Some hypothesis tests for the covariance matrix when the dimension is large compared to the sample size

DOI10.1214/aos/1031689018zbMath1029.62049OpenAlexW3022776974MaRDI QIDQ1848966

Olivier Ledoit, Michael Wolf

Publication date: 14 November 2002

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.aos/1031689018

zbMATH Keywords

sphericity testsconcentration asymptoticsequality tests

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Hypothesis testing in multivariate analysis (62H15)

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