Limiting distributions of likelihood ratio test for independence of components for high-dimensional normal vectors

DOI10.1007/s10463-018-0666-9zbMath1427.62049OpenAlexW2804629749MaRDI QIDQ2317887

Yongcheng Qi, Fang Wang, Lin Zhang

Publication date: 13 August 2019

Published in: Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10463-018-0666-9

zbMATH Keywords

independencelikelihood ratio testcovariance matrixcentral limit theoremchi-square approximationhigh-dimensional normal vector

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Hypothesis testing in multivariate analysis (62H15) Central limit and other weak theorems (60F05)

Related Items (7)

Empirical likelihood method for complete independence test on high-dimensional data ⋮ The moderate deviation principles of likelihood ratio tests under alternative hypothesis ⋮ Asymptotic distributions for likelihood ratio tests for the equality of covariance matrices ⋮ Limiting distributions of the likelihood ratio test statistics for independence of normal random vectors ⋮ Block-diagonal test for high-dimensional covariance matrices ⋮ Likelihood ratio tests under model misspecification in high dimensions ⋮ Moderate deviation principle for likelihood ratio test in multivariate linear regression model

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