On some test criteria for covariance matrix

DOI10.1214/AOS/1176342464zbMATH Open0263.62034OpenAlexW2075032250MaRDI QIDQ2561451FDOQ2561451

Authors: Hisao Nagao 

Publication date: 1973

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aos/1176342464

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Asymptotic distribution theory in statistics (62E20)

Cited In (95)

• A test of sphericity for high-dimensional data and its application for detection of divergently spiked noise
• Bartlett correction to the likelihood ratio test for MCAR with two‐step monotone sample
• Rao's statistic for homogeneity of multiple parameter
• Contiguity under high-dimensional Gaussianity with applications to covariance testing
• Testing diagonality of high-dimensional covariance matrix under non-normality
• Statistical Inferences for Complex Dependence of Multimodal Imaging Data
• Likelihood ratio tests for elaborate covariance structures and for MANOVA models with elaborate covariance structures -- a review
• Testing independence via spectral moments
• Testing high-dimensional covariance matrices under the elliptical distribution and beyond
• A nonparametric test for block-diagonal covariance structure in high dimension and small samples
• Tests for high-dimensional covariance matrices using the theory of \(U\)-statistics
• CLT for linear spectral statistics of normalized sample covariance matrices with the dimension much larger than the sample size
• Testing for covariance matrices in time-varying coefficient panel data models with fixed effects
• A new method of testing mutual independence
• Asymptotic normality for eigenvalue statistics of a general sample covariance matrix when \(p/n \to \infty\) and applications
• Block-diagonal test for high-dimensional covariance matrices
• Dimension-agnostic inference using cross U-statistics
• A CLT for the LSS of large-dimensional sample covariance matrices with diverging spikes
• Testing high dimensional covariance matrices via posterior Bayes factor
• Rank-based max-sum tests for mutual independence of high-dimensional random vectors
• Testing covariance structure of large-dimensional data based on Wald's score test
• A copula spectral test for pairwise time reversibility
• Exact Nonnull Distributions of Sphericity Tests for Trivariate Normal Population with Power Comparison
• Global one-sample tests for high-dimensional covariance matrices
• Testing homogeneity of several covariance matrices and multi-sample sphericity for high-dimensional data under non-normality
• Testing and signal identification for two-sample high-dimensional covariances via multi-level thresholding
• Independence test in high-dimension using distance correlation and power enhancement technique
• Testing for practically significant dependencies in high dimensions via bootstrapping maxima of \(U\)-statistics
• The new test criterion for the homogeneity of parameters of several populations
• Testing for independence of large dimensional vectors
• A class of tests for a general covariance structure
• A new test for the proportionality of two large-dimensional covariance matrices
• A high dimensional nonparametric test for proportional covariance matrices
• Fixed width confidence region for the mean of a multivariate normal distribution
• Robust statistics for test-of-independence and related structural models
• Nonnull distributions of two test criteria for independence under local alternatives
• Sharp minimax tests for large covariance matrices and adaptation
• An extreme-value approach for testing the equality of large U-statistic based correlation matrices
• Some hypothesis tests for the covariance matrix when the dimension is large compared to the sample size
• On the distributions of some test criteria for a covariance matrix under local alternatives and bootstrap approximations
• On testing for an identity covariance matrix when the dimensionality equals or exceeds the sample size
• Testing independence in high dimensions with sums of rank correlations
• Location-invariant multi-sample \(U\)-tests for covariance matrices with large dimension
• Optimal hypothesis testing for high dimensional covariance matrices
• Test for bandedness of high-dimensional covariance matrices and bandwidth estimation
• Criterion for the selection of a working correlation structure in the generalized estimating equation approach for longitudinal balanced data
• A note on testing the covariance matrix for large dimension
• Some tests for the covariance matrix with fewer observations than the dimension under non-normality
• Asymptotic non-null distribution for the locally most powerful invariant test for sphericity
• Multi-sample test for high-dimensional covariance matrices
• High-dimensional consistent independence testing with maxima of rank correlations
• A distance between multivariate normal distributions based in an embedding into the Siegel group
• Testing independence with high-dimensional correlated samples
• More powerful tests for sparse high-dimensional covariances matrices
• Adjusting for confounders in cross-correlation analysis: an application to resting state networks
• Asymptotic expansions of the distributions of some test statistics
• Productivity, preferences and UIP deviations in an open economy business cycle model
• Detecting positive correlations in a multivariate sample
• Invariant Polynomials and Related Tests
• Asymptotic theory for maximum deviations of sample covariance matrix estimates
• Testing sphericity using small samples
• Null distribution of the sum of squared \(z\)-transforms in testing complete independence
• Optimal tests for homogeneity of covariance, scale, and shape
• Testing identity of high-dimensional covariance matrix
• The asymptotic expansion of the distribution of Anderson's statistic for testing a latent vector of a covariance matrix
• Estimating structured high-dimensional covariance and precision matrices: optimal rates and adaptive estimation
• Covariance matrix testing in high dimension using random projections
• Tests of homogeneity of means and covariance matrices for multivariate incomplete data
• Tests for large-dimensional covariance structure based on Rao's score test
• On testing sphericity and identity of a covariance matrix with large dimensions
• On the sphericity test with large-dimensional observations
• Tests for covariance matrices in high dimension with less sample size
• Linear latent variable models and covariance structures
• Optimal rank-based tests for homogeneity of scatter
• Inference on covariance matrices under rank restrictions
• An exact test about the covariance matrix
• Tests of Hypotheses for Covariance Matrices and Distributions Under Multivariate Normal Populations
• Optimal-order bounds on the rate of convergence to normality in the multivariate delta method
• A semiparametric graphical modelling approach for large-scale equity selection
• Hypothesis testing for high-dimensional covariance matrices
• Properties of some test criteria for covariance matrix
• Quadratic shrinkage for large covariance matrices
• Tests of covariance matrices for high dimensional multivariate data under non normality
• Sphericity and identity test for high-dimensional covariance matrix using random matrix theory
• Asymptotic nonnull distributions of certain test criteria for a covariance matrix
• Asymptotic non-null distributions of two test criteria for equality of covariance matrices under local alternatives
• Tests and estimates of shape based on spatial signs and ranks
• Sharp optimality for high-dimensional covariance testing under sparse signals
• Power Function Studies
• Tests for covariance matrix with fixed or divergent dimension
• Hypothesis testing for the identity of high-dimensional covariance matrices
• A Method for Improving the Large-Sample Chi-Squared Approximations to Some Multivariate Test Statistics
• Tests for high-dimensional covariance matrices
• On some pattern-reduction matrices which appear in statistics
• A review of 20 years of naive tests of significance for high-dimensional mean vectors and covariance matrices

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