Test on the linear combinations of covariance matrices in high-dimensional data

Zhidong Bai (), Jiang Hu (), Chen Wang () and Chao Zhang ()
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Zhidong Bai: Northeast Normal University
Jiang Hu: Northeast Normal University
Chen Wang: University of Hong Kong
Chao Zhang: Northeast Normal University

Statistical Papers, 2021, vol. 62, issue 2, No 7, 719 pages

Abstract: Abstract In this paper, we propose a new test on the linear combinations of covariance matrices in high-dimensional data. Our statistic can be applied to many hypothesis tests on covariance matrices. In particular, the test proposed by Li and Chen (Ann Stat 40:908–940, 2012) on the homogeneity of two population covariance matrices is a special case of our test. The results are illustrated by an empirical example in financial portfolio allocation.

Keywords: Multi-sample test; Covariance matrices; U-statistic; CLT; Primary 62H15; Secondary 62E20 (search for similar items in EconPapers)
Date: 2021
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Citations: View citations in EconPapers (2)

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DOI: 10.1007/s00362-019-01110-1

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