A note on tests for high-dimensional covariance matrices

DOI10.1016/j.spl.2016.05.002zbMath1398.62145OpenAlexW2398326735MaRDI QIDQ310639

Guangyu Mao

Publication date: 8 September 2016

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2016.05.002

zbMATH Keywords

sphericity testhigh dimensionidentity test

Mathematics Subject Classification ID

Hypothesis testing in multivariate analysis (62H15)

Related Items (2)

Variance-corrected tests for covariance structures with high-dimensional data ⋮ Hypothesis Testing for the Covariance Matrix in High-Dimensional Transposable Data with Kronecker Product Dependence Structure

Cites Work

• A new test for sphericity of the covariance matrix for high dimensional data
• On testing for an identity covariance matrix when the dimensionality equals or exceeds the sample size
• Some hypothesis tests for the covariance matrix when the dimension is large compared to the sample size
• Tests for covariance matrices in high dimension with less sample size
• Tests for High-Dimensional Covariance Matrices
• Unnamed Item

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