High-dimensional sphericity test by extended likelihood ratio
The paper puts forward a novel sphericity test for covariance matrices by means of the likelihood ratio test. The advantage of this test lies in its ability to work even for high-dimensional data. The theoretical properties are proved and Monte Carlo simulations demonstrate that it overpasses state-of-the-art statistical tests in terms of empirical power.
scientific article; zbMATH DE number 7432985
scientific article