Testing identity of high-dimensional covariance matrix
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Publication:4960708
DOI10.1080/00949655.2018.1479410OpenAlexW2805361092MaRDI QIDQ4960708
Hao Wang, Bai-Sen Liu, Shurong Zheng, Ning-Zhong Shi
Publication date: 23 April 2020
Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/00949655.2018.1479410
asymptotic distributionshigh-dimensional covariance matrixidentity hypothesislarge dimensional random matrix theory
Related Items (2)
Sphericity and identity test for high-dimensional covariance matrix using random matrix theory ⋮ Global one-sample tests for high-dimensional covariance matrices
Cites Work
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- On testing for an identity covariance matrix when the dimensionality equals or exceeds the sample size
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- Tests for High-Dimensional Covariance Matrices
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