Optimal hypothesis testing for high dimensional covariance matrices

DOI10.3150/12-BEJ455zbMath1281.62140arXiv1205.4219MaRDI QIDQ2435246

T. Tony Cai, Zongming Ma

Publication date: 4 February 2014

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1205.4219

zbMATH Keywords

power; high-dimensional data; likelihood ratio tests; correlation matrix; minimax hypothesis testing; testing covariance structure

Mathematics Subject Classification ID

62H15: Hypothesis testing in multivariate analysis

62C20: Minimax procedures in statistical decision theory

62F05: Asymptotic properties of parametric tests

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