Tests for covariance matrix with fixed or divergent dimension

DOI10.1214/13-AOS1136zbMath1277.62151arXiv1310.8123MaRDI QIDQ385784

Liang Peng, Ruodu Wang, Rong Mao Zhang

Publication date: 11 December 2013

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1310.8123

zbMATH Keywords

chi-square distributionhigh-dimensional dataempirical likelihood tests

Mathematics Subject Classification ID

Related Items (10)

Empirical likelihood test for the equality of several high-dimensional covariance matrices ⋮ Testing for covariance matrices in time-varying coefficient panel data models with fixed effects ⋮ Jackknife empirical likelihood test for high-dimensional regression coefficients ⋮ Tests for covariance matrix with fixed or divergent dimension ⋮ Variance-corrected tests for covariance structures with high-dimensional data ⋮ A Simple Two-Sample Test in High Dimensions Based on L²-Norm ⋮ Test for high dimensional covariance matrices ⋮ Projection tests for high-dimensional spiked covariance matrices ⋮ A review of 20 years of naive tests of significance for high-dimensional mean vectors and covariance matrices ⋮ Testing for high-dimensional network parameters in auto-regressive models

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