Hypothesis testing on linear structures of high-dimensional covariance matrix
نویسندگان
چکیده
منابع مشابه
Optimal hypothesis testing for high dimensional covariance matrices
This paper considers testing a covariance matrix in the high dimensional setting where the dimension p can be comparable or much larger than the sample size n. The problem of testing the hypothesis H0 : = 0 for a given covariance matrix 0 is studied from a minimax point of view. We first characterize the boundary that separates the testable region from the non-testable region by the Frobenius n...
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ژورنال
عنوان ژورنال: The Annals of Statistics
سال: 2019
ISSN: 0090-5364
DOI: 10.1214/18-aos1779