Sharp minimax tests for large Toeplitz covariance matrices with repeated observations

DOI10.1016/j.jmva.2015.09.003zbMath1334.62075arXiv1506.01557MaRDI QIDQ268748

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

Toeplitz matrix; covariance matrix; high-dimensional data; minimax hypothesis testing; optimal separation rates; sharp asymptotic rates; U-statistic

Mathematics Subject Classification ID

62H10: Multivariate distribution of statistics

62G10: Nonparametric hypothesis testing

62G20: Asymptotic properties of nonparametric inference

62H15: Hypothesis testing in multivariate analysis

Uses Software

• WeightedPortTest