Location-invariant tests of homogeneity of large-dimensional covariance matrices

DOI10.1080/15598608.2017.1308895zbMATH Open1425.62078OpenAlexW2598120142MaRDI QIDQ2321809FDOQ2321809

Yanyan Li

Publication date: 23 August 2019

Published in: Journal of Statistical Theory and Practice (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/15598608.2017.1308895

zbMATH Keywords

covariance matriceshomogeneity testsmultivariate inferencehigh-dimensional theory

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Order statistics; empirical distribution functions (62G30)

Cites Work

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• Approximation Theorems of Mathematical Statistics
• Asymptotic Statistics
• A Class of Statistics with Asymptotically Normal Distribution
• Large Sample Techniques for Statistics
• PCA consistency in high dimension, low sample size context
• A test for the equality of covariance matrices when the dimension is large relative to the sample sizes
• PCA consistency for the power spiked model in high-dimensional settings
• Effective PCA for high-dimension, low-sample-size data with noise reduction via geometric representations
• Bilinear forms and zonal polynomials
• Estimations for some functions of covariance matrix in high dimension under non-normality and its applications
• \(U\)-tests of general linear hypotheses for high-dimensional data under nonnormality and heteroscedasticity
• Location‐invariant Multi‐sample U‐tests for Covariance Matrices with Large Dimension
• Two-sample tests for high-dimension, strongly spiked eigenvalue models

Cited In (8)

• Some correlation tests for vectors of large dimension
• A significance test of the RV coefficient in high dimensions
• A unified approach to testing mean vectors with large dimensions
• Tests of zero correlation using modified RV coefficient for high-dimensional vectors
• An uniformly superior exact multi-sample test procedure for homogeneity of variances under location-scale family of distributions
• Homogeneity test of several high-dimensional covariance matrices for stationary processes under non-normality
• A \(U\)-classifier for high-dimensional data under non-normality
• Locally Most Powerful Invariant Tests for Correlation and Sphericity of Gaussian Vectors

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