Asymptotic distribution of the LR statistic for equality of the smallest eigenvalues in high-dimensional principal component analysis

DOI10.1016/j.jmva.2006.10.006zbMath1133.62037OpenAlexW2047907377MaRDI QIDQ2426742

Takayuki Yamada, Yasunori Fujikoshi, Daisuke Watanabe, Takakazu Sugiyama

Publication date: 23 April 2008

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

Full work available at URL: https://doi.org/10.1016/j.jmva.2006.10.006

zbMATH Keywords

asymptotic distributionequality of the smallest eigenvalueshigh-dimensional principal componentsLR statistic

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Asymptotic distribution theory in statistics (62E20) Hypothesis testing in multivariate analysis (62H15)

Related Items

Consistency of AIC and BIC in estimating the number of significant components in high-dimensional principal component analysis ⋮ Unnamed Item ⋮ Some Nonparametric Asymptotic Results for a Class of Stochastic Processes ⋮ High-dimensional asymptotic expansion of LR statistic for testing intraclass correlation structure and its error bound ⋮ Comparison of Correction Factors and Sample Size Required to Test the Equality of the Smallest Eigenvalues in Principal Component Analysis

Cites Work

• Limit of the smallest eigenvalue of a large dimensional sample covariance matrix
• Some hypothesis tests for the covariance matrix when the dimension is large compared to the sample size
• A high-dimensional test for the equality of the smallest eigenvalues of a covariance matrix
• TESTS OF SIGNIFICANCE FOR THE LATENT ROOTS OF COVARIANCE AND CORRELATION MATRICES
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