Testing for subsphericity when n and p are of different asymptotic order

Joni Virta

Statistics & Probability Letters, 2021, vol. 179, issue C

Abstract: We extend a test of subsphericity to the high-dimensional Gaussian regime where the spikes diverge to infinity and p/n→{0,∞}. The test is used to derive a consistent estimator for the latent dimension of the model.

Keywords: Dimension estimation; High-dimensional statistics; PCA; Sample covariance matrix; Wishart distribution (search for similar items in EconPapers)
Date: 2021
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DOI: 10.1016/j.spl.2021.109209

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