Testing high-dimensional covariance matrices under the elliptical distribution and beyond
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Publication:2658752
Abstract: We develop tests for high-dimensional covariance matrices under a generalized elliptical model. Our tests are based on a central limit theorem (CLT) for linear spectral statistics of the sample covariance matrix based on self-normalized observations. For testing sphericity, our tests neither assume specific parametric distributions nor involve the kurtosis of data. More generally, we can test against any non-negative definite matrix that can even be not invertible. As an interesting application, we illustrate in empirical studies that our tests can be used to test uncorrelatedness among idiosyncratic returns.
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Cited in
(11)- Likelihood ratio tests under model misspecification in high dimensions
- High-dimensional covariance matrices in elliptical distributions with application to spherical test
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