A note on testing the covariance matrix for large dimension

Melanie Birke and Holger Dette

Statistics & Probability Letters, 2005, vol. 74, issue 3, 281-289

Abstract: We consider the problem of testing hypotheses regarding the covariance matrix of multivariate normal data, if the sample size s and dimension n satisfy . Recently, several tests have been proposed in the case, where the sample size and dimension are of the same order, that is y[set membership, variant](0,[infinity]). In this paper, we consider the cases y=0 and [infinity]. It is demonstrated that standard techniques are not applicable to deal with these cases. A new technique is introduced, which is of its own interest, and is used to derive the asymptotic distribution of the test statistics in the extreme cases y=0 and [infinity].

Keywords: Sphericity; test; Random; matrices; Wishart; distribution (search for similar items in EconPapers)
Date: 2005
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Citations: View citations in EconPapers (15)

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