Testing high-dimensional covariance matrices with random projections and corrected likelihood ratio

DOI10.4310/21-SII708OpenAlexW4214853869MaRDI QIDQ2116988

Cheng Yong Tang, Nan Sun

Publication date: 18 March 2022

Published in: Statistics and Its Interface (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.4310/21-sii708

zbMATH Keywords

hypothesis testingcovariance matrixrandom matrix theoryrandom projectionscorrected likelihood ratio test

Mathematics Subject Classification ID

Hypothesis testing in multivariate analysis (62H15) Statistics (62-XX)

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