Moderate deviation principles for classical likelihood ratio tests of high-dimensional normal distributions
From MaRDI portal
Publication:2400815
DOI10.1016/j.jmva.2017.02.004zbMath1371.60056MaRDI QIDQ2400815
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
Related Items
Asymptotic normality and moderate deviation principle for high-dimensional likelihood ratio statistic on block compound symmetry covariance structure, A test for block circular symmetric covariance structure with divergent dimension, 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, Variance-corrected tests for covariance structures with high-dimensional data, Moderate deviations for Euler-Maruyama approximation of Hull-White stochastic volatility model, Likelihood ratio tests under model misspecification in high dimensions, Moderate deviation principle for likelihood ratio test in multivariate linear regression model
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Tests for large-dimensional covariance structure based on Rao's score test
- On the sphericity test with large-dimensional observations
- Central limit theorems for classical likelihood ratio tests for high-dimensional normal distributions
- Likelihood ratio tests for covariance matrices of high-dimensional normal distributions
- Delta method in large deviations and moderate deviations for estimators
- Moderate deviations of generalized method of moments and empirical likelihood estimators
- Corrections to LRT on large-dimensional covariance matrix by RMT
- On moderate deviation theory in estimation
- Moderate and Cramér-type large deviation theorems for M-estimators
- Moderate deviations of minimum contrast estimators under contamination
- On the distribution of the largest eigenvalue in principal components analysis
- Some hypothesis tests for the covariance matrix when the dimension is large compared to the sample size
- Book review of: Daniel S. Alexander, A history of complex dynamics. From Schröder to Fatou and Julia.
- Optimal hypothesis testing for high dimensional covariance matrices
- CERTAIN GENERALIZATIONS IN THE ANALYSIS OF VARIANCE
- Tests for High-Dimensional Covariance Matrices
- Properties of sufficiency and statistical tests
- Significance Test for Sphericity of a Normal $n$-Variate Distribution
