Regularized LRT for large scale covariance matrices: one sample problem
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Abstract: The main theme of this paper is a modification of the likelihood ratio test (LRT) for testing high dimensional covariance matrix. Recently, the correct asymptotic distribution of the LRT for a large-dimensional case (the case approaches to a constant ) is specified by researchers. The correct procedure is named as corrected LRT. Despite of its correction, the corrected LRT is a function of sample eigenvalues that are suffered from redundant variability from high dimensionality and, subsequently, still does not have full power in differentiating hypotheses on the covariance matrix. In this paper, motivated by the successes of a linearly shrunken covariance matrix estimator (simply shrinkage estimator) in various applications, we propose a regularized LRT that uses, in defining the LRT, the shrinkage estimator instead of the sample covariance matrix. We compute the asymptotic distribution of the regularized LRT, when the true covariance matrix is the identity matrix and a spiked covariance matrix. The obtained asymptotic results have applications in testing various hypotheses on the covariance matrix. Here, we apply them to testing the identity of the true covariance matrix, which is a long standing problem in the literature, and show that the regularized LRT outperforms the corrected LRT, which is its non-regularized counterpart. In addition, we compare the power of the regularized LRT to those of recent non-likelihood based procedures.
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Cites work
- A note on the CLT of the LSS for sample covariance matrix from a spiked population model
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- Corrections to LRT on large-dimensional covariance matrix by RMT
- scientific article; zbMATH DE number 3136275 (Why is no real title available?)
- Likelihood ratio tests for covariance matrices of high-dimensional normal distributions
- On the distribution of the largest eigenvalue in principal components analysis
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- Some hypothesis tests for the covariance matrix when the dimension is large compared to the sample size
- Substitution principle for CLT of linear spectral statistics of high-dimensional sample covariance matrices with applications to hypothesis testing
- Tests for high-dimensional covariance matrices
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