Testing high-dimensional covariance matrices under the elliptical distribution and beyond

DOI10.1016/J.JECONOM.2020.05.017zbMATH Open1471.62381arXiv1707.04010OpenAlexW3047836600MaRDI QIDQ2658752FDOQ2658752

Xinxin Yang, Jiaqi Chen, Xinghua Zheng

Publication date: 24 March 2021

Published in: Journal of Econometrics (Search for Journal in Brave)

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.

Full work available at URL: https://arxiv.org/abs/1707.04010

zbMATH Keywords

central limit theoremcovariance matrixhigh-dimensionlinear spectral statisticselliptical model

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Asymptotic distribution theory in statistics (62E20) Hypothesis testing in multivariate analysis (62H15) Applications of statistics to actuarial sciences and financial mathematics (62P05) Central limit and other weak theorems (60F05)

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Cited In (10)

• Likelihood ratio tests under model misspecification in high dimensions
• Likelihood ratio tests for elaborate covariance structures and for MANOVA models with elaborate covariance structures -- a review
• Log determinant of large correlation matrices under infinite fourth moment
• High-dimensional covariance matrices under dynamic volatility models: asymptotics and shrinkage estimation
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Uses Software

• QRM

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