Testing constancy of conditional variance in high dimension

DOI10.5705/SS.202016.0492MaRDI QIDQ5134495zbMATH OpenOpenAlexWikidataFDO

Authors Lu Deng, Changliang Zou, Zhaojun Wang, Xin Chen

Publication date 16 November 2020

Published in STATISTICA SINICA (Search for Journal in Brave)

Full work available at URL https://semanticscholar.org/paper/673d079925bbdb3df4b5c982537516fa6bbb474b

zbMATH Keywords

asymptotic normalityconstant variance conditionhigh dimensional datainverse regressionsufficient dimension reduction

Mathematics Subject Classification ID

Applications of functional analysis in probability theory and statistics (46N30) Estimation in multivariate analysis (62H12) Hypothesis testing in multivariate analysis (62H15) Applications of statistics to biology and medical sciences; meta analysis (62P10)

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Cites work

• A test for constant correlations in a multivariate GARCH model
• An Adaptive, Rate-Optimal Test of a Parametric Mean-Regression Model Against a Nonparametric Alternative
• Covariance regularization by thresholding
• Feature screening via distance correlation learning
• scientific article; zbMATH DE number 889593 (Why is no real title available?)
• Multivariate sign-based high-dimensional tests for sphericity
• Nonparametric smoothing and lack-of-fit tests
• Sliced Inverse Regression for Dimension Reduction
• Sure independence screening for ultrahigh dimensional feature space. With discussion and authors' reply
• Testing constancy of the error covariance matrix in vector models
• Tests alternative to higher criticism for high-dimensional means under sparsity and column-wise dependence
• Tests for high-dimensional covariance matrices
• Two sample tests for high-dimensional covariance matrices
• Two-sample behrens-fisher problem for high-dimensional data

Cited in

(4)

• Testing against constant factor loading matrix with large panel high-frequency data
• On testing for high-dimensional white noise
• Improving a constant in high-dimensional discrepancy estimates
• Estimating and testing conditional sums of means in high dimensional multivariate binary data

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