Tests for high-dimensional covariance matrices

Related Items (1)

Robust modified classical spherical tests in the presence of outliers

Uses Software

HDtest

Cites Work

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A test for the equality of covariance matrices when the dimension is large relative to the sample sizes
Two sample tests for high-dimensional covariance matrices
On the sphericity test with large-dimensional observations
Central limit theorems for classical likelihood ratio tests for high-dimensional normal distributions
A new test for the proportionality of two large-dimensional covariance matrices
Central limit theorems for linear spectral statistics of large dimensional \(F\)-matrices
Likelihood ratio tests for covariance matrices of high-dimensional normal distributions
On testing for an identity covariance matrix when the dimensionality equals or exceeds the sample size
Testing the equality of several covariance matrices with fewer observations than the dimension
Corrections to LRT on large-dimensional covariance matrix by RMT
Testing high-dimensional covariance matrices, with application to detecting schizophrenia risk genes
On Gaussian comparison inequality and its application to spectral analysis of large random matrices
Properties of tests concerning covariance matrices of normal distributions
Some hypothesis tests for the covariance matrix when the dimension is large compared to the sample size
CLT for linear spectral statistics of large-dimensional sample covariance matrices.
Tests for covariance matrices in high dimension with less sample size
Optimal hypothesis testing for high dimensional covariance matrices
On some test criteria for covariance matrix
Distribution of likelihood ratio statistic for testing equality of covariance matrices of multivariate Gaussian models
Fluctuations for differences of linear eigenvalue statistics for sample covariance matrices
A study of two high-dimensional likelihood ratio tests under alternative hypotheses
Two-Sample Covariance Matrix Testing and Support Recovery in High-Dimensional and Sparse Settings
Tests for High-Dimensional Covariance Matrices
Comparing large covariance matrices under weak conditions on the dependence structure and its application to gene clustering
Unbiasedness of Some Test Criteria for the Equality of One or Two Covariance Matrices

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