Testing independence among a large number of high-dimensional random vectors
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central limit theoremcovariance stationary time seriesempirical spectral distributionindependence testlarge-dimensional sample covariance matrixlinear spectral statistics
Central limit and other weak theorems (60F05) Asymptotic distribution theory in statistics (62E20) Hypothesis testing in multivariate analysis (62H15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15) Applications of statistics to actuarial sciences and financial mathematics (62P05)
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Cites work
- A new diagnostic test for cross-section uncorrelatedness in nonparametric panel data models
- A note on a Marčenko-Pastur type theorem for time series
- A note on testing the covariance matrix for large dimension
- A test of cross section dependence for a linear dynamic panel model with regressors
- Assessing cross-sectional correlation in panel data
- Asymptotic Distribution Theory for Nonparametric Entropy Measures of Serial Dependence
- Central limit theorem for linear eigenvalue statistics of random matrices with independent entries
- Central limit theorem for signal-to-interference ratio of reduced rank linear receiver
- Central limit theorems for linear spectral statistics of large dimensional \(F\)-matrices
- Corrections to LRT on large-dimensional covariance matrix by RMT
- Generalized Spectral Tests for Serial Dependence
- scientific article; zbMATH DE number 4062374 (Why is no real title available?)
- On the distribution of the largest eigenvalue in principal components analysis
- On the Pooling of Time Series and Cross Section Data
- 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
- Strong convergence of the empirical distribution of eigenvalues of large dimensional random matrices
- Testing for independence between two covariance stationary time series
Cited in
(20)- Large-scale kernel methods for independence testing
- Testing independence in high dimensions with sums of rank correlations
- Testing independence with high-dimensional correlated samples
- CLT for largest eigenvalues and unit root testing for high-dimensional nonstationary time series
- Distance-based and RKHS-based dependence metrics in high dimension
- Properties of linear spectral statistics of frequency-smoothed estimated spectral coherence matrix of high-dimensional Gaussian time series
- On the asymptotic distribution of the maximum sample spectral coherence of Gaussian time series in the high dimensional regime
- Testing for independence of large dimensional vectors
- Independence test for high dimensional data based on regularized canonical correlation coefficients
- Most powerful test against a sequence of high dimensional local alternatives
- A new test of independence for high-dimensional data
- Marginal Distance and Hilbert-Schmidt Covariances-Based Independence Tests for Multivariate Functional Data
- On the asymptotic behavior of the eigenvalue distribution of block correlation matrices of high-dimensional time series
- Testing for error cross-sectional uncorrelatedness in a two-way error components panel data model
- scientific article; zbMATH DE number 6285780 (Why is no real title available?)
- Time-varying minimum variance portfolio
- Distributed testing on mutual independence between components of high-dimensional massive data
- Correlation tests and sample spectral coherence matrix in the high-dimensional regime
- Testing for independence of sets of high-dimensional normal vectors using random projection approach
- On the empirical spectral distribution for matrices with long memory and independent rows
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