Testing the structure of the covariance matrix with fewer observations than the dimension

DOI10.1016/j.jmva.2012.06.004zbMath1273.62128OpenAlexW2095050400MaRDI QIDQ450870

Nancy Reid, Muni S. Srivastava

Publication date: 26 September 2012

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

Full work available at URL: https://doi.org/10.1016/j.jmva.2012.06.004

zbMATH Keywords

high-dimensional datafalse discovery ratemultivariate normal distributionintraclass correlationattained significance levelindependence of sub-vectors

Mathematics Subject Classification ID

Applications of statistics to biology and medical sciences; meta analysis (62P10) Hypothesis testing in multivariate analysis (62H15)

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The abstract of doctoral dissertation ‘Some research on hypothesis testing and nonparametric variable screening problems for high dimensional data’ ⋮ Testing the independence of two random vectors where only one dimension is large ⋮ More powerful tests for sparse high-dimensional covariances matrices ⋮ High-dimensional inference on covariance structures via the extended cross-data-matrix methodology ⋮ On Schott's and Mao's test statistics for independence of normal random vectors ⋮ Testing for independence of high-dimensional variables: \(\rho V\)-coefficient based approach ⋮ Testing block‐diagonal covariance structure for high‐dimensional data ⋮ Multivariate tests of independence and their application in correlation analysis between financial markets ⋮ Limiting distributions of the likelihood ratio test statistics for independence of normal random vectors ⋮ Block-diagonal test for high-dimensional covariance matrices ⋮ Hypothesis testing on compound symmetric structure of high-dimensional covariance matrix ⋮ Testing block-diagonal covariance structure for high-dimensional data under non-normality ⋮ Testing independence in high-dimensional multivariate normal data ⋮ A nonparametric test for block-diagonal covariance structure in high dimension and small samples ⋮ Hypothesis testing on linear structures of high-dimensional covariance matrix ⋮ Hypothesis tests for high-dimensional covariance structures ⋮ Limiting distributions of likelihood ratio test for independence of components for high-dimensional normal vectors

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