Variance-corrected tests for covariance structures with high-dimensional data

JOURNAL OF MULTIVARIATE ANALYSIS

卷:162

Article

Mao, Guangyu¹ 

[1] Beijing Jiaotong Univ, Sch Econ & Management, Beijing 100044, Peoples R China

关键词: Covariance structures;    Heavy tails;    High dimension;    Identity test;    Sphericity test;   

DOI  :  10.1016/j.jmva.2017.08.003

来源: Elsevier

【 摘 要 】

It has been reported in the literature that the identity and sphericity tests of Chen (2010) suffer from severe size distortion when they are applied to heavy-tailed data. This paper provides a theoretical explanation for this observation. New, variance-corrected identity and sphericity tests are constructed. The proposed tests are simple extensions of the tests due to Chen (2010) but simulation results show that they have much better statistical performance than the latter, and two other existing tests. (C) 2017 Elsevier Inc. All rights reserved.

【 授权许可】

Free