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

DOI10.4310/21-SII708OpenAlexW4214853869MaRDI QIDQ2116988FDOQ2116988

Cheng Yong Tang, Nan Sun

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

hypothesis testingrandom matrix theorycovariance matrixrandom projectionscorrected likelihood ratio test

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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