Covariance structure tests for multivariate \(t\)-distribution

Multivariate distribution of statistics (62H10) Parametric hypothesis testing (62F03) Hypothesis testing in multivariate analysis (62H15) Asymptotic properties of parametric tests (62F05)

Cites Work

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Tests for large-dimensional covariance structure based on Rao's score test
The information matrix, skewness tensor and \(\alpha\)-connections for the general multivariate elliptic distribution
Robust graphical modeling of gene networks using classical and alternative \(t\)-distributions
Score test for the covariance matrix of the elliptical \(t\)-distribution
Models with a Kronecker product covariance structure: estimation and testing
Score test for a separable covariance structure with the first component as compound symmetric correlation matrix
Robust portfolio optimization
Estimation and testing in general multivariate linear models with Kronecker product covariance structure
Corrections to LRT on large-dimensional covariance matrix by RMT
Some hypothesis tests for the covariance matrix when the dimension is large compared to the sample size
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Multivariate T-Distributions and Their Applications
Large Sample Covariance Matrices and High-Dimensional Data Analysis
Some Theorems on Matrix Differentiation with Special Reference to Kronecker Matrix Products
Linear Statistical Inference and its Applications
Tests of Statistical Hypotheses Concerning Several Parameters When the Number of Observations is Large
Addressing non-normality in multivariate analysis using the \(t\)-distribution
Testing independence under a block compound symmetry covariance structure
Discrepancy between structured matrices in the power analysis of a separability test
Professor Heinz Neudecker and matrix differential calculus

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