tests for high-dimensional spiked covariance matrices
• Applications of Peter Hall's martingale limit theory to estimating and testing high dimensional covariance matrices

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