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Can I read A Note on Testing the Covariance Matrix for Large Dimension on EtoBox?
A Note on Testing the Covariance Matrix for Large Dimension by Melanie Birke; Holger Dette is a Mathematics article available to read on EtoBox.
What is A Note on Testing the Covariance Matrix for Large Dimension about?
We consider the problem of testing hypotheses regarding the covariance matrix of multivariate normal data, if the sample size s and dimension n satisfy lim n;s!1 n=s 1⁄4 y. Recently, several tests have been proposed in the case, where the sample size and dimension are of the same order, that is y 2 ð0; 1Þ. In this paper, we consider the cases y 1⁄4 0 and 1. It is demonstrated that standard techniques are not applicable to deal with these cases. A new technique is introduced, which is of its own interest, and is used to derive the asymptotic distribution of the test statistics in the extreme cases y 1⁄4 0 and 1.
Who reads A Note on Testing the Covariance Matrix for Large Dimension?
It is typically read by researchers, students, and practitioners in Mathematics.
- Author
- Melanie Birke; Holger Dette
- Publisher
- Elsevier Science; Elsevier ; Elsevier BV (ISSN 0167-7152)
- Published
- 2005
- Language
- EN
- Field
- Mathematics (Physical Sciences)