Modified Pillai's trace statistics for two high-dimensional sample covariance matrices

DOI10.1016/j.jspi.2020.01.002zbMath1437.62204arXiv2001.00397OpenAlexW3000531432MaRDI QIDQ2301119

Qiuyan Zhang, Jiang Hu, Zhi-Dong Bai

Publication date: 28 February 2020

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2001.00397

zbMATH Keywords

CLThigh-dimensional testbeta matricesLSSPillai's trace statistics

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Hypothesis testing in multivariate analysis (62H15)

Related Items

Homogeneity test of several high-dimensional covariance matrices for stationary processes under non-normality

Cites Work

• Unnamed Item
• A test for the equality of covariance matrices when the dimension is large relative to the sample sizes
• A new test for sphericity of the covariance matrix for high dimensional data
• Two sample tests for high-dimensional covariance matrices
• Central limit theorems for linear spectral statistics of large dimensional \(F\)-matrices
• Likelihood ratio tests for covariance matrices of high-dimensional normal distributions
• Some tests for the covariance matrix with fewer observations than the dimension under non-normality
• Test for bandedness of high-dimensional covariance matrices and bandwidth estimation
• Central limit theorems for eigenvalues in a spiked population model
• Testing the equality of several covariance matrices with fewer observations than the dimension
• Corrections to LRT on large-dimensional covariance matrix by RMT
• On the distribution of the largest eigenvalue in principal components analysis
• 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.
• Substitution principle for CLT of linear spectral statistics of high-dimensional sample covariance matrices with applications to hypothesis testing
• Invariant test based on the modified correction to LRT for the equality of two high-dimensional covariance matrices
• Optimal hypothesis testing for high dimensional covariance matrices
• A high-dimensional test for the equality of the smallest eigenvalues of a covariance matrix
• Eigenvalues of large sample covariance matrices of spiked population models
• Convergence of the empirical spectral distribution function of beta matrices
• Asymptotic linear spectral statistics for spiked Hermitian random matrices
• A note on testing the covariance matrix for large dimension
• Testing linear hypotheses in high-dimensional regressions
• A study of two high-dimensional likelihood ratio tests under alternative hypotheses
• Two-Sample Covariance Matrix Testing and Support Recovery in High-Dimensional and Sparse Settings
• Multi-sample test for high-dimensional covariance matrices
• Tests for High-Dimensional Covariance Matrices
• Multivariate Theory for Analyzing High Dimensional Data
• DISTRIBUTION OF EIGENVALUES FOR SOME SETS OF RANDOM MATRICES