A new test for sphericity of the covariance matrix for high dimensional data

Thomas J. Fisher, Xiaoqian Sun and Colin M. Gallagher

Journal of Multivariate Analysis, 2010, vol. 101, issue 10, 2554-2570

Abstract: 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) as p-->[infinity] for i=1,...,16 and (B) p/n-->c [infinity]. Our simulation results show that the new test is comparable to, and in some cases more powerful than, the tests for sphericity in the current literature.

Keywords: Covariance; matrix; Hypothesis; testing; High-dimensional; data; analysis (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (16)

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