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

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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)

Cites Work

• High dimensional covariance matrix estimation using a factor model
• Estimating false discovery proportion under arbitrary covariance dependence
• Large Covariance Estimation by Thresholding Principal Orthogonal Complements
• A constrained \(\ell _{1}\) minimization approach to sparse precision matrix estimation
• A two-sample test for high-dimensional data with applications to gene-set testing
• Adaptive thresholding for sparse covariance matrix estimation
• Title not available (Why is that?)
• Estimation of the False Discovery Proportion with Unknown Dependence
• A test for the mean vector with fewer observations than the dimension
• A Bernstein type inequality and moderate deviations for weakly dependent sequences
• High-dimensional covariance matrix estimation in approximate factor models
• The econometrics of mean‐variance efficiency tests: a survey

Cited In (8)

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

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