Limit theorem associated with Wishart matrices with application to hypothesis testing for common principal components

DOI10.1016/j.jmva.2021.104822zbMath1476.62129arXiv2005.01316OpenAlexW3197867634MaRDI QIDQ2237828

Shun Matsuura, Koji Tsukuda

Publication date: 28 October 2021

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

Full work available at URL: https://arxiv.org/abs/2005.01316

zbMATH Keywords

central limit theoremWishart distributionhigh-dimensionasymptotic testcommon principal components model

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Central limit and other weak theorems (60F05) Asymptotic properties of parametric tests (62F05)

Cites Work

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• Testing for independence of high-dimensional variables: \(\rho V\)-coefficient based approach
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• Optimal rank-based tests for common principal components
• Testing for Common Principal Components under Heterokurticity
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• Spectral models for covariance matrices
• Two-sample tests for high-dimension, strongly spiked eigenvalue models
• A test of sphericity for high-dimensional data and its application for detection of divergently spiked noise
• Tests for High-Dimensional Covariance Matrices
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