A high-dimensional likelihood ratio test for circular symmetric covariance structure

Linqi Yi and Junshan Xie

Communications in Statistics - Theory and Methods, 2018, vol. 47, issue 6, 1392-1402

Abstract: The paper considers a high-dimensional hypothesis test on circular symmetric covariance structure. When both the dimension p and the sample size N tend to infinity with pN→y∈(0,1]$\frac{p}{N}\rightarrow y\in (0,1]$, it proves that under the assumption of Gaussian, the logarithmic likelihood ratio statistic converges in distribution to a Gaussian random variable, and the specific expressions of the mean and the variance are also obtained. The simulations indicate that our high-dimensional likelihood ratio method outperform those of traditional chi-square approximation method and high-dimensional edgeworth expansion method, and it is as effective as the more accurate high-dimensional edgeworth expansion method on analyzing the circular symmetric covariance structure of high-dimensional data.

Date: 2018
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DOI: 10.1080/03610926.2017.1319484

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