Testing high-dimensional covariance structures using double-normalized observations Dedicated to the Memory of Professor Xiru Chen on the Twentieth Anniversary of His Passing
作者机构：School of Mathematics and Statistics Chongqing University School of Mathematics and Statistics Northeast Normal University
出 版 物：《Science China Mathematics》 (中国科学:数学(英文版))
年 卷 期：2024年
核心收录：
学科分类：02[经济学] 0202[经济学-应用经济学] 020208[经济学-统计学] 07[理学] 0714[理学-统计学（可授理学、经济学学位）] 070103[理学-概率论与数理统计] 0701[理学-数学]
基 金：supported by National Natural Science Foundation of China (Grant No. 12271065) supported by National Natural Science Foundation of China (Grant Nos. 12271536 and 12171198) Jilin Provincial Department of Science and Technology (Grant No. 20210101147JC)
摘 要：In this paper, we focus on the test for high-dimensional covariance structures using doublenormalized observations for an elliptical population. By investigating the limiting spectral properties of the sample covariance matrix of double-normalized observations, we propose test statistics applicable for testing the diagonality of the population covariance matrix. Extensive simulations are conducted to investigate the performances of the proposed test in various situations.
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