Testing of high dimensional mean vectors via approximate factor model

DOI10.1016/J.JSPI.2015.04.004zbMATH Open1326.62129OpenAlexW2072310344MaRDI QIDQ897642FDOQ897642

Authors Cheng Zhou, Xin-Bing Kong 

Publication date 7 December 2015

Published in Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jspi.2015.04.004

zbMATH Keywords

precision matrixlarge dimensional covariance matrixapproximate factor model

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Hypothesis testing in multivariate analysis (62H15)

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Cites work

• scientific article; zbMATH DE number 889593 (Why is no real title available?)
• A Bernstein type inequality and moderate deviations for weakly dependent sequences
• A constrained \(\ell _{1}\) minimization approach to sparse precision matrix estimation
• A test for the mean vector with fewer observations than the dimension
• A two-sample test for high-dimensional data with applications to gene-set testing
• Adaptive thresholding for sparse covariance matrix estimation
• Estimating false discovery proportion under arbitrary covariance dependence
• Estimation of the false discovery proportion with unknown dependence
• High dimensional covariance matrix estimation using a factor model
• High-dimensional covariance matrix estimation in approximate factor models
• Large covariance estimation by thresholding principal orthogonal complements. With discussion and authors' reply
• The econometrics of mean‐variance efficiency tests: a survey

Cited in

(8)

• Adaptive test for mean vectors of high-dimensional time series data with factor structure
• High-dimensional general linear hypothesis testing under heteroscedasticity
• A high-dimensional test for the k-sample Behrens–Fisher problem
• High-dimensional two-sample mean vectors test and support recovery with factor adjustment
• A test for the \(k\) sample Behrens-Fisher problem in high dimensional data
• A Testing Procedure for Determining the Number of Factors in Approximate Factor Models With Large Datasets
• Linear hypothesis testing in high-dimensional one-way MANOVA
• Detecting approximate replicate components of a high-dimensional random vector with latent structure

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