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Article: Test On The Linear Combinations Of Covariance Matrices In High-dimensional Data

TitleTest On The Linear Combinations Of Covariance Matrices In High-dimensional Data
Authors
Bai, ZHu, JWang, CZhang, C
KeywordsMulti-sample test
Covariance matrices
U-statistic
CLT
Issue Date2021
PublisherSpringer Verlag. The Journal's web site is located at http://link.springer.de/link/service/journals/00362/index.htm
Citation
Statistical Papers, 2021, v. 62 n. 2, p. 701-719 How to Cite?
DOI: http://dx.doi.org/10.1007/s00362-019-01110-1
AbstractIn this paper, we propose a new test on the linear combinations of covariance matrices in high-dimensional data. Our statistic can be applied to many hypothesis tests on covariance matrices. In particular, the test proposed by Li and Chen (Ann Stat 40:908–940, 2012) on the homogeneity of two population covariance matrices is a special case of our test. The results are illustrated by an empirical example in financial portfolio allocation.
Persistent Identifierhttp://hdl.handle.net/10722/272344
ISSN
0932-5026
2021 Impact Factor: 1.523
2020 SCImago Journal Rankings: 1.230
ISI Accession Number ID
WOS:000630083300007

 

DC FieldValueLanguage
dc.contributor.authorBai, Z-
dc.contributor.authorHu, J-
dc.contributor.authorWang, C-
dc.contributor.authorZhang, C-
dc.date.accessioned2019-07-20T10:40:30Z-
dc.date.available2019-07-20T10:40:30Z-
dc.date.issued2021-
dc.identifier.citationStatistical Papers, 2021, v. 62 n. 2, p. 701-719-
dc.identifier.issn0932-5026-
dc.identifier.urihttp://hdl.handle.net/10722/272344-
dc.description.abstractIn this paper, we propose a new test on the linear combinations of covariance matrices in high-dimensional data. Our statistic can be applied to many hypothesis tests on covariance matrices. In particular, the test proposed by Li and Chen (Ann Stat 40:908–940, 2012) on the homogeneity of two population covariance matrices is a special case of our test. The results are illustrated by an empirical example in financial portfolio allocation.-
dc.languageeng-
dc.publisherSpringer Verlag. The Journal's web site is located at http://link.springer.de/link/service/journals/00362/index.htm-
dc.relation.ispartofStatistical Papers-
dc.subjectMulti-sample test-
dc.subjectCovariance matrices-
dc.subjectU-statistic-
dc.subjectCLT-
dc.titleTest On The Linear Combinations Of Covariance Matrices In High-dimensional Data-
dc.typeArticle-
dc.identifier.emailWang, C: stacw@hku.hk-
dc.identifier.authorityWang, C=rp02404-
dc.description.naturelink_to_subscribed_fulltext-
dc.identifier.doi10.1007/s00362-019-01110-1-
dc.identifier.scopuseid_2-s2.0-85080984301-
dc.identifier.hkuros299217-
dc.identifier.volume62-
dc.identifier.issue2-
dc.identifier.spage701-
dc.identifier.epage719-
dc.identifier.isiWOS:000630083300007-
dc.publisher.placeGermany-
dc.identifier.issnl0932-5026-

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