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

DOI10.1080/15598608.2017.1308895MaRDI QIDQ2321809zbMATH OpenOpenAlexFDO

Authors 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)

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• Location-invariant multi-sample \(U\)-tests for covariance matrices with large dimension
• PCA consistency in high dimension, low sample size context
• Two-sample tests for high-dimension, strongly spiked eigenvalue models
• \(U\)-tests of general linear hypotheses for high-dimensional data under nonnormality and heteroscedasticity

Cited in

(11)

• A significance test of the RV coefficient in high dimensions
• Some correlation tests for vectors of large dimension
• Location-invariant multi-sample \(U\)-tests for covariance matrices with large dimension
• 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
• A homogeneity test of large dimensional covariance matrices under non-normality.
• Testing homogeneity of high-dimensional covariance matrices

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