Abstract: Sphericity test plays a key role in many statistical problems. We propose Spearman's rho-type rank test and Kendall's tau-type rank test for sphericity in the high dimensional settings. We show that these two tests are equivalent. Thanks to the "blessing of dimension", we do not need to estimate any nuisance parameters. Without estimating the location parameter, we can allow the dimension to be arbitrary large. Asymptotic normality of these two tests are also established under elliptical distributions. Simulations demonstrate that they are very robust and efficient in a wide range of settings.
Recommendations
- Multivariate sign-based high-dimensional tests for sphericity
- A robust test for sphericity of high-dimensional covariance matrices
- High-dimensional sphericity test by extended likelihood ratio
- Some sphericity tests for high dimensional data based on ratio of the traces of sample covariance matrices
- A test of sphericity for high-dimensional data and its application for detection of divergently spiked noise
Cites work
- scientific article; zbMATH DE number 3723610 (Why is no real title available?)
- scientific article; zbMATH DE number 889593 (Why is no real title available?)
- scientific article; zbMATH DE number 3347500 (Why is no real title available?)
- Asymptotic distributions in canonical correlation analysis and other multivariate procedures for nonnormal populations
- Asymptotic power of sphericity tests for high-dimensional data
- Corrections to LRT on large-dimensional covariance matrix by RMT
- Multivariate nonparametric methods with R. An approach based on spatial signs and ranks.
- Multivariate sign-based high-dimensional tests for sphericity
- On the distribution of the largest eigenvalue in principal components analysis
- Rank-based procedures for structural hypotheses on covariance matrices
- Semiparametrically efficient rank-based inference for shape. I: optimal rank-based tests for sphericity
- Significance Test for Sphericity of a Normal $n$-Variate Distribution
- Some hypothesis tests for the covariance matrix when the dimension is large compared to the sample size
- Tests and estimates of shape based on spatial signs and ranks
- The distribution of a statistic used for testing sphericity of normal distributions
Cited in
(13)- Robust high-dimensional alpha test for conditional time-varying factor models
- Multivariate tests of independence and their application in correlation analysis between financial markets
- Multivariate sign-based high-dimensional tests for sphericity
- High-Dimensional Alpha Test of the Linear Factor Pricing Models With Heavy-Tailed Distributions
- High-dimensional proportionality test of two covariance matrices and its application to gene expression data
- A rank-based high-dimensional test for equality of mean vectors
- Semiparametrically efficient rank-based inference for shape. I: optimal rank-based tests for sphericity
- Testing uniformity on high-dimensional spheres: the non-null behaviour of the Bingham test
- Accuracy of regularized D-rule for binary classification
- A robust test for sphericity of high-dimensional covariance matrices
- High-dimensional tests for spherical location and spiked covariance
- Spatial-sign-based high-dimensional white noises test
- ECA: High-Dimensional Elliptical Component Analysis in Non-Gaussian Distributions
This page was built for publication: High-dimensional rank tests for sphericity
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q512015)
