Sphericity test for high dimensional data based on random matrix theory

DOI10.3969/J.ISSN.1001-4268.2020.04.003MaRDI QIDQ5142917zbMATH OpenFDO

Authors Shou-cheng Yuan, Jie Zhou, Jieqiong Shen

Publication date 14 January 2021

Full work available at URL https://doi.org/10.3969/J.ISSN.1001-4268.2020.04.003

zbMATH Keywords

spectral distributionsphericity testtest powerhigh-dimensional covariance matrix

Mathematics Subject Classification ID

Hypothesis testing in multivariate analysis (62H15) Random matrices (probabilistic aspects) (60B20) Inference from stochastic processes and spectral analysis (62M15)

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Cited in

(10)

• Likelihood ratio test for partial sphericity in high and ultra-high dimensions
• Asymptotic power of sphericity tests for high-dimensional data
• Multivariate sign-based high-dimensional tests for sphericity
• On the sphericity test with large-dimensional observations
• High-dimensional sphericity test by extended likelihood ratio
• Testing uniformity on high-dimensional spheres: the non-null behaviour of the Bingham test
• Some sphericity tests for high dimensional data based on ratio of the traces of sample covariance matrices
• scientific article; zbMATH DE number 1789736 (Why is no real title available?)
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• Sphericity and identity test for high-dimensional covariance matrix using random matrix theory

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