Behavior of Some Hypothesis Tests for the Covariance Matrix of High Dimensional Data

DOI10.15446/RCE.V45N2.98550OpenAlexW4312459248MaRDI QIDQ6107046

Addy Bolivar-Cime, Unnamed Author

Publication date: 3 July 2023

Published in: Revista Colombiana de Estadística (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.15446/rce.v45n2.98550

zbMATH Keywords

covariance matrixhypothesis testhigh dimensional dataTracy-Widom lawmultivariate Gaussian data

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

• Unnamed Item
• Accuracy of the Tracy-Widom limits for the extreme eigenvalues in white Wishart matrices
• Corrections to LRT on large-dimensional covariance matrix by RMT
• On the distribution of the largest eigenvalue in principal components analysis
• Some hypothesis tests for the covariance matrix when the dimension is large compared to the sample size
• Tests for covariance matrices in high dimension with less sample size
• Tests for High-Dimensional Covariance Matrices
• Multivariate sign-based high-dimensional tests for sphericity

This page was built for publication: Behavior of Some Hypothesis Tests for the Covariance Matrix of High Dimensional Data