Moderate deviation principles for classical likelihood ratio tests of high-dimensional normal distributions

DOI10.1016/j.jmva.2017.02.004zbMath1371.60056OpenAlexW2588423026MaRDI QIDQ2400815

Hui Jiang, Shaochen Wang

Publication date: 30 August 2017

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

Full work available at URL: https://doi.org/10.1016/j.jmva.2017.02.004

zbMATH Keywords

moderate deviationslikelihood ratio testshigh-dimensional normal distributions

Mathematics Subject Classification ID

Hypothesis testing in multivariate analysis (62H15) Large deviations (60F10)

Related Items (8)

A test for block circular symmetric covariance structure with divergent dimension ⋮ Variance-corrected tests for covariance structures with high-dimensional data ⋮ The moderate deviation principles of likelihood ratio tests under alternative hypothesis ⋮ Hypothesis testing for independence given a blocked compound symmetric covariance structure in a high-dimensional setting ⋮ Moderate deviations for Euler-Maruyama approximation of Hull-White stochastic volatility model ⋮ Asymptotic normality and moderate deviation principle for high-dimensional likelihood ratio statistic on block compound symmetry covariance structure ⋮ 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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