Tests for covariance matrices in high dimension with less sample size
نویسندگان
چکیده
منابع مشابه
Tests for covariance matrices in high dimension with less sample size
In this article, we propose tests for covariance matrices of high dimension with fewer observations than the dimension for a general class of distributions with positive definite covariance matrices. In one-sample case, tests are proposed for sphericity and for testing the hypothesis that the covariance matrix Σ is an identity matrix, by providing an unbiased estimator of tr [Σ] under the gener...
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ژورنال
عنوان ژورنال: Journal of Multivariate Analysis
سال: 2014
ISSN: 0047-259X
DOI: 10.1016/j.jmva.2014.06.003