Asymptotic theory for maximum deviations of sample covariance matrix estimates

DOI10.1016/J.SPA.2013.03.012zbMATH Open1284.62122OpenAlexW2028395910MaRDI QIDQ2447660FDOQ2447660

Authors: Han Xiao, Wei Biao Wu 

Publication date: 28 April 2014

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spa.2013.03.012

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zbMATH Keywords

taperingtest for stationarityhigh dimensional analysistest for bandednesstest for covariance structure

Mathematics Subject Classification ID

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

Cites Work

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• Necessary and sufficient conditions for the asymptotic distribution of the largest entry of a sample correlation matrix

Cited In (20)

• Sharp minimax tests for large Toeplitz covariance matrices with repeated observations
• Sharp minimax tests for large covariance matrices and adaptation
• Likelihood ratio tests for high-dimensional normal distributions
• Central limit theorems for classical likelihood ratio tests for high-dimensional normal distributions
• Block-diagonal test for high-dimensional covariance matrices
• Discussion on “on studying extreme values and systematic risks with nonlinear time series models and tail dependence measures”
• Adaptive Tests for Bandedness of High-dimensional Covariance Matrices
• Limiting distributions of largest entries of sample co-variance matrices from 1-dependent normal populations
• Test for high dimensional covariance matrices
• Estimation of deviation for random covariance matrices
• Global one-sample tests for high-dimensional covariance matrices
• Asymptotic expansion for distribution of the trace of a covariance matrix under a two-step monotone incomplete sample
• Title not available (Why is that?)
• Statistical Inference for High-Dimensional Vector Autoregression with Measurement Error
• Asymptotic Properties of Robust Complex Covariance Matrix Estimates
• Uniform change point tests in high dimension
• Point process convergence for symmetric functions of high-dimensional random vectors
• Limiting behavior of largest entry of random tensor constructed by high-dimensional data
• Point process convergence for the off-diagonal entries of sample covariance matrices
• Hypothesis Testing for Block-structured Correlation for High Dimensional Variables

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