A note on asymptotics of classical likelihood ratio tests for high-dimensional normal distributions

DOI10.1016/j.spl.2023.109859zbMath1524.62266OpenAlexW4367846294MaRDI QIDQ6115515

Yuecai Han, Zhe Yin

Publication date: 12 July 2023

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2023.109859

zbMATH Keywords

asymptoticslikelihood ratio testhigh-dimensional dataLyapunov's central limit theorem

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Hypothesis testing in multivariate analysis (62H15)

Cites Work

• Central limit theorems for classical likelihood ratio tests for high-dimensional normal distributions
• Likelihood ratio tests for covariance matrices of high-dimensional normal distributions
• Corrections to LRT on large-dimensional covariance matrix by RMT
• Asymptotic analysis for extreme eigenvalues of principal minors of random matrices
• On the Independence of k Sets of Normally Distributed Statistical Variables
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