Large sample test criteria on Toeplitz covariance structure

DOI10.1080/03610918.2014.901356MaRDI QIDQ2965553zbMATH OpenOpenAlexFDO

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

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)

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

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

This page was built for publication: Large sample test criteria on Toeplitz covariance structure

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2965553)