Likelihood ratio tests for covariance matrices of high-dimensional normal distributions

Asymptotic distribution theory in statistics (62E20) Hypothesis testing in multivariate analysis (62H15) Gamma, beta and polygamma functions (33B15) Hypergeometric integrals and functions defined by them ((E), (G), (H) and (I) functions) (33C60)

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Complex analysis. Transl. from the German by Dan Fulea
A High Dimensional Two Sample Significance Test
Book review of: Daniel S. Alexander, A history of complex dynamics. From Schröder to Fatou and Julia.

Cited In (53)

Inferring the finest pattern of mutual independence from data
A novel two-sample test within the space of symmetric positive definite matrix distributions and its application in finance
Many-sample tests for the equality and the proportionality hypotheses between large covariance matrices
Testing independence in high-dimensional multivariate normal data
Empirical likelihood method for complete independence test on high-dimensional data
Contiguity under high-dimensional Gaussianity with applications to covariance testing
Title not available (Why is that?)
Limiting distributions of likelihood ratio test for independence of components for high-dimensional normal vectors
Sharp minimax tests for large Toeplitz covariance matrices with repeated observations
An extreme-value approach for testing the equality of large U-statistic based correlation matrices
Accurate Critical Constants for the One-Sided Approximate Likelihood Ratio Test of a Normal Mean Vector When the Covariance Matrix Is Estimated
Likelihood ratio tests for elaborate covariance structures and for MANOVA models with elaborate covariance structures -- a review
Testing covariance structure of large-dimensional data based on Wald’s score test
A two-sample test for the equality of univariate marginal distributions for high-dimensional data
Kronecker delta method for testing independence between two vectors in high-dimension
Testing hypotheses about covariance matrices in general MANOVA designs
Central limit theorems for classical likelihood ratio tests for high-dimensional normal distributions
Testing for covariance matrices in time-varying coefficient panel data models with fixed effects
Optimal hypothesis testing for high dimensional covariance matrices
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
Large deviations of spread measures for Gaussian matrices
Testing equality of standardized generalized variances of \(k\) multivariate normal populations with arbitrary dimensions
Hypothesis testing on linear structures of high-dimensional covariance matrix
Block-diagonal test for high-dimensional covariance matrices
Homogeneity test of several high-dimensional covariance matrices for stationary processes under non-normality
On Schott's and Mao's test statistics for independence of normal random vectors
Adaptive test for large covariance matrices with missing observations
Likelihood Ratio Test in Multivariate Linear Regression: from Low to High Dimension
Projected tests for high-dimensional covariance matrices
Testing identity of high-dimensional covariance matrix
Estimating structured high-dimensional covariance and precision matrices: optimal rates and adaptive estimation
Testing high dimensional covariance matrices via posterior Bayes factor
Tests for large-dimensional covariance structure based on Rao's score test
Adaptive Tests for Bandedness of High-dimensional Covariance Matrices
Rank-based max-sum tests for mutual independence of high-dimensional random vectors
The moderate deviation principles of likelihood ratio tests under alternative hypothesis
Likelihood Ratio Tests for High‐Dimensional Normal Distributions
Regularized LRT for large scale covariance matrices: one sample problem
A study of two high-dimensional likelihood ratio tests under alternative hypotheses
Title not available (Why is that?)
Testing Independence via Spectral Moments
Asymptotic normality and moderate deviation principle for high-dimensional likelihood ratio statistic on block compound symmetry covariance structure
Asymptotic power of likelihood ratio tests for high dimensional data
Global one-sample tests for high-dimensional covariance matrices
Modified Pillai's trace statistics for two high-dimensional sample covariance matrices
Generalized Schott type tests for complete independence in high dimensions
Moderate deviation principles for classical likelihood ratio tests of high-dimensional normal distributions
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
On testing the equality of high dimensional mean vectors with unequal covariance matrices
Asymptotic distributions for likelihood ratio tests for the equality of covariance matrices
Tests for high-dimensional covariance matrices

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