Testing identity of high-dimensional covariance matrix
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Cites work
- CLT for linear spectral statistics of large-dimensional sample covariance matrices.
- CLT for linear spectral statistics of normalized sample covariance matrices with the dimension much larger than the sample size
- Corrections to LRT on large-dimensional covariance matrix by RMT
- scientific article; zbMATH DE number 1964693 (Why is no real title available?)
- Likelihood ratio tests for covariance matrices of high-dimensional normal distributions
- On some test criteria for covariance matrix
- On testing for an identity covariance matrix when the dimensionality equals or exceeds the sample size
- On the sphericity test with large-dimensional observations
- Some hypothesis tests for the covariance matrix when the dimension is large compared to the sample size
- Some tests for the covariance matrix with fewer observations than the dimension under non-normality
- Spectral analysis of large dimensional random matrices
- Tests for high-dimensional covariance matrices
- Unbiasedness of Some Test Criteria for the Equality of One or Two Covariance Matrices
Cited in
(4)- Sphericity and identity test for high-dimensional covariance matrix using random matrix theory
- On testing sphericity and identity of a covariance matrix with large dimensions
- Global one-sample tests for high-dimensional covariance matrices
- New tests for the identity and sphericity of high-dimensional covariance matrices via U-statistics
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