Likelihood ratio tests for high-dimensional normal distributions

DOI10.1111/SJOS.12147zbMATH Open1419.62143OpenAlexW1856239559MaRDI QIDQ3460657FDOQ3460657

Authors: Tiefeng Jiang, Yongcheng Qi 

Publication date: 8 January 2016

Published in: Scandinavian Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/sjos.12147

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zbMATH Keywords

multivariate normal distributionhigh-dimensional datahypothesis testcentral limit theoremlikelihood ratio testcovariance matrixmultivariate gamma functionmean vector

Mathematics Subject Classification ID

Asymptotic properties of parametric tests (62F05) Hypothesis testing in multivariate analysis (62H15) Central limit and other weak theorems (60F05)

Cites Work

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• Unbiasedness of the likelihood ratio tests for equality of several covariance matrices and equality of several multivariate normal populations
• Unbiasedness of Some Test Criteria for the Equality of One or Two Covariance Matrices
• Likelihood ratio tests for high-dimensional normal distributions

Cited In (47)

• Testing independence in high-dimensional multivariate normal data
• Empirical likelihood method for complete independence test on high-dimensional data
• Central limit theorem for linear spectral statistics of large dimensional Kendall's rank correlation matrices and its applications
• Testing linear hypotheses in high-dimensional regressions
• Contiguity under high-dimensional Gaussianity with applications to covariance testing
• Likelihood ratio tests under model misspecification in high dimensions
• A Bartlett-type correction for likelihood ratio tests with application to testing equality of Gaussian graphical models
• Total variation approximation of random orthogonal matrices by Gaussian matrices
• Moderate deviation principle for likelihood ratio test in multivariate linear regression model
• Limiting distributions of likelihood ratio test for independence of components for high-dimensional normal vectors
• High-dimensional Edgeworth expansion of the determinant of sample correlation matrix and its error bound
• Likelihood ratio tests for elaborate covariance structures and for MANOVA models with elaborate covariance structures -- a review
• Likelihood ratio tests for covariance matrices of high-dimensional normal distributions
• Testing independence via spectral moments
• Title not available (Why is that?)
• Likelihood ratio tests for high-dimensional normal distributions
• Central limit theorems for classical likelihood ratio tests for high-dimensional normal distributions
• Testing independence in high dimensions with sums of rank correlations
• The likelihood ratio test in high-dimensional logistic regression is asymptotically a rescaled Chi-square
• On LR simultaneous test of high-dimensional mean vector and covariance matrix under non-normality
• A note on asymptotics of classical likelihood ratio tests for high-dimensional normal distributions
• Max-sum tests for cross-sectional independence of high-dimensional panel data
• Hypothesis testing on linear structures of high-dimensional covariance matrix
• Block-diagonal test for high-dimensional covariance matrices
• A test for block circular symmetric covariance structure with divergent dimension
• On Schott's and Mao's test statistics for independence of normal random vectors
• Logarithmic law of large random correlation matrices
• Tests de la razón de verosimilitud para medias de poblaciones normales, sujetas a restricciones
• A high-dimensional likelihood ratio test for circular symmetric covariance structure
• Testing for independence in high dimensions based on empirical copulas
• Use of Random Integration to Test Equality of High Dimensional Covariance Matrices
• The moderate deviation principles of likelihood ratio tests under alternative hypothesis
• Directional testing for high dimensional multivariate normal distributions
• A study of two high-dimensional likelihood ratio tests under alternative hypotheses
• High-dimensional sphericity test by extended likelihood ratio
• Simultaneous testing of mean vector and covariance matrix for high-dimensional data
• Asymptotic normality and moderate deviation principle for high-dimensional likelihood ratio statistic on block compound symmetry covariance structure
• A note on the likelihood ratio test in high-dimensional exploratory factor analysis
• Likelihood ratio test in multivariate linear regression: from low to high dimension
• Likelihood ratio tests for many groups in high dimensions
• Asymptotic distribution of the maximum interpoint distance for high-dimensional data
• Generalized Schott type tests for complete independence in high dimensions
• Moderate deviation principle for different types of classical likelihood ratio tests
• Limiting distributions of the likelihood ratio test statistics for independence of normal random vectors
• Asymptotic distributions for likelihood ratio tests for the equality of covariance matrices
• Testing for practically significant dependencies in high dimensions via bootstrapping maxima of \(U\)-statistics
• Asymptotic power of Rao's score test for independence in high dimensions

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