Invariant Tests on Covariance Matrices
نویسندگان
چکیده
منابع مشابه
Sharp minimax tests for large covariance matrices
We consider the detection problem of correlations in a p-dimensional Gaussian vector for p large, when we observe n independent, identically distributed random vectors. We assume that the covariance matrix vary in some ellipsoid with parameter α > 1/2 and total energy bounded by L > 0. We prove here both rate and sharp asymptotic results in the minimax setup. Our test procedure is a U-statistic...
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ژورنال
عنوان ژورنال: The Annals of Statistics
سال: 1981
ISSN: 0090-5364
DOI: 10.1214/aos/1176345642