Sharp optimality for high-dimensional covariance testing under sparse signals

DOI10.1214/23-AOS2310OpenAlexW4389816169MaRDI QIDQ6183765FDOQ6183765

Authors: Song Xi Chen, Yumou Qiu, Shuyi Zhang 

Publication date: 4 January 2024

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/journals/annals-of-statistics/volume-51/issue-5/Sharp-optimality-for-high-dimensional-covariance-testing-under-sparse-signals/10.1214/23-AOS2310.full

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zbMATH Keywords

minimaxcovariance matrixhigh dimensionalitythresholdingdetection boundaryrare and faint signal

Mathematics Subject Classification ID

Hypothesis testing in multivariate analysis (62H15) Measures of association (correlation, canonical correlation, etc.) (62H20) Minimax procedures in statistical decision theory (62C20)

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Cited In (2)

• Sharp detection of smooth signals in a high-dimensional sparse matrix with indirect observations
• Mean tests for high-dimensional time series

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