Testing Independence Among a Large Number of High-Dimensional Random Vectors

DOI10.1080/01621459.2013.872037zbMath1367.62261OpenAlexW2067212654MaRDI QIDQ4975402

Yanrong Yang, Guangming Pan, J. T. Gao

Publication date: 4 August 2017

Published in: Journal of the American Statistical Association (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/01621459.2013.872037

zbMATH Keywords

central limit theoremempirical spectral distributionindependence testlinear spectral statisticslarge-dimensional sample covariance matrixcovariance stationary time series

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Hypothesis testing in multivariate analysis (62H15) Central limit and other weak theorems (60F05) Inference from stochastic processes and spectral analysis (62M15)

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