Hypothesis testing for the identity of high-dimensional covariance matrices

doi:10.1016/j.spl.2020.108699

	Hypothesis testing for the identity of high-dimensional covariance matrices
	Qian, Manling 1; Tao, Li 1; Li, Erqian 1; Tian, Maozai1,2,3
	2020-06
发表期刊	STATISTICS & PROBABILITY LETTERS
卷号	161
摘要	A new test statistic is proposed by utilizing the eigenvalues of the sample covariance matrix for the identity test. Under some general assumptions, asymptotic distributions of the proposed test statistic T and tests proposed in previous literature (denoted as T-s, T-1,T-2) are given. Simulations are also conducted to evaluate their performance in a finite sample. (C) 2020 Elsevier B.V. All rights reserved.
关键词	Covariance matrix High-dimensional data Hypothesis testing Identity matrix
DOI	10.1016/j.spl.2020.108699
收录类别	SCI ; SCIE ; SCOPUS
ISSN	0167-7152
语种	英语
WOS研究方向	Mathematics
WOS类目	Statistics & Probability
WOS记录号	WOS:000525315600011
出版者	ELSEVIER
原始文献类型	Article
EISSN	1879-2103
引用统计	被引频次：1[WOS] [WOS记录] [WOS相关记录]
文献类型	期刊论文
条目标识符	http://ir.lzufe.edu.cn/handle/39EH0E1M/10108
专题	统计与数据科学学院
作者单位	1.Renmin Univ China, Ctr Appl Stat, Sch Stat, Beijing 100872, Peoples R China; 2.Xinjiang Univ Finance & Econ, Sch Stat & Informat, Urumqi 830012, Xinjiang, Peoples R China; 3.Lanzhou Univ Finance & Econ, Sch Stat, Lanzhou 730101, Gansu, Peoples R China
推荐引用方式 GB/T 7714	Qian, Manling,Tao, Li,Li, Erqian,et al. Hypothesis testing for the identity of high-dimensional covariance matrices[J]. STATISTICS & PROBABILITY LETTERS,2020,161.
APA	Qian, Manling,Tao, Li,Li, Erqian,&Tian, Maozai.(2020).Hypothesis testing for the identity of high-dimensional covariance matrices.STATISTICS & PROBABILITY LETTERS,161.
MLA	Qian, Manling,et al."Hypothesis testing for the identity of high-dimensional covariance matrices".STATISTICS & PROBABILITY LETTERS 161(2020).

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