Testing the equality of multiple high-dimensional covariance matrices

DOI10.1016/J.RINAM.2022.100316MaRDI QIDQ2674609zbMATH OpenOpenAlexWikidataFDO

Authors Jieqiong Shen

Publication date 14 September 2022

Published in Results in Applied Mathematics (Search for Journal in Brave)

Copyright license Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International

Full work available at URL https://doi.org/10.1016/j.rinam.2022.100316

zbMATH Keywords

covariance matriceshigh-dimensional datahomogeneitynon-normality

Mathematics Subject Classification ID

Hypothesis testing in multivariate analysis (62H15)

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Cites work

• A test for the equality of covariance matrices when the dimension is large relative to the sample sizes
• A Variance Equality Test for Two Correlated Complex Gaussian Variables With Application to Spectral Power Comparison
• Corrections to LRT on large-dimensional covariance matrix by RMT
• High-dimensional two-sample covariance matrix testing via super-diagonals
• scientific article; zbMATH DE number 3723610 (Why is no real title available?)
• scientific article; zbMATH DE number 1964693 (Why is no real title available?)
• Multi-sample test for high-dimensional covariance matrices
• Multivariate statistics. High dimensional and large-sample approximations.
• On Multiple Covariance Equality Testing with Application to SAR Change Detection
• Strong Control, Conservative Point Estimation and Simultaneous Conservative Consistency of False Discovery Rates: A Unified Approach
• Testing homogeneity of high-dimensional covariance matrices
• Testing the equality of several covariance matrices with fewer observations than the dimension
• Tests for covariance matrices in high dimension with less sample size
• Two sample tests for high-dimensional covariance matrices

Cited in

(17)

• A test for the equality of covariance matrices when the dimension is large relative to the sample sizes
• Testing and support recovery of multiple high-dimensional covariance matrices with false discovery rate control
• Test on the linear combinations of covariance matrices in high-dimensional data
• High-dimensional testing for proportional covariance matrices
• A high-dimensional test for the equality of the smallest eigenvalues of a covariance matrix
• On testing for homogeneity of the covariance matrices.
• A homogeneity test of large dimensional covariance matrices under non-normality.
• A note on homogeneity tests of covariance matrices
• On Multiple Covariance Equality Testing with Application to SAR Change Detection
• Testing the equality of several covariance matrices
• A STATISTIC FOR TESTING THE EQUALITY OF EIGENVALUE OF COVARIANCE MATRIX ON MULTIPOPULATION
• A computational approach test for the equality of two multivariate normal mean vectors under heterogeneity of covariance matrices
• Multi-sample test for high-dimensional covariance matrices
• Test of equality of two-sample high-dimensional covariance matrices based on random F-matrix
• Testing homogeneity of high-dimensional covariance matrices
• Visualizing Tests for Equality of Covariance Matrices
• Preliminary Multiple-Test Estimation, With Applications to k-Sample Covariance Estimation

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