A note on tests for high-dimensional covariance matrices

DOI10.1016/J.SPL.2016.05.002zbMATH Open1398.62145OpenAlexW2398326735MaRDI QIDQ310639FDOQ310639

Authors: Guangyu Mao 

Publication date: 8 September 2016

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2016.05.002

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zbMATH Keywords

sphericity testhigh dimensionidentity test

Mathematics Subject Classification ID

Hypothesis testing in multivariate analysis (62H15)

Cites Work

• Title not available (Why is that?)
• A new test for sphericity of the covariance matrix for high dimensional data
• Some hypothesis tests for the covariance matrix when the dimension is large compared to the sample size
• Tests for high-dimensional covariance matrices
• Tests for covariance matrices in high dimension with less sample size
• On testing for an identity covariance matrix when the dimensionality equals or exceeds the sample size

Cited In (12)

• A significance test of the RV coefficient in high dimensions
• A note on testing the covariance matrix for large dimension
• Some tests for the covariance matrix with fewer observations than the dimension under non-normality
• A simultaneous test of mean vector and covariance matrix in high-dimensional settings
• Variance-corrected tests for covariance structures with high-dimensional data
• More powerful tests for sparse high-dimensional covariances matrices
• Homogeneity test of several high-dimensional covariance matrices for stationary processes under non-normality
• Applications of Peter Hall's martingale limit theory to estimating and testing high dimensional covariance matrices
• Tests of covariance matrices for high dimensional multivariate data under non normality
• Hypothesis testing for the covariance matrix in high-dimensional transposable data with Kronecker product dependence structure
• Estimations for some functions of covariance matrix in high dimension under non-normality and its applications
• Tests for high-dimensional covariance matrices

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