A high-dimensional test for the equality of the smallest eigenvalues of a covariance matrix
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Publication:2489488
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Cites work
- scientific article; zbMATH DE number 3886886 (Why is no real title available?)
- scientific article; zbMATH DE number 40988 (Why is no real title available?)
- scientific article; zbMATH DE number 2146311 (Why is no real title available?)
- An Extremum Property of Sums of Eigenvalues
- Limit of the smallest eigenvalue of a large dimensional sample covariance matrix
- Matrix Analysis
- On Wielandt's inequality and its application to the asymptotic distribution of the eigenvalues of a random symmetric matrix
- On the limit of the largest eigenvalue of the large dimensional sample covariance matrix
- Schur complements and statistics
- Some hypothesis tests for the covariance matrix when the dimension is large compared to the sample size
- Some inequalities on characteristic roots of matrices
- Some interlacing properties of the Schur complement of a Hermitian matrix
- TESTS OF SIGNIFICANCE FOR THE LATENT ROOTS OF COVARIANCE AND CORRELATION MATRICES
Cited in
(29)- Identity tests for high dimensional data using RMT
- Consistency of AIC and BIC in estimating the number of significant components in high-dimensional principal component analysis
- A nonuniform bound to an independent test in high dimensional data analysis via Stein's method
- Some nonparametric asymptotic results for a class of stochastic processes
- Robust signal dimension estimation via SURE
- On testing for an identity covariance matrix when the dimensionality equals or exceeds the sample size
- Asymptotic power of sphericity tests for high-dimensional data
- An Approximation for the Test of the Equality of the Smallest Eigenvalues of a Covariance Matrix
- Testing for subsphericity when \(n\) and \(p\) are of different asymptotic order
- Some high-dimensional tests for a one-way MANOVA
- Exploring dimension learning via a penalized probabilistic principal component analysis
- Tie-respecting bootstrap methods for estimating distributions of sets and functions of eigenvalues
- Comparison of Correction Factors and Sample Size Required to Test the Equality of the Smallest Eigenvalues in Principal Component Analysis
- On testing the equality of latent roots of scatter matrices under ellipticity
- Power enhancement for dimension detection of Gaussian signals
- On the behaviour of the smallest eigenvalue of a high-dimensional sample covariance matrix
- Many-sample tests for the equality and the proportionality hypotheses between large covariance matrices
- Signal detection in high dimension: the multispiked case
- Asymptotic and bootstrap tests for subspace dimension
- Asymptotic power of likelihood ratio tests for high dimensional data
- Asymptotic distribution of the LR statistic for equality of the smallest eigenvalues in high-dimensional principal component analysis
- Estimation in high-dimensional analysis and multivariate linear models
- Bootstrapping non-stationary and irregular time series using singular spectral analysis
- Permutation test for equality of an individual eigenvalue from a covariance matrix in high-dimension
- A new test for sphericity of the covariance matrix for high dimensional data
- A test for the equality of covariance matrices when the dimension is large relative to the sample sizes
- Modified Pillai's trace statistics for two high-dimensional sample covariance matrices
- Chernoff information between Gaussian trees
- Asymptotic Distribution of Studentized Contribution Ratio in High-Dimensional Principal Component Analysis
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