Large sample test criteria on Toeplitz covariance structure

DOI10.1080/03610918.2014.901356zbMATH Open1359.65018OpenAlexW2030420051MaRDI QIDQ2965553FDOQ2965553

Authors: Saran Ishika Maiti 

Publication date: 3 March 2017

Published in: Communications in Statistics. Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610918.2014.901356

Recommendations

• Fast nonasymptotic testing and support recovery for large sparse Toeplitz covariance matrices
• Sharp minimax tests for large Toeplitz covariance matrices with repeated observations
• The simultaneous test of equality and circularity of several covariance matrices
• Tests for covariance matrix with fixed or divergent dimension
• Testing covariance structure of large-dimensional data based on Wald's score test

zbMATH Keywords

Monte Carlonumerical examplesToeplitz matrixcovariance matrixlikelihood ratio testscentrosymmetric matrixstationary stochastic processtwo-stage testRao's efficient score statistic

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Hypothesis testing in multivariate analysis (62H15) Analysis of variance and covariance (ANOVA) (62J10) Stationary stochastic processes (60G10) Toeplitz, Cauchy, and related matrices (15B05)

Cited In (4)

• Sharp minimax tests for large Toeplitz covariance matrices with repeated observations
• Fast nonasymptotic testing and support recovery for large sparse Toeplitz covariance matrices
• Sample Efficient Toeplitz Covariance Estimation
• Large-Sample Theory for the Bergsma-Dassios Sign Covariance

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