High-dimensional asymptotic behavior of the difference between the log-determinants of two Wishart matrices

DOI10.1016/J.JMVA.2017.03.002MaRDI QIDQ2397130zbMATH OpenOpenAlexFDO

Authors Hirokazu Yanagihara, Ryoya Oda, Yusuke Hashiyama, Yasunori Fujikoshi

Publication date 29 May 2017

Published in Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jmva.2017.03.002

zbMATH Keywords

model selectioncanonical correlation analysisinformation criterionhigh-dimensional asymptotic frameworkconsistency of information criterion

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Asymptotic distribution theory in statistics (62E20)

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Cited in

(5)

• scientific article; zbMATH DE number 7387564 (Why is no real title available?)
• Strong consistency of log-likelihood-based information criterion in high-dimensional canonical correlation analysis
• High-dimensional regime for Wishart matrices based on the increments of the solution to the stochastic heat equation
• Consistent Bayesian information criterion based on a mixture prior for possibly high‐dimensional multivariate linear regression models
• Asymptotic null and non-null distributions of test statistics for redundancy in high-dimensional canonical correlation analysis

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