Tests for large-dimensional covariance structure based on Rao's score test

DOI10.1016/J.JMVA.2016.07.010zbMATH Open1349.62222arXiv1510.03098OpenAlexW2292874243MaRDI QIDQ321908FDOQ321908

Dandan Jiang

Publication date: 14 October 2016

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Abstract: This paper proposes a new test for covariance matrices structure based on the correction to Rao's score test in large dimensional framework. By generalizing the CLT for the linear spectral statistics of large dimensional sample covariance matrices, the test can be applicable for large dimensional non-Gaussian variables in a wider range without the restriction of the 4th moment. Moreover, the amending Rao's score test is also powerful even for the ultra high dimensionality as $pggn$, which breaks the inherent idea that the corrected tests by RMT can be only used when $p<n$. Finally, we compare the proposed test with other high dimensional covariance structure tests to evaluate their performances through the simulation study.

Full work available at URL: https://arxiv.org/abs/1510.03098

zbMATH Keywords

random matrix theorycovariance structurelarge-dimensional dataRao's score test

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Hypothesis testing in multivariate analysis (62H15)

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Cited In (12)

• A score test for detecting extreme values in a vector autoregressive model
• Testing covariance structure of large-dimensional data based on Wald’s score test
• Estimation and Tests for Departures from Rao-Structured Covariance Matrices
• On improving the robustness and reliability of Rao's score test
• Score test for a separable covariance structure with the first component as compound symmetric correlation matrix
• Likelihood-based tests on moderate-high-dimensional mean vectors with unequal covariance matrices
• A Universal Test on Spikes in a High-Dimensional Generalized Spiked Model and Its Applications
• The moderate deviation principles of likelihood ratio tests under alternative hypothesis
• Covariance structure tests for multivariate \(t\)-distribution
• Approximate normality in testing an exchangeable covariance structure under large- and high-dimensional settings
• Moderate deviation principles for classical likelihood ratio tests of high-dimensional normal distributions
• Moderate deviation principle for different types of classical likelihood ratio tests

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