Related papers: Asymptotic testing of covariance separability for …
In this paper, we develop invariance-based procedures for testing and inference in high-dimensional regression models. These procedures, also known as randomization tests, provide several important advantages. First, for the global null…
We consider asymptotic distributions of maximum deviations of sample covariance matrices, a fundamental problem in high-dimensional inference of covariances. Under mild dependence conditions on the entries of the data matrices, we establish…
Most normality tests in the literature are performed for scalar and independent samples. Thus, they become unreliable when applied to colored processes, hampering their use in realistic scenarios.We focus on Mardia's multivariate kurtosis,…
The problem of detecting changes in covariance for a single pair of features has been studied in some detail, but may be limited in importance or general applicability. In contrast, testing equality of covariance matrices of a {\it set} of…
In this short note we provide an analytical formula for the conditional covariance matrices of the elliptically distributed random vectors, when the conditioning is based on the values of any linear combination of the marginal random…
New nonparametric tests of copula exchangeability and radial symmetry are proposed. The novel aspect of the tests is a resampling procedure that exploits group invariance conditions associated with the relevant symmetry hypothesis. They may…
In this article, we propose a new class of consistent tests for $p$-variate normality. These tests are based on the characterization of the standard multivariate normal distribution, that the Hessian of the corresponding cumulant generating…
We consider testing marginal independence versus conditional independence in a trivariate Gaussian setting. The two models are non-nested and their intersection is a union of two marginal independences. We consider two sequences of such…
We consider general Gaussian latent tree models in which the observed variables are not restricted to be leaves of the tree. Extending related recent work, we give a full semi-algebraic description of the set of covariance matrices of any…
This paper develops a new statistical inference theory for the precision matrix of high-frequency data in a high-dimensional setting. The focus is not only on point estimation but also on interval estimation and hypothesis testing for…
In this article, a novel identification test is proposed, which can be applied to parameteric models such as Mixture of Normal (MN) distributions, Markow Switching(MS), or Structural Autoregressive (SVAR) models. In the approach, it is…
We suggest novel correlation coefficients which equal the maximum correlation for a class of bivariate Lancaster distributions while being only slightly smaller than maximum correlation for a variety of further bivariate distributions. In…
This paper aims to address the issue of semiparametric efficiency for cointegration rank testing in finite-order vector autoregressive models, where the innovation distribution is considered an infinite-dimensional nuisance parameter. Our…
Hypothesis testing of structure in covariance matrices is of significant importance, but faces great challenges in high-dimensional settings. Although consistent frequentist one-sample covariance tests have been proposed, there is a lack of…
We obtain an asymptotic normality result that reveals the precise asymptotic behavior of the maximum likelihood estimators of parameters for a very general class of linear mixed models containing cross random effects. In achieving the…
We propose a robust test for the equality of the covariance structures in two functional samples. The test statistic has a chi-square asymptotic distribution with a known number of degrees of freedom, which depends on the level of dimension…
We test the hypothesis that simulataneous linear contrasts of multiple variance components equal zero in a Gaussian variance components model via a parametric bootstrap. Applications include but are not limited to nested and crossed…
In this paper we use a well know method in statistics, the $\delta$-method, to provide an asymptotic distribution for the Mutual Information, and construct and independence test based on it. Interesting connections are found with the…
We consider the testing and estimation of change-points, locations where the distribution abruptly changes, in a sequence of multivariate or non-Euclidean observations. We study a nonparametric framework that utilizes similarity information…
High-dimensional data arise routinely in modern statistics, econometrics, finance, genomics, and machine learning. While a large body of existing methodology is developed under Gaussian or light-tailed assumptions, many real data sets…