Asymptotic power of sphericity tests for high-dimensional data

DOI10.1214/13-AOS1100zbMath1293.62125arXiv1306.4867MaRDI QIDQ366967

Alexei Onatski, Marcelo J. Moreira, Marc Hallin

Publication date: 25 September 2013

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1306.4867

zbMATH Keywords

steepest descent; contiguity; asymptotic power; power envelope; contour integral representation; large dimensionality; sphericity tests; spiked covariance

Mathematics Subject Classification ID

62B15: Theory of statistical experiments

62H15: Hypothesis testing in multivariate analysis

41A60: Asymptotic approximations, asymptotic expansions (steepest descent, etc.)

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