High-dimensional testing for proportional covariance matrices (Q2418529)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | High-dimensional testing for proportional covariance matrices |
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High-dimensional testing for proportional covariance matrices (English)
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27 May 2019
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The main result of this paper is a novel procedure for testing the proportionality of two covariance matrices. The numerical examples illustrate the non-asymptotic performance of the proposed test procedure.
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multivariate normal distribution
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asymptotic test
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high-dimension
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proportional covariance model
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