A new test for the proportionality of two large-dimensional covariance matrices

DOI10.1016/j.jmva.2014.06.008zbMath1299.62043OpenAlexW2064633615MaRDI QIDQ406556

Shurong Zheng, Guo-Liang Tian, Lin Xu, Bai-Sen Liu

Publication date: 8 September 2014

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

Full work available at URL: https://doi.org/10.1016/j.jmva.2014.06.008

zbMATH Keywords

hypothesis testingcovariance matrixlimiting spectral distributionproportionalitylarge-dimensional datarandom \(F\)-matrices

Mathematics Subject Classification ID

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

Related Items (11)

High-dimensional proportionality test of two covariance matrices and its application to gene expression data ⋮ CLT for linear spectral statistics of large dimensional sample covariance matrices with dependent data ⋮ CLT for linear spectral statistics of a rescaled sample precision matrix ⋮ High-dimensional testing for proportional covariance matrices ⋮ Testing proportionality of two high-dimensional covariance matrices ⋮ Preliminary Multiple-Test Estimation, With Applications to k-Sample Covariance Estimation ⋮ Testing the equality of two high‐dimensional spatial sign covariance matrices ⋮ Limit theorem associated with Wishart matrices with application to hypothesis testing for common principal components ⋮ A high dimensional nonparametric test for proportional covariance matrices ⋮ Tests for high-dimensional covariance matrices ⋮ Tests for proportionality of matrices with large dimension

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