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A covariance matrix test for high-dimensional data |
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| รหัสดีโอไอ | |
| Creator | 1. Saowapha Chaipitak 2. Samruam Chongcharoen |
| Title | A covariance matrix test for high-dimensional data |
| Publisher | Research and Development Office, Prince of Songkla University |
| Publication Year | 2559 |
| Journal Title | Songklanakarin Journal of Science and Technology (SJST) |
| Journal Vol. | 38 |
| Journal No. | 5 |
| Page no. | 521-535 |
| Keyword | asymptotic distribution,high-dimensional data,null distribution,non-null distribution,multivariate normal,hypothesis testing |
| ISSN | 0125-3395 |
| Abstract | For the multivariate normally distributed data with the dimension larger than or equal to the number of observations,or the sample size, called high-dimensional normal data, we proposed a test for testing the null hypothesis that the covariancematrix of a normal population is proportional to a given matrix on some conditions when the dimension goes to infinity.We showed that this test statistic is consistent. The asymptotic null and non-null distribution of the test statistic is alsogiven. The performance of the proposed test is evaluated via simulation study and its application. |
