A new statistic for testing covariance equality in high-dimensional Gaussian low-rank models

DOI10.1109/TSP.2024.3382476MaRDI QIDQ6605618zbMATH OpenFDO

Authors Rémi Beisson, Pascal Vallet, Audrey Giremus, Guillaume Ginolhac

Publication date 16 September 2024

Published in IEEE Transactions on Signal Processing (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1109/TSP.2024.3382476

Mathematics Subject Classification ID

Hypothesis testing in multivariate analysis (62H15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cited in

(1)

• Detecting spectral breaks in spiked covariance models

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