Tests for large-dimensional covariance structure based on Rao's score test
From MaRDI portal
(Redirected from Publication:321908)
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 , which breaks the inherent idea that the corrected tests by RMT can be only used when . Finally, we compare the proposed test with other high dimensional covariance structure tests to evaluate their performances through the simulation study.
Recommendations
- Testing covariance structure of large-dimensional data based on Wald's score test
- Corrections to LRT on large-dimensional covariance matrix by RMT
- Tests for high-dimensional covariance matrices
- Some hypothesis tests for the covariance matrix when the dimension is large compared to the sample size
- Tests for high-dimensional covariance matrices
Cites work
- scientific article; zbMATH DE number 3136275 (Why is no real title available?)
- scientific article; zbMATH DE number 3347500 (Why is no real title available?)
- scientific article; zbMATH DE number 3052144 (Why is no real title available?)
- CLT for linear spectral statistics of large-dimensional sample covariance matrices.
- Central limit theorems for linear spectral statistics of large dimensional \(F\)-matrices
- Corrections to LRT on large-dimensional covariance matrix by RMT
- Exact separation of eigenvalues of large dimensional sample covariance matrices
- Likelihood ratio tests for covariance matrices of high-dimensional normal distributions
- On some test criteria for covariance matrix
- On the distribution of the largest eigenvalue in principal components analysis
- Optimal hypothesis testing for high dimensional covariance matrices
- Some hypothesis tests for the covariance matrix when the dimension is large compared to the sample size
- Spectral analysis of large dimensional random matrices
- Substitution principle for CLT of linear spectral statistics of high-dimensional sample covariance matrices with applications to hypothesis testing
- Tests for high-dimensional covariance matrices
Cited in
(14)- Estimation and Tests for Departures from Rao-Structured Covariance Matrices
- Tests for covariance structures with high-dimensional repeated measurements
- Likelihood-based tests on moderate-high-dimensional mean vectors with unequal covariance matrices
- A score test for detecting extreme values in a vector autoregressive model
- 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
- Score test for a separable covariance structure with the first component as compound symmetric correlation matrix
- On improving the robustness and reliability of Rao's score test
- Moderate deviation principle for different types of classical likelihood ratio tests
- Covariance structure tests for multivariate \(t\)-distribution
- Corrections to LRT on large-dimensional covariance matrix by RMT
- The moderate deviation principles of likelihood ratio tests under alternative hypothesis
- Testing covariance structure of large-dimensional data based on Wald's score test
- A Universal Test on Spikes in a High-Dimensional Generalized Spiked Model and Its Applications
This page was built for publication: Tests for large-dimensional covariance structure based on Rao's score test
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q321908)
