Sphericity and identity test for high-dimensional covariance matrix using random matrix theory
DOI10.1007/s10255-021-1004-1zbMath1466.62260OpenAlexW3172092805MaRDI QIDQ2025160
Shou-cheng Yuan, Jie Zhou, Jie-qiong Shen, Jian-Xin Pan
Publication date: 11 May 2021
Published in: Acta Mathematicae Applicatae Sinica. English Series (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10255-021-1004-1
Estimation in multivariate analysis (62H12) Parametric hypothesis testing (62F03) Hypothesis testing in multivariate analysis (62H15) Central limit and other weak theorems (60F05) Random matrices (probabilistic aspects) (60B20) Inference from stochastic processes and spectral analysis (62M15) Asymptotic properties of parametric tests (62F05)
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