Test for Bandedness of High Dimensional Covariance Matrices with Bandwidth Estimation

Yumou Qiu and Songxi Chen

MPRA Paper from University Library of Munich, Germany

Abstract: Motivated by the latest effort to employ banded matrices to estimate a high-dimensional covariance Σ , we propose a test for Σ being banded with possible diverging bandwidth. The test is adaptive to the “large p , small n ” situations without assuming a specific parametric distribution for the data. We also formulate a consistent estimator for the bandwidth of a banded high-dimensional covariance matrix. The properties of the test and the bandwidth estimator are investigated by theoretical evaluations and simulation studies, as well as an empirical analysis on a protein mass spectroscopy data.

Keywords: Banded covariance matrix; Bandwidth estimation; High data dimension; Large p; small n; Nonparametric. (search for similar items in EconPapers)
JEL-codes: C0 C1 C2 C3 C4 C5 C6 C7 C8 C9 G0 (search for similar items in EconPapers)
Date: 2012
New Economics Papers: this item is included in nep-ecm
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:46242

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