Test for high dimensional covariance matrices

DOI10.1214/20-AOS1943zbMath1464.62230OpenAlexW3111733686MaRDI QIDQ1996783

Yanyan Li

Publication date: 26 February 2021

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

Full work available at URL: https://projecteuclid.org/euclid.aos/1607677247

zbMATH Keywords

estimationcovariance and precision matricesstatistical analysis of special matrix structures/substructurestesting methods under high dimensions

Mathematics Subject Classification ID

Characterization and structure theory for multivariate probability distributions; copulas (62H05) Approximations to statistical distributions (nonasymptotic) (62E17) Asymptotic properties of parametric tests (62F05)

Related Items (2)

Use of Random Integration to Test Equality of High Dimensional Covariance Matrices ⋮ Testing for independence in high dimensions based on empirical copulas

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