Testing proportionality of two high-dimensional covariance matrices

DOI10.1016/J.CSDA.2020.106962MaRDI QIDQ2189603zbMATH OpenOpenAlexFDO

Authors Guo-Liang Tian, Guanghui Cheng, Baisen Liu, Shurong Zheng

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

covariance matricesdense alternativeshigh-dimensional inferenceproportionality testsparse alternatives

Mathematics Subject Classification ID

Statistics (62-XX)

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Cites work

• A new test for the proportionality of two large-dimensional covariance matrices
• CLT for linear spectral statistics of large-dimensional sample covariance matrices.
• Comparing large covariance matrices under weak conditions on the dependence structure and its application to gene clustering
• Corrections to LRT on large-dimensional covariance matrix by RMT
• Estimation of proportional covariances in the presence of certain linear restrictions.
• (SOFTWARE) HDtest
• scientific article; zbMATH DE number 3868437 (Why is no real title available?)
• scientific article; zbMATH DE number 3780417 (Why is no real title available?)
• scientific article; zbMATH DE number 889593 (Why is no real title available?)
• Hypothesis testing for high-dimensional covariance matrices
• On the sphericity test with large-dimensional observations
• Optimal hypothesis testing for high dimensional covariance matrices
• Proportionality of k covariance matrices
• Proportionaliy of covariance matrices
• Some Distribution Problems Connected with the Characteristic Roots of $S_1S^{-1}_2$
• Some hypothesis tests for the covariance matrix when the dimension is large compared to the sample size
• Testing Proportionality of Covariance Matrices
• Testing proportionality of two large-dimensional covariance matrices
• Tests for high-dimensional covariance matrices
• The distribution of a statistic used for testing sphericity of normal distributions
• Two sample tests for high-dimensional covariance matrices
• Two-Sample Covariance Matrix Testing and Support Recovery in High-Dimensional and Sparse Settings

Cited in

(9)

• A high dimensional nonparametric test for proportional covariance matrices
• Tests for proportionality of matrices with large dimension
• High-dimensional testing for proportional covariance matrices
• Testing the equality of two high-dimensional spatial sign covariance matrices
• Testing constancy of conditional variance in high dimension
• High-dimensional proportionality test of two covariance matrices and its application to gene expression data
• Cross projection test for mean vectors via multiple random splits in high dimensions
• Many-sample tests for the equality and the proportionality hypotheses between large covariance matrices
• Statistical inference on kurtosis of independent component model

Describes a project that uses

Uses Software

• HDtest

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