Testing high dimensional covariance matrices via posterior Bayes factor
DOI10.1016/j.jmva.2020.104674zbMath1461.62236OpenAlexW3084272253MaRDI QIDQ2657188
Publication date: 12 March 2021
Published in: Journal of Multivariate Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jmva.2020.104674
central limit theoremsphericity testidentity testhigh-dimensional covariance matrixposterior Bayes factor
Multivariate distribution of statistics (62H10) Estimation in multivariate analysis (62H12) Hypothesis testing in multivariate analysis (62H15) Central limit and other weak theorems (60F05) Monte Carlo methods (65C05) Statistical aspects of big data and data science (62R07)
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