Invariant test based on the modified correction to LRT for the equality of two high-dimensional covariance matrices

DOI10.1214/19-EJS1542MaRDI QIDQ2414482zbMATH OpenOpenAlexFDO

Authors Qiuyan Zhang, Jiang Hu, Zhidong Bai

Publication date 17 May 2019

Published in Electronic Journal of Statistics (Search for Journal in Brave)

Full work available at URL https://projecteuclid.org/euclid.ejs/1553565706

zbMATH Keywords

high-dimensional datahypothesis testinglikelihood ratio testrandom matrix theory

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Hypothesis testing in multivariate analysis (62H15) Analysis of variance and covariance (ANOVA) (62J10)

Recommendations

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Cited in

(7)

• Corrections to LRT on large-dimensional covariance matrix by RMT
• Modified Pillai's trace statistics for two high-dimensional sample covariance matrices
• Regularized LRT for large scale covariance matrices: one sample problem
• Approximation of the power functions of Roy's largest root test under general spiked alternatives
• Distributed estimation of spiked eigenvalues in spiked population models
• Change point detection in high dimensional covariance matrix using Pillai's statistics
• Simultaneous test of the mean vectors and covariance matrices for high-dimensional data using RMT

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