A robust test for sphericity of high-dimensional covariance matrices
نویسندگان
چکیده
منابع مشابه
A new test for sphericity of the covariance matrix for high dimensional data
AMS subject classifications: 62H10 62H15 Keywords: Covariance matrix Hypothesis testing High-dimensional data analysis a b s t r a c t In this paper we propose a new test procedure for sphericity of the covariance matrix when the dimensionality, p, exceeds that of the sample size, N = n + 1. Under the assumptions that (A) 0 < trΣ the concentration, a new statistic is developed utilizing the rat...
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Test statistics for sphericity and identity of the covariance matrix are presented, when the data are multivariate normal and the dimension, p, can exceed the sample size, n. The test statistics are shown to follow an approximate normal distribution for large p, also when p >> n. The statistics are derived under very general conditions, particularly avoiding any strict assumptions on the traces...
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ژورنال
عنوان ژورنال: Journal of Multivariate Analysis
سال: 2015
ISSN: 0047-259X
DOI: 10.1016/j.jmva.2015.07.010