Tests for covariance matrices in high dimension with less sample size

DOI10.1016/j.jmva.2014.06.003zbMath1292.62084OpenAlexW2153618310MaRDI QIDQ2252902

Tatsuya Kubokawa, Hirokazu Yanagihara, Muni S. Srivastava

Publication date: 24 July 2014

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

Full work available at URL: https://doi.org/10.1016/j.jmva.2014.06.003

zbMATH Keywords

covariance matrixasymptotic distributionstest statisticshigh dimensionnon-normal modelsample size smaller than dimension

Mathematics Subject Classification ID

Hypothesis testing in multivariate analysis (62H15) Asymptotic properties of parametric tests (62F05)

Related Items

Sharp minimax tests for large Toeplitz covariance matrices with repeated observations, Variance-estimation-free test of significant covariates in high-dimensional regression, More powerful tests for sparse high-dimensional covariances matrices, A simpler spatial-sign-based two-sample test for high-dimensional data, A note on tests for high-dimensional covariance matrices, Covariance matrix testing in high dimension using random projections, Comparison of linear shrinkage estimators of a large covariance matrix in normal and non-normal distributions, Testing high dimensional covariance matrices via posterior Bayes factor, Step-Down diagnostic analysis for monitoring the covariance matrix of bivariate normal processes, A new method for multi-sample high-dimensional covariance matrices test based on permutation, Variance-corrected tests for covariance structures with high-dimensional data, A simultaneous testing of the mean vector and the covariance matrix among two populations for high-dimensional data, Testing the equality of multiple high-dimensional covariance matrices, High-dimensional testing for proportional covariance matrices, A new nonparametric test for high-dimensional regression coefficients, Testing diagonality of high-dimensional covariance matrix under non-normality, Behavior of Some Hypothesis Tests for the Covariance Matrix of High Dimensional Data, Unnamed Item, Maximum pairwise Bayes factors for covariance structure testing, Limit theorem associated with Wishart matrices with application to hypothesis testing for common principal components, Hypothesis Testing for the Covariance Matrix in High-Dimensional Transposable Data with Kronecker Product Dependence Structure, Testing block-diagonal covariance structure for high-dimensional data under non-normality, A review of 20 years of naive tests of significance for high-dimensional mean vectors and covariance matrices, A nonparametric test for block-diagonal covariance structure in high dimension and small samples, A high dimensional nonparametric test for proportional covariance matrices, High-dimensional sphericity test by extended likelihood ratio, Tests for high-dimensional covariance matrices, Global one-sample tests for high-dimensional covariance matrices, Robust modified classical spherical tests in the presence of outliers

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• A two sample test in high dimensional data
• A test for the equality of covariance matrices when the dimension is large relative to the sample sizes
• Two sample tests for high-dimensional covariance matrices
• Asymptotic power of sphericity tests for high-dimensional data
• Optimal detection of sparse principal components in high dimension
• Some tests for the covariance matrix with fewer observations than the dimension under non-normality
• Analysis of high-dimensional repeated measures designs: the one sample case
• A test for the mean vector with fewer observations than the dimension under non-normality
• The control of the false discovery rate in multiple testing under dependency.
• Some hypothesis tests for the covariance matrix when the dimension is large compared to the sample size
• The asymptotic distributions of the largest entries of sample correlation matrices.
• Tests for multivariate analysis of variance in high dimension under non-normality
• Optimal hypothesis testing for high dimensional covariance matrices
• Marginal asymptotics for the ``large \(p\), small \(n\) paradigm: with applications to microarray data
• A test for the mean vector with fewer observations than the dimension
• Eigenvalues of large sample covariance matrices of spiked population models
• On some test criteria for covariance matrix
• A Test for Multivariate Analysis of Variance in High Dimension
• Approximation Theorems of Mathematical Statistics
• To How Many Simultaneous Hypothesis Tests Can Normal, Student'stor Bootstrap Calibration Be Applied?
• Two-Sample Covariance Matrix Testing and Support Recovery in High-Dimensional and Sparse Settings
• Tests for High-Dimensional Covariance Matrices
• A Significance Test for the Separation of Two Highly Multivariate Small Samples
• A High Dimensional Two Sample Significance Test
• A Class of Statistics with Asymptotically Normal Distribution
• Sample Criteria for Testing Equality of Means, Equality of Variances, and Equality of Covariances in a Normal Multivariate Distribution