Testing the Diagonality of a Large Covariance Matrix in a Regression Setting

DOI10.1080/07350015.2014.923317MaRDI QIDQ6667010zbMATH OpenFDO

Authors Wei Lan, Ronghua Luo, Chih-Ling Tsai, Hansheng Wang, Yun Hong Yang

Publication date 20 January 2025

Published in Journal of Business and Economic Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07350015.2014.923317

Mathematics Subject Classification ID

Analysis of variance and covariance (ANOVA) (62J10)

Cited in

(2)

• Testing for patterns and structures in covariance and correlation matrices
• Tests for the significance of a correlation matrix via _a-norms in high-dimensions

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