High-dimensional sphericity test by extended likelihood ratio (Q2051523)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: High-dimensional sphericity test by extended likelihood ratio |
scientific article; zbMATH DE number 7432985
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | High-dimensional sphericity test by extended likelihood ratio |
scientific article; zbMATH DE number 7432985 |
Statements
High-dimensional sphericity test by extended likelihood ratio (English)
0 references
24 November 2021
0 references
The paper puts forward a novel sphericity test for covariance matrices by means of the likelihood ratio test. The advantage of this test lies in its ability to work even for high-dimensional data. The theoretical properties are proved and Monte Carlo simulations demonstrate that it overpasses state-of-the-art statistical tests in terms of empirical power.
0 references
sphericity test
0 references
high-dimensional covariance matrix
0 references
extended likelihood ratio
0 references
central limit theorem
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
