Testing proportionality of two large-dimensional covariance matrices
Author
Abstract
Suggested Citation
DOI: 10.1016/j.csda.2014.03.014
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Schott, James R., 1999. "A test for proportional covariance matrices," Computational Statistics & Data Analysis, Elsevier, vol. 32(2), pages 135-146, December.
- Flury, Bernhard K., 1986. "Proportionality of k covariance matrices," Statistics & Probability Letters, Elsevier, vol. 4(1), pages 29-33, January.
- Alexander Shapiro & Jos Berge, 2002. "Statistical inference of minimum rank factor analysis," Psychometrika, Springer;The Psychometric Society, vol. 67(1), pages 79-94, March.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Tsukuda, Koji & Matsuura, Shun, 2019. "High-dimensional testing for proportional covariance matrices," Journal of Multivariate Analysis, Elsevier, vol. 171(C), pages 412-420.
- Xu, Kai & Tian, Yan & He, Daojiang, 2021. "A high dimensional nonparametric test for proportional covariance matrices," Journal of Multivariate Analysis, Elsevier, vol. 184(C).
- Cheng, Guanghui & Liu, Baisen & Tian, Guoliang & Zheng, Shurong, 2020. "Testing proportionality of two high-dimensional covariance matrices," Computational Statistics & Data Analysis, Elsevier, vol. 150(C).
- Tsukuda, Koji & Matsuura, Shun, 2021. "Limit theorem associated with Wishart matrices with application to hypothesis testing for common principal components," Journal of Multivariate Analysis, Elsevier, vol. 186(C).
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Liu, Baisen & Xu, Lin & Zheng, Shurong & Tian, Guo-Liang, 2014. "A new test for the proportionality of two large-dimensional covariance matrices," Journal of Multivariate Analysis, Elsevier, vol. 131(C), pages 293-308.
- Xu, Kai & Tian, Yan & He, Daojiang, 2021. "A high dimensional nonparametric test for proportional covariance matrices," Journal of Multivariate Analysis, Elsevier, vol. 184(C).
- Tsukuda, Koji & Matsuura, Shun, 2019. "High-dimensional testing for proportional covariance matrices," Journal of Multivariate Analysis, Elsevier, vol. 171(C), pages 412-420.
- Cheng, Guanghui & Liu, Baisen & Tian, Guoliang & Zheng, Shurong, 2020. "Testing proportionality of two high-dimensional covariance matrices," Computational Statistics & Data Analysis, Elsevier, vol. 150(C).
- Ahmad, Rauf, 2022. "Tests for proportionality of matrices with large dimension," Journal of Multivariate Analysis, Elsevier, vol. 189(C).
- Anastasiou, Andreas, 2017. "Bounds for the normal approximation of the maximum likelihood estimator from m-dependent random variables," Statistics & Probability Letters, Elsevier, vol. 129(C), pages 171-181.
- Denter, Philipp & Sisak, Dana, 2015.
"Do polls create momentum in political competition?,"
Journal of Public Economics, Elsevier, vol. 130(C), pages 1-14.
- Philipp Denter & Dana Sisak, 2013. "Do Polls create Momentum in Political Competition?," Tinbergen Institute Discussion Papers 13-169/VII, Tinbergen Institute.
- Salgado Alfredo, 2018. "Incomplete Information and Costly Signaling in College Admissions," Working Papers 2018-23, Banco de México.
- Albrecht, James & Anderson, Axel & Vroman, Susan, 2010.
"Search by committee,"
Journal of Economic Theory, Elsevier, vol. 145(4), pages 1386-1407, July.
- Susan Vroman & Axel Anderson & James Albrecht, 2007. "Search by Committee," 2007 Meeting Papers 351, Society for Economic Dynamics.
- James Albrecht & Axel Anderson & Susan Vroman, 2007. "Search by Committee," Working Papers gueconwpa~07-07-09, Georgetown University, Department of Economics.
- Albrecht, James & Anderson, Axel Z. & Vroman, Susan, 2007. "Search by Committee," IZA Discussion Papers 3137, Institute of Labor Economics (IZA).
- Blier-Wong, Christopher & Cossette, Hélène & Marceau, Etienne, 2023. "Risk aggregation with FGM copulas," Insurance: Mathematics and Economics, Elsevier, vol. 111(C), pages 102-120.
- Simon Bruhn & Thomas Grebel & Lionel Nesta, 2023.
"The fallacy in productivity decomposition,"
Journal of Evolutionary Economics, Springer, vol. 33(3), pages 797-835, July.
- Bruhn, Simon & Grebel, Thomas & Nesta, Lionel, 2021. "The fallacy in productivity decomposition," Ilmenau Economics Discussion Papers 160, Ilmenau University of Technology, Institute of Economics.
- Bruhn, Simon & Grebel, Thomas & Nesta, Lionel, 2023. "The fallacy in productivity decomposition," Ilmenau Economics Discussion Papers 180, Ilmenau University of Technology, Institute of Economics.
- Simon Bruhn & Thomas Grebel & Lionel Nesta, 2023. "The fallacy in productivity decomposition," Post-Print hal-04288851, HAL.
- Simon Bruhn & Thomas Grebel & Lionel Nesta, 2021. "The fallacy in productivity decomposition," SciencePo Working papers Main hal-03474838, HAL.
- Simon Bruhn & Thomas Grebel & Lionel Nesta, 2021. "The Fallacy in Productivity Decomposition," GREDEG Working Papers 2021-39, Groupe de REcherche en Droit, Economie, Gestion (GREDEG CNRS), Université Côte d'Azur, France.
- Simon Bruhn & Thomas Grebel & Lionel Nesta, 2021. "The fallacy in productivity decomposition," Working Papers hal-03474838, HAL.
- Graciela Boente & Frank Critchley & Liliana Orellana, 2007. "Influence functions of two families of robust estimators under proportional scatter matrices," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 15(3), pages 295-327, February.
- Wim J. van der Linden, 2019. "Lord’s Equity Theorem Revisited," Journal of Educational and Behavioral Statistics, , vol. 44(4), pages 415-430, August.
- Simar, Léopold & Wilson, Paul, 2022. "Modern Tools for Evaluating the Performance of Health-Care Providers," LIDAM Discussion Papers ISBA 2022006, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Baey, Charlotte & Didier, Anne & Lemaire, Sébastien & Maupas, Fabienne & Cournède, Paul-Henry, 2013. "Modelling the interindividual variability of organogenesis in sugar beet populations using a hierarchical segmented model," Ecological Modelling, Elsevier, vol. 263(C), pages 56-63.
- Tasche, Dirk, 2013.
"Bayesian estimation of probabilities of default for low default portfolios,"
Journal of Risk Management in Financial Institutions, Henry Stewart Publications, vol. 6(3), pages 302-326, July.
- Dirk Tasche, 2011. "Bayesian estimation of probabilities of default for low default portfolios," Papers 1112.5550, arXiv.org, revised Aug 2013.
- Diers, Dorothea & Linde, Marc & Hahn, Lukas, 2016. "Addendum to ‘The multi-year non-life insurance risk in the additive reserving model’ [Insurance Math. Econom. 52(3) (2013) 590–598]: Quantification of multi-year non-life insurance risk in chain ladde," Insurance: Mathematics and Economics, Elsevier, vol. 67(C), pages 187-199.
- Anastasiou, Andreas, 2017. "Bounds for the normal approximation of the maximum likelihood estimator from m -dependent random variables," LSE Research Online Documents on Economics 83635, London School of Economics and Political Science, LSE Library.
- Hirschberg, Joe & Lye, Jenny, 2017. "Inverting the indirect—The ellipse and the boomerang: Visualizing the confidence intervals of the structural coefficient from two-stage least squares," Journal of Econometrics, Elsevier, vol. 199(2), pages 173-183.
- Serguei Kaniovski & Alexander Zaigraev, 2018. "The probability of majority inversion in a two-stage voting system with three states," Theory and Decision, Springer, vol. 84(4), pages 525-546, June.
More about this item
Keywords
Proportionality; Large-dimensional data; Likelihood ratio test; Limiting spectral distribution; Random F-matrices;All these keywords.
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:csdana:v:78:y:2014:i:c:p:43-55. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/csda .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.