An Approximation for the Test of the Equality of the Smallest Eigenvalues of a Covariance Matrix

DOI10.1080/03610926.2011.574219MaRDI QIDQ4904700zbMATH OpenOpenAlexFDO

Authors James R. Schott

Publication date 31 January 2013

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610926.2011.574219

zbMATH Keywords

asymptotic distributionlikelihood ratio testtest of sphericity

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Hypothesis testing in multivariate analysis (62H15)

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Cites work

• TESTS OF SIGNIFICANCE FOR THE LATENT ROOTS OF COVARIANCE AND CORRELATION MATRICES
• The distribution of the sphericity test criterion

Cited in

(6)

• A high-dimensional test for the equality of the smallest eigenvalues of a covariance matrix
• Comparison of Correction Factors and Sample Size Required to Test the Equality of the Smallest Eigenvalues in Principal Component Analysis
• Testing for principal component directions under weak identifiability
• Applications of the asymmetric eigenvalue problem techniques to robust testing
• Test of linear trend in eigenvalues of a covariance matrix with application to data analysis
• Eigenprojections and the equality of latent roots of a correlation matrix

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