| Title:
|
A homogeneity test of large dimensional covariance matrices under non-normality (English) |
| Author:
|
Ahmad, M. Rauf |
| Language:
|
English |
| Journal:
|
Kybernetika |
| ISSN:
|
0023-5954 (print) |
| ISSN:
|
1805-949X (online) |
| Volume:
|
54 |
| Issue:
|
5 |
| Year:
|
2018 |
| Pages:
|
908-920 |
| Summary lang:
|
English |
| . |
| Category:
|
math |
| . |
| Summary:
|
A test statistic for homogeneity of two or more covariance matrices is presented when the distributions may be non-normal and the dimension may exceed the sample size. Using the Frobenius norm of the difference of null and alternative hypotheses, the statistic is constructed as a linear combination of consistent, location-invariant, estimators of trace functions that constitute the norm. These estimators are defined as $U$-statistics and the corresponding theory is exploited to derive the normal limit of the statistic under a few mild assumptions as both sample size and dimension grow large. Simulations are used to assess the accuracy of the statistic. (English) |
| Keyword:
|
high-dimensional inference |
| Keyword:
|
covariance testing |
| Keyword:
|
$U$-statistics |
| Keyword:
|
non-normality |
| MSC:
|
62H15 |
| idZBL:
|
Zbl 07031751 |
| idMR:
|
MR3893127 |
| DOI:
|
10.14736/kyb-2018-5-0908 |
| . |
| Date available:
|
2018-12-10T10:12:42Z |
| Last updated:
|
2020-01-05 |
| Stable URL:
|
http://hdl.handle.net/10338.dmlcz/147534 |
| . |
| Reference:
|
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| Reference:
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