Sharp optimality for high-dimensional covariance testing under sparse signals

DOI10.1214/23-aos2310OpenAlexW4389816169MaRDI QIDQ6183765

Shu-Yi Zhang, Yumou Qiu, Song Xi Chen

Publication date: 4 January 2024

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/journals/annals-of-statistics/volume-51/issue-5/Sharp-optimality-for-high-dimensional-covariance-testing-under-sparse-signals/10.1214/23-AOS2310.full

zbMATH Keywords

minimaxcovariance matrixhigh dimensionalitythresholdingdetection boundaryrare and faint signal

Mathematics Subject Classification ID

Hypothesis testing in multivariate analysis (62H15) Measures of association (correlation, canonical correlation, etc.) (62H20) Minimax procedures in statistical decision theory (62C20)

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