A test for the complete independence of high-dimensional random vectors

DOI10.1080/00949655.2016.1151517zbMath1465.62106OpenAlexW2314472458MaRDI QIDQ5221520

Zhi Liu, Wei-Ming Li

Publication date: 1 April 2020

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00949655.2016.1151517

zbMATH Keywords

hypothesis testingextreme value distributioncorrelation matrixpermutation testhigh-dimensional

Mathematics Subject Classification ID

Hypothesis testing in multivariate analysis (62H15) Measures of association (correlation, canonical correlation, etc.) (62H20) Order statistics; empirical distribution functions (62G30) Permutations, words, matrices (05A05) Eigenvalues, singular values, and eigenvectors (15A18) Large deviations (60F10)

Related Items (1)

Testing the independence of variables for specific covariance structures: A simulation study

Cites Work

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• Asymptotic distribution of the largest off-diagonal entry of correlation matrices
• Two-Sample Covariance Matrix Testing and Support Recovery in High-Dimensional and Sparse Settings

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