Tests for covariance matrices in high dimension with less sample size

DOI10.1016/J.JMVA.2014.06.003zbMATH Open1292.62084OpenAlexW2153618310MaRDI QIDQ2252902FDOQ2252902

Authors: Hirokazu Yanagihara, Tatsuya Kubokawa, 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

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zbMATH Keywords

covariance matrixasymptotic distributionshigh dimensiontest statisticsnon-normal modelsample size smaller than dimension

Mathematics Subject Classification ID

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

Cites Work

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• Some hypothesis tests for the covariance matrix when the dimension is large compared to the sample size
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Cited In (45)

• Asymptotic distributions of some test criteria for the mean vector with fewer observations than the dimension
• Behavior of Some Hypothesis Tests for the Covariance Matrix of High Dimensional Data
• A new method for multi-sample high-dimensional covariance matrices test based on permutation
• Testing diagonality of high-dimensional covariance matrix under non-normality
• A high dimensional nonparametric test for proportional covariance matrices
• Sharp minimax tests for large Toeplitz covariance matrices with repeated observations
• Some tests criteria for the covariance matrix with fewer observations than the dimension
• Some hypothesis tests for the covariance matrix when the dimension is large compared to the sample size
• A simpler spatial-sign-based two-sample test for high-dimensional data
• A nonparametric test for block-diagonal covariance structure in high dimension and small samples
• On testing for an identity covariance matrix when the dimensionality equals or exceeds the sample size
• Tests for high-dimensional covariance matrices using the theory of \(U\)-statistics
• Testing hypotheses about covariance matrices in general MANOVA designs
• Maximum pairwise Bayes factors for covariance structure testing
• A note on testing the covariance matrix for large dimension
• Some tests for the covariance matrix with fewer observations than the dimension under non-normality
• Variance-corrected tests for covariance structures with high-dimensional data
• Limit theorem associated with Wishart matrices with application to hypothesis testing for common principal components
• More powerful tests for sparse high-dimensional covariances matrices
• A note on tests for high-dimensional covariance matrices
• Testing the structure of the covariance matrix with fewer observations than the dimension
• Variance-estimation-free test of significant covariates in high-dimensional regression
• Title not available (Why is that?)
• A high-dimensional test for the equality of the smallest eigenvalues of a covariance matrix
• Testing the equality of several covariance matrices with fewer observations than the dimension
• Covariance matrix testing in high dimension using random projections
• Testing high dimensional covariance matrices via posterior Bayes factor
• Tests for high-dimensional covariance matrices
• Testing the equality of multiple high-dimensional covariance matrices
• Many-sample tests for the equality and the proportionality hypotheses between large covariance matrices
• High-dimensional sphericity test by extended likelihood ratio
• A simultaneous testing of the mean vector and the covariance matrix among two populations for high-dimensional data
• The quantile-based empirical likelihood for the difference of quantiles
• Global one-sample tests for high-dimensional covariance matrices
• High-dimensional testing for proportional covariance matrices
• Step-Down diagnostic analysis for monitoring the covariance matrix of bivariate normal processes
• A new nonparametric test for high-dimensional regression coefficients
• Testing block-diagonal covariance structure for high-dimensional data under non-normality
• Hypothesis testing for the covariance matrix in high-dimensional transposable data with Kronecker product dependence structure
• Comparison of linear shrinkage estimators of a large covariance matrix in normal and non-normal distributions
• Estimations for some functions of covariance matrix in high dimension under non-normality and its applications
• Tests for covariance matrix with fixed or divergent dimension
• Tests for high-dimensional covariance matrices
• Robust modified classical spherical tests in the presence of outliers
• A review of 20 years of naive tests of significance for high-dimensional mean vectors and covariance matrices

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