Exact and approximate computation of critical values of the largest root test in high dimension

DOI10.1080/03610918.2021.1900247MaRDI QIDQ6116995zbMATH OpenOpenAlexFDO

Authors Zhidong Bai, Kwok Pui Choi, Yasunori Fujikoshi, Jiang Hu

Publication date 18 July 2023

Published in Communications in Statistics. Simulation and Computation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610918.2021.1900247

zbMATH Keywords

critical valueshigh dimensionMANOVArobustnessRoy's largest root testTracy-Widom distribution

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Multivariate distribution of statistics (62H10) Hypothesis testing in multivariate analysis (62H15)

Cites work

• A generalized multivariate analysis of variance model useful especially for growth curve problems
• A review of 20 years of naive tests of significance for high-dimensional mean vectors and covariance matrices
• Approximate null distribution of the largest root in multivariate analysis
• Approximation of the power functions of Roy's largest root test under general spiked alternatives
• Canonical correlation coefficients of high-dimensional Gaussian vectors: finite rank case
• Comparative Robustness of Six Tests in Multivariate Analysis of Variance
• Distribution of the largest root of a matrix for Roy's test in multivariate analysis of variance
• Exact distributional computations for Roy's statistic and the largest eigenvalue of a Wishart distribution
• scientific article; zbMATH DE number 3115913 (Why is no real title available?)
• scientific article; zbMATH DE number 3718360 (Why is no real title available?)
• scientific article; zbMATH DE number 1739748 (Why is no real title available?)
• scientific article; zbMATH DE number 1964693 (Why is no real title available?)
• Limiting behavior of eigenvalues in high-dimensional MANOVA via RMT
• Multivariate analysis and Jacobi ensembles: largest eigenvalue, Tracy-Widom limits and rates of convergence
• Multivariate statistics. High dimensional and large-sample approximations.
• Non-Parametric Detection of the Number of Signals: Hypothesis Testing and Random Matrix Theory
• On the Effects of Moderate Multivariate Nonnormality on Roy's Largest Root Test
• On the exact distributions of the extreme roots of the Wishart and MANOVA matrices
• On the Probability That All Eigenvalues of Gaussian, Wishart, and Double Wishart Random Matrices Lie Within an Interval
• Roy's largest root test under rank-one alternatives
• Some New Test Criteria in Multivariate Analysis
• Theory of statistics

Cited in

(2)

• Numerical computation for the exact distribution of Roy's largest root statistic under linear alternative
• Analytical p-value calculation for the higher criticism test in finite-d problems

This page was built for publication: Exact and approximate computation of critical values of the largest root test in high dimension

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6116995)