On the sphericity test with large-dimensional observations

DOI10.1214/13-EJS842zbMath1293.62127arXiv1303.4035MaRDI QIDQ367207

Qinwen Wang, Jian-feng Yao

Publication date: 26 September 2013

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

Full work available at URL: https://arxiv.org/abs/1303.4035

zbMATH Keywords

likelihood ratio testsphericitylarge-dimensional dataCLT for linear spectral statisticsJohn's testlarge-dimensional sample covariance matrixNagao's testspiked population model

Mathematics Subject Classification ID

62H10: Multivariate distribution of statistics

62H15: Hypothesis testing in multivariate analysis

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