A high-dimensional test for the equality of the smallest eigenvalues of a covariance matrix

DOI10.1016/J.JMVA.2005.05.003zbMATH Open1086.62072OpenAlexW2039130732MaRDI QIDQ2489488FDOQ2489488

Authors: James R. Schott 

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

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zbMATH Keywords

Principal components analysisSums of eigenvalues

Mathematics Subject Classification ID

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

Cites Work

• Matrix Analysis
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• TESTS OF SIGNIFICANCE FOR THE LATENT ROOTS OF COVARIANCE AND CORRELATION MATRICES
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• Some hypothesis tests for the covariance matrix when the dimension is large compared to the sample size
• On the limit of the largest eigenvalue of the large dimensional sample covariance matrix
• Limit of the smallest eigenvalue of a large dimensional sample covariance matrix
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• Schur complements and statistics
• Some interlacing properties of the Schur complement of a Hermitian matrix
• Some inequalities on characteristic roots of matrices
• On Wielandt's inequality and its application to the asymptotic distribution of the eigenvalues of a random symmetric matrix
• An Extremum Property of Sums of Eigenvalues

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
• An Approximation for the Test of the Equality of the Smallest Eigenvalues of a Covariance Matrix
• 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
• 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
• Comparison of Correction Factors and Sample Size Required to Test the Equality of the Smallest Eigenvalues in Principal Component Analysis
• Tie-respecting bootstrap methods for estimating distributions of sets and functions of eigenvalues
• 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
• Bootstrapping non-stationary and irregular time series using singular spectral analysis
• Estimation in high-dimensional analysis and multivariate linear models
• Asymptotic distribution of the LR statistic for equality of the smallest eigenvalues in high-dimensional principal component analysis
• Permutation test for equality of an individual eigenvalue from a covariance matrix in high-dimension
• Modified Pillai's trace statistics for two high-dimensional sample covariance matrices
• 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
• Chernoff information between Gaussian trees
• Asymptotic Distribution of Studentized Contribution Ratio in High-Dimensional Principal Component Analysis

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