Sharp minimax tests for large Toeplitz covariance matrices with repeated observations

DOI10.1016/J.JMVA.2015.09.003MaRDI QIDQ268748zbMATH OpenOpenAlexFDO

Authors Cristina Butucea, Rania Zgheib

Publication date 15 April 2016

Published in Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1506.01557

zbMATH Keywords

high-dimensional dataToeplitz matrixU-statisticcovariance matrixminimax hypothesis testingoptimal separation ratessharp asymptotic rates

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Asymptotic properties of nonparametric inference (62G20) Multivariate distribution of statistics (62H10) Hypothesis testing in multivariate analysis (62H15)

Abstract: We observe a sample of $n$ independent $p$-dimensional Gaussian vectors with Toeplitz covariance matrix $Sigma=[sigm{a}_{|i-j|}{]}_{1leqi,jleqp}$ and $sigm{a}_0=1$. We consider the problem of testing the hypothesis that $Sigma$ is the identity matrix asymptotically when $noinfty$ and $poinfty$. We suppose that the covariances $sigm{a}_k$ decrease either polynomially ($su{m}_{kgeq1}{k}^{2alpha}sigm{a}_k^{2}leqL$ for $alpha>1/4$ and $L>0$) or exponentially ($su{m}_{kgeq1}{e}^{2Ak}sigm{a}_k^{2}leqL$ for $A,L>0$). We consider a test procedure based on a weighted U-statistic of order 2, with optimal weights chosen as solution of an extremal problem. We give the asymptotic normality of the test statistic under the null hypothesis for fixed $n$ and $po+infty$ and the asymptotic behavior of the type I error probability of our test procedure. We also show that the maximal type II error probability, either tend to $0$, or is bounded from above. In the latter case, the upper bound is given using the asymptotic normality of our test statistic under alternatives close to the separation boundary. Our assumptions imply mild conditions: $n=o(p^{2alpha-1/2})$ (in the polynomial case), $n=o(e^p)$ (in the exponential case). We prove both rate optimality and sharp optimality of our results, for $alpha>1$ in the polynomial case and for any $A>0$ in the exponential case. A simulation study illustrates the good behavior of our procedure, in particular for small $n$, large $p$.

Recommendations

• Sharp minimax tests for large covariance matrices and adaptation
• Fast nonasymptotic testing and support recovery for large sparse Toeplitz covariance matrices
• Adaptive test for large covariance matrices with missing observations
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Cited in

(6)

• Sharp minimax tests for large covariance matrices and adaptation
• Fast nonasymptotic testing and support recovery for large sparse Toeplitz covariance matrices
• Adaptive test for large covariance matrices with missing observations
• Large sample test criteria on Toeplitz covariance structure
• An introduction to recent advances in high/infinite dimensional statistics
• Median-of-means approach for repeated measures data

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Uses Software

• WeightedPortTest

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