A test for the identity of a high-dimensional correlation matrix based on the \(\ell_4\)-norm

DOI10.1016/j.jspi.2022.12.002OpenAlexW4310726504MaRDI QIDQ6101694

Wei-Ming Li, Xiaoge Xiong

Publication date: 20 June 2023

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jspi.2022.12.002

zbMATH Keywords

covariance matrixhigh-dimensional datacorrelation matrixidentity test

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

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• Determinant of sample correlation matrix with application
• A REMARK ON TESTING SIGNIFICANCE OF AN OBSERVED CORRELATION MATRIX
• Testing for complete independence in high dimensions
• High Dimensional Correlation Matrices: The Central Limit Theorem and Its Applications

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