Testing block-diagonal covariance structure for high-dimensional data under non-normality
نویسندگان
چکیده
منابع مشابه
Testing block-diagonal covariance structure for high-dimensional data under non-normality
In this article, we propose a test for making an inference about the blockdiagonal covariance structure of a covariance matrix in non-normal highdimensional data. We prove that the limiting null distribution of the proposed test is normal under mild conditions when its dimension is substantially larger than its sample size. We further study the local power of the proposed test. Finally, we stud...
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ژورنال
عنوان ژورنال: Journal of Multivariate Analysis
سال: 2017
ISSN: 0047-259X
DOI: 10.1016/j.jmva.2016.12.009