On the sphericity test with large-dimensional observations
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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