Testing high dimensional covariance matrices via posterior Bayes factor

DOI10.1016/j.jmva.2020.104674zbMath1461.62236OpenAlexW3084272253MaRDI QIDQ2657188

Xingzhong Xu, Zhendong Wang

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

zbMATH Keywords

central limit theoremsphericity testidentity testhigh-dimensional covariance matrixposterior Bayes factor

Mathematics Subject Classification ID

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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