Applications of Peter Hall's martingale limit theory to estimating and testing high dimensional covariance matrices

DOI10.5705/SS.202017.0060MaRDI QIDQ4558606zbMATH OpenOpenAlexFDO

Authors Danning Li, Lingzhou Xue, Hui Zou

Publication date 22 November 2018

Published in STATISTICA SINICA (Search for Journal in Brave)

Full work available at URL https://semanticscholar.org/paper/74c9343925270286396f2f31d6f6d990f82c7f9c

zbMATH Keywords

degenerate U-statisticshypothesis testinglarge covariance matrixmartingale limit theoryStein's unbiased risk estimation

Mathematics Subject Classification ID

Strong limit theorems (60F15) Martingales with discrete parameter (60G42) Nonparametric estimation (62G05) Estimation in multivariate analysis (62H12) Hypothesis testing in multivariate analysis (62H15)

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(8)

• Power-Enhanced Simultaneous Test of High-Dimensional Mean Vectors and Covariance Matrices with Application to Gene-Set Testing
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• High-dimensional covariance matrix estimation
• Power-enhanced two-sample mean tests for high-dimensional microbiome compositional data
• A unified combination framework for dependent tests with applications to microbiome association studies
• Asymptotic distributions of largest Pearson correlation coefficients under dependent structures
• Statistical inference for high-dimensional robust linear regression models via recursive online-score estimation

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