High-dimensional sphericity test by extended likelihood ratio
type: Item
instance of: scholarly article
title: High-dimensional sphericity test by extended likelihood ratio
zbMATH Open document ID: 1496.62100
author: Zhendong Wang
author: Xingzhong Xu
published in: Metrika
publication date: 2021-11-24T00:00:00Z
review text: 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.
reviewed by: Ruxandra Stoean
Mathematics Subject Classification ID: 62H15
Mathematics Subject Classification ID: 60F05
zbMATH DE Number: 7432985
zbMATH Keywords: sphericity test
zbMATH Keywords: high-dimensional covariance matrix
zbMATH Keywords: extended likelihood ratio
zbMATH Keywords: central limit theorem
MaRDI profile type: Publication
full work available at URL: s00184-021-00816-3
OpenAlex ID: W3153979494
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DOI: 10.1007/S00184-021-00816-3
description: scientific article; zbMATH DE number 7432985