Exponential bounds for regularized Hotelling's T2 statistic in high dimension

DOI10.1016/j.jmva.2024.105342MaRDI QIDQ6596187

Emmanuelle Gautherat, El Mehdi Issouani, Patrice Bertail

Publication date: 2 September 2024

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

zbMATH Keywords

eigenvaluesexponential boundsself-normalizationhigh dimensionhotelling statisticspenalized covarianceregularized covariance matrix

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Nonparametric hypothesis testing (62G10) Nonparametric estimation (62G05) Nonparametric inference (62G99) Multivariate analysis (62Hxx)

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