Hypothesis testing for high-dimensional covariance matrices

DOI10.1016/J.JMVA.2014.03.013zbMATH Open1352.62086OpenAlexW2029638475MaRDI QIDQ2451622FDOQ2451622

Authors: Yingli Qin, Weiming Li 

Publication date: 4 June 2014

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

Full work available at URL: https://doi.org/10.1016/j.jmva.2014.03.013

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zbMATH Keywords

Stieltjes transformhypothesis testingcovariance matrixhigh-dimensionalempirical spectral distribution

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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• Tests for high-dimensional covariance matrices
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• Some tests for the covariance matrix with fewer observations than the dimension under non-normality
• Testing the equality of several covariance matrices with fewer observations than the dimension
• Estimation of the population spectral distribution from a large dimensional sample covariance matrix

Cited In (54)

• Identity tests for high dimensional data using RMT
• Simultaneous testing of the mean vector and covariance matrix among k populations for high-dimensional data
• A high dimensional nonparametric test for proportional covariance matrices
• Tests for covariance structures with high-dimensional repeated measurements
• Some hypothesis tests for the covariance matrix when the dimension is large compared to the sample size
• A nonparametric test for block-diagonal covariance structure in high dimension and small samples
• On testing for an identity covariance matrix when the dimensionality equals or exceeds the sample size
• Testing hypotheses about covariance matrices in general MANOVA designs
• Testing for covariance matrices in time-varying coefficient panel data models with fixed effects
• Optimal hypothesis testing for high dimensional covariance matrices
• Maximum pairwise Bayes factors for covariance structure testing
• Test of equality of two-sample high-dimensional covariance matrices based on random \(F\)-matrix
• Multi-sample test for high-dimensional covariance matrices
• Limit theorem associated with Wishart matrices with application to hypothesis testing for common principal components
• More powerful tests for sparse high-dimensional covariances matrices
• Hypothesis testing for band size detection of high-dimensional banded precision matrices
• High-dimensional tests for functional networks of brain anatomic regions
• Test on the linear combinations of covariance matrices in high-dimensional data
• Hypothesis testing on linear structures of high-dimensional covariance matrix
• Block-diagonal test for high-dimensional covariance matrices
• The ratio-consistent estimators of covariance matrices in high-dimensional data
• Projected tests for high-dimensional covariance matrices
• High-dimensional inference on covariance structures via the extended cross-data-matrix methodology
• Test for high-dimensional correlation matrices
• Covariance matrix testing in high dimension using random projections
• Two-sample test for high-dimensional covariance matrices: a normal-reference approach
• Simulation‐based hypothesis testing of high dimensional means under covariance heterogeneity
• Testing high dimensional covariance matrices via posterior Bayes factor
• Recent developments in high dimensional covariance estimation and its related issues, a review
• Power computation for hypothesis testing with high-dimensional covariance matrices
• A comprehensive treatment of quadratic-form-based inference in repeated measures designs under diverse asymptotics
• Testing the order of a population spectral distribution for high-dimensional data
• Tests for high-dimensional covariance matrices
• Testing covariance structure of large-dimensional data based on Wald's score test
• Large-sample approximations and change testing for high-dimensional covariance matrices of multivariate linear time series and factor models
• On Structure Testing for Component Covariance Matrices of a High Dimensional Mixture
• Test for high dimensional covariance matrices
• Large sample covariance matrices and high-dimensional data analysis
• Testing constancy of conditional variance in high dimension
• Applications of Peter Hall's martingale limit theory to estimating and testing high dimensional covariance matrices
• Functional test for high-dimensional covariance matrix, with application to mitochondrial calcium concentration
• Hypothesis tests for high-dimensional covariance structures
• Likelihood ratio tests for many groups in high dimensions
• Modified Pillai's trace statistics for two high-dimensional sample covariance matrices
• Testing block-diagonal covariance structure for high-dimensional data under non-normality
• Testing proportionality of two high-dimensional covariance matrices
• Testing homogeneity of high-dimensional covariance matrices
• A Flexible Framework for Hypothesis Testing in High Dimensions
• Hypothesis testing for the covariance matrix in high-dimensional transposable data with Kronecker product dependence structure
• Sharp optimality for high-dimensional covariance testing under sparse signals
• Hypothesis testing for the identity of high-dimensional covariance matrices
• Tests for high-dimensional covariance matrices
• Hypothesis testing on compound symmetric structure of high-dimensional covariance matrix
• Homogeneity tests of covariance matrices with high-dimensional longitudinal data

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