Sharp optimality for high-dimensional covariance testing under sparse signals

DOI10.1214/23-AOS2310MaRDI QIDQ6183765zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

covariance matrixdetection boundaryhigh dimensionalityminimaxrare and faint signalthresholding

Mathematics Subject Classification ID

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

Recommendations

• Optimal hypothesis testing for high dimensional covariance matrices
• Hypothesis testing for high-dimensional covariance matrices
• More powerful tests for sparse high-dimensional covariances matrices
• Sharp minimax tests for large covariance matrices and adaptation
• A robust test for sphericity of high-dimensional covariance matrices

Cites work

• Basic properties of strong mixing conditions. A survey and some open questions
• Detecting rare and faint signals via thresholding maximum likelihood estimators
• Detection of correlations
• Higher criticism for detecting sparse heterogeneous mixtures.
• Higher criticism for large-scale inference, especially for rare and weak effects
• scientific article; zbMATH DE number 3145638 (Why is no real title available?)
• scientific article; zbMATH DE number 3692406 (Why is no real title available?)
• scientific article; zbMATH DE number 1964693 (Why is no real title available?)
• scientific article; zbMATH DE number 3083049 (Why is no real title available?)
• Innovated higher criticism for detecting sparse signals in correlated noise
• Limiting laws of coherence of random matrices with applications to testing covariance structure and construction of compressed sensing matrices
• Mixing properties of ARMA processes
• On some test criteria for covariance matrix
• Optimal hypothesis testing for high dimensional covariance matrices
• Positive-definite _1-penalized estimation of large covariance matrices
• Regularized estimation of large covariance matrices
• Robustness and accuracy of methods for high dimensional data analysis based on Student's t-statistic
• Some problems of hypothesis testing leading to infinitely divisible distributions
• Statistical decision theory and Bayesian analysis. 2nd ed
• Test for bandedness of high-dimensional covariance matrices and bandwidth estimation
• Testing for complete independence in high dimensions
• Tests alternative to higher criticism for high-dimensional means under sparsity and column-wise dependence
• Tests for high-dimensional covariance matrices
• The asymptotic distributions of the largest entries of sample correlation matrices.
• Two-Sample Covariance Matrix Testing and Support Recovery in High-Dimensional and Sparse Settings

Cited in

(3)

• Sharp detection of smooth signals in a high-dimensional sparse matrix with indirect observations
• Mean tests for high-dimensional time series
• Minimax detection boundary and sharp optimal test for Gaussian graphical models

This page was built for publication: Sharp optimality for high-dimensional covariance testing under sparse signals

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6183765)