Hypothesis testing for the identity of high-dimensional covariance matrices

Manling Qian, Li Tao, Erqian Li and Maozai Tian

Statistics & Probability Letters, 2020, vol. 161, issue C

Abstract: A new test statistic is proposed by utilizing the eigenvalues of the sample covariance matrix for the identity test. Under some general assumptions, asymptotic distributions of the proposed test statistic T and tests proposed in previous literature (denoted as Ts,T1,T2) are given. Simulations are also conducted to evaluate their performance in a finite sample.

Keywords: Covariance matrix; High-dimensional data; Hypothesis testing; Identity matrix (search for similar items in EconPapers)
Date: 2020
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DOI: 10.1016/j.spl.2020.108699

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