SOME TESTS CONCERNING THE COVARIANCE MATRIX IN HIGH DIMENSIONAL DATA

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概要

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• In this paper, tests are developed for testing certain hypotheses on the covariance matrix Σ, when the sample size N=n+1 is smaller than the dimension p of the data. Under the condition that (trΣ^i/p) exists and>0, as p→∞, i=1, ..., 8, tests are developed for testing the hypotheses that the covariance matrix in a normally distributed data is an identity matrix, a constant time the identity matrix (spherecity), and is a diagonal matrix. The asymptotic null and non-null distributions of these test statistics are given.

• 一般社団法人日本統計学会の論文

著者

• Srivastava Muni

  Univ. Toronto On Can

• Srivastava Muni

  Department Of Statistics University Of Toronto

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