A study of two high-dimensional likelihood ratio tests under alternative hypotheses

DOI10.1142/S2010326317500162zbMATH Open1485.62070OpenAlexW2768133472MaRDI QIDQ4603582FDOQ4603582

Authors: Huijun Chen, Tiefeng Jiang 

Publication date: 16 February 2018

Published in: Random Matrices: Theory and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s2010326317500162

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zbMATH Keywords

multivariate normal distributionhigh-dimensional datacentral limit theoremlikelihood ratio testmultivariate gamma functionalternative hypothesis

Mathematics Subject Classification ID

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

Cites Work

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• Optimal hypothesis testing for high dimensional covariance matrices
• A test for the equality of covariance matrices when the dimension is large relative to the sample sizes
• Some hypothesis tests for the covariance matrix when the dimension is large compared to the sample size
• Testing for complete independence in high dimensions
• Tests for high-dimensional covariance matrices
• Some tests for the equality of covariance matrices
• Corrections to LRT on large-dimensional covariance matrix by RMT
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• Substitution principle for CLT of linear spectral statistics of high-dimensional sample covariance matrices with applications to hypothesis testing
• Signal detection in high dimension: the multispiked case
• Likelihood ratio tests for covariance matrices of high-dimensional normal distributions
• Central limit theorems for classical likelihood ratio tests for high-dimensional normal distributions
• Likelihood ratio tests for high-dimensional normal distributions

Cited In (24)

• Contiguity under high-dimensional Gaussianity with applications to covariance testing
• Moderate deviation principle for likelihood ratio test in multivariate linear regression model
• Limiting distributions of likelihood ratio test for independence of components for high-dimensional normal vectors
• Asymptotic normality of high-dimensional Wilks'\(\lambda\) statistics
• High-dimensional asymptotics of likelihood ratio tests in the Gaussian sequence model under convex constraints
• Likelihood ratio tests for covariance matrices of high-dimensional normal distributions
• Likelihood ratio tests for high-dimensional normal distributions
• Central limit theorems for classical likelihood ratio tests for high-dimensional normal distributions
• 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
• Test on the linear combinations of covariance matrices in high-dimensional data
• Testing high dimensional covariance matrices via posterior Bayes factor
• Estimation and testing for panel data partially linear single-index models with errors correlated in space and time
• The moderate deviation principles of likelihood ratio tests under alternative hypothesis
• Spectral statistics of sample block correlation matrices
• Global one-sample tests for high-dimensional covariance matrices
• Quadratic statistics in testing problems of large dimension
• Multiple change-points detection in high dimension
• Modified Pillai's trace statistics for two high-dimensional sample covariance matrices
• 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
• Testing for practically significant dependencies in high dimensions via bootstrapping maxima of \(U\)-statistics
• Tests for high-dimensional covariance matrices

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