Test for high-dimensional correlation matrices

DOI10.1214/18-AOS1768zbMATH Open1435.62201WikidataQ92888657 ScholiaQ92888657MaRDI QIDQ2328063FDOQ2328063

Authors: Shurong Zheng, Guanghui Cheng, Jianhua Guo, Hongtu Zhu 

Publication date: 9 October 2019

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.aos/1564797867

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zbMATH Keywords

global testingsample correlation matricesdense alternativessparse alternatives

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Applications of statistics to biology and medical sciences; meta analysis (62P10) Hypothesis testing in multivariate analysis (62H15) Measures of association (correlation, canonical correlation, etc.) (62H20)

Cites Work

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Cited In (17)

• Properties of eigenvalues and eigenvectors of large-dimensional sample correlation matrices
• An extreme-value approach for testing the equality of large U-statistic based correlation matrices
• How to estimate the correlation dimension of high-dimensional signals?
• Testing independence with high-dimensional correlated samples
• High-dimensional inference on covariance structures via the extended cross-data-matrix methodology
• A CLT for the LSS of large-dimensional sample covariance matrices with diverging spikes
• Correlation tests for high-dimensional data using extended cross-data-matrix methodology
• Testing the Effects of High-Dimensional Covariates via Aggregating Cumulative Covariances
• Use of Random Integration to Test Equality of High Dimensional Covariance Matrices
• Inference for high-dimensional differential correlation matrices
• On eigenvalues of a high-dimensional Kendall's rank correlation matrix with dependence
• Statistical inference on kurtosis of independent component model
• Title not available (Why is that?)
• Testing and support recovery of correlation structures for matrix-valued observations with an application to stock market data
• Correlation testing for affine invariant properties on F _p ⁿ in the high error regime
• Alteration detection of tensor dependence structure via sparsity-exploited reranking algorithm
• Limiting distributions for eigenvalues of sample correlation matrices from heavy-tailed populations

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