Optimal hypothesis testing for high dimensional covariance matrices

DOI10.3150/12-BEJ455zbMath1281.62140arXiv1205.4219MaRDI QIDQ2435246

T. Tony Cai, Zongming Ma

Publication date: 4 February 2014

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1205.4219

zbMATH Keywords

powerhigh-dimensional datalikelihood ratio testscorrelation matrixminimax hypothesis testingtesting covariance structure

Mathematics Subject Classification ID

Hypothesis testing in multivariate analysis (62H15) Minimax procedures in statistical decision theory (62C20) Asymptotic properties of parametric tests (62F05)

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