Sharp minimax tests for large covariance matrices and adaptation
From MaRDI portal
Publication:309553
DOI10.1214/16-EJS1143zbMath1346.62086arXiv1409.1429MaRDI QIDQ309553
Rania Zgheib, Cristina Butucea
Publication date: 7 September 2016
Published in: Electronic Journal of Statistics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1409.1429
covariance matrix; goodness-of-fit tests; high-dimensional data; U-statistic; adaptive test; minimax separation rate; sharp asymptotic rate
62G10: Nonparametric hypothesis testing
62G20: Asymptotic properties of nonparametric inference
62H15: Hypothesis testing in multivariate analysis
Related Items
Adaptive test for large covariance matrices with missing observations, Sharp minimax tests for large Toeplitz covariance matrices with repeated observations, Fast nonasymptotic testing and support recovery for large sparse Toeplitz covariance matrices
Cites Work
- Unnamed Item
- Sharp minimax tests for large Toeplitz covariance matrices with repeated observations
- Optimal detection of sparse principal components in high dimension
- Sharp detection of smooth signals in a high-dimensional sparse matrix with indirect observations
- Limiting laws of coherence of random matrices with applications to testing covariance structure and construction of compressed sensing matrices
- Central limit theorem for integrated square error of multivariate nonparametric density estimators
- Adaptive goodness-of-fit testing from indirect observations
- Asymptotic equivalence of spectral density estimation and Gaussian white noise
- Optimal rates of convergence for covariance matrix estimation
- Covariance regularization by thresholding
- Corrections to LRT on large-dimensional covariance matrix by RMT
- A minimax test for hypotheses on a spectral density
- Asymptotically minimax hypothesis testing for nonparametric alternatives. I
- Some hypothesis tests for the covariance matrix when the dimension is large compared to the sample size
- Nonparametric goodness-of-fit testing under Gaussian models
- The asymptotic distributions of the largest entries of sample correlation matrices.
- Adaptive covariance matrix estimation through block thresholding
- Optimal hypothesis testing for high dimensional covariance matrices
- Asymptotic theory for maximum deviations of sample covariance matrix estimates
- Regularized estimation of large covariance matrices
- On some test criteria for covariance matrix
- Tests for High-Dimensional Covariance Matrices