Tests for Large-Dimensional Shape Matrices via Tyler’s M Estimators

Runze Li, Weiming Li and Qinwen Wang

Journal of the American Statistical Association, 2025, vol. 120, issue 549, 472-485

Abstract: Tyler’s M estimator, as a robust alternative to the sample covariance matrix, has been widely applied in robust statistics. However, classical theory on Tyler’s M estimator is mainly developed in the low-dimensional regime for elliptical populations. It remains largely unknown when the parameter of dimension p grows proportionally to the sample size n for general populations. By using the eigenvalues of Tyler’s M estimator, this article develops tests for the identity and equality of shape matrices in a large-dimensional framework where the dimension-to-sample size ratio p/n has a limit in (0, 1). The proposed tests can be applied to a broad class of multivariate distributions including the family of elliptical distributions (see model (2.1) for details). To analyze both the null and alternative distributions of the proposed tests, we provide a unified theory on the spectrum of a large-dimensional Tyler’s M estimator when the underlying population is general. Simulation results demonstrate good performance and robustness of our tests. An empirical analysis of the Fama-French 49 industrial portfolios is carried out to demonstrate the shape of the portfolios varying. Supplementary materials for this article are available online, including a standardized description of the materials available for reproducing the work.

Date: 2025
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DOI: 10.1080/01621459.2024.2350573

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