Tests for covariance matrix with fixed or divergent dimension
Abstract
Testing covariance structure is of importance in many areas of statistical analysis, such as microarray analysis and signal processing. Conventional tests for finite-dimensional covariance cannot be applied to high-dimensional data in general, and tests for high-dimensional covariance in the literature usually depend on some special structure of the matrix. In this paper, we propose some empirical likelihood ratio tests for testing whether a covariance matrix equals a given one or has a banded structure. The asymptotic distributions of the new tests are independent of the dimension.
Cite
@article{arxiv.1310.8123,
title = {Tests for covariance matrix with fixed or divergent dimension},
author = {Rongmao Zhang and Liang Peng and Ruodu Wang},
journal= {arXiv preprint arXiv:1310.8123},
year = {2013}
}
Comments
Published in at http://dx.doi.org/10.1214/13-AOS1136 the Annals of Statistics (http://www.imstat.org/aos/) by the Institute of Mathematical Statistics (http://www.imstat.org)