Likelihood ratio tests for many groups in high dimensions

DOI10.1016/j.jmva.2020.104605zbMath1440.62216arXiv1905.10354OpenAlexW3010447916MaRDI QIDQ2181720

Nina Dörnemann, Dette, Holger

Publication date: 19 May 2020

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

Full work available at URL: https://arxiv.org/abs/1905.10354

zbMATH Keywords

likelihood ratio testhigh-dimensional inference

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Hypothesis testing in multivariate analysis (62H15) Central limit and other weak theorems (60F05)

Related Items (10)

On the asymptotic behavior of the eigenvalue distribution of block correlation matrices of high-dimensional time series ⋮ Hypothesis testing for panels of semi-Markov processes with parametric sojourn time distributions ⋮ The volume of random simplices from elliptical distributions in high dimension ⋮ Sequential monitoring of high‐dimensional time series ⋮ Asymptotic distributions for likelihood ratio tests for the equality of covariance matrices ⋮ Limiting distributions of the likelihood ratio test statistics for independence of normal random vectors ⋮ Logarithmic law of large random correlation matrices ⋮ Properties of linear spectral statistics of frequency-smoothed estimated spectral coherence matrix of high-dimensional Gaussian time series ⋮ Likelihood ratio tests under model misspecification in high dimensions ⋮ On the asymptotic distribution of the maximum sample spectral coherence of Gaussian time series in the high dimensional regime

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