High-dimensional rank tests for sphericity

DOI10.1016/J.JMVA.2017.01.003zbMATH Open1356.62071arXiv1502.04558OpenAlexW2113808451MaRDI QIDQ512015FDOQ512015

Long Feng, Binghui Liu

Publication date: 23 February 2017

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

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.

Full work available at URL: https://arxiv.org/abs/1502.04558

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zbMATH Keywords

asymptotic normalityrank testsphericity testhigh dimensionspatial rank

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Hypothesis testing in multivariate analysis (62H15) Measures of association (correlation, canonical correlation, etc.) (62H20)

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Cited In (12)

• Semiparametrically efficient rank-based inference for shape. I: optimal rank-based tests for sphericity
• Accuracy of regularized D-rule for binary classification
• Multivariate sign-based high-dimensional tests for sphericity
• Robust high-dimensional alpha test for conditional time-varying factor models
• High-Dimensional Alpha Test of the Linear Factor Pricing Models With Heavy-Tailed Distributions
• Testing uniformity on high-dimensional spheres: the non-null behaviour of the Bingham test
• ECA: High-Dimensional Elliptical Component Analysis in Non-Gaussian Distributions
• Spatial-sign-based high-dimensional white noises test
• High-dimensional proportionality test of two covariance matrices and its application to gene expression data
• Multivariate tests of independence and their application in correlation analysis between financial markets
• A rank-based high-dimensional test for equality of mean vectors
• High-dimensional tests for spherical location and spiked covariance

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