TESTS FOR COVARIANCE MATRIX WITH FIXED OR DIVERGENT DIMENSION

• 成果类型: Article
• 署名作者: Zhang, Rongmao; Peng, Liang; Wang, Ruodu
• 署名单位: Zhejiang University; University System of Georgia; Georgia Institute of Technology; University of Waterloo
• 刊物名称: ANNALS OF STATISTICS
• ISSN/ISSBN: 0090-5364
• DOI: 10.1214/13-AOS1136
• 发表日期: 2013
• 页码: 2075-2096
• 关键词: empirical likelihood

摘要

Testing covariance structure is of importance in many areas of statistical analysis, such as microarray analysis and signal processing. Conventional tests for finite-dimensional covariance cannot be applied to high-dimensional data in general, and tests for high-dimensional covariance in the literature usually depend on some special structure of the matrix. In this paper, we propose some empirical likelihood ratio tests for testing whether a covariance matrix equals a given one or has a banded structure. The asymptotic distributions of the new tests are independent of the dimension.