Regularized LRT for large scale covariance matrices: One sample problem
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- 作者：Young-Geun Choia ; Chi Tim Ngb ; Johan Lima ; johanlim@snu.ac.kr" class="auth_mail" title="E-mail the corresponding author
- 关键词：Asymptotic normality ; Covariance matrix estimator ; Identity covariance matrix ; High dimensional data ; Linear shrinkage estimator ; Linear spectral statistics ; Random matrix theory ; Regularized likelihood ratio test ; Spiked covariance matrix
- 刊名：Journal of Statistical Planning and Inference
- 出版年：2017
- 出版时间：January 2017
- 年：2017
- 卷：180
- 期：Complete
- 页码：108-123
- 全文大小：615 K
文摘
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A regularized likelihood ratio test (rLRT) for testing covariance matrix is proposed.
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Asymptotic distribution of the rLRT is derived under various true covariance matrixes.
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The rLRT is applied to testing the identity covariance matrix.