A robust test for sphericity of high-dimensional covariance matrices

JOURNAL OF MULTIVARIATE ANALYSIS

卷:141

Article

Tian, Xintao^1,2  Lu, Yuting³  Li, Weiming¹ 

[1] Beijing Univ Posts & Telecommun, Sch Sci, Beijing, Peoples R China

[2] Renmin Univ China, Sch Stat, Beijing, Peoples R China

[3] Beijing Normal Univ, Sch Math, Beijing 100875, Peoples R China

关键词: Covariance matrix;    High-dimensional data;    Sphericity test;   

DOI  :  10.1016/j.jmva.2015.07.010

来源: Elsevier

【 摘 要 】

This paper discusses the problem of testing the sphericity of a covariance matrix in high-dimensional frameworks. A new test procedure is put forward by taking the maximum of two existing statistics which are proved weakly independent in our settings. Asymptotic distribution of the new statistic is derived for generally distributed population with a finite fourth moment. Extensive simulations demonstrate that the proposed test has a great improvement in robustness of power against various models under the alternative hypothesis. (C) 2015 Elsevier Inc. All rights reserved.

【 授权许可】

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