Testing proportionality of two high-dimensional covariance matrices

DOI10.1016/j.csda.2020.106962OpenAlexW4247615525MaRDI QIDQ2189603

Guo-Liang Tian, Bai-Sen Liu, Shurong Zheng, Guang-Hui Cheng

Publication date: 16 June 2020

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2020.106962

zbMATH Keywords

high-dimensional inferencecovariance matricesdense alternativesproportionality testsparse alternatives

Mathematics Subject Classification ID

Statistics (62-XX)

Related Items (1)

Tests for proportionality of matrices with large dimension

Uses Software

• HDtest

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Two sample tests for high-dimensional covariance matrices
• HDtest
• On the sphericity test with large-dimensional observations
• A new test for the proportionality of two large-dimensional covariance matrices
• Corrections to LRT on large-dimensional covariance matrix by RMT
• Proportionality of k covariance matrices
• Proportionaliy of covariance matrices
• Testing proportionality of two large-dimensional covariance matrices
• 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.
• Estimation of proportional covariances in the presence of certain linear restrictions.
• Optimal hypothesis testing for high dimensional covariance matrices
• Hypothesis testing for high-dimensional covariance matrices
• Two-Sample Covariance Matrix Testing and Support Recovery in High-Dimensional and Sparse Settings
• Tests for High-Dimensional Covariance Matrices
• Comparing large covariance matrices under weak conditions on the dependence structure and its application to gene clustering
• Some Distribution Problems Connected with the Characteristic Roots of $S_1S^{-1}_2$
• The distribution of a statistic used for testing sphericity of normal distributions
• Testing Proportionality of Covariance Matrices

This page was built for publication: Testing proportionality of two high-dimensional covariance matrices