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...
