Hypothesis testing for the identity of high-dimensional covariance matrices

被引：1

作者：

Qian, Manling ^{[1
]}

Tao, Li ^{[1
]}

Li, Erqian ^{[1
]}

Tian, Maozai ^{[1
,2
,3
]}

机构：

[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

来源：

STATISTICS & PROBABILITY LETTERS | 2020年 / 161卷

关键词：

Covariance matrix; High-dimensional data; Hypothesis testing; Identity matrix; SPHERICITY;

D O I：

10.1016/j.spl.2020.108699

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

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.

引用

页数：12

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