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Asymptotic power of likelihood ratio tests for high dimensional data

Wang, Cheng - In: Statistics & Probability Letters 88 (2014) C, pp. 184-189

This paper studies the asymptotic power of the likelihood ratio test (LRT) for the identity test when the dimension p …

Persistent link: https://www.econbiz.de/10010752974

Identity tests for high dimensional data using RMT

Wang, Cheng; Yang, Jing; Miao, Baiqi; Cao, Longbing - In: Journal of Multivariate Analysis 118 (2013) C, pp. 128-137

In this work, we redefined two important statistics, the CLRT test [Z. Bai, D. Jiang, J. Yao, S. Zheng, Corrections to LRT on large-dimensional covariance matrix by RMT, The Annals of Statistics 37 (6B) (2009) 3822–3840] and the LW test [O. Ledoit, M. Wolf, Some hypothesis tests for the...

Persistent link: https://www.econbiz.de/10010665723