Optimal hypothesis testing for high dimensional covariance matrices
type: Item
instance of: scholarly article
title: Optimal hypothesis testing for high dimensional covariance matrices
zbMATH Open document ID: 1281.62140
DOI: 10.3150/12-BEJ455
author: Zongming Ma
author: T. Tony Cai
published in: Bernoulli
publication date: 2014-02-04T00:00:00Z
full work available at URL: https://arxiv.org/abs/1205.4219
Mathematics Subject Classification ID: 62H15
Mathematics Subject Classification ID: 62C20
Mathematics Subject Classification ID: 62F05
zbMATH DE Number: 6254565
zbMATH Keywords: correlation matrix
zbMATH Keywords: high-dimensional data
zbMATH Keywords: likelihood ratio tests
zbMATH Keywords: minimax hypothesis testing
zbMATH Keywords: power
zbMATH Keywords: testing covariance structure
MaRDI profile type: Publication
arXiv ID: 1205.4219
cites work: Q4420195
cites work: Corrections to LRT on large-dimensional covariance matrix by RMT
cites work: A note on testing the covariance matrix for large dimension
cites work: Limiting laws of coherence of random matrices with applications to testing covariance structure and construction of compressed sensing matrices
cites work: Two-Sample Covariance Matrix Testing and Support Recovery in High-Dimensional and Sparse Settings
cites work: Two sample tests for high-dimensional covariance matrices
cites work: Tests for High-Dimensional Covariance Matrices
cites work: On the Departure from Normality of a Certain Class of Martingales
cites work: Probability Inequalities for Sums of Bounded Random Variables
cites work: Likelihood ratio tests for covariance matrices of high-dimensional normal distributions
cites work: On the distribution of the largest eigenvalue in principal components analysis
cites work: Some hypothesis tests for the covariance matrix when the dimension is large compared to the sample size
cites work: Q3219581
cites work: On some test criteria for covariance matrix
cites work: Asymptotic power of sphericity tests for high-dimensional data
cites work: Q3255972
description: scientific article