A high-dimensional test for the equality of the smallest eigenvalues of a covariance matrix
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Publication:2489488
DOI10.1016/j.jmva.2005.05.003zbMath1086.62072OpenAlexW2039130732MaRDI QIDQ2489488
Publication date: 28 April 2006
Published in: Journal of Multivariate Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jmva.2005.05.003
Asymptotic distribution theory in statistics (62E20) Hypothesis testing in multivariate analysis (62H15)
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Cites Work
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- Limit of the smallest eigenvalue of a large dimensional sample covariance matrix
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- Schur complements and statistics
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- Some interlacing properties of the Schur complement of a Hermitian matrix
- Some hypothesis tests for the covariance matrix when the dimension is large compared to the sample size
- TESTS OF SIGNIFICANCE FOR THE LATENT ROOTS OF COVARIANCE AND CORRELATION MATRICES
- Matrix Analysis
- Some inequalities on characteristic roots of matrices
- An Extremum Property of Sums of Eigenvalues
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