Testing super-diagonal structure in high dimensional covariance matrices

DOI10.1016/J.JECONOM.2016.05.007MaRDI QIDQ308372zbMATHOpenAlexFDO

Authors Song Xi Chen, Jing He

Publication date 6 September 2016

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jeconom.2016.05.007

zbMATH Keywords

multiple testinghigh dimensionalitysparse covariance matrixbandable covariance

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Estimation in multivariate analysis (62H12) Hypothesis testing in multivariate analysis (62H15)

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Cites work

• scientific article; zbMATH DE number 3723610 (Why is no real title available?)
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• Testing for complete independence in high dimensions
• Testing panel data regression models with spatial error correlation.
• Testing super-diagonal structure in high dimensional covariance matrices
• Tests for high-dimensional covariance matrices
• Tests for high-dimensional regression coefficients with factorial designs
• Two sample tests for high-dimensional covariance matrices

Cited in

(6)

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• Variance-corrected tests for covariance structures with high-dimensional data
• Test for high dimensional covariance matrices
• Testing super-diagonal structure in high dimensional covariance matrices
• Testing diagonality of high-dimensional covariance matrix under non-normality
• Block-diagonal test for high-dimensional covariance matrices

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