Testing proportionality of two large-dimensional covariance matrices
نویسندگان
چکیده
Testing the proportionality of two large-dimensional covariance matrices is studied. Based on modern random matrix theory, a pseudo-likelihood ratio statistic is proposed and its asymptotic normality is proved as the dimension and sample sizes tend to infinity proportionally.
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ورودعنوان ژورنال:
- Computational Statistics & Data Analysis
دوره 78 شماره
صفحات -
تاریخ انتشار 2014